UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09491
Allianz Variable Insurance Products Trust
(Exact name of registrant as specified in charter)
5701 Golden Hills Drive, Minneapolis, MN | 55416-1297 | |
(Address of principal executive offices) | (Zip code) |
Citi Fund Services Ohio, Inc., 3435 Stelzer Road, Columbus, OH 43219-8000
(Name and address of agent for service)
Registrant’s telephone number, including area code: 877-833-7113
Date of fiscal year end: December 31
Date of reporting period: June 30, 2014
Item 1. | Reports to Stockholders. |
AZL® BlackRock Capital Appreciation Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL BlackRock Capital Appreciation Fund
(Unaudited)
As a shareholder of the AZL BlackRock Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL BlackRock Capital Appreciation Fund | $ | 1,000.00 | $ | 1,007.40 | $ | 4.98 | 1.00 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL BlackRock Capital Appreciation Fund | $ | 1,000.00 | $ | 1,019.84 | $ | 5.01 | 1.00 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 29.4 | % | |||
Consumer Discretionary | 24.8 | ||||
Health Care | 17.8 | ||||
Industrials | 11.9 | ||||
Energy | 6.8 | ||||
Financials | 3.3 | ||||
Telecommunication Services | 2.2 | ||||
Consumer Staples | 1.7 | ||||
Materials | 1.5 | ||||
|
| ||||
Total Common Stock | 99.4 | ||||
Securities Held as Collateral for Securities on Loan | 0.3 | ||||
Money Market | 0.3 | ||||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | ^ | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
1
AZL BlackRock Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (99.4%): |
| ||||||
| Aerospace & Defense (2.3%): |
| ||||||
54,417 | Precision Castparts Corp. | $ | 13,734,851 | |||||
|
| |||||||
| Airlines (1.4%): |
| ||||||
191,783 | American Airlines Group, Inc.* | 8,238,998 | ||||||
|
| |||||||
| Auto Components (1.2%): |
| ||||||
108,257 | Delphi Automotive plc | 7,441,586 | ||||||
|
| |||||||
| Biotechnology (7.8%): |
| ||||||
32,396 | Biogen Idec, Inc.* | 10,214,783 | ||||||
152,276 | Gilead Sciences, Inc.* | 12,625,203 | ||||||
54,761 | Regeneron Pharmaceuticals, Inc.* | 15,468,340 | ||||||
92,284 | United Therapeutics Corp.* | 8,166,211 | ||||||
|
| |||||||
46,474,537 | ||||||||
|
| |||||||
| Chemicals (1.5%): |
| ||||||
71,919 | Monsanto Co. | 8,971,176 | ||||||
|
| |||||||
| Consumer Finance (1.1%): |
| ||||||
103,661 | Discover Financial Services | 6,424,909 | ||||||
|
| |||||||
| Diversified Financial Services (2.2%): |
| ||||||
36,391 | Berkshire Hathaway, Inc., Class B* | 4,605,645 | ||||||
94,753 | Moody’s Corp. | 8,306,048 | ||||||
|
| |||||||
12,911,693 | ||||||||
|
| |||||||
| Electrical Equipment (4.6%): |
| ||||||
132,554 | Eaton Corp. plc | 10,230,518 | ||||||
135,920 | Emerson Electric Co. | 9,019,652 | ||||||
34,131 | Roper Industries, Inc. | 4,983,467 | ||||||
47,304 | Solarcity Corp.*^ | 3,339,662 | ||||||
|
| |||||||
27,573,299 | ||||||||
|
| |||||||
| Energy Equipment & Services (3.0%): |
| ||||||
76,648 | FMC Technologies, Inc.* | 4,680,893 | ||||||
109,986 | Schlumberger, Ltd. | 12,972,849 | ||||||
|
| |||||||
17,653,742 | ||||||||
|
| |||||||
| Food Products (1.1%): |
| ||||||
172,492 | Mondelez International, Inc., Class A | 6,487,424 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (2.4%): |
| ||||||
261,492 | Abbott Laboratories | 10,695,023 | ||||||
8,600 | Intuitive Surgical, Inc.* | 3,541,480 | ||||||
|
| |||||||
14,236,503 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (5.5%): |
| ||||||
101,334 | McDonald’s Corp. | 10,208,387 | ||||||
135,939 | Starbucks Corp. | 10,518,960 | ||||||
59,394 | Wynn Resorts, Ltd. | 12,327,819 | ||||||
|
| |||||||
33,055,166 | ||||||||
|
| |||||||
| Internet & Catalog Retail (7.3%): |
| ||||||
108,909 | Alibaba Group Holding, Ltd.*(a)(b) | 7,405,812 | ||||||
24,944 | Netflix, Inc.* | 10,990,326 | ||||||
9,451 | Priceline.com, Inc.* | 11,369,553 | ||||||
128,644 | TripAdvisor, Inc.* | 13,978,457 | ||||||
|
| |||||||
43,744,148 | ||||||||
|
| |||||||
| Internet Software & Services (14.6%): |
| ||||||
58,025 | Baidu, Inc., ADR* | 10,839,650 | ||||||
282,782 | Facebook, Inc., Class A* | 19,028,400 | ||||||
56,413 | Google, Inc., Class A* | 32,982,988 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Internet Software & Services, continued |
| ||||||
83,223 | LinkedIn Corp., Class A* | $ | 14,270,248 | |||||
315,851 | Yahoo!, Inc.* | 11,095,846 | ||||||
|
| |||||||
88,217,132 | ||||||||
|
| |||||||
| IT Services (6.2%): |
| ||||||
33,897 | Alliance Data Systems Corp.* | 9,533,531 | ||||||
59,696 | MasterCard, Inc., Class A | 4,385,865 | ||||||
111,550 | Visa, Inc., Class A | 23,504,701 | ||||||
|
| |||||||
37,424,097 | ||||||||
|
| |||||||
| Media (8.7%): |
| ||||||
186,341 | Comcast Corp., Class A | 10,002,785 | ||||||
267,239 | Liberty Global plc, Class A* | 11,817,308 | ||||||
543,424 | Twenty-First Century Fox, Inc. | 19,101,353 | ||||||
128,857 | Walt Disney Co. (The) | 11,048,199 | ||||||
|
| |||||||
51,969,645 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (3.8%): |
| ||||||
43,807 | Concho Resources, Inc.* | 6,330,112 | ||||||
47,742 | Gulfport Energy Corp.* | 2,998,198 | ||||||
267,730 | Laredo Petroleum Holdings, Inc.* | 8,294,275 | ||||||
841,419 | Palantir Technologies, Inc.*(a)(b) | 5,157,898 | ||||||
|
| |||||||
22,780,483 | ||||||||
|
| |||||||
| Personal Products (0.6%): |
| ||||||
48,891 | Estee Lauder Co., Inc. (The), Class A | 3,630,646 | ||||||
|
| |||||||
| Pharmaceuticals (7.6%): |
| ||||||
433,859 | Abbvie, Inc. | 24,487,002 | ||||||
40,834 | Allergan, Inc. | 6,909,929 | ||||||
115,389 | Valeant Pharmaceuticals International, Inc.* | 14,552,861 | ||||||
|
| |||||||
45,949,792 | ||||||||
|
| |||||||
| Professional Services (0.5%): |
| ||||||
49,140 | Verisk Analytics, Inc., Class A* | 2,949,383 | ||||||
|
| |||||||
| Road & Rail (3.1%): |
| ||||||
184,582 | Union Pacific Corp. | 18,412,055 | ||||||
|
| |||||||
| Software (4.6%): |
| ||||||
100,805 | Autodesk, Inc.* | 5,683,386 | ||||||
68,524 | Intuit, Inc. | 5,518,238 | ||||||
133,386 | Salesforce.com, Inc.* | 7,747,059 | ||||||
86,494 | VMware, Inc., Class A* | 8,373,484 | ||||||
|
| |||||||
27,322,167 | ||||||||
|
| |||||||
| Specialty Retail (1.0%): |
| ||||||
73,030 | Home Depot, Inc. (The) | 5,912,509 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (4.0%): |
| ||||||
258,485 | Apple, Inc. | 24,021,011 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.1%): |
| ||||||
84,371 | Nike, Inc., Class B | 6,542,971 | ||||||
|
| |||||||
| Wireless Telecommunication Services (2.2%): |
| ||||||
81,696 | Crown Castle International Corp. | 6,066,745 | ||||||
185,653 | SoftBank Corp., ADR* | 6,980,553 | ||||||
|
| |||||||
13,047,298 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $504,084,228) | 595,127,221 | ||||||
|
|
Continued
2
AZL BlackRock Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares or Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (0.3%): |
| ||||||
$ | 2,034,458 | Allianz Variable Insurance Products Securities Lending Collateral Trust(c) | $ | 2,034,458 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 2,034,458 | ||||||
|
| |||||||
| Unaffiliated Investment Company (0.3%): |
| ||||||
1,505,295 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d) | 1,505,295 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,505,295) | 1,505,295 | ||||||
|
| |||||||
| Total Investment Securities | 598,666,974 | ||||||
| Net other assets (liabilities) — 0.0% | 121,430 | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 598,788,404 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,983,789. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 2.10% of the net assets of the fund. |
(b) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 2.10% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(d) | The rate represents the effective yield at June 30, 2014. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Canada | 2.4 | % | ||
Cayman Islands | 1.8 | % | ||
China | 1.2 | % | ||
Ireland (Republic of) | 1.7 | % | ||
Japan | 1.2 | % | ||
Netherlands | 2.2 | % | ||
United Kingdom | 1.2 | % | ||
United States | 88.3 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
3
AZL BlackRock Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 507,623,981 | |||
|
| ||||
Investment securities, at value* | $ | 598,666,974 | |||
Interest and dividends receivable | 183,395 | ||||
Foreign currency, at value (cost $879) | 880 | ||||
Receivable for investments sold | 10,407,028 | ||||
Reclaims receivable | 401 | ||||
Prepaid expenses | 3,324 | ||||
|
| ||||
Total Assets | 609,262,002 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 6,881,904 | ||||
Payable for capital shares redeemed | 1,040,971 | ||||
Payable for collateral received on loaned securities | 2,034,458 | ||||
Manager fees payable | 341,614 | ||||
Administration fees payable | 21,544 | ||||
Distribution fees payable | 122,004 | ||||
Custodian fees payable | 10,067 | ||||
Administrative and compliance services fees payable | 1,325 | ||||
Trustee fees payable | 2,407 | ||||
Other accrued liabilities | 17,304 | ||||
|
| ||||
Total Liabilities | 10,473,598 | ||||
|
| ||||
Net Assets | $ | 598,788,404 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 372,015,892 | |||
Accumulated net investment income/(loss) | (960,572 | ) | |||
Accumulated net realized gains/(losses) from investment transactions | 136,690,083 | ||||
Net unrealized appreciation/(depreciation) on investments | 91,043,001 | ||||
|
| ||||
Net Assets | $ | 598,788,404 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 31,338,572 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.11 | |||
|
|
* | Includes securities on loan of $1,983,789. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,216,884 | |||
Income from securities lending | 53,001 | ||||
Foreign withholding tax | (1,576 | ) | |||
|
| ||||
Total Investment Income | 2,268,309 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,584,051 | ||||
Administration fees | 86,735 | ||||
Distribution fees | 807,514 | ||||
Custodian fees | 15,763 | ||||
Administrative and compliance services fees | 4,790 | ||||
Trustee fees | 15,195 | ||||
Professional fees | 14,795 | ||||
Shareholder reports | 18,091 | ||||
Other expenses | 6,340 | ||||
|
| ||||
Total expenses before reductions | 3,553,274 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (323,003 | ) | |||
Less expenses paid indirectly | (1,390 | ) | |||
|
| ||||
Net expenses | 3,228,881 | ||||
|
| ||||
Net Investment Income/(Loss) | (960,572 | ) | |||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 78,647,117 | ||||
Change in net unrealized appreciation/depreciation on investments | (77,280,970 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 1,366,147 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 405,575 | |||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL BlackRock Capital Appreciation Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (960,572 | ) | $ | (1,357,741 | ) | ||||
Net realized gains/(losses) on investment transactions | 78,647,117 | 128,641,753 | ||||||||
Change in unrealized appreciation/depreciation on investments | (77,280,970 | ) | 55,425,199 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 405,575 | 182,709,211 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (3,318,026 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (3,318,026 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 7,817,331 | 39,281,631 | ||||||||
Proceeds from dividends reinvested | — | 3,318,026 | ||||||||
Value of shares redeemed | (120,567,499 | ) | (68,680,901 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (112,750,168 | ) | (26,081,244 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (112,344,593 | ) | 153,309,941 | |||||||
Net Assets: | ||||||||||
Beginning of period | 711,132,997 | 557,823,056 | ||||||||
|
|
|
| |||||||
End of period | $ | 598,788,404 | $ | 711,132,997 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | (960,572 | ) | $ | — | |||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 418,857 | 2,445,729 | ||||||||
Dividends reinvested | — | 198,803 | ||||||||
Shares redeemed | (6,574,733 | ) | (4,183,127 | ) | ||||||
|
|
|
| |||||||
Change in shares | (6,155,876 | ) | (1,538,595 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL BlackRock Capital Appreciation Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.97 | $ | 14.29 | $ | 12.57 | $ | 13.83 | $ | 11.73 | $ | 8.66 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | (0.03 | ) | (0.03 | ) | 0.09 | 0.01 | (0.01 | ) | 0.01 | |||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.17 | 4.80 | 1.64 | (1.27 | ) | 2.24 | 3.06 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.14 | 4.77 | 1.73 | (1.26 | ) | 2.23 | 3.07 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.09 | ) | (0.01 | ) | — | (0.01 | ) | — | (a) | ||||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.12 | ) | — | |||||||||||||||||||||||
Return of Capital | — | — | — | — | — | (a) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.09 | ) | (0.01 | ) | — | (0.13 | ) | — | (a) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 19.11 | $ | 18.97 | $ | 14.29 | $ | 12.57 | $ | 13.83 | $ | 11.73 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 0.74 | %(c) | 33.44 | % | 13.73 | % | (9.11 | )% | 19.20 | % | 35.46 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 598,788 | $ | 711,133 | $ | 557,823 | $ | 477,619 | $ | 562,801 | $ | 489,930 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | (0.30 | )% | (0.22 | )% | 0.62 | % | 0.05 | % | (0.06 | )% | 0.11 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.10 | % | 1.11 | % | 1.11 | % | 1.13 | % | 1.13 | % | 1.15 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.00 | % | 1.00 | % | 1.01 | % | 1.02 | % | 1.00 | % | 1.07 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d)(f) | 1.00 | % | 1.01 | % | 1.01 | % | 1.02 | % | 1.00 | % | 1.07 | % | ||||||||||||||||||
Portfolio Turnover Rate | 59 | %(c) | 161 | % | 62 | % | 81 | % | 80 | %(g) | 80 | %(h) |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 81%. |
(h) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 102%. |
See accompanying notes to the financial statements.
6
AZL BlackRock Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL BlackRock Capital Appreciation Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL BlackRock Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $9.6 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $5,249 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Capital Management, Inc. (“BlackRock Capital”), BlackRock Capital provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL BlackRock Capital Appreciation Fund | 0.80 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and
8
AZL BlackRock Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,993 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
9
AZL BlackRock Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Internet & Catalog Retail | $ | 36,338,336 | $ | — | $ | 7,405,812 | $ | 43,744,148 | ||||||||||||
Oil, Gas & Consumable Fuels | 17,622,585 | — | 5,157,898 | 22,780,483 | ||||||||||||||||
All Other Common Stocks+ | 528,602,590 | — | — | 528,602,590 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 2,034,458 | — | 2,034,458 | ||||||||||||||||
Unaffiliated Investment Company | 1,505,295 | — | — | 1,505,295 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 584,068,806 | $ | 2,034,458 | $ | 12,563,710 | $ | 598,666,974 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
Quantitative Information about Level 3 Fair Value Measurements | |||||||||||||||||||||||||||||||||
Type of Assets | Fair Value at June 30, 2014 | Valuation Basis at June 30, 2014 | Valuation Technique(s) | Unobservable input(s) | Range | Weighted Average | |||||||||||||||||||||||||||
Investment Securities: | |||||||||||||||||||||||||||||||||
Common Stock: | |||||||||||||||||||||||||||||||||
Internet & Catalog Retail | |||||||||||||||||||||||||||||||||
Alibaba Group Holding, Ltd. | $ | 7,405,812 | Original Cost | Market Transaction Method | Purchase Price | $ | 7,405,812 | $ | 7,405,812 | ||||||||||||||||||||||||
Oil, Gas & Consumable Fuels | |||||||||||||||||||||||||||||||||
Palantir Technologies, Inc. | 5,157,898 | Original Cost | Market Transaction Method | Purchase Price | $ | 5,157,898 | $ | 5,157,898 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||||
Total Investment Securities | $ | 12,563,710 | |||||||||||||||||||||||||||||||
|
|
Common Stocks | ||||
Balance as of December 31, 2013 | $ | — | ||
Change in Unrealized Appreciation/Depreciation* | — | |||
Net Realized Gain (Loss) | — | |||
Gross Purchases | 12,563,710 | |||
Gross Sales | — | |||
|
| |||
Balance as of June 30, 2014 | $ | 12,563,710 | ||
|
|
* | The noted amounts of change in unrealized appreciation/depreciation relate to the fair value of Level 3 assets held on June 30, 2014. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL BlackRock Capital Appreciation Fund | $ | 376,717,004 | $ | 493,237,714 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Alibaba Group Holding, Ltd. | 4/25/14 | $ | 7,405,812 | 108,909 | $ | 7,405,812 | 1.24 | % | |||||||||||||||||
Palantir Technologies, Inc. | 2/7/14 | 5,157,898 | 841,419 | 5,157,899 | 0.86 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
10
AZL BlackRock Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $509,523,723. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 91,728,716 | ||
Unrealized depreciation | (2,585,465 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 89,143,251 | ||
|
|
During the year ended December 31, 2013, the Fund utilized $68,940,964 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL BlackRock Capital Appreciation Fund | $ | 3,317,990 | $ | 36 | $ | 3,318,026 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL BlackRock Capital Appreciation Fund | $ | — | $ | 59,294,962 | $ | — | $ | 167,071,975 | $ | 226,366,937 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® BlackRock Global Allocation Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 21 |
Page 21 |
Statements of Changes in Net Assets Page 22 |
Page 23 |
Notes to the Financial Statements Page 24 |
Page 35 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL BlackRock Global Allocation Fund
(Unaudited)
As a shareholder of the AZL BlackRock Global Allocation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 1,000.00 | $ | 1,035.70 | $ | 5.55 | 1.10 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 1,000.00 | $ | 1,019.49 | $ | 5.51 | 1.10 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of net assets | ||||
Common Stocks, Preferred Stocks and Convertible Preferred Stocks | 64.0 | % | |||
U.S. Treasury Obligations | 16.5 | ||||
Foreign Bonds | 9.7 | ||||
Yankee Dollars | 2.6 | ||||
Convertible Bonds | 2.3 | ||||
Corporate Bonds | 2.0 | ||||
Securities Held as Collateral for Securities on Loan | 1.7 | ||||
Floating Rate Loans | 1.1 | ||||
Exchange Traded Funds | 1.1 | ||||
Options | 0.5 | ||||
Swaptions | 0.2 | ||||
Money Market | 0.2 | ||||
Warrant | — | ^ | |||
|
| ||||
Total Investment Securities | 101.9 | ||||
Net other assets (liabilities) | (1.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (62.2%): |
| ||||||
| Aerospace & Defense (1.6%): |
| ||||||
945 | Boeing Co. (The) | $ | 120,232 | |||||
37,856 | European Aeronautic Defence & Space Co. NV | 2,540,644 | ||||||
1,363 | General Dynamics Corp. | 158,858 | ||||||
1,275 | L-3 Communications Holdings, Inc. | 153,956 | ||||||
1,434 | Northrop Grumman Corp. | 171,549 | ||||||
7,195 | Precision Castparts Corp. | 1,816,018 | ||||||
1,785 | Raytheon Co. | 164,666 | ||||||
66,515 | Safran SA | 4,352,066 | ||||||
26,877 | United Technologies Corp. | 3,102,951 | ||||||
|
| |||||||
12,580,940 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.6%): |
| ||||||
6,862 | FedEx Corp. | 1,038,770 | ||||||
41,621 | Royal Mail plc* | 355,119 | ||||||
34,506 | United Parcel Service, Inc., Class B | 3,542,386 | ||||||
|
| |||||||
4,936,275 | ||||||||
|
| |||||||
| Airlines (0.6%): |
| ||||||
25,900 | Japan Airlines Co., Ltd. | 1,433,635 | ||||||
69,629 | United Continental Holdings, Inc.* | 2,859,663 | ||||||
|
| |||||||
4,293,298 | ||||||||
|
| |||||||
| Auto Components (1.4%): |
| ||||||
17,300 | Aisin Sieki Co., Ltd. | 689,659 | ||||||
11,426 | BorgWarner, Inc. | 744,861 | ||||||
45,800 | Bridgestone Corp. | 1,605,365 | ||||||
124,683 | Cheng Shin Rubber Industry Co., Ltd. | 318,330 | ||||||
6,199 | Delphi Automotive plc | 426,119 | ||||||
38,400 | DENSO Corp. | 1,836,534 | ||||||
22,400 | Futaba Industrial Co., Ltd. | 102,561 | ||||||
19,443 | Goodyear Tire & Rubber Co. | 540,127 | ||||||
1,882 | Hyundai Wia Corp. | 364,823 | ||||||
20,151 | Johnson Controls, Inc. | 1,006,139 | ||||||
4,800 | Koito Manufacturing Co., Ltd. | 123,135 | ||||||
1,980 | Lear Corp. | 176,854 | ||||||
2,900 | Stanley Electric Co., Ltd. | 75,773 | ||||||
37,000 | Toyota Industries Corp. | 1,914,466 | ||||||
4,258 | TRW Automotive Holdings Corp.* | 381,176 | ||||||
|
| |||||||
10,305,922 | ||||||||
|
| |||||||
| Automobiles (1.9%): |
| ||||||
6,802 | Bayerische Motoren Werke AG (BMW) | 862,728 | ||||||
6,700 | Daihatsu Motor Co., Ltd. | 119,322 | ||||||
104,000 | Dongfeng Motor Corp., H Shares | 186,425 | ||||||
118,510 | Ford Motor Co. | 2,043,112 | ||||||
148,700 | Fuji Heavy Industries, Ltd. | 4,127,291 | ||||||
8,966 | General Motors Co. | 325,466 | ||||||
43,400 | Honda Motor Co., Ltd. | 1,518,371 | ||||||
3,784 | Hyundai Motor Co. | 858,208 | ||||||
76,000 | Isuzu Motors, Ltd. | 503,614 | ||||||
7,054 | Maruti Suzuki India, Ltd. | 286,235 | ||||||
86,000 | Suzuki Motor Corp. | 2,699,307 | ||||||
21,700 | Toyota Motor Corp. | 1,305,539 | ||||||
270 | Volkswagen AG | 69,807 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Automobiles, continued |
| ||||||
9,900 | Yamaha Motor Co., Ltd. | $ | 170,742 | |||||
159,770 | Yulon Motor Co., Ltd. | 260,038 | ||||||
|
| |||||||
15,336,205 | ||||||||
|
| |||||||
| Banks (4.1%): |
| ||||||
79,287 | Banco Bilbao Vizcaya Argentaria SA | 1,009,321 | ||||||
18,686 | Banco Santander Chile SA, ADR | 494,245 | ||||||
185,393 | Bank of America Corp. | 2,849,490 | ||||||
9,674 | Bank of Nova Scotia^ | 645,054 | ||||||
21,000 | Bank of Yokohama, Ltd. (The) | 121,107 | ||||||
23,604 | BB&T Corp. | 930,706 | ||||||
48,580 | BNP Paribas SA | 3,295,894 | ||||||
18,000 | Chiba Bank, Ltd. (The) | 127,317 | ||||||
89,000 | Chuo Mitsui Trust Holdings, Inc. | 407,635 | ||||||
17,309 | Fifth Third Bancorp | 369,547 | ||||||
356,671 | Intesa Sanpaolo SpA | 1,099,466 | ||||||
68,015 | JPMorgan Chase & Co. | 3,919,024 | ||||||
983,614 | Lloyds Banking Group plc* | 1,250,704 | ||||||
127,300 | Mitsubishi UFJ Financial Group, Inc. | 782,116 | ||||||
23,377 | National Australia Bank, Ltd. | 722,998 | ||||||
104,606 | Regions Financial Corp. | 1,110,916 | ||||||
12,000 | Shizuoka Bank, Ltd. (The) | 129,964 | ||||||
19,196 | Societe Generale | 1,003,783 | ||||||
44,500 | Sumitomo Mitsui Financial Group, Inc. | 1,868,841 | ||||||
22,184 | Svenska Handelsbanken AB, A Shares | 1,085,015 | ||||||
27,122 | U.S. Bancorp | 1,174,925 | ||||||
57,376 | UniCredit SpA | 480,530 | ||||||
103,709 | Wells Fargo & Co. | 5,450,945 | ||||||
|
| |||||||
30,329,543 | ||||||||
|
| |||||||
| Beverages (1.2%): |
| ||||||
2,591 | Anheuser-Busch InBev NV | 297,792 | ||||||
85,880 | Coca-Cola Co. (The) | 3,637,877 | ||||||
1,775 | Constellation Brands, Inc., Class A* | 156,431 | ||||||
8,047 | Diageo plc, ADR | 1,024,142 | ||||||
6,279 | Diageo plc | 199,856 | ||||||
3,299 | Fomento Economico Mexicano SAB de C.V., ADR | 308,951 | ||||||
30,400 | Kirin Holdings Co., Ltd. | 439,723 | ||||||
4,846 | Remy Cointreau SA^ | 445,805 | ||||||
13,277 | SABMiller plc | 769,140 | ||||||
13,500 | Suntory Beverage & Food, Ltd. | 530,091 | ||||||
17,133 | Uber Technologies, Inc.*(a) | 1,063,140 | ||||||
|
| |||||||
8,872,948 | ||||||||
|
| |||||||
| Biotechnology (0.9%): |
| ||||||
5,316 | Alexion Pharmaceuticals, Inc.* | 830,625 | ||||||
1,327 | Amgen, Inc. | 157,077 | ||||||
5,835 | Biogen Idec, Inc.* | 1,839,834 | ||||||
12,944 | Celgene Corp.* | 1,111,631 | ||||||
7,288 | Cubist Pharmaceuticals, Inc.* | 508,848 | ||||||
13,043 | Gilead Sciences, Inc.* | 1,081,395 | ||||||
59,638 | Mesoblast, Ltd.*^ | 251,709 |
Continued
2
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Biotechnology, continued |
| ||||||
738 | Regeneron Pharmaceuticals, Inc.* | $ | 208,463 | |||||
9,303 | Vertex Pharmaceuticals, Inc.* | 880,808 | ||||||
|
| |||||||
6,870,390 | ||||||||
|
| |||||||
| Building Products (0.3%): |
| ||||||
26,591 | Compagnie de Saint-Gobain | 1,497,927 | ||||||
12,800 | SA Daikin Industries, Ltd. | 809,743 | ||||||
|
| |||||||
2,307,670 | ||||||||
|
| |||||||
| Capital Markets (0.6%): |
| ||||||
1,202 | Ameriprise Financial, Inc. | 144,240 | ||||||
22,770 | Deutsche Bank AG, Registered Shares | 801,045 | ||||||
8,585 | Goldman Sachs Group, Inc. (The) | 1,437,472 | ||||||
102,337 | UBS AG, Registered Shares | 1,875,656 | ||||||
|
| |||||||
4,258,413 | ||||||||
|
| |||||||
| Chemicals (2.0%): |
| ||||||
7,592 | Agrium, Inc. | 695,655 | ||||||
14,752 | Akzo Nobel NV | 1,105,987 | ||||||
11,941 | Arkema, Inc. | 1,162,211 | ||||||
86,000 | Asahi Kasei Corp. | 659,412 | ||||||
503 | CF Industries Holdings, Inc. | 120,987 | ||||||
3,232 | Cheil Industries, Inc. | 224,213 | ||||||
1,665 | Eastman Chemical Co. | 145,438 | ||||||
17,007 | FMC Corp. | 1,210,728 | ||||||
29,900 | Hitachi Chemical Co., Ltd. | 495,573 | ||||||
47,700 | JSR Corp. | 819,779 | ||||||
13,478 | Koninklijke DSM NV | 980,818 | ||||||
49,200 | Kuraray Co., Ltd. | 624,661 | ||||||
4,643 | Linde AG | 987,308 | ||||||
20,200 | Nitto Denko Corp. | 948,534 | ||||||
982 | PPG Industries, Inc. | 206,367 | ||||||
28,200 | Shin-Etsu Chemical Co., Ltd. | 1,716,938 | ||||||
1,408 | Sigma Aldrich Corp. | 142,884 | ||||||
7,294 | Syngenta AG, Registered Shares | 2,725,797 | ||||||
188,000 | Ube Industries, Ltd. | 327,181 | ||||||
|
| |||||||
15,300,471 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.0%): |
| ||||||
4,735 | Pitney Bowes, Inc. | 130,781 | ||||||
2,900 | Sohgo Security Services Co., Ltd. | 69,663 | ||||||
|
| |||||||
200,444 | ||||||||
|
| |||||||
| Communications Equipment (0.5%): |
| ||||||
98,223 | Cisco Systems, Inc. | 2,440,842 | ||||||
14,677 | El Towers SpA* | 793,780 | ||||||
1,797 | Harris Corp. | 136,123 | ||||||
1,885 | Motorola Solutions, Inc. | 125,484 | ||||||
|
| |||||||
3,496,229 | ||||||||
|
| |||||||
| Construction & Engineering (0.3%): |
| ||||||
46,000 | JGC Corp. | 1,400,269 | ||||||
4,000 | Kinden Corp. | 38,955 | ||||||
2,000 | Maeda Road Construction Co., Ltd. | 34,657 | ||||||
81,000 | Okumura Corp. | 411,700 | ||||||
104,000 | Toda Corp. | 405,141 | ||||||
|
| |||||||
2,290,722 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction Materials (0.1%): |
| ||||||
4,859 | HeidelbergCement AG | $ | 414,372 | |||||
|
| |||||||
| Consumer Finance (0.7%): |
| ||||||
21,748 | American Express Co. | 2,063,233 | ||||||
16,014 | Capital One Financial Corp. | 1,322,756 | ||||||
23,962 | Discover Financial Services | 1,485,165 | ||||||
11,560 | Santander Consumer USA Holdings, Inc. | 224,726 | ||||||
|
| |||||||
5,095,880 | ||||||||
|
| |||||||
| Containers & Packaging (0.2%): |
| ||||||
7,952 | Avery Dennison Corp. | 407,540 | ||||||
15,694 | Crown Holdings, Inc.* | 780,933 | ||||||
19,252 | Sealed Air Corp. | 657,841 | ||||||
|
| |||||||
1,846,314 | ||||||||
|
| |||||||
| Distributors (0.0%): |
| ||||||
2,100 | Canon Marketing Japan, Inc. | 39,462 | ||||||
|
| |||||||
| Diversified Consumer Services (0.0%): |
| ||||||
3,700 | Benesse Holdings, Inc. | 160,657 | ||||||
|
| |||||||
| Diversified Financial Services (0.8%): |
| ||||||
11,699 | Berkshire Hathaway, Inc., Class B* | 1,480,625 | ||||||
49,607 | Citigroup, Inc. | 2,336,490 | ||||||
9,156 | Deutsche Boerse AG | 710,520 | ||||||
80,184 | ING Groep NV* | 1,124,995 | ||||||
|
| |||||||
5,652,630 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.1%): |
| ||||||
167,694 | BT Group plc | 1,103,104 | ||||||
49,491 | Deutsche Telekom AG, Registered Shares | 867,407 | ||||||
54,724 | Koninklijke (Royal) KPN NV* | 199,256 | ||||||
10,700 | Nippon Telegraph & Telephone Corp. | 668,377 | ||||||
237,334 | Oi SA, ADR | 203,656 | ||||||
319,000 | Singapore Telecommunications, Ltd. | 985,678 | ||||||
466 | Swisscom AG, Registered Shares | 270,774 | ||||||
43,850 | TDC A/S | 453,843 | ||||||
278,462 | Telecom Italia SpA | 352,270 | ||||||
32,883 | Telecom Italia SpA, RSP | 32,446 | ||||||
175,700 | Telekom Malaysia Berhad | 347,609 | ||||||
7,963 | Verizon Communications, Inc. | 389,520 | ||||||
64,298 | Verizon Communications, Inc. | 3,146,101 | ||||||
|
| |||||||
9,020,041 | ||||||||
|
| |||||||
| Electric Utilities (0.6%): |
| ||||||
17,835 | American Electric Power Co., Inc. | 994,658 | ||||||
21,200 | Chubu Electric Power Co., Inc.* | 264,041 | ||||||
69,847 | Enel SpA ^ | 406,418 | ||||||
13,341 | NextEra Energy, Inc. | 1,367,185 | ||||||
28,086 | PPL Corp. | 997,896 | ||||||
13,418 | Terna – Rete Elettrica Nationale SpA | 70,735 | ||||||
|
| |||||||
4,100,933 | ||||||||
|
| |||||||
| Electrical Equipment (1.1%): |
| ||||||
20,623 | Eaton Corp. plc | 1,591,682 | ||||||
1,000 | Mabuchi Motor Co., Ltd. | 75,932 | ||||||
89,000 | Mitsubishi Electric Corp. | 1,101,290 |
Continued
3
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electrical Equipment, continued |
| ||||||
16,636 | Rockwell Automation, Inc. | $ | 2,082,162 | |||||
19,817 | Schneider Electric SA | 1,868,897 | ||||||
1,932 | Schneider Electric SE | 181,746 | ||||||
38,300 | Sumitomo Electric Industries, Ltd. | 540,198 | ||||||
|
| |||||||
7,441,907 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.6%): |
| ||||||
2,948 | Avnet, Inc. | 130,626 | ||||||
3,100 | Hitachi High-Technologies Corp. | 73,894 | ||||||
220,000 | Hitachi, Ltd. | 1,614,748 | ||||||
31,500 | HOYA Corp. | 1,048,356 | ||||||
400 | Keyence Corp. | 174,990 | ||||||
13,800 | Kyocera Corp. | 656,637 | ||||||
6,100 | Murata Manufacturing Co., Ltd. | 572,270 | ||||||
4,100 | Omron Corp. | 173,247 | ||||||
2,648 | TE Connectivity, Ltd. | 163,752 | ||||||
|
| |||||||
4,608,520 | ||||||||
|
| |||||||
| Energy Equipment & Services (0.9%): |
| ||||||
19,817 | Dresser-Rand Group, Inc.* | 1,262,937 | ||||||
95,700 | Dropbox, Inc.*(a)(b) | 1,761,837 | ||||||
1,633 | Helmerich & Payne, Inc. | 189,608 | ||||||
20,054 | Schlumberger, Ltd. | 2,365,369 | ||||||
14,996 | Technip-Coflexip SA | 1,642,497 | ||||||
|
| |||||||
7,222,248 | ||||||||
�� |
|
| ||||||
| Food & Staples Retailing (0.3%): |
| ||||||
7,065 | CVS Caremark Corp. | 532,489 | ||||||
20,064 | Fresh Market, Inc. (The)*^ | 671,542 | ||||||
3,102 | Kroger Co. (The) | 153,332 | ||||||
78,037 | Tesco plc | 379,020 | ||||||
|
| |||||||
1,736,383 | ||||||||
|
| |||||||
| Food Products (1.3%): |
| ||||||
23,000 | Ajinomoto Co., Inc. | 360,486 | ||||||
3,084 | Archer-Daniels-Midland Co. | 136,035 | ||||||
55,745 | Cosan, Ltd., A Shares | 755,902 | ||||||
5,778 | Danone SA | 428,800 | ||||||
54,359 | Nestle SA, Registered Shares | 4,212,846 | ||||||
365 | Orion Corp. | 332,233 | ||||||
26,652 | SLC Agricola SA | 230,324 | ||||||
66,729 | Unilever NV | 2,918,623 | ||||||
16,532 | Unilever plc | 749,553 | ||||||
|
| |||||||
10,124,802 | ||||||||
|
| |||||||
| Gas Utilities (0.2%): |
| ||||||
4,995 | Gas Natural SDG SA^ | 158,067 | ||||||
30,726 | Snam Rete Gas SpA | 185,100 | ||||||
242,000 | Tokyo Gas Co., Ltd. | 1,415,874 | ||||||
|
| |||||||
1,759,041 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (0.4%): |
| ||||||
986 | Becton, Dickinson & Co. | 116,644 | ||||||
15,512 | Getinge AB, B Shares | 407,501 | ||||||
16,398 | Medtronic, Inc. | 1,045,536 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Equipment & Supplies, continued |
| ||||||
17,429 | Mindray Medical International, Ltd., ADR^ | $ | 549,014 | |||||
4,920 | Zimmer Holdings, Inc. | 510,991 | ||||||
|
| |||||||
2,629,686 | ||||||||
|
| |||||||
| Health Care Providers & Services (3.1%): |
| ||||||
14,930 | Aetna, Inc. | 1,210,524 | ||||||
34,158 | Al Noor Hospitals Group plc | 598,598 | ||||||
1,775 | AmerisourceBergen Corp. | 128,972 | ||||||
1,601,600 | Bangkok Dusit Medical Services Public Co., Ltd., Class F | 824,716 | ||||||
84,200 | Bumrungrad Hospital Public Co., Ltd. | 303,723 | ||||||
12,279 | Cardinal Health, Inc. | 841,848 | ||||||
14,308 | Catamaran Corp.* | 631,841 | ||||||
20,589 | Envision Healthcare Holdings, Inc.* | 739,351 | ||||||
22,486 | Express Scripts Holding Co.* | 1,558,954 | ||||||
7,027 | Fresenius SE & Co. KGaA | 1,047,868 | ||||||
31,056 | HCA Holdings, Inc.* | 1,750,938 | ||||||
13,745 | HealthSouth Corp. | 493,033 | ||||||
12,506 | Humana, Inc. | 1,597,266 | ||||||
703,000 | IHH Healthcare Berhad | 959,462 | ||||||
101,218 | Life Healthcare Group Holdings Pte, Ltd. | 395,361 | ||||||
14,270 | McKesson, Inc. | 2,657,218 | ||||||
57,901 | NMC Health plc | 496,049 | ||||||
282,799 | PT Siloam International Hospital Tbk* | 344,987 | ||||||
98,000 | Raffles Medical Group, Ltd. | 320,023 | ||||||
9,500 | Ship Healthcare Holdings, Inc. | 332,834 | ||||||
193,197 | Sinopharm Group Co., H Shares | 534,928 | ||||||
7,753 | Team Health Holdings, Inc.* | 387,185 | ||||||
11,876 | Tenet Healthcare Corp.* | 557,459 | ||||||
28,932 | UnitedHealth Group, Inc. | 2,365,192 | ||||||
12,478 | Universal Health Services, Inc., Class B | 1,194,893 | ||||||
7,528 | WellCare Health Plans, Inc.* | 562,040 | ||||||
1,359 | WellPoint, Inc. | 146,242 | ||||||
|
| |||||||
22,981,505 | ||||||||
|
| |||||||
| Health Care Technology (0.0%): |
| ||||||
7,897 | Castlight Health, Inc., Class B*^ | 120,034 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.3%): |
| ||||||
12,935 | Hilton Worldwide Holdings, Inc.* | 301,386 | ||||||
17,994 | McDonald’s Corp. | 1,812,715 | ||||||
1,817 | Wyndham Worldwide Corp. | 137,583 | ||||||
|
| |||||||
2,251,684 | ||||||||
|
| |||||||
| Household Durables (0.4%): |
| ||||||
2,800 | Alpine Electronics, Inc. | 39,557 | ||||||
62,916 | Barratt Developments plc | 401,637 | ||||||
52,642 | Cyrela Brazil Realty SA Empreendimentos e Participacoes | 330,770 | ||||||
90,144 | MRV Engenharia e Participacoes SA | 301,976 | ||||||
7,300 | Rinnai Corp. | 706,004 | ||||||
32,000 | Sony Corp. | 534,581 | ||||||
|
| |||||||
2,314,525 | ||||||||
|
|
Continued
4
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Household Products (1.1%): |
| ||||||
5,238 | Church & Dwight Co., Inc. | $ | 366,398 | |||||
14,326 | Colgate-Palmolive Co. | 976,747 | ||||||
645 | Energizer Holdings, Inc. | 78,709 | ||||||
1,059 | Kimberly-Clark Corp. | 117,782 | ||||||
495 | LG Household & Health Care, Ltd. | 222,836 | ||||||
78,406 | Procter & Gamble Co. (The) | 6,161,928 | ||||||
7,800 | Unicharm Corp. | 465,464 | ||||||
|
| |||||||
8,389,864 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.3%): |
| ||||||
53,922 | AES Corp. (The) | 838,487 | ||||||
51,029 | Calpine Corp.* | 1,215,001 | ||||||
3,200 | NextEra Energy Partners LP* | 107,232 | ||||||
5,735 | NRG Energy, Inc. | 213,342 | ||||||
|
| |||||||
2,374,062 | ||||||||
|
| |||||||
| Industrial Conglomerates (1.9%): |
| ||||||
10,040 | 3M Co. | 1,438,130 | ||||||
163,719 | Beijing Enterprises Holdings, Ltd. | 1,550,194 | ||||||
7,640 | Danaher Corp. | 601,497 | ||||||
148,263 | General Electric Co. | 3,896,351 | ||||||
143,000 | Keppel Corp., Ltd. | 1,238,126 | ||||||
35,813 | Siemens AG, Registered Shares | 4,729,662 | ||||||
|
| |||||||
13,453,960 | ||||||||
|
| |||||||
| Insurance (2.2%): |
| ||||||
8,123 | ACE, Ltd. | 842,355 | ||||||
74,600 | AIA Group, Ltd. | 375,413 | ||||||
9,050 | Allstate Corp. (The) | 531,416 | ||||||
26,251 | American International Group, Inc. | 1,432,779 | ||||||
43,092 | AXA SA | 1,028,311 | ||||||
2,308 | Axis Capital Holdings, Ltd. | 102,198 | ||||||
1,093 | Chubb Corp. (The) | 100,742 | ||||||
3,039 | CNA Financial Corp. | 122,836 | ||||||
98,728 | Legal & General Group plc | 380,807 | ||||||
3,972 | Lincoln National Corp. | 204,320 | ||||||
15,759 | Marsh & McLennan Cos., Inc. | 816,631 | ||||||
14,847 | MetLife, Inc. | 824,899 | ||||||
45,700 | MS&AD Insurance Group Holdings, Inc. | 1,106,653 | ||||||
29,900 | NKSJ Holdings, Inc. | 807,213 | ||||||
6,067 | Prudential Financial, Inc. | 538,568 | ||||||
47,168 | Prudential plc | 1,081,842 | ||||||
1,659 | Reinsurance Group of America, Inc. | 130,895 | ||||||
40,900 | Sony Financial Holdings, Inc. | 699,018 | ||||||
114,100 | Tokio Marine Holdings, Inc. | 3,760,116 | ||||||
1,579 | Torchmark Corp. | 129,352 | ||||||
6,980 | Travelers Cos., Inc. (The) | 656,609 | ||||||
30,226 | XL Group plc, Class B | 989,297 | ||||||
|
| |||||||
16,662,270 | ||||||||
|
| |||||||
| Internet Software & Services (2.1%): |
| ||||||
29,600 | DeNA Co., Ltd.^ | 401,123 | ||||||
55,701 | eBay, Inc.* | 2,788,392 | ||||||
5,859 | Google, Inc., Class C* | 3,370,566 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Internet Software & Services, continued |
| ||||||
5,383 | Google, Inc., Class A* | $ | 3,147,279 | |||||
27,500 | Gree, Inc.^ | 241,540 | ||||||
27,064 | SINA Corp.* | 1,346,975 | ||||||
63,484 | Twitter, Inc.* | 2,600,939 | ||||||
39,416 | Twitter, Inc.*(a)(b) | 1,534,130 | ||||||
|
| |||||||
15,430,944 | ||||||||
|
| |||||||
| IT Services (1.7%): |
| ||||||
1,384 | Accenture plc, Class A | 111,883 | ||||||
850 | Alliance Data Systems Corp.* | 239,063 | ||||||
2,938 | Amdocs, Ltd. | 136,118 | ||||||
24,254 | Atos Origin SA | 2,021,711 | ||||||
4,782 | Cielo SA | 98,606 | ||||||
2,747 | Computer Sciences Corp. | 173,610 | ||||||
2,873 | Fidelity National Information Services, Inc. | 157,268 | ||||||
54,054 | MasterCard, Inc., Class A | 3,971,347 | ||||||
25,663 | Visa, Inc., Class A | 5,407,451 | ||||||
46,065 | Worldline SA* | 1,047,003 | ||||||
|
| |||||||
13,364,060 | ||||||||
|
| |||||||
| Leisure Products (0.2%): |
| ||||||
17,168 | Mattel, Inc. | 669,037 | ||||||
5,300 | Namco Bandai Holdings, Inc. | 124,365 | ||||||
7,400 | Nikon Corp. | 116,690 | ||||||
21,400 | Sega Sammy Holdings, Inc. | 421,877 | ||||||
7,300 | Yamaha Corp. | 115,322 | ||||||
|
| |||||||
1,447,291 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.7%): |
| ||||||
23,582 | Agilent Technologies, Inc. | 1,354,550 | ||||||
2,025 | Mettler-Toledo International, Inc.* | 512,690 | ||||||
13,366 | PerkinElmer, Inc. | 626,063 | ||||||
14,610 | Thermo Fisher Scientific, Inc. | 1,723,980 | ||||||
7,314 | Waters Corp.* | 763,874 | ||||||
|
| |||||||
4,981,157 | ||||||||
|
| |||||||
| Machinery (1.2%): |
| ||||||
500 | Andritz AG | 28,861 | ||||||
131,313 | CNH Industrial NV | 1,347,008 | ||||||
4,016 | CNH Industrial NV | 41,039 | ||||||
19,645 | Colfax Corp.* | 1,464,338 | ||||||
72,851 | Cummins India, Ltd. | 784,644 | ||||||
4,001 | Cummins, Inc. | 617,314 | ||||||
1,290 | Dover Corp. | 117,326 | ||||||
2,800 | Fanuc, Ltd. | 483,935 | ||||||
158,090 | Haitian International Holdings, Ltd. | 369,368 | ||||||
86,000 | IHI Corp. | 401,517 | ||||||
28,000 | Kubota Corp. | 397,867 | ||||||
75,000 | Mitsubishi Heavy Industries, Ltd. | 468,879 | ||||||
5,400 | Nabtesco Corp. | 119,618 | ||||||
11,011 | PACCAR, Inc. | 691,821 | ||||||
1,018 | Parker Hannifin Corp. | 127,993 | ||||||
12,332 | Samsung Heavy Industries Co., Ltd. | 327,633 | ||||||
1,000 | SMC Corp. | 268,198 | ||||||
13,795 | Stanley Black & Decker, Inc. | 1,211,477 | ||||||
|
| |||||||
9,268,836 | ||||||||
|
|
Continued
5
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Media (1.4%): |
| ||||||
8,144 | Charter Communications, Inc., Class A* | $ | 1,289,847 | |||||
77,450 | Comcast Corp., Class A | 4,157,516 | ||||||
9,292 | DISH Network Corp., Class A* | 604,723 | ||||||
60,869 | Grupo Televisa SAB | 417,605 | ||||||
21,823 | Liberty Media Corp.* | 2,982,768 | ||||||
20,700 | Manchester United plc, Class A*^ | 361,215 | ||||||
3,582 | RTL Group | 398,180 | ||||||
974 | Time Warner Cable, Inc. | 143,470 | ||||||
2,100 | TV Asahi Holdings Corp. | 38,445 | ||||||
1,429 | Viacom, Inc., Class B | 123,937 | ||||||
54,301 | Zon Multimedia Servicos de Telecommunicacoes e Multimedia SGPS SA | 356,496 | ||||||
|
| |||||||
10,874,202 | ||||||||
|
| |||||||
| Metals & Mining (3.0%): |
| ||||||
138,884 | Antofagasta plc | 1,821,545 | ||||||
62,912 | BHP Billiton plc | 2,048,114 | ||||||
24,199 | Constellium NV* | 775,820 | ||||||
104,865 | Eldorado Gold Corp. | 802,042 | ||||||
114,566 | First Quantum Minerals, Ltd. | 2,450,461 | ||||||
118,133 | Freeport-McMoRan Copper & Gold, Inc. | 4,311,854 | ||||||
80,001 | Goldcorp, Inc. | 2,232,828 | ||||||
8,000 | Jiangxi Copper Co., Ltd. | 12,664 | ||||||
303,956 | Platinum Group Metals, Ltd.* | 361,818 | ||||||
35,439 | Polyus Gold International, Ltd.* | 113,776 | ||||||
64,196 | Rio Tinto plc | 3,463,496 | ||||||
25,737 | Silver Wheaton Corp.^ | 676,111 | ||||||
52,062 | Southern Copper Corp. | 1,581,123 | ||||||
24,905 | Teck Resources, Ltd., Class B^ | 568,581 | ||||||
|
| |||||||
21,220,233 | ||||||||
|
| |||||||
| Multiline Retail (0.1%): |
| ||||||
1,994 | Macy’s, Inc. | 115,692 | ||||||
5,300 | Ryohin Keikaku Co., Ltd. | 602,090 | ||||||
|
| |||||||
717,782 | ||||||||
|
| |||||||
| Multi-Utilities (0.7%): |
| ||||||
22,376 | CenterPoint Energy, Inc. | 571,483 | ||||||
20,901 | Dominion Resources, Inc. | 1,494,840 | ||||||
3,191 | DTE Energy Co. | 248,483 | ||||||
29,700 | GDF Suez | 816,548 | ||||||
68,727 | National Grid plc | 987,268 | ||||||
7,515 | RWE AG | 322,716 | ||||||
11,044 | Sempra Energy | 1,156,417 | ||||||
|
| |||||||
5,597,755 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (5.4%): |
| ||||||
27,158 | Anadarko Petroleum Corp. | 2,972,987 | ||||||
108,570 | Athabasca Oil Corp.* | 779,498 | ||||||
51,862 | BG Group plc | 1,096,293 | ||||||
57,369 | Cameco Corp.^ | 1,125,006 | ||||||
28,717 | Canadian Natural Resources, Ltd. | 1,318,397 | ||||||
30,228 | Chevron Corp. | 3,946,266 | ||||||
12,780 | Cimarex Energy Co. | 1,833,419 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
1,168,000 | CNOOC, Ltd. | $ | 2,096,297 | |||||
41,560 | Cobalt International Energy, Inc.* | 762,626 | ||||||
17,616 | Diamondback Energy, Inc.* | 1,564,301 | ||||||
34,500 | Eclipse Resources Corp.* | 866,985 | ||||||
34,085 | EP Energy Corp., Class A* | 785,659 | ||||||
9,469 | EQT Corp. | 1,012,236 | ||||||
129,600 | INPEX Corp. | 1,974,020 | ||||||
37,919 | KazMunaiGas Exploration Production JSC, Registered Shares, GDR | 605,367 | ||||||
348,000 | Kunlun Energy Co., Ltd. | 574,169 | ||||||
74,117 | Lundin Petroleum AB* | 1,499,113 | ||||||
59,370 | Marathon Oil Corp. | 2,370,050 | ||||||
1,363 | Marathon Petroleum Corp. | 106,409 | ||||||
893 | Murphy Oil Corp. | 59,367 | ||||||
236,487 | Ophir Energy plc* | 891,470 | ||||||
116,157 | Palantir Technologies, Inc.*(a)(b) | 712,042 | ||||||
39,098 | Parsley Energy, Inc., Class A* | 941,089 | ||||||
62,648 | Petroleo Brasileiro SA, ADR | 916,541 | ||||||
36,729 | Phillips 66 | 2,954,113 | ||||||
31,612 | Royal Dutch Shell plc, ADR | 2,603,880 | ||||||
32,415 | Statoil ASA | 1,000,275 | ||||||
1,282 | Suncor Energy, Inc. | 54,652 | ||||||
10,460 | Total SA | 755,688 | ||||||
18,747 | Total SA, Sponsored ADR^ | 1,353,533 | ||||||
3,356 | Valero Energy Corp. | 168,136 | ||||||
|
| |||||||
39,699,884 | ||||||||
|
| |||||||
| Paper & Forest Products (0.0%): |
| ||||||
2,953 | International Paper Co. | 149,038 | ||||||
|
| |||||||
| Personal Products (0.2%): |
| ||||||
77,502 | Hypermarcas SA* | 670,819 | ||||||
2,335 | L’Oreal SA | 402,602 | ||||||
|
| |||||||
1,073,421 | ||||||||
|
| |||||||
| Pharmaceuticals (3.5%): |
| ||||||
55,552 | Abbvie, Inc. | 3,135,354 | ||||||
7,780 | Allergan, Inc. | 1,316,532 | ||||||
34,400 | Astellas Pharma, Inc. | 452,907 | ||||||
5,088 | AstraZeneca plc, ADR | 378,089 | ||||||
17,733 | AstraZeneca plc | 1,319,368 | ||||||
26,958 | Bristol-Myers Squibb Co. | 1,307,733 | ||||||
10,000 | Kyowa Hakko Kogyo Co., Ltd.^ | 135,567 | ||||||
6,239 | Mylan, Inc.* | 321,683 | ||||||
26,270 | Novartis AG, Registered Shares | 2,380,130 | ||||||
567 | Novartis AG, ADR | 51,331 | ||||||
23,500 | Otsuka Holdings Co., Ltd. | 729,453 | ||||||
4,464 | Perrigo Co. plc | 650,673 | ||||||
105,436 | Pfizer, Inc. | 3,129,340 | ||||||
17,206 | Roche Holding AG | 5,135,454 | ||||||
29,343 | Sanofi-Aventis SA | 3,120,796 | ||||||
8,875 | Sanofi-Aventis SA, ADR | 471,884 | ||||||
2,000 | Sawai Pharmaceutical Co., Ltd. | 118,050 |
Continued
6
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Pharmaceuticals, continued |
| ||||||
22,531 | Shire plc | $ | 1,766,457 | |||||
444,000 | Sino Biopharmaceutical, Ltd. | 360,051 | ||||||
|
| |||||||
26,280,852 | ||||||||
|
| |||||||
| Professional Services (0.1%): |
| ||||||
40,900 | Qualicorp SA* | 483,616 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.7%): |
| ||||||
9,452 | American Capital Agency Corp. | 221,271 | ||||||
9,768 | American Tower Corp. | 878,925 | ||||||
23,900 | Equity Residential Property Trust | 1,505,700 | ||||||
364,645 | Fibra UNO Amdinistracion SA | 1,278,692 | ||||||
145,465 | Link REIT (The) | 782,710 | ||||||
206,217 | TF Administradora Industrial S de RL de C.V. | 460,524 | ||||||
|
| |||||||
5,127,822 | ||||||||
|
| |||||||
| Real Estate Management & Development (1.1%): |
| ||||||
88,331 | BR Malls Participacoes SA | 751,753 | ||||||
633,000 | CapitaLand, Ltd. | 1,624,980 | ||||||
36,000 | Daikyo, Inc. | 84,733 | ||||||
5,300 | Daito Trust Construction Co., Ltd. | 623,835 | ||||||
174,000 | Global Logistic Properties, Ltd. | 376,885 | ||||||
67,467 | St. Joe Co. (The)*^ | 1,715,686 | ||||||
146,000 | Sun Hung Kai Properties, Ltd. | 2,002,997 | ||||||
180,000 | Wharf Holdings, Ltd. (The) | 1,296,811 | ||||||
|
| |||||||
8,477,680 | ||||||||
|
| |||||||
| Road & Rail (1.0%): |
| ||||||
26,141 | Canadian National Railway Co. | 1,699,688 | ||||||
12,363 | CSX Corp. | 380,904 | ||||||
25,200 | East Japan Railway Co. | 1,987,816 | ||||||
9,346 | J.B. Hunt Transport Services, Inc. | 689,548 | ||||||
24,000 | Nippon Express Co., Ltd. | 116,506 | ||||||
6,000 | Seino Holdings Co., Ltd. | 68,294 | ||||||
29,033 | Union Pacific Corp. | 2,896,042 | ||||||
|
| |||||||
7,838,798 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.7%): |
| ||||||
824 | KLA-Tencor Corp. | 59,855 | ||||||
17,200 | ROHM Co., Ltd. | 988,545 | ||||||
888 | Samsung Electronics Co., Ltd. | 1,161,204 | ||||||
1,830 | Samsung Electronics Co., Ltd., Preferred Shares | 1,918,617 | ||||||
|
| |||||||
4,128,221 | ||||||||
|
| |||||||
| Software (1.3%): |
| ||||||
17,204 | Activision Blizzard, Inc. | 383,649 | ||||||
2,183 | Adobe Systems, Inc.* | 157,962 | ||||||
1,967 | Check Point Software Technologies, Ltd.* | 131,848 | ||||||
43,375 | Electronic Arts, Inc.* | 1,555,861 | ||||||
38,400 | Gungho Online Enetertainment, Inc.^ | 248,538 | ||||||
1,668 | Intuit, Inc. | 134,324 | ||||||
3,164 | Microsoft Corp. | 131,939 | ||||||
15,900 | Nexon Co., Ltd. | 152,221 | ||||||
6,800 | Nintendo Co., Ltd. | 815,024 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software, continued |
| ||||||
55,862 | Oracle Corp. | $ | 2,264,087 | |||||
38,848 | TIBCO Software, Inc.* | 783,564 | ||||||
3,600 | Trend Micro, Inc. | 118,778 | ||||||
36,576 | UbiSoft Entertainment SA* | 672,644 | ||||||
52,191 | Veeva Systems, Inc., Class A*^ | 1,328,261 | ||||||
7,520 | VMware, Inc., Class A* | 728,011 | ||||||
|
| |||||||
9,606,711 | ||||||||
|
| |||||||
| Specialty Retail (0.2%): |
| ||||||
2,300 | Autobacs Seven Co., Ltd. | 38,636 | ||||||
10,300 | Nitori Co., Ltd. | 563,841 | ||||||
4,200 | Sanrio Co., Ltd.^ | 122,142 | ||||||
700 | Shimamura Co., Ltd. | 68,913 | ||||||
281,400 | Yamada Denki Co., Ltd.^ | 1,004,466 | ||||||
214,260 | Zhongsheng Group Holdings, Ltd. | 279,333 | ||||||
|
| |||||||
2,077,331 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.9%): |
| ||||||
60,872 | Apple, Inc. | 5,656,835 | ||||||
199,000 | NEC Corp. | 635,969 | ||||||
2,383 | Seagate Technology plc | 135,402 | ||||||
2,311 | Western Digital Corp. | 213,305 | ||||||
|
| |||||||
6,641,511 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.4%): |
| ||||||
48,485 | Coach, Inc. | 1,657,702 | ||||||
12,080 | Lululemon Athletica, Inc.*^ | 488,998 | ||||||
5,035 | LVMH Moet Hennessy Louis Vuitton SA | 969,828 | ||||||
|
| |||||||
3,116,528 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.1%): |
| ||||||
55,558 | Fannie Mae*^ | 217,232 | ||||||
16,260 | Ocwen Financial Corp.* | 603,246 | ||||||
|
| |||||||
820,478 | ||||||||
|
| |||||||
| Trading Companies & Distributors (1.0%): |
| ||||||
27,381 | Fastenal Co. | 1,355,086 | ||||||
72,100 | Mitsubishi Corp. | 1,502,202 | ||||||
241,600 | Mitsui & Co., Ltd. | 3,880,448 | ||||||
69,800 | Sumitomo Corp. | 944,049 | ||||||
|
| |||||||
7,681,785 | ||||||||
|
| |||||||
| Transportation Infrastructure (0.1%): |
| ||||||
615,711 | Delta Topco, Ltd.*(a)(b) | 407,108 | ||||||
4,000 | Kamigumi Co., Ltd. | 36,835 | ||||||
17,667 | Novorossiysk Commercial Sea Trade Port JSC, Registered Shares, GDR* | 88,302 | ||||||
|
| |||||||
532,245 | ||||||||
|
| |||||||
| Water Utilities (0.1%): |
| ||||||
13,607 | American Water Works Co., Inc. | 672,866 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.7%): |
| ||||||
16,430 | America Movil SAB de C.V., Series L, ADR | 340,923 | ||||||
379,500 | Axiata Group Berhad | 824,333 | ||||||
10,470 | Crown Castle International Corp. | 777,502 | ||||||
133,029 | Far EasTone Telecommunications Co., Ltd. | 303,093 |
Continued
7
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Wireless Telecommunication Services, continued |
| ||||||
24,600 | KDDI Corp. | $ | 1,503,978 | |||||
104,000 | Taiwan Mobile Co., Ltd. | 321,959 | ||||||
135,098 | Vodafone Group plc | 451,413 | ||||||
14,583 | Vodafone Group plc, ADR | 486,926 | ||||||
|
| |||||||
5,010,127 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $403,555,609) | 464,101,424 | ||||||
|
| |||||||
| Preferred Stocks (1.6%): |
| ||||||
| Auto Components (0.1%): |
| ||||||
12,219 | Mobileye N.V., Series F, Preferred Shares *(a)(b) | 483,628 | ||||||
|
| |||||||
| Automobiles (0.3%): |
| ||||||
8,633 | Volkswagen AG, Preferred Shares | 2,267,372 | ||||||
|
| |||||||
| Banks (0.7%): |
| ||||||
25,482 | Citigroup Capital XIII, Preferred Shares | 705,851 | ||||||
31,000 | GMAC Capital Trust I, Series 2, Preferred Shares | 846,299 | ||||||
15,033 | HSBC Holdings plc, Series 2, Preferred Shares | 406,944 | ||||||
76,512 | Itau Unibanco Holding SA, Preferred Shares | 1,101,786 | ||||||
20,628 | RBS Capital Funding Trust VII, Series G, Preferred Shares | 497,135 | ||||||
9,710 | Royal Bank of Scotland Group plc, Series Q, Preferred Shares, ADR | 241,876 | ||||||
12,375 | Royal Bank of Scotland Group plc, Series M, Preferred Shares, ADR | 297,990 | ||||||
13,969 | Royal Bank of Scotland Group plc, Series T, Preferred Shares, ADR | 352,717 | ||||||
7,409 | U.S. Bancorp, Series G, Preferred Shares | 203,081 | ||||||
13,409 | U.S. Bancorp, Series F, Preferred Shares^ | 378,938 | ||||||
511,000 | USB Capital IX, Preferred Shares | 435,628 | ||||||
|
| |||||||
5,468,245 | ||||||||
|
| |||||||
| Communications Equipment (0.1%): |
| ||||||
6,670 | Corwn Castle International Corp., Series A, Preferred Shares | 678,673 | ||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
44,451 | Fannie Mae, Series S, Preferred Shares | 460,068 | ||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
13,631 | Companhia Brasileira de Destribuicao Grupo Pao de Acucar, Preferred Shares | 635,579 | ||||||
|
| |||||||
| Machinery (0.0%): |
| ||||||
2,023 | Stanley Black & Decker, Inc., Preferred Shares^ | 230,683 | ||||||
|
| |||||||
| Multi-Utilities (0.1%): |
| ||||||
7,500 | Dominion Resources, Inc., Preferred Shares | 394,688 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
2,826 | American Tower Corp., Series A, Preferred Shares | 300,686 | ||||||
10,270 | Health Care REIT, Inc., Series I | 596,623 | ||||||
|
| |||||||
897,309 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
14,600 | Forestar Group, Inc., Preferred Shares | 367,409 | ||||||
|
| |||||||
| Total Preferred Stocks (Cost $10,739,847) | 11,883,654 | ||||||
|
|
Shares | Fair Value | |||||||
| Warrants (0.0%): |
| ||||||
| Paper & Forest Products (0.0%): |
| ||||||
157,250 | TFS Corp., Ltd.*(c) | $ | 113,564 | |||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
11,666 | Sun Hung Kai Properties, Ltd.* | 15,233 | ||||||
|
| |||||||
| Total Warrants (Cost $—) | 128,797 | ||||||
|
| |||||||
| Convertible Preferred Stocks (0.2%): |
| ||||||
| Aerospace & Defense (0.0%): |
| ||||||
5,137 | United Technologies Corp., 0.46% | 334,881 | ||||||
|
| |||||||
| Airlines (0.0%): |
| ||||||
650 | Continental Airlines Finance Trust II, 3.04% | 32,033 | ||||||
|
| |||||||
| Banks (0.0%): |
| ||||||
247 | Wells Fargo & Co., Series L, Class A, 0.02% | 299,642 | ||||||
|
| |||||||
| Electric Utilities (0.2%): |
| ||||||
10,884 | NextEra Energy, Inc., 0.34% | 722,209 | ||||||
|
| |||||||
| Metals & Mining (0.0%): |
| ||||||
14,524 | Cliffs Natural Resources, Inc., Series A, 1.95% | 208,129 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Cost $1,509,353) | 1,596,894 | ||||||
|
| |||||||
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds (2.3%): |
| ||||||
| Automobiles (0.2%): |
| ||||||
$ | 800,000 | Volkswagen International Finance NV, 5.50%, 11/9/15(c) | 1,283,516 | |||||
|
| |||||||
| Banks (0.1%): |
| ||||||
713,000 | JPMorgan Chase & Co., Series Q, 5.15%, 12/31/49, Callable 5/1/23 @ 100, Perpetual Bond(d) | 683,589 | ||||||
|
| |||||||
| Biotechnology (0.4%): |
| ||||||
143,000 | BioMarin Pharmaceutical, Inc., 0.75%, 10/15/18 | 147,916 | ||||||
135,000 | BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20 | 142,172 | ||||||
229,000 | Cubist Pharmaceuticals, Inc., 2.50%, 11/1/17 | 561,336 | ||||||
659,000 | Gilead Sciences, Inc., Series D, 1.63%, 5/1/16 | 2,402,055 | ||||||
|
| |||||||
3,253,479 | ||||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
20,000,000 | Zeus (Cayman) II, Ltd., Registered Shares, -23.28%, 8/18/16(a) | 347,596 | ||||||
|
| |||||||
| Electrical Equipment (0.0%): |
| ||||||
143,000 | Suzlon Energy, Ltd., 0.00%, 7/25/14 | 143,000 | ||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
500,000 | Olam International, Ltd., 6.00%, 10/15/16(c) | 553,125 | ||||||
|
| |||||||
| Food Products (0.0%): |
| ||||||
400,000 | REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14(a) | 100,000 | ||||||
|
|
Continued
8
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds, continued |
| ||||||
| Health Care Providers & Services (0.1%): |
| ||||||
$ | 80,000 | Brookdale Senior Living, Inc., 2.75%, 6/15/18 | $ | 108,950 | ||||
463,000 | WellPoint, Inc., 2.75%, 10/15/42 | 709,258 | ||||||
|
| |||||||
818,208 | ||||||||
|
| |||||||
| Internet Software & Services (0.0%): |
| ||||||
355,000 | SINA Corp., 1.00%, 12/1/18, Callable 12/1/16 @ 100(c) | 324,825 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.3%): |
| ||||||
836,000 | Cobalt International Energy, Inc., 2.63%, 12/1/19 | 771,210 | ||||||
1,081,000 | Cobalt International Energy, Inc., 3.13%, 5/15/24 | 1,162,751 | ||||||
70,000 | Dana Gas Sukuk, Ltd., 7.00%, 10/31/17 | 68,600 | ||||||
300,000 | Essar Energy plc, 4.25%, 2/1/16(c) | 298,500 | ||||||
|
| |||||||
2,301,061 | ||||||||
|
| |||||||
| Pharmaceuticals (0.2%): |
| ||||||
452,000 | Mylan, Inc., 3.75%, 9/15/15 | 1,752,348 | ||||||
|
| |||||||
| Real Estate Management & Development (0.4%): |
| ||||||
750,000 | CapitaLand, Ltd., 2.10%, 11/15/16, Callable 10/17/18 @ 100(c) | 599,615 | ||||||
1,500,000 | CapitaLand, Ltd., Series CAPL, 2.95%, 6/20/22, Callable 6/20/17 @ 100(c) | 1,206,497 | ||||||
500,000 | CapitaLand, Ltd., 1.95%, 10/17/23, Callable 10/17/18 @ 100(c) | 408,792 | ||||||
250,000 | CapitaLand, Ltd., 1.95%, 10/17/23, Callable 10/17/18 @ 100(c) | 204,396 | ||||||
391,000 | Forest City Enterprises, Inc., 4.25%, 8/15/18 | 441,830 | ||||||
|
| |||||||
2,861,130 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.1%): |
| ||||||
246,000 | Intel Corp., 3.25%, 8/1/39 | 379,455 | ||||||
|
| |||||||
| Software (0.2%): |
| ||||||
727,000 | Salesforce.com, Inc., 0.25%, 4/1/18^ | 834,687 | ||||||
368,000 | Take-Two Interactive Software, Inc., 1.75%, 12/1/16 | 481,620 | ||||||
|
| |||||||
1,316,307 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
500,000 | Telecom Italia Finance SA, 6.13%, 11/15/16(c) | 849,250 | ||||||
|
| |||||||
| Total Convertible Bonds (Cost $14,506,827) | 16,966,889 | ||||||
|
| |||||||
| Floating Rate Loans (1.1%): |
| ||||||
| Biotechnology (0.1%): |
| ||||||
972,676 | Grifols Worldwide Operations, Ltd., 3.15%, 3/3/21(d) | 971,023 | ||||||
|
| |||||||
| Energy Equipment & Services (0.3%): |
| ||||||
378,964 | Drillships Financing Holdings, Inc., 6.00%, 3/31/21(d) | 384,888 | ||||||
405,533 | Fieldwood Energy LLC, 9.38%, 9/20/20(d) | 417,902 | ||||||
1,211,438 | Seadrill, Ltd., 0.00%, 2/21/21(b)(d) | 1,193,266 | ||||||
|
| |||||||
1,996,056 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Floating Rate Loans, continued |
| ||||||
| Hotels, Restaurants & Leisure (0.3%): |
| ||||||
$ | 304,147 | Autobahn Tank & Rast Holding GmbH, 3.60%, 12/4/18(d) | $ | 415,803 | ||||
122,640 | Autobahn Tank & Rast Holding GmbH, 4.63%, 12/4/19(d) | 168,176 | ||||||
1,573,428 | Hilton Worldwide Finance LLC, 3.50%, 9/23/20(d) | 1,570,155 | ||||||
345,292 | Hilton Worldwide Finance LLC, 3.50%, 10/25/20(d) | 344,574 | ||||||
|
| |||||||
2,498,708 | ||||||||
|
| |||||||
| Insurance (0.1%): |
| ||||||
571,000 | Delta Debtco, Ltd., 9.25%, 10/30/19(a)(d) | 594,554 | ||||||
|
| |||||||
| Media (0.1%): |
| ||||||
392,052 | Univision Communications, Inc., 4.00%, 3/1/20(d) | 391,519 | ||||||
|
| |||||||
| Metals & Mining (0.0%): |
| ||||||
105,324 | Essar Steel Algoma, Inc., 9.25%, 9/18/14(d) | 105,377 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.2%): |
| ||||||
232,885 | Quintero SA, 1.25%, 6/20/23(d) | 217,980 | ||||||
105,393 | Sheridan Production Partners, 4.25%, 12/2/20(d) | 105,393 | ||||||
757,468 | Sheridan Production Partners, 4.25%, 12/2/20(d) | 757,467 | ||||||
39,317 | Sheridan Production Partners, 4.25%, 12/2/20(d) | 39,317 | ||||||
|
| |||||||
1,120,157 | ||||||||
|
| |||||||
| Pharmaceuticals (0.0%): |
| ||||||
189,625 | Mallinckrodt International Finance SA, 3.50%, 2/24/21(d) | 189,625 | ||||||
|
| |||||||
| Total Floating Rate Loans (Cost $7,769,660) | 7,867,019 | ||||||
|
| |||||||
| Corporate Bonds (2.0%): |
| ||||||
| Banks (0.2%): |
| ||||||
385,000 | Bank of America Corp., 2.60%, 1/15/19 | 389,529 | ||||||
430,000 | CIT Group, Inc., 4.75%, 2/15/15(c) | 438,600 | ||||||
176,000 | Deutsche Bank NY, 5.63%, Callable 1/19/16 @ 100(c)(d) | 182,820 | ||||||
310,000 | HSBC USA, Inc., 1.63%, 1/16/18 | 310,694 | ||||||
290,000 | JPMorgan Chase & Co., 6.13%, 6/27/17 | 326,573 | ||||||
|
| |||||||
1,648,216 | ||||||||
|
| |||||||
| Beverages (0.0%): |
| ||||||
258,000 | Anheuser-Busch InBev NV Worldwide, Inc., 1.38%, 7/15/17 | 258,868 | ||||||
|
| |||||||
| Capital Markets (0.4%): |
| ||||||
272,000 | General Electric Capital Corp., Series A, 5.55%, 5/4/20, MTN | 316,539 | ||||||
420,000 | General Electric Capital Corp., 6.38%, 11/15/67, Callable 11/15/17 @ 100(d) | 468,300 | ||||||
657,000 | Goldman Sachs Group, Inc., Series L, 5.70%, Callable 5/10/19 @ 100(d) | 683,280 | ||||||
361,000 | Merrill Lynch & Co., 6.88%, 4/25/18, MTN | 425,305 |
Continued
9
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Capital Markets, continued |
| ||||||
$ | 489,000 | Morgan Stanley, Series H, 5.45%, Callable 7/15/19 @ 100(d) | $ | 497,919 | ||||
168,000 | Morgan Stanley, Series G, 7.30%, 5/13/19 | 205,422 | ||||||
|
| |||||||
2,596,765 | ||||||||
|
| |||||||
| Communications Equipment (0.0%): |
| ||||||
110,000 | Hughes Satellite Systems Corp., 7.63%, 6/15/21 | 125,950 | ||||||
|
| |||||||
| Construction Materials (0.1%): |
| ||||||
135,000 | Building Materials Corp., 6.88%, 8/15/18, Callable 8/15/14 @ 103(c) | 139,995 | ||||||
224,000 | Texas Industries, Inc., 9.25%, 8/15/20, Callable 8/15/15 @ 105 | 253,680 | ||||||
|
| |||||||
393,675 | ||||||||
|
| |||||||
| Consumer Finance (0.2%): |
| ||||||
578,000 | Ally Financial, Inc., 2.75%, 1/30/17 | 584,502 | ||||||
431,000 | Ally Financial, Inc., 3.50%, 1/27/19 | 435,181 | ||||||
858,000 | Ford Motor Credit Co. LLC, 1.72%, 12/6/17 | 858,349 | ||||||
|
| |||||||
1,878,032 | ||||||||
|
| |||||||
| Diversified Consumer Services (0.1%): |
| ||||||
408,000 | Ford Motor Credit Co. LLC, 2.38%, 1/16/18 | 416,776 | ||||||
395,000 | Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 439,418 | ||||||
|
| |||||||
856,194 | ||||||||
|
| |||||||
| Diversified Financial Services (0.3%): |
| ||||||
518,000 | Bank of America Corp., 2.00%, 1/11/18, MTN | 521,343 | ||||||
277,000 | Bank of America Corp., 1.30%, 3/22/18, MTN(d) | 280,566 | ||||||
273,000 | Citigroup, Inc., Series A, 5.95%, 12/29/49, Callable 1/30/23 @ 100(d) | 275,730 | ||||||
500,000 | General Electric Capital Corp., Series B, 6.25%, Callable 12/15/22 @ 100(d) | 556,250 | ||||||
222,000 | Hyundai Capital America, Inc., 2.13%, 10/2/17(c) | 225,378 | ||||||
|
| |||||||
1,859,267 | ||||||||
|
| |||||||
| IT Services (0.0%): |
| ||||||
130,000 | SunGard Data Systems, Inc., 7.38%, 11/15/18, Callable 8/11/14 @ 105 | 137,313 | ||||||
|
| |||||||
| Media (0.1%): |
| ||||||
235,000 | Cablevision Systems Corp., 5.88%, 9/15/22 | 239,406 | ||||||
200,000 | NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(c) | 209,000 | ||||||
|
| |||||||
448,406 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.1%): |
| ||||||
111,000 | Chesapeake Energy Corp., 3.47%, 4/15/19, Callable 4/15/15 @ 101(d) | 112,249 | ||||||
325,000 | Reliance Holdings USA, Inc., 4.50%, 10/19/20(c) | 339,291 | ||||||
250,000 | Reliance Holdings USA, Inc., 5.40%, 2/14/22(c) | 269,940 | ||||||
270,000 | Sabine Pass Liquefaction LLC, 5.63%, 4/15/23 | 281,475 | ||||||
|
| |||||||
1,002,955 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Pharmaceuticals (0.2%): |
| ||||||
$ | 475,000 | Forest Laboratories, Inc., 4.38%, 2/1/19(c) | $ | 512,435 | ||||
331,000 | Forest Laboratories, Inc., 5.00%, 12/15/21, Callable 9/16/21 @ 100(c) | 362,730 | ||||||
436,000 | Mylan, Inc., 2.55%, 3/28/19 | 439,195 | ||||||
|
| |||||||
1,314,360 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.0%): |
| ||||||
162,000 | American Tower Corp., 3.40%, 2/15/19 | 169,477 | ||||||
|
| |||||||
| Specialty Retail (0.1%): |
| ||||||
553,000 | Best Buy Co., Inc., 5.00%, 8/1/18 | 579,959 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.0%): |
| ||||||
213,000 | Xerox Corp., 6.35%, 5/15/18 | 247,505 | ||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.0%): |
| ||||||
365,000 | Capital One Bank USA NA, Series BNKT, 2.15%, 11/21/18, Callable 10/21/18 @ 100 | 367,629 | ||||||
|
| |||||||
| Transportation Infrastructure (0.1%): |
| ||||||
516,343 | Delta Topco, Ltd., 10.00%, 11/24/60(a)(b) | 517,424 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
960,000 | AT&T, Inc., 2.38%, 11/27/18 | 976,098 | ||||||
|
| |||||||
| Total Corporate Bonds (Cost $15,061,214) | 15,378,093 | ||||||
|
| |||||||
| Foreign Bonds (9.7%): |
| ||||||
| Banks (0.2%): |
| ||||||
610,000 | Lloyds TSB Bank plc, Series E, 13.00%, 1/29/49, Callable 1/21/29 @ 100+(d) | 1,748,404 | ||||||
|
| |||||||
| Media (0.1%): |
| ||||||
320,000 | Nara Cable Funding, Ltd., 8.88%, 12/1/18, Callable 12/1/18 @ 109+(c) | 467,730 | ||||||
|
| |||||||
| Pharmaceuticals (0.0%): |
| ||||||
100,000 | Capsugel FinanceCo SCA, 9.88%, 8/1/19, Callable 8/1/14 @ 107+(c) | 147,546 | ||||||
|
| |||||||
| Sovereign Bonds (9.4%): |
| ||||||
3,779,000 | Australian Government, Series 133, 5.50%, 4/21/23+ | 4,110,486 | ||||||
1,292,000 | Australian Government, Series 137, 2.75%, 4/21/24+ | 1,137,862 | ||||||
24,557,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.39%, 1/1/21+(e) | 10,157,761 | ||||||
6,703,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.31%, 1/1/23+(e) | 2,715,625 | ||||||
187,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/24+(e) | 211,010 | ||||||
4,278,946 | Bundesrepublik Deutschland, Series 2007, 4.25%, 7/4/17+ | 6,593,157 | ||||||
638,000 | Canadian Government, 4.00%, 6/1/16+ | 630,752 | ||||||
1,114,000 | Canadian Government, 1.50%, 3/1/17+ | 1,053,367 | ||||||
807,000 | Canadian Government, 3.50%, 6/1/20+ | 833,156 | ||||||
10,162,000 | Government of Poland, 5.75%, 10/25/21+ | 3,878,825 | ||||||
8,444,000,000 | Indonesia Government, Series FR69, 7.88%, 4/15/19+ | 715,370 | ||||||
340,000,000 | Japan Treasury Discount Bill, Series 442, 0.03%, 7/7/14+(f) | 3,356,678 |
Continued
10
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 220,000,000 | Japan Treasury Discount Bill, Series 449, 0.04%, 8/4/14+(f) | $ | 2,171,895 | ||||
69,557,600 | Mexican Bonos Desarr, Series M 20, 10.00%, 12/5/24+(d)(g) | 7,159,725 | ||||||
100,870,000 | Mexican Cetes, Series BI, 0.00%, 7/10/14+(g) | 776,952 | ||||||
69,579,100 | Mexican Cetes, Series BI, 0.00%, 7/24/14+(g) | 535,338 | ||||||
107,104,500 | Mexican Cetes, Series BI, 0.00%, 8/7/14+(g) | 823,115 | ||||||
121,064,500 | Mexican Cetes, Series BI, 0.00%, 8/21/14+(g) | 929,355 | ||||||
108,675,200 | Mexican Cetes, Series BI, 0.00%, 9/4/14+(g) | 833,310 | ||||||
116,160,000 | Mexican Cetes, Series B, 0.00%, 9/18/14+(g) | 889,709 | ||||||
293,560,000 | Mexican Cetes, Series BI, 0.00%, 10/16/14+(g) | 2,243,338 | ||||||
112,690,000 | Mexican Cetes, Series BI, 0.00%, 11/13/14+(g) | 859,048 | ||||||
275,404,000 | Mexican Cetes, Series BI, 0.00%, 12/11/14+(g) | 2,094,084 | ||||||
3,800,000 | Nota do Tesouro Nacional, Series NTNF, 1.27%, 1/1/25+(e) | 1,505,309 | ||||||
8,064,000 | Poland Government Bond, Series 1020, 5.25%, 10/25/20+ | 2,969,647 | ||||||
1,326,000 | Queensland Treasury Corp., Series 21, 6.00%, 6/14/21+ | 1,445,520 | ||||||
5,864,618 | United Kingdom Treasury, 2.25%, 9/7/23+ | 9,692,842 | ||||||
|
| |||||||
70,323,236 | ||||||||
|
| |||||||
| Total Foreign Bonds (Cost $70,879,429) | 72,686,916 | ||||||
|
| |||||||
| Yankee Dollars (2.6%): |
| ||||||
| Banks (0.5%): |
| ||||||
275,000 | Banco Estado Chile, 2.03%, 4/2/15 | 278,048 | ||||||
450,000 | Banco Santander Chile SA, 2.11%, 6/7/18(c)(d) | 459,000 | ||||||
1,107,000 | BNP Paribas SA, 2.40%, 12/12/18 | 1,114,433 | ||||||
253,000 | Export-Import Bank of Korea, 2.88%, 9/17/18 | 260,473 | ||||||
296,000 | Intesa Sanpaolo SpA, 3.13%, 1/15/16 | 304,260 | ||||||
221,000 | Intesa Sanpaolo SpA, 3.88%, 1/16/18 | 232,920 | ||||||
400,000 | Intesa Sanpaolo SpA, 3.88%, 1/15/19 | 419,489 | ||||||
200,000 | Lloyds Bank plc, 2.30%, 11/27/18^ | 203,063 | ||||||
250,000 | Rabobank Nederland, 3.95%, 11/9/22 | 254,157 | ||||||
553,000 | State Bank India/London, 3.62%, 4/17/19(c) | 555,853 | ||||||
460,000 | Sumitomo Mitsui Banking Corp., 2.45%, 1/10/19 | 470,404 | ||||||
200,000 | UBS AG Stamford CT, Series BKNT, 5.88%, 12/20/17 | 228,432 | ||||||
|
| |||||||
4,780,532 | ||||||||
|
| |||||||
| Capital Markets (0.2%): |
| ||||||
813,310 | Dana Gas Sukuk, Ltd., 9.00%, 10/31/17, Callable 10/13/17 @ 105(c) | 776,711 | ||||||
1,098,330 | Dana Gas Sukuk, Ltd., 7.00%, 10/31/17(c) | 1,076,363 | ||||||
|
| |||||||
1,853,074 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Diversified Financial Services (0.2%): |
| ||||||
$ | 400,000 | CSG Guernsey I, Ltd., Registered Shares, 7.87%, 2/24/41, Callable 8/24/16 @ 100(c)(d) | $ | 432,000 | ||||
400,000 | Odebrecht Finance, Ltd., 4.38%, 4/25/25(c) | 395,000 | ||||||
|
| |||||||
827,000 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.1%): |
| ||||||
572,000 | Telecom Italia SpA, 5.30%, 5/30/24(c) | 574,145 | ||||||
|
| |||||||
| Electric Utilities (0.0%): |
| ||||||
85,000 | Empresa Distribuidora Norte SA, 9.75%, 10/25/22, Callable 10/25/18 @ 105(c) | 65,450 | ||||||
|
| |||||||
| Government (0.0%): |
| ||||||
178,000 | Provincia de Buenos Aires, 10.88%, 1/26/21(c) | 169,990 | ||||||
|
| |||||||
| Industrial Conglomerates (0.1%): |
| ||||||
400,000 | Hutchison Whampoa International 11, Ltd., 3.50%, 1/13/17(c) | 420,580 | ||||||
|
| |||||||
| Media (0.0%): |
| ||||||
200,000 | Nara Cable Funding, Ltd., 8.88%, 12/1/18, Callable 8/11/14 @ 109(c) | 213,500 | ||||||
200,000 | Unitymedia Hessen, 5.50%, 1/15/23, Callable 1/15/18 @ 103(c) | 207,000 | ||||||
|
| |||||||
420,500 | ||||||||
|
| |||||||
| Metals & Mining (0.0%): |
| ||||||
229,000 | FMG Resources August 2006, 6.00%, 4/1/17, Callable 4/1/15 @ 103(c) | 236,442 | ||||||
184,000 | FMG Resources August 2006, 6.88%, 4/1/22, Callable 4/1/17 @ 103.44^(c) | 197,340 | ||||||
126,000 | FMG Resources Pty, Ltd., 8.25%, 11/1/19, Callable 11/1/15 @ 104.13(c) | 137,183 | ||||||
|
| |||||||
570,965 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.4%): |
| ||||||
240,000 | Bumi Investment Pte, Ltd., 10.75%, 10/6/17, Callable 10/6/14 @ 105(c) | 120,000 | ||||||
1,077,000 | Petrobras Global Finance BV, 2.37%, 1/15/19(d) | 1,078,346 | ||||||
507,000 | YPF SA, 8.88%, 12/19/18(c) | 534,885 | ||||||
428,000 | YPF SA, 8.75%, 4/4/24(c) | 447,217 | ||||||
|
| |||||||
2,180,448 | ||||||||
|
| |||||||
| Oil-Integrated Companies (0.0%): |
| ||||||
229,000 | Petrobras International Finance Co., 5.38%, 1/27/21 | 238,671 | ||||||
|
| |||||||
| Paper & Forest Products (0.1%): |
| ||||||
425,000 | TFS Corp., Ltd., 11.00%, 7/15/18, Callable 7/15/15 @ 108(a) | 440,406 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
516,000 | Trust F/1401, 5.25%, 12/15/24(c) | 541,800 | ||||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
200,000 | Sun Hung Kai Properties, Ltd., Series E, 4.50%, 2/14/22(c) | 210,881 | ||||||
|
|
Continued
11
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Road & Rail (0.0%): |
| ||||||
$ | 370,503 | Inversiones Alsacia SA, 8.00%, 8/18/18, Callable 2/18/15 @ 104(a) | $ | 248,237 | ||||
173,000 | Viterra, Inc., 5.95%, 8/1/20(c) | 197,455 | ||||||
|
| |||||||
445,692 | ||||||||
|
| |||||||
| Sovereign Bonds (0.7%): |
| ||||||
758,000 | Federal Republic of Brazil, 4.88%, 1/22/21 | 826,220 | ||||||
405,400 | Republic of Argentina, 2.68%, 10/3/15 | 392,022 | ||||||
1,583,590 | Republic of Argentina, Series X, 2.46%, 4/17/17 | 1,479,073 | ||||||
393,204 | Republic of Argentina, 0.68%, 5/7/24 | 367,646 | ||||||
1,028,000 | Republic of Turkey, 6.75%, 4/3/18 | 1,160,612 | ||||||
|
| |||||||
4,225,573 | ||||||||
|
| |||||||
| Tobacco (0.1%): |
| ||||||
375,000 | B.A.T. International Finance plc, 2.13%, 6/7/17, Callable 6/7/17 @ 25(c) | 384,277 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
200,000 | Colombia Telecomm SA Esp, 5.38%, 9/27/22, Callable 9/27/17 @ 103(c) | 199,700 | ||||||
464,000 | Intelsat Jackson Holdings SA, 7.50%, 4/1/21, Callable 4/1/15 @ 103.75 | 508,080 | ||||||
|
| |||||||
707,780 | ||||||||
|
| |||||||
| Total Yankee Dollars (Cost $18,900,468) | 19,057,764 | ||||||
|
| |||||||
| U.S. Treasury Obligations (16.5%): |
| ||||||
| U.S. Treasury Bills (11.9%) |
| ||||||
16,675,000 | 0.06%, 7/10/14(f) | 16,674,982 | ||||||
50,000 | 0.06%, 7/17/14(f) | 50,000 | ||||||
1,000,000 | 0.06%, 7/24/14(f) | 999,989 | ||||||
4,300,000 | 0.05%, 8/7/14(f) | 4,299,979 | ||||||
13,900,000 | 0.04%, 8/14/14(f) | 13,899,624 | ||||||
12,700,000 | 0.04%, 8/21/14(f) | 12,699,594 | ||||||
8,800,000 | 0.03%, 8/28/14(f) | 8,799,718 | ||||||
2,000,000 | 0.04%, 9/18/14(f) | 1,999,912 | ||||||
1,000,000 | 0.02%, 9/25/14(f) | 999,934 | ||||||
3,000,000 | 0.02%, 10/2/14(f) | 2,999,691 | ||||||
13,800,000 | 0.04%, 10/9/14(f) | 13,798,855 | ||||||
6,700,000 | 0.06%, 10/16/14(f) | 6,699,156 | ||||||
4,800,000 | 0.04%, 10/30/14(f) | 4,799,395 | ||||||
|
| |||||||
88,720,829 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| U.S. Treasury Obligations, continued |
| ||||||
| U.S. Treasury Notes (4.6%) |
| ||||||
$ | 1,940,000 | 0.25%, 1/15/15(h) | $ | 1,941,820 | ||||
3,485,000 | 0.25%, 3/31/15 | 3,488,949 | ||||||
5,201,000 | 2.25%, 3/31/16 | 5,372,675 | ||||||
3,892,300 | 1.25%, 10/31/18 | 3,862,197 | ||||||
629,000 | 2.00%, 9/30/20 | 632,845 | ||||||
5,467,500 | 2.25%, 4/30/21 | 5,521,322 | ||||||
7,272,500 | 2.00%, 5/31/21 | 7,217,956 | ||||||
929,700 | 2.00%, 11/15/21 | 918,079 | ||||||
1,121,100 | 1.75%, 5/15/22 | 1,079,146 | ||||||
4,401,700 | 2.75%, 2/15/24 | 4,501,768 | ||||||
|
| |||||||
34,536,757 | ||||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $123,157,422) | 123,257,586 | ||||||
|
| |||||||
| Purchased Swaptions (0.2%): |
| ||||||
| Total Purchased Swaptions (Cost $1,263,232) | 1,507,382 | ||||||
|
| |||||||
| Purchased Options (0.5%): |
| ||||||
| Total Purchased Options (Cost $6,342,986) | 6,784,680 | ||||||
|
| |||||||
| Exchange Traded Funds (1.1%): |
| ||||||
44,243 | Market Vectors Gold Miners, ETF, 0.72% | 1,170,227 | ||||||
4,217 | ETFS Platinum Trust(h) | 609,905 | ||||||
4,996 | ETFS Physical Palladium Shares(h) | 410,621 | ||||||
92,245 | iShares Gold Trust(h) | 1,188,116 | ||||||
37,838 | SPDR Gold Trust(h) | 4,844,777 | ||||||
|
| |||||||
| Total Exchange Traded Fund (Cost $8,916,252) | 8,223,646 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (1.7%): |
| ||||||
12,928,596 | Allianz Variable Insurance Products Securities Lending Collateral Trust(i) | 12,928,596 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 12,928,596 | ||||||
|
| |||||||
| Unaffiliated Investment Company (0.2%): |
| ||||||
1,560,222 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(f) | 1,560,222 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,560,222) | 1,560,222 | ||||||
|
| |||||||
| Total Investment Securities (Cost $697,091,117)(j) — 101.9% | 763,929,562 | ||||||
| Net other assets (liabilities) — (1.9)% | (17,326,714 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 746,602,848 | |||||
|
|
Continued
12
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
MTN—Medium Term Note
SPDR—Standard & Poor’s Depository Receipts
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $12,503,743. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 1.10% of the net assets of the fund. |
(b) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 1.03% of the net assets of the fund. |
(c) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(d) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(e) | Principal amount is stated in 1,000 Brazilian Real Units. |
(f) | The rate represents the effective yield at June 30, 2014. |
(g) | Principal amount is stated in 100 Mexican Peso Units. |
(h) | All or a portion of these securities are held by the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”). |
(i) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(j) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Argentina | 0.5 | % | ||
Australia | 1.1 | % | ||
Austria | — | %NM | ||
Belgium | — | %NM | ||
Bermuda | 0.1 | % | ||
Brazil | 2.7 | % | ||
Canada | 2.1 | % | ||
Cayman Islands | 0.5 | % | ||
Chile | 0.2 | % | ||
China | 0.2 | % | ||
Colombia | — | %NM | ||
Denmark | 0.1 | % | ||
European Community | 0.2 | % | ||
France | 3.9 | % | ||
Germany | 2.6 | % | ||
Guernsey | 0.1 | % | ||
Hong Kong | 1.3 | % | ||
India | 0.1 | % | ||
Indonesia | 0.2 | % | ||
Ireland (Republic of) | 0.6 | % | ||
Israel | — | %NM | ||
Italy | 0.6 | % | ||
Japan | 10.4 | % | ||
Jersey | 0.3 | % |
Country | Percentage | |||
Kazakhstan | 0.1 | % | ||
Korea, Republic Of | 0.4 | % | ||
Luxembourg | 0.3 | % | ||
Malaysia | 0.3 | % | ||
Mexico | 2.8 | % | ||
Netherlands | 2.3 | % | ||
Norway | 0.1 | % | ||
Poland | 0.9 | % | ||
Portugal | — | %NM | ||
Republic of Korea (South) | 0.3 | % | ||
Russian Federation | — | %NM | ||
Singapore | 1.0 | % | ||
South Africa | 0.1 | % | ||
Spain | 0.2 | % | ||
Sweden | 0.4 | % | ||
Switzerland | 2.4 | % | ||
Taiwan | 0.2 | % | ||
Thailand | 0.1 | % | ||
Turkey | 0.2 | % | ||
United Arab Emirates | 0.1 | % | ||
United Kingdom | 5.3 | % | ||
United States | 54.7 | % | ||
|
| |||
100.0 | % | |||
|
|
NM | Not meaningful, amount is less than 0.05%. |
Continued
13
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Securities Sold Short (-0.1%):
Security Description | Proceeds Received | Fair Value | Unrealized Appreciation/ Deprecation | |||||||||
Eni SpA | $ | (349,635 | ) | $ | (375,600 | ) | $ | (25,965 | ) | |||
|
|
|
|
|
| |||||||
$(349,635) | $(375,600) | $ | (25,965 | ) | ||||||||
|
|
|
|
|
|
Futures Contracts
Cash of $2,801,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | Short | 9/19/14 | (190 | ) | $ | (8,408,024 | ) | $ | 102,979 | |||||||||||
Russell 2000 Mini Index September Futures (U.S. Dollar) | Short | 9/19/14 | (22 | ) | (2,618,660 | ) | (51,964 | ) | ||||||||||||
E-Mini MSCI Emerging Markets Index September Futures (U.S. Dollar) | Short | 9/19/14 | (200 | ) | (10,407,000 | ) | 14,959 | |||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | Short | 9/19/14 | (345 | ) | (33,678,900 | ) | (339,903 | ) | ||||||||||||
ASX SPI 200 Index September Futures (Australian Dollar) | Long | 9/18/14 | 1 | 126,194 | 279 | |||||||||||||||
Tokyo Price Index September Futures (Japanese Yen) | Long | 9/11/14 | 7 | 872,495 | 18,125 | |||||||||||||||
German Stock Index September Futures (Euro) | Long | 9/19/14 | 3 | 1,012,477 | (6,321 | ) | ||||||||||||||
NIKKEI 225 Index September Futures (Japanese Yen) | Long | 9/11/14 | 3 | 224,578 | 500 | |||||||||||||||
S&P/Toronto Stock Exchange 60 Index September Futures (Canadian Dollar) | Long | 9/18/14 | 1 | 161,908 | 1,290 | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | (260,056 | ) | |||||||||||||||||
|
|
Option Contracts
Over-the-counter options purchased as of June 30, 2014 were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | ||||||||||||||||||
ACE, Ltd. | Goldman Sachs | Call | USD | 95.00 | 01/16/15 | 31,614 | $ | 298,792 | ||||||||||||||||
Anadarko Petroleum Corp. | Deutsche Bank | Call | USD | 105.00 | 01/16/15 | 13,197 | 140,690 | |||||||||||||||||
Anadarko Petroleum Corp. | Deutsche Bank | Call | USD | 115.00 | 01/16/15 | 21,359 | 127,856 | |||||||||||||||||
Bank of America Corp. | Citibank | Call | USD | 17.00 | 01/16/15 | 157,232 | 72,172 | |||||||||||||||||
Chevron Corp. | Barclays Bank | Call | USD | 135.00 | 12/19/14 | 14,500 | 37,358 | |||||||||||||||||
Chevron Corp. | Deutsche Bank | Call | USD | 135.00 | 12/19/14 | 7,100 | 18,293 | |||||||||||||||||
Chevron Corp. | Citibank | Call | USD | 135.00 | 12/19/14 | 7,200 | 18,550 | |||||||||||||||||
Citigroup, Inc. | Bank of America | Call | USD | 60.00 | 01/16/15 | 44,025 | 5,846 | |||||||||||||||||
Coach, Inc. | Bank of America | Call | USD | 60.00 | 02/20/15 | 13,282 | 448 | |||||||||||||||||
Coca-Cola Co. (The) | Deutsche Bank | Call | USD | 45.00 | 01/16/15 | 130,514 | 79,862 | |||||||||||||||||
EOG Resources, Inc. | Credit Suisse First Boston | Call | USD | 120.00 | 10/17/14 | 19,952 | 96,881 | |||||||||||||||||
Euro Stoxx 50 Index | Goldman Sachs | Call | EUR | 3500.00 | 03/16/18 | 424 | 138,051 | |||||||||||||||||
Euro Stoxx 50 Index | Morgan Stanley | Call | EUR | 3450.00 | 03/20/17 | 495 | 142,145 | |||||||||||||||||
Euro Stoxx 50 Index | UBS Warburg | Call | EUR | 3600.00 | 06/15/18 | 206 | 58,058 | |||||||||||||||||
Euro Stoxx 50 Index | Citibank | Call | EUR | 3500.00 | 06/16/17 | 462 | 120,503 | |||||||||||||||||
Euro Stoxx 50 Index | Bank of America | Call | EUR | 3600.00 | 09/15/17 | 477 | 117,371 | |||||||||||||||||
Euro Stoxx 50 Index | Deutsche Bank | Call | EUR | 3426.55 | 09/21/18 | 225 | 83,595 | |||||||||||||||||
Euro Stoxx 50 Index | Barclays Bank | Call | EUR | 3500.00 | 12/15/17 | 488 | 148,921 | |||||||||||||||||
Euro Stoxx 50 Index | Goldman Sachs | Call | EUR | 3293.01 | 12/16/16 | 1,161 | 395,000 | |||||||||||||||||
Euro Stoxx 50 Index | JPMorgan Chase | Call | EUR | 3325.00 | 12/18/15 | 515 | 125,524 | |||||||||||||||||
Humana, Inc. | Deutsche Bank | Call | USD | 115.00 | 01/16/15 | 3,310 | 57,761 | |||||||||||||||||
Humana, Inc. | Goldman Sachs | Call | USD | 130.00 | 01/16/15 | 13,049 | 114,528 | |||||||||||||||||
Johnson & Johnson | Deutsche Bank | Call | USD | 105.00 | 02/20/15 | 66,400 | 258,040 | |||||||||||||||||
JPMorgan Chase & Co. | Bank of America | Call | USD | 65.00 | 01/16/15 | 78,616 | 34,277 | |||||||||||||||||
JPMorgan Chase & Co. | Goldman Sachs | Call | USD | 65.00 | 01/16/15 | 57,421 | 25,036 | |||||||||||||||||
Marathon Oil Corp. | Goldman Sachs | Call | USD | 32.00 | 07/18/14 | 3,520 | 27,878 | |||||||||||||||||
Merck & Co., Inc. | Deutsche Bank | Call | USD | 55.00 | 01/16/15 | 106,514 | 497,833 |
Continued
14
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | ||||||||||||||||||
MetLife, Inc. | Goldman Sachs | Call | USD | 50.00 | 01/16/15 | 59,096 | $ | 397,267 | ||||||||||||||||
Mylan, Inc. | Bank of America | Call | USD | 47.00 | 01/16/15 | 18,200 | 132,587 | |||||||||||||||||
Mylan, Inc. | Deutsche Bank | Call | USD | 47.00 | 01/16/15 | 18,200 | 132,587 | |||||||||||||||||
Oracle Corp. | Deutsche Bank | Call | USD | 42.00 | 01/16/15 | 65,257 | 108,606 | |||||||||||||||||
PFE U.S. | Citibank | Call | USD | 32.50 | 01/16/15 | 68,164 | 23,728 | |||||||||||||||||
Prudential Financial, Inc. | Citibank | Call | USD | 87.50 | 01/16/15 | 45,138 | 264,592 | |||||||||||||||||
Siemens AG | Deutsche Bank | Call | USD | 150.00 | 01/16/15 | 18,114 | 42,407 | |||||||||||||||||
SPDR Gold Shares(a) | JPMorgan Chase | Call | USD | 133.44 | 03/20/15 | 9,230 | 35,217 | |||||||||||||||||
Stoxx Europe 600 Index | Credit Suisse First Boston | Call | EUR | 355.61 | 03/17/17 | 4,134 | 132,144 | |||||||||||||||||
Stoxx Europe 600 Index | JPMorgan Chase | Call | EUR | 348.12 | 09/16/16 | 4,376 | 136,541 | |||||||||||||||||
Stoxx Europe 600 Index | Credit Suisse First Boston | Call | EUR | 347.97 | 12/16/16 | 3,668 | 122,398 | |||||||||||||||||
Takeda Pharmaceutical Co., Ltd. | Morgan Stanley | Call | JPY | 5108.80 | 01/29/15 | 8,000 | 8,993 | |||||||||||||||||
Takeda Pharmaceutical Co., Ltd. | Goldman Sachs | Call | JPY | 4906.34 | 10/09/14 | 7,148 | 5,312 | |||||||||||||||||
Topix Index | Morgan Stanley | Call | JPY | 1184.43 | 03/13/15 | 338,919 | 373,492 | |||||||||||||||||
Topix Index | Goldman Sachs | Call | JPY | 1288.50 | 06/12/15 | 261,314 | 169,203 | |||||||||||||||||
Topix Index | Citibank | Call | JPY | 1246.74 | 09/12/14 | 148,791 | 65,257 | |||||||||||||||||
Topix Index | Citibank | Call | JPY | 1178.21 | 12/12/14 | 173,166 | 181,029 | |||||||||||||||||
Topix JP Equity | UBS Warburg | Call | JPY | 1240.60 | 12/12/14 | 173,716 | 113,890 | |||||||||||||||||
MSCI Emerging Markets Index | Bank of America | Put | USD | 1019.91 | 08/15/14 | 3,744 | 29,823 | |||||||||||||||||
Occidental Petroleum Corp. | Citibank | Put | USD | 95.00 | 01/16/15 | 17,605 | 58,057 | |||||||||||||||||
Russell 200 Index | Citibank | Put | USD | 1077.67 | 07/18/14 | 3,314 | 1,660 | |||||||||||||||||
S&P 500 Index | JPMorgan Chase | Put | USD | 1838.92 | 07/18/14 | 1,888 | 2,772 | |||||||||||||||||
S&P 500 Index | BNP Paribas | Put | USD | 1854.90 | 07/18/14 | 1,872 | 3,527 | |||||||||||||||||
S&P 500 Index | Goldman Sachs | Put | USD | 1853.97 | 08/15/14 | 1,308 | 9,663 | |||||||||||||||||
Security Capital U.S. Sponsored ADR | Bank of America | Put | USD | 1078.40 | 07/18/14 | 3,216 | 1,645 | |||||||||||||||||
Security Capital U.S. Sponsored ADR | Credit Suisse First Boston | Put | USD | 1155.45 | 08/15/14 | 2,770 | 38,528 | |||||||||||||||||
SPX U.S. Index | Credit Suisse First Boston | Put | USD | 1900.00 | 07/18/14 | 1,887 | 6,920 | |||||||||||||||||
SPX U.S. Index | BNP Paribas | Put | USD | 1928.98 | 08/15/14 | 1,846 | 33,394 | |||||||||||||||||
Transocean, Ltd. | Bank of America | Put | USD | 38.00 | 01/16/15 | 21,131 | 24,985 | |||||||||||||||||
Transocean, Ltd. | Citibank | Put | USD | 40.00 | 01/16/15 | 16,740 | 29,349 | |||||||||||||||||
Transocean, Ltd. | Bank of America | Put | USD | 40.00 | 01/16/15 | 14,083 | 24,691 | |||||||||||||||||
Transocean, Ltd. | Goldman Sachs | Put | USD | 40.00 | 01/16/15 | 5,441 | 9,539 | |||||||||||||||||
Transocean, Ltd. | Barclays Bank | Put | USD | 40.00 | 01/16/15 | 5,719 | 10,027 | |||||||||||||||||
Transocean, Ltd. | Credit Suisse First Boston | Put | USD | 40.00 | 01/16/15 | 13,953 | 24,463 | |||||||||||||||||
Transocean, Ltd. | Deutsche Bank | Put | USD | 43.00 | 01/16/15 | 24,389 | 70,728 | |||||||||||||||||
Transocean, Ltd. | Goldman Sachs | Put | USD | 43.00 | 01/16/15 | 19,511 | 56,777 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | 6,123,067 | ||||||||||||||||||||||
|
|
Over-the-counter options written as of June 30, 2014 were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | ||||||||||||||||||
ACE, Ltd. | Goldman Sachs | Call | USD | 110.00 | 01/16/15 | 31,614 | $ | (39,140 | ) | |||||||||||||||
Anadarko Petroleum Corp. | Credit Suisse First Boston | Call | USD | 100.00 | 08/15/14 | 6,982 | (74,375 | ) | ||||||||||||||||
Anadarko Petroleum Corp. | Deutsche Bank | Call | USD | 100.00 | 08/15/14 | 7,014 | (74,716 | ) | ||||||||||||||||
Cimarex Energy | Deutsche Bank | Call | USD | 125.00 | 09/19/14 | 3,512 | (72,875 | ) | ||||||||||||||||
Cimarex Energy | Credit Suisse First Boston | Call | USD | 135.00 | 09/19/14 | 4,691 | (62,197 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Goldman Sachs | Call | USD | 75.00 | 09/19/14 | 3,489 | (54,766 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Citibank | Call | USD | 80.00 | 01/16/15 | 7,761 | (117,370 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Deutsche Bank | Call | USD | 80.00 | 09/19/14 | 2,875 | (34,080 | ) | ||||||||||||||||
Diamondback Enerrgy, Inc. | Deutsche Bank | Call | USD | 75.00 | 09/19/14 | 3,491 | (54,798 | ) | ||||||||||||||||
Marathon Oil Corp. | Citibank | Call | USD | 32.00 | 07/18/14 | 3,520 | (27,878 | ) | ||||||||||||||||
MetLife, Inc. | Goldman Sachs | Call | USD | 60.00 | 01/16/15 | 59,096 | (94,562 | ) | ||||||||||||||||
MSCI Emerging Markets Index | Bank of America | Call | USD | 1108.82 | 08/15/14 | 3,744 | (1,251 | ) | ||||||||||||||||
Mylan, Inc. | Bank of America | Call | USD | 55.00 | 01/16/15 | 18,200 | (59,814 | ) | ||||||||||||||||
Mylan, Inc. | Deutsche Bank | Call | USD | 55.00 | 01/16/15 | 18,200 | (59,814 | ) | ||||||||||||||||
Nestle N | Morgan Stanley | Call | CHF | 70.00 | 09/19/14 | 5,435 | (4,883 | ) | ||||||||||||||||
Prudential Financial, Inc. | Citibank | Call | USD | 97.50 | 01/16/15 | 45,138 | (93,068 | ) |
Continued
15
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | ||||||||||||||||||
Russell 200 Index | Citibank | Call | USD | 1154.65 | 07/18/14 | 3,314 | $ | (139,823 | ) | |||||||||||||||
S&P 500 Index | JPMorgan Chase | Call | USD | 1951.51 | 07/18/14 | 1,888 | (36,289 | ) | ||||||||||||||||
S&P 500 Index | BNP Paribas | Call | USD | 1968.46 | 07/18/14 | 1,872 | (18,872 | ) | ||||||||||||||||
S&P 500 Index | Goldman Sachs | Call | USD | 1981.99 | 08/15/14 | 1,308 | (17,976 | ) | ||||||||||||||||
Security Capital U.S. Sponsored ADR | Bank of America | Call | USD | 1155.43 | 07/18/14 | 3,216 | (133,522 | ) | ||||||||||||||||
Security Capital U.S. Sponsored ADR | Credit Suisse First Boston | Call | USD | 1237.98 | 08/15/14 | 2,770 | (17,238 | ) | ||||||||||||||||
SPX U.S. Index | Credit Suisse First Boston | Call | USD | 1990.00 | 07/18/14 | 1,887 | (6,985 | ) | ||||||||||||||||
Tokyo Stock Price Index | Citibank | Call | JPY | 1318.19 | 12/12/14 | 173,166 | (56,783 | ) | ||||||||||||||||
Topix Index | Morgan Stanley | Call | JPY | 1370.22 | 03/13/15 | 338,919 | (103,887 | ) | ||||||||||||||||
Topix Index | Goldman Sachs | Call | JPY | 1490.61 | 06/12/15 | 261,314 | (46,227 | ) | ||||||||||||||||
Topix JP Equity | UBS Warburg | Call | JPY | 1410.88 | 12/12/14 | 173,716 | (21,970 | ) | ||||||||||||||||
Anadarko Petroleum Corp. | Deutsche Bank | Put | USD | 97.50 | 01/16/15 | 18,500 | (73,233 | ) | ||||||||||||||||
Cimarex Energy | Goldman Sachs | Put | USD | 120.00 | 09/19/14 | 3,501 | (5,088 | ) | ||||||||||||||||
Cimarex Energy | Citibank | Put | USD | 120.00 | 09/19/14 | 3,522 | (5,118 | ) | ||||||||||||||||
Coach, Inc. | Bank of America | Put | USD | 42.50 | 02/20/15 | 13,282 | (125,986 | ) | ||||||||||||||||
CONSOL Energy, Inc. | Goldman Sachs | Put | USD | 42.00 | 01/16/15 | 20,679 | (44,203 | ) | ||||||||||||||||
CONSOL Energy, Inc. | UBS Warburg | Put | USD | 43.00 | 10/17/14 | 14,046 | (20,944 | ) | ||||||||||||||||
Diamondback Energy, Inc. | Citibank | Put | USD | 70.00 | 01/16/15 | 10,348 | (31,199 | ) | ||||||||||||||||
Dresser-Rand Group, Inc. | Deutsche Bank | Put | USD | 55.00 | 09/19/14 | 7,277 | (3,643 | ) | ||||||||||||||||
EOG Resources, Inc. | Goldman Sachs | Put | USD | 110.00 | 10/17/14 | 7,100 | (26,027 | ) | ||||||||||||||||
Euro Stoxx 50 Index | Deutsche Bank | Put | EUR | 2586.07 | 09/21/18 | 225 | (94,965 | ) | ||||||||||||||||
Gulfport Energy | Deutsche Bank | Put | USD | 60.00 | 01/16/15 | 20,900 | (118,866 | ) | ||||||||||||||||
Hess Corp. | Citibank | Put | USD | 95.00 | 01/16/15 | 7,350 | (33,008 | ) | ||||||||||||||||
Kodiak Oil & Gas Corp. | Morgan Stanley | Put | USD | 13.00 | 09/19/14 | 34,164 | (19,478 | ) | ||||||||||||||||
Marathon Petroleum Corp. | Goldman Sachs | Put | USD | 77.50 | 01/16/15 | 15,600 | (97,841 | ) | ||||||||||||||||
MSCI Emerging Markets Index | Bank of America | Put | USD | 951.91 | 08/15/14 | 3,744 | (6,677 | ) | ||||||||||||||||
Mylan, Inc. | Deutsche Bank | Put | USD | 42.00 | 01/16/15 | 18,200 | (24,230 | ) | ||||||||||||||||
Mylan, Inc. | Bank of America | Put | USD | 42.00 | 01/16/15 | 18,200 | (24,230 | ) | ||||||||||||||||
Oasis Petroleum, Inc. | Deutsche Bank | Put | USD | 49.00 | 11/21/14 | 3,550 | (7,008 | ) | ||||||||||||||||
Ocean RIG UDW, Inc. | Goldman Sachs | Put | USD | 17.50 | 12/19/14 | 17,702 | (19,201 | ) | ||||||||||||||||
Oceaneering International, Inc. | Citibank | Put | USD | 70.00 | 10/17/14 | 13,781 | (17,121 | ) | ||||||||||||||||
PFE U.S. | Citibank | Put | USD | 28.00 | 01/16/15 | 68,164 | (58,719 | ) | ||||||||||||||||
Phillips 66 | Morgan Stanley | Put | USD | 80.00 | 01/16/15 | 6,977 | (37,002 | ) | ||||||||||||||||
Phillips 66 | UBS Warburg | Put | USD | 85.00 | 01/16/15 | 3,528 | (28,532 | ) | ||||||||||||||||
Phillips 66 | Barclays Bank | Put | USD | 85.00 | 01/16/15 | 7,122 | (57,598 | ) | ||||||||||||||||
Phillips 66 | Citibank | Put | USD | 85.00 | 01/16/15 | 3,600 | (29,114 | ) | ||||||||||||||||
Phillips 66 | Goldman Sachs | Put | USD | 90.00 | 01/16/15 | 3,521 | (40,759 | ) | ||||||||||||||||
Phillips 66 | Deutsche Bank | Put | USD | 80.00 | 11/21/14 | 7,014 | (30,783 | ) | ||||||||||||||||
Phillips 66 | Citibank | Put | USD | 82.50 | 11/21/14 | 7,020 | (39,936 | ) | ||||||||||||||||
Pioneer Natural Resources Co. | Citibank | Put | USD | 225.00 | 09/19/14 | 3,559 | (37,464 | ) | ||||||||||||||||
Rowan Companies plc | Goldman Sachs | Put | USD | 32.00 | 07/18/14 | 33,300 | (20,308 | ) | ||||||||||||||||
Russell 200 Index | Citibank | Put | USD | 989.70 | 07/18/14 | 3,314 | (158 | ) | ||||||||||||||||
S&P 500 Index | JPMorgan Chase | Put | USD | 1688.80 | 07/18/14 | 1,888 | (251 | ) | ||||||||||||||||
S&P 500 Index | BNP Paribas | Put | USD | 1703.48 | 07/18/14 | 1,872 | (310 | ) | ||||||||||||||||
S&P 500 Index | Goldman Sachs | Put | USD | 1706.98 | 08/15/14 | 1,308 | (1,693 | ) | ||||||||||||||||
Security Capital U.S. Sponsored ADR | Bank of America | Put | USD | 990.37 | 07/18/14 | 3,216 | (156 | ) | ||||||||||||||||
Security Capital U.S. Sponsored ADR | Credit Suisse First Boston | Put | USD | 1072.92 | 08/15/14 | 2,770 | (9,401 | ) | ||||||||||||||||
SPX U.S. Index | Credit Suisse First Boston | Put | USD | 1790.00 | 07/18/14 | 1,887 | (1,199 | ) | ||||||||||||||||
SPX U.S. Index | BNP Paribas | Put | USD | 1782.11 | 08/15/14 | 1,846 | (5,913 | ) | ||||||||||||||||
Topix Index | Morgan Stanley | Put | JPY | 1045.08 | 03/13/15 | 338,919 | (43,141 | ) | ||||||||||||||||
Topix Index | Goldman Sachs | Put | JPY | 1136.91 | 06/12/15 | 261,314 | (101,584 | ) | ||||||||||||||||
Topix Index | Citibank | Put | JPY | 1047.55 | 12/12/14 | 173,166 | (11,228 | ) | ||||||||||||||||
Topix JP Equity | UBS Warburg | Put | JPY | 1094.65 | 12/12/14 | 173,716 | (19,066 | ) | ||||||||||||||||
Transocean, Ltd. | Goldman Sachs | Put | USD | 38.00 | 01/16/15 | 21,131 | (21,131 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (2,918,671 | ) | |||||||||||||||||||||
|
|
Continued
16
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Exchange-traded options purchased as of June 30, 2014 were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | |||||||||||||||||
Bank of America Corp. | Call | USD | 17.00 | 01/16/15 | 256 | $ | 11,648 | |||||||||||||||
Canadian Natural Resources, Ltd. | Call | USD | 34.00 | 09/19/14 | 204 | 244,800 | ||||||||||||||||
Citigroup, Inc. | Call | USD | 60.00 | 01/16/15 | 70 | 980 | ||||||||||||||||
Coca-Cola Co. (The) | Call | USD | 45.00 | 01/16/15 | 167 | 10,104 | ||||||||||||||||
Humana, Inc. | Call | USD | 130.00 | 01/16/15 | 21 | 18,690 | ||||||||||||||||
Merck & Co., Inc. | Call | USD | 55.00 | 01/16/15 | 110 | 48,950 | ||||||||||||||||
MetLife, Inc. | Call | USD | 50.00 | 01/16/15 | 66 | 44,715 | ||||||||||||||||
Oracle Corp. | Call | USD | 42.00 | 01/16/15 | 82 | 13,776 | ||||||||||||||||
Prudential Financial, Inc. | Call | USD | 82.50 | 01/16/15 | 34 | 31,875 | ||||||||||||||||
SPDR Gold Shares(a) | Call | USD | 135.00 | 06/19/15 | 146 | 64,605 | ||||||||||||||||
SPDR Gold Shares(a) | Call | USD | 130.00 | 12/19/14 | 346 | 132,345 | ||||||||||||||||
SPDR Gold Trust(a) | Call | USD | 130.56 | 12/31/14 | 10,383 | 38,855 | ||||||||||||||||
Time Warner Cable, Inc. | Put | USD | 135.00 | 07/18/14 | 9 | 270 | ||||||||||||||||
|
| |||||||||||||||||||||
Total | $ | 661,613 | ||||||||||||||||||||
|
|
Exchange-traded options written as of June 30, 2014 were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | |||||||||||||||
Canadian Natural Resources, Ltd. | Call | USD | 39.00 | 09/19/14 | 180 | $ | (130,500 | ) | ||||||||||||
Lululemon Athletica, Inc. | Call | USD | 42.50 | 12/19/14 | 43 | (13,653 | ) | |||||||||||||
Tenet Healtchare Corp. | Call | USD | 49.00 | 11/21/14 | 69 | (21,563 | ) | |||||||||||||
Time Warner Cable, Inc. | Call | USD | 150.00 | 07/18/14 | 9 | (608 | ) | |||||||||||||
Biogen Idec, Inc. | Put | USD | 280.00 | 07/18/14 | 11 | (413 | ) | |||||||||||||
|
| |||||||||||||||||||
Total | $ | (166,737 | ) | |||||||||||||||||
|
|
Over-the-counter interest rate swaptions purchased as of June 30, 2014 were as follows:
Description | Counterparty | Put/ Call | Exercise | Expiration Date | Notional Amount (Local) | Market Value | ||||||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.80 | 09/15/14 | 2,229 | $ | 382,168 | ||||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.80 | 09/15/14 | 175 | 27,323 | |||||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.75 | 11/28/14 | 65 | 8,668 | |||||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.75 | 11/28/14 | 1,826 | 243,554 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 1.90 | 09/26/14 | 1,416 | 67,768 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 1.63 | 10/10/14 | 3,261 | 79,623 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Deutsche Bank | Call | USD | 1.80 | 10/28/14 | 5,440 | 518,663 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Deutsche Bank | Call | USD | 1.80 | 10/28/14 | 100 | 5,300 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Deutsche Bank | Call | USD | 1.80 | 11/17/14 | 1,456 | 158,103 | |||||||||||||||||||
10-Year Interest Rate, Pay 6-Month JPY LIBOR | Goldman Sachs | Put | JPY | 1.35 | 01/25/16 | 30,000 | 3,087 | |||||||||||||||||||
10-Year Interest Rate, Pay 6-Month JPY LIBOR | Goldman Sachs | Put | JPY | 1.35 | 01/25/16 | 13,882 | 1,429 | |||||||||||||||||||
5-Year Interest Rate, Pay 6-Month JPY LIBOR | Deutsche Bank | Put | JPY | 1.07 | 04/04/18 | 1,006,981 | 11,696 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $ | 1,507,382 | ||||||||||||||||||||||||
|
|
Over-the-counter interest rate swaptions written as of June 30, 2014 were as follows:
Description | Counterparty | Put/ Call | Exercise | Expiration Date | Notional Amount | Market Value | ||||||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.60 | 09/15/14 | 1,463 | $ | (137,188 | ) | |||||||||||||||||
10-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 2.60 | 09/15/14 | 869 | (5,506 | ) | ||||||||||||||||||
5-Year Interest Rate, Pay 6-Month USD LIBOR | Goldman Sachs | Call | USD | 1.70 | 09/26/14 | 1,416 | (45,700 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $ | (188,394 | ) | |||||||||||||||||||||||
|
|
Continued
17
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
Australian Dollar | Morgan Stanley | 8/8/14 | 1,964,700 | $ | 1,837,024 | $ | 1,846,727 | $ | (9,703 | ) | ||||||||||
Brazilian Real | Deutsche Bank | 8/8/14 | 4,207,702 | 1,813,000 | 1,882,735 | (69,735 | ) | |||||||||||||
Brazilian Real | Deutsche Bank | 8/15/14 | 1,664,543 | 743,000 | 743,373 | (373 | ) | |||||||||||||
Brazilian Real | Deutsche Bank | 8/15/14 | 1,659,269 | 744,000 | 741,018 | 2,982 | ||||||||||||||
Chinese Renminbi | Deutsche Bank | 1/30/15 | 8,202,461 | 1,338,000 | 1,309,313 | 28,687 | ||||||||||||||
Chinese Renminbi | Deutsche Bank | 1/30/15 | 2,043,746 | 334,000 | 326,232 | 7,768 | ||||||||||||||
Chinese Renminbi | JPMorgan Chase | 1/30/15 | 4,087,158 | 668,000 | 652,410 | 15,590 | ||||||||||||||
European Euro | BNP Paribas | 7/3/14 | 1,339,800 | 1,835,044 | 1,834,483 | 561 | ||||||||||||||
European Euro | Deutsche Bank | 7/3/14 | 1,339,800 | 1,835,526 | 1,834,483 | 1,043 | ||||||||||||||
European Euro | BNP Paribas | 7/10/14 | 1,611,116 | 2,207,749 | 2,206,031 | 1,718 | ||||||||||||||
European Euro | JPMorgan Chase | 7/10/14 | 473,000 | 648,166 | 647,658 | 508 | ||||||||||||||
European Euro | Credit Suisse First Boston | 7/11/14 | 1,263,100 | 1,731,710 | 1,729,514 | 2,196 | ||||||||||||||
European Euro | Deutsche Bank | 7/11/14 | 1,263,100 | 1,731,205 | 1,729,514 | 1,691 | ||||||||||||||
European Euro | Morgan Stanley | 7/11/14 | 1,206,000 | 1,647,812 | 1,651,329 | (3,517 | ) | |||||||||||||
European Euro | Credit Suisse First Boston | 7/17/14 | 1,284,300 | 1,754,174 | 1,758,581 | (4,407 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/17/14 | 1,305,000 | 1,787,706 | 1,786,925 | 781 | ||||||||||||||
European Euro | Deutsche Bank | 7/18/14 | 2,248,900 | 3,072,785 | 3,079,412 | (6,627 | ) | |||||||||||||
European Euro | Deutsche Bank | 8/7/14 | 1,816,300 | 2,459,379 | 2,487,235 | (27,856 | ) | |||||||||||||
European Euro | Morgan Stanley | 8/7/14 | 1,337,600 | 1,811,199 | 1,831,705 | (20,506 | ) | |||||||||||||
European Euro | JPMorgan Chase | 8/8/14 | 1,290,900 | 1,747,262 | 1,767,760 | (20,498 | ) | |||||||||||||
European Euro | Credit Suisse First Boston | 8/14/14 | �� | 752,400 | 1,019,359 | 1,030,360 | (11,001 | ) | ||||||||||||
European Euro | Deutsche Bank | 8/14/14 | 499,100 | 676,141 | 683,483 | (7,342 | ) | |||||||||||||
European Euro | UBS Warburg | 8/14/14 | 1,243,200 | 1,683,927 | 1,702,477 | (18,550 | ) | |||||||||||||
European Euro | Credit Suisse First Boston | 8/15/14 | 1,317,000 | 1,787,564 | 1,803,548 | (15,984 | ) | |||||||||||||
European Euro | JPMorgan Chase | 8/15/14 | 1,337,300 | 1,814,861 | 1,831,348 | (16,487 | ) | |||||||||||||
European Euro | Morgan Stanley | 8/22/14 | 1,321,600 | 1,796,662 | 1,809,894 | (13,232 | ) | |||||||||||||
European Euro | UBS Warburg | 8/22/14 | 1,284,600 | 1,746,735 | 1,759,223 | (12,488 | ) | |||||||||||||
Japanese Yen | BNP Paribas | 7/3/14 | 179,442,194 | 1,763,000 | 1,771,613 | (8,613 | ) | |||||||||||||
Japanese Yen | UBS Warburg | 7/3/14 | 179,593,812 | 1,763,000 | 1,773,110 | (10,110 | ) | |||||||||||||
Japanese Yen | Morgan Stanley | 7/7/14 | 340,000,000 | 3,273,827 | 3,356,895 | (83,068 | ) | |||||||||||||
Japanese Yen | Bank of America | 7/10/14 | 146,759,025 | 1,435,998 | 1,449,020 | (13,022 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 7/10/14 | 153,515,670 | 1,503,069 | 1,515,732 | (12,663 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 7/11/14 | 146,209,560 | 1,441,468 | 1,443,607 | (2,139 | ) | |||||||||||||
Japanese Yen | Credit Suisse First Boston | 7/17/14 | 141,878,850 | 1,399,241 | 1,400,917 | (1,676 | ) | |||||||||||||
Japanese Yen | BNP Paribas | 7/24/14 | 144,875,127 | 1,414,505 | 1,430,586 | (16,081 | ) | |||||||||||||
Japanese Yen | Credit Suisse First Boston | 7/24/14 | 73,626,625 | 719,010 | 727,035 | (8,025 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 7/24/14 | 221,383,188 | 2,161,542 | 2,186,074 | (24,532 | ) | |||||||||||||
Japanese Yen | BNP Paribas | 7/25/14 | 186,459,631 | 1,817,000 | 1,841,233 | (24,233 | ) | |||||||||||||
Japanese Yen | Morgan Stanley | 7/25/14 | 223,563,000 | 2,177,508 | 2,207,617 | (30,109 | ) | |||||||||||||
Japanese Yen | BNP Paribas | 8/1/14 | 186,051,351 | 1,817,000 | 1,837,302 | (20,302 | ) | |||||||||||||
Japanese Yen | Credit Suisse First Boston | 8/1/14 | 262,821,000 | 2,568,091 | 2,595,421 | (27,330 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 8/4/14 | 220,000,000 | 2,164,289 | 2,172,597 | (8,308 | ) | |||||||||||||
Japanese Yen | Credit Suisse First Boston | 8/7/14 | 140,851,348 | 1,375,931 | 1,390,997 | (15,066 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 8/7/14 | 185,678,778 | 1,814,155 | 1,833,696 | (19,541 | ) | |||||||||||||
Japanese Yen | UBS Warburg | 8/8/14 | 149,577,000 | 1,467,563 | 1,477,178 | (9,615 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 8/14/14 | 155,079,960 | 1,518,516 | 1,531,585 | (13,069 | ) | |||||||||||||
Japanese Yen | Morgan Stanley | 8/15/14 | 188,602,140 | 1,860,000 | 1,862,666 | (2,666 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 8/22/14 | 306,886,455 | 3,007,959 | 3,031,003 | (23,044 | ) | |||||||||||||
Mexican Peso | Barclays Bank | 7/10/14 | 10,087,000 | 747,933 | 776,990 | (29,057 | ) | |||||||||||||
Mexican Peso | Credit Suisse First Boston | 7/24/14 | 6,957,910 | 523,360 | 535,396 | (12,036 | ) | |||||||||||||
Mexican Peso | Deutsche Bank | 8/7/14 | 10,710,450 | 793,696 | 823,360 | (29,664 | ) | |||||||||||||
Mexican Peso | Credit Suisse First Boston | 8/21/14 | 12,106,450 | 912,675 | 929,859 | (17,184 | ) |
Continued
18
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Mexican Peso | UBS Warburg | 9/4/14 | 10,867,520 | $ | 814,199 | $ | 833,943 | $ | (19,744 | ) | ||||||||||
Mexican Peso | UBS Warburg | 9/18/14 | 11,616,000 | 882,715 | 890,534 | (7,819 | ) | |||||||||||||
Mexican Peso | Credit Suisse First Boston | 10/16/14 | 29,356,000 | 2,226,047 | 2,246,388 | (20,341 | ) | |||||||||||||
Mexican Peso | Deutsche Bank | 11/13/14 | 11,269,000 | 861,907 | 860,748 | 1,159 | ||||||||||||||
Mexican Peso | BNP Paribas | 12/11/14 | 27,540,400 | 2,093,436 | 2,099,725 | (6,289 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 90,590,630 | $ | 91,299,598 | $ | (708,968 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Long Contracts: | ||||||||||||||||||||
Chinese Renminbi | Deutsche Bank | 1/30/15 | 4,063,000 | $ | 651,539 | $ | 648,554 | $ | (2,985 | ) | ||||||||||
Chinese Renminbi | Deutsche Bank | 1/30/15 | 6,183,207 | 998,580 | 986,991 | (11,589 | ) | |||||||||||||
Chinese Renminbi | JPMorgan Chase | 1/30/15 | 4,087,158 | 653,579 | 652,410 | (1,169 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/11/14 | 1,263,100 | 1,717,109 | 1,729,514 | 12,405 | ||||||||||||||
European Euro | Brown Brothers Harriman | 7/14/14 | 992,500 | 1,360,395 | 1,359,007 | (1,388 | ) | |||||||||||||
Indian Rupee | Credit Suisse First Boston | 7/18/14 | 42,139,033 | 713,000 | 697,508 | (15,492 | ) | |||||||||||||
Swiss Franc | HSBC Bank | 8/8/14 | 1,604,153 | 1,784,603 | 1,809,976 | 25,373 | ||||||||||||||
Swiss Franc | HSBC Bank | 8/15/14 | 1,605,414 | 1,789,600 | 1,811,504 | 21,904 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 9,668,405 | $ | 9,695,464 | $ | 27,059 | |||||||||||||||
|
|
|
|
|
|
At June 30, 2014, the Fund’s open forward cross currency contracts were as follows:
Purchase/Sale | Counterparty | Amount Purchased | Amount Sold | Contract Value | Value | Net Unrealized Appreciation/ | ||||||||||||||||||||
Great British Pound/European Euro | Deutsche Bank | 1,058,043 | 1,306,000 | EUR | $ | 1,783,585 | $ | 1,805,535 | $ | 21,950 | ||||||||||||||||
Great British Pound/European Euro | Morgan Stanley | 433,238 | 543,000 | EUR | 734,902 | 732,547 | (2,355 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | 2,518,487 | $ | 2,538,082 | $ | 19,595 | |||||||||||||||||||||
|
|
|
|
|
|
Over-the-Counter Credit Default Swap Agreements—Buy Protection(b)
At June 30, 2014, the Fund’s open over-the-counter credit default swap agreements were as follows:
Underlying Instrument | Counterparty | Expiration Date | Implied Credit Spread at 2014 (%)(c) | Notional ($)(d) | Fixed (%) | Value ($) | Upfront ($) | Unrealized ($) | ||||||||||||||||||||
Transocean, Inc. | JPMorgan Chase | 6/20/19 | 1.42 | 63,000 | 1.00 | 1,145 | 1,506 | (362 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 159,000 | 1.00 | 2,889 | 3,838 | (949 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 254,000 | 1.00 | 4,614 | 6,640 | (2,026 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 105,719 | 1.00 | 1,921 | 2,620 | (699 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 352,400 | 1.00 | 6,402 | 8,733 | (2,331 | ) | |||||||||||||||||||
Transocean, Inc. | Citibank | 6/20/19 | 1.42 | 246,673 | 1.00 | 4,481 | 5,450 | (968 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 355,270 | 1.00 | 6,454 | 6,552 | (98 | ) | |||||||||||||||||||
Transocean, Inc. | Barclays Bank | 6/20/19 | 1.42 | 355,269 | 1.00 | 6,454 | 5,746 | 708 | ||||||||||||||||||||
Transocean, Inc. | JPMorgan Chase | 6/20/19 | 1.42 | 222,736 | 1.00 | 4,047 | 5,308 | (1,262 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
38,407 | 46,393 | (7,987 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
Continued
19
AZL BlackRock Global Allocation Fund
Consolidated Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Centrally Cleared Credit Default Swap Agreements—Buy Protection(b)
At June 30, 2014, the Fund’s open centrally cleared credit default swap agreements were as follows:
Underlying Instrument | Clearing Agent | Expiration Date | Implied Credit Spread at June 30, 2014 (%)(c) | Notional Amount ($)(d) | Fixed Rate (%) | Value ($) | Premiums Paid/ (Received) ($) | Unrealized Appreciaton/ (Depreciation) ($) | ||||||||||||||||||||
CDX North America High Yield Index Swap Agreement with JPMorgan Chase Bank, N.A., Series 22* | JPMorgan Chase Bank | 6/20/19 | 3.04 | 1,616,868 | ** | 5.00 | (140,017 | ) | (119,514 | ) | (20,503 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
(140,017 | ) | (119,514 | ) | (20,503 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swap Agreements—Sell Protection(b)
At June 30, 2014, the Fund’s open centrally cleared credit default swap agreements were as follows:
Underlying Instrument | Clearing Agent | Expiration Date | Implied (%)(c) | Notional ($)(d) | Fixed (%) | Value ($) | Premiums ($) | Unrealized ($) | ||||||||||||||||||||
CDX North America Investment Grade Index Swap Agreement with JPMorgan Chase Bank, N.A., Series 22 | JPMorgan Chase | 6/20/19 | 0.59 | (1,131,000 | ) | 1.00 | 22,422 | 16,978 | 5,444 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
22,422 | 16,978 | 5,444 | ||||||||||||||||||||||||||
|
|
|
|
|
|
Total Return Swaps at June 30, 2014
Counterparty | Receive/Pay Total Return | Expiration Date | Notional Amount (Local) | Unrealized Appreciation/ (Depreciation) | ||||||||||
Citibank NA | KOSPI 200 Index September Futures | 9/11/14 | 1,454,239,050 | KRW | $ | (20,697 | ) | |||||||
BNP Paribas SA | NIKKEI 225 Dividend Index E-Mini June Futures | 3/31/16 | 26,350,000 | JPY | 19,350 | |||||||||
BNP Paribas SA | NIKKEI 225 Dividend Index E-Mini June Futures | 3/31/16 | 26,800,000 | JPY | 14,908 | |||||||||
BNP Paribas SA | NIKKEI 225 Dividend Index E-Mini June Futures | 3/31/17 | 29,630,000 | JPY | 17,573 | |||||||||
BNP Paribas SA | NIKKEI 225 Dividend Index E-Mini June Futures | 3/31/17 | 25,515,000 | JPY | 11,373 | |||||||||
Citibank NA | PT Siloam International Hospitals Tbk | 3/15/15 | 223,600 | USD | 66,161 | |||||||||
|
| |||||||||||||
$ | 108,668 | |||||||||||||
|
|
ADR—American Depositary Receipt
* | As of June 30, 2014, the CDX North America High Yield Index included securities which had defaulted and represented 1% of the Index. |
** | Reflects the notional amount after the default of securities. |
(a) | All or portion of these securities are held by the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”). |
(b) | When a credit event occurs as defined under the terms of the swap agreement, the Fund as a seller of credit protection will either (i) pay to the buyer of protection an amount equal to the par value of the defaulted reference entity and take delivery of the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. Alternatively, the Fund as a buyer of credit protection will either (i) receive from the seller of protection an amount equal to the par value of the defaulted reference entity and deliver the reference entity to the seller or (ii) receive a net amount of equal to the par value of the defaulted reference entity less its recovery value. |
(c) | Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include upfront or daily payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. |
(d) | The notional amount represents the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement. |
See accompanying notes to the financial statements.
20
AZL BlackRock Global Allocation Fund
Consolidated Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 697,091,117 | |||
|
| ||||
Investment securities, at value* | $ | 763,929,562 | |||
Cash | 17,865 | ||||
Segregated cash for collateral | 2,875,225 | ||||
Deposits with brokers for securities sold short | 322,112 | ||||
Interest and dividends receivable | 2,361,976 | ||||
Foreign currency, at value (cost $486,671) | 486,946 | ||||
Unrealized appreciation on forward currency contracts | 146,316 | ||||
Unrealized appreciation on swap agreements | 130,073 | ||||
Receivable for capital shares issued | 333,059 | ||||
Proceeds paid on swap agreements | 46,393 | ||||
Receivable for investments sold | 3,404,442 | ||||
Reclaims receivable | 122,437 | ||||
Receivable for variation margin on swaps | 3,009 | ||||
Receivable for variation margin on futures contracts | 44,797 | ||||
Prepaid expenses | 11,112 | ||||
|
| ||||
Total Assets | 774,235,324 | ||||
|
| ||||
Liabilities: | |||||
Cash and securities received as collateral for derivatives | 3,632,845 | ||||
Written options (Proceeds received $3,204,986) | 3,273,802 | ||||
Unrealized depreciation on forward currency contracts | 808,630 | ||||
Unrealized depreciation on swap agreements | 29,392 | ||||
Payable for collateral received on loaned securities | 12,928,596 | ||||
Payable for investments purchased | 5,123,145 | ||||
Payable for investments redeemed | 653,174 | ||||
Securities sold short (Proceeds received $349,635) | 375,600 | ||||
Payable for variation margin on futures contracts | 50,491 | ||||
Payable for variation margin on swaps | 1,259 | ||||
Manager fees payable | 453,823 | ||||
Administration fees payable | 34,676 | ||||
Distribution fees payable | 151,273 | ||||
Custodian fees payable | 95,201 | ||||
Administrative and compliance services fees payable | 1,943 | ||||
Trustee fees payable | 4,492 | ||||
Other accrued liabilities | 14,134 | ||||
|
| ||||
Total Liabilities | 27,632,476 | ||||
|
| ||||
Net Assets | $ | 746,602,848 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 640,830,928 | |||
Accumulated net investment income/(loss) | 9,145,938 | ||||
Accumulated net realized gains/(losses) from investment transactions | 30,771,160 | ||||
Net unrealized appreciation/(depreciation) on investments | 65,854,822 | ||||
|
| ||||
Net Assets | $ | 746,602,848 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 59,840,120 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.48 | |||
|
|
* | Includes securities on loan of $12,503,743. |
Consolidated Statement of Operations
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 7,090,505 | |||
Interest | 2,687,759 | ||||
Income from securities lending | 197,884 | ||||
Foreign withholding tax | (421,931 | ) | |||
|
| ||||
Total Investment Income | 9,554,217 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,560,537 | ||||
Administration fees | 160,166 | ||||
Distribution fees | 853,512 | ||||
Custodian fees | 162,243 | ||||
Administrative and compliance services fees | 5,648 | ||||
Trustee fees | 17,539 | ||||
Professional fees | 18,134 | ||||
Shareholder reports | 4,458 | ||||
Dividends on securities sold short | 13,450 | ||||
Other expenses | 6,763 | ||||
|
| ||||
Total expenses before reductions | 3,802,450 | ||||
Less expenses paid indirectly | (721 | ) | |||
|
| ||||
Net expenses | 3,801,729 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,752,488 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 19,850,744 | ||||
Net realized gains/(losses) on futures contracts | (3,432,424 | ) | |||
Net realized gains/(losses) on options contracts | (350,115 | ) | |||
Net realized gains/(losses) on swap agreements | (17,568 | ) | |||
Net realized gains/(losses) on forward currency contracts | 12,592 | ||||
Change in net unrealized appreciation/depreciation on investments | 3,246,349 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 19,309,578 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 25,062,066 | |||
|
|
See accompanying notes to the financial statements.
21
Consolidated Statements of Changes in Net Assets
AZL BlackRock Global Allocation Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,752,488 | $ | 3,428,686 | ||||||
Net realized gains/(losses) on investment transactions | 16,063,229 | 15,537,052 | ||||||||
Change in unrealized appreciation/depreciation on investments | 3,246,349 | 43,890,720 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 25,062,066 | 62,856,458 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (48,119 | ) | |||||||
From net realized gains | — | (976,480 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (1,024,599 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 78,288,293 | 276,183,753 | ||||||||
Proceeds from dividends reinvested | — | 1,024,599 | ||||||||
Value of shares redeemed | (3,436,283 | ) | (1,414,434 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 74,852,010 | 275,793,918 | ||||||||
|
|
|
| |||||||
Change in net assets | 99,914,076 | 337,625,777 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 646,688,772 | 309,062,995 | ||||||||
|
|
|
| |||||||
End of period | $ | 746,602,848 | $ | 646,688,772 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 9,145,938 | $ | 3,393,450 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 6,467,587 | 24,476,115 | ||||||||
Dividends reinvested | — | 89,877 | ||||||||
Shares redeemed | (284,180 | ) | (120,241 | ) | ||||||
|
|
|
| |||||||
Change in shares | 6,183,407 | 24,445,751 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
22
AZL BlackRock Global Allocation Fund
Consolidated Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, | Year Ended December 31, | January 10, 2012 to December 31, | |||||||||||||
(Unaudited) | |||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.05 | $ | 10.58 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Investment Activities: | |||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.07 | 0.13 | ||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.34 | 1.42 | 0.58 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total from Investment Activities | 0.43 | 1.49 | 0.71 | ||||||||||||
|
|
|
|
|
| ||||||||||
Dividends to Shareholders From: | |||||||||||||||
Net Investment Income | — | — | (b) | (0.13 | ) | ||||||||||
Realized Gains | — | (0.02 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total Dividends | — | (0.02 | ) | (0.13 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Net Asset Value, End of Period | $ | 12.48 | $ | 12.05 | $ | 10.58 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(c) | 3.57 | %(d) | 14.11 | % | 7.13 | %(d) | |||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||
Net Assets, End of Period (000’s) | $ | 746,603 | $ | 646,689 | $ | 309,063 | |||||||||
Net Investment Income/(Loss)(e) | 1.68 | % | 0.72 | % | 1.09 | % | |||||||||
Expenses Before Reductions(e)(f) | 1.11 | % | 1.14 | % | 1.15 | % | |||||||||
Expenses Net of Reductions(e) | 1.11 | % | 1.14 | % | 1.14 | % | |||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e)(g) | 1.11 | % | 1.14 | % | 1.15 | % | |||||||||
Portfolio Turnover Rate | 36 | %(d) | 50 | % | 74 | %(d) |
(a) | Period from commencement of operations. |
(b) | Less than $0.005. |
(c) | The return includes reinvested dividends and fund level expenses, but excludes insurance contract charges. If these charges were included, the returns would have been lower. |
(d) | Not annualized. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, which is used to pay certain Fund Expenses. See Note 2 in Notes to Consolidated Financial Statements. |
See accompanying notes to the financial statements.
23
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL BlackRock Global Allocation Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Consolidation of Subsidiaries
The Fund’s primary vehicle for gaining exposure to the commodities markets is through investment in the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund formed in the Cayman Islands, which invests primarily in commodity-related instruments.
As of June 30, 2014, the Fund’s aggregate investment in the Subsidiary was $9,269,796, representing 1.24% of the Fund’s net assets.
The Fund’s operations have been consolidated with the operations of the Subsidiary.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Floating Rate Loans
The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are floating, not fixed and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.
24
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Consolidated Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $15.5 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $19,672 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Consolidated Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Consolidated Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Consolidated Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $102.8 million as of June 30, 2014. The monthly average amount for these contracts was $74.0 million for the period ended June 30, 2014.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to gain exposure to, or economically hedge against changes in the value of equity securities. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with
25
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $57.5 million as of June 30, 2014. The monthly average notional amount for these contracts was $51.8 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Consolidated Statement of Operations.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2014, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Consolidated Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Consolidated Statement of Operations.
The Fund had the following transactions in purchased call and put options during the period ended June 30, 2014:
Number of Contracts | Cost | |||||||||
Options outstanding at December 31, 2013 | 4,017,737 | $ | 4,217,942 | |||||||
Options purchased | 2,929,347 | 11,339,616 | ||||||||
Options exercised | — | — | ||||||||
Options expired | (2,058,916 | ) | (2,499,413 | ) | ||||||
Options closed | (1,431,138 | ) | (5,451,927 | ) | ||||||
|
|
|
| |||||||
Options outstanding at June 30, 2014 | 3,457,030 | $ | 7,606,218 | |||||||
|
|
|
|
The Fund had the following transactions in written call and put options during the period ended June 30, 2014:
Number of Contracts | Premiums Received | |||||||||
Options outstanding at December 31, 2013 | (63,845 | ) | $ | (1,043,812 | ) | |||||
Options written | (3,668,123 | ) | (6,292,492 | ) | ||||||
Options exercised | 19,712 | 100,336 | ||||||||
Options expired | 520,752 | 725,345 | ||||||||
Options closed | 617,490 | 3,305,637 | ||||||||
|
|
|
| |||||||
Options outstanding at June 30, 2014 | (2,574,014 | ) | $ | (3,204,986 | ) | |||||
|
|
|
|
Swap Agreements
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be indentified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.
Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps.
26
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members will satisfy its obligations to the Fund.
The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Consolidated Schedule of Portfolio Investments. The Fund is party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, through the Subsidiary, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.
Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of June 30, 2014, the Fund entered into OTC and centrally cleared interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The Fund did not have any interest rate swaps outstanding as of June 30, 2014. The monthly average gross notional amount for interest rate swaps was $17.3 million for the period ended June 30, 2014.
Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. The gross notional amount of total return swaps outstanding was $27.4 million as of June 30, 2014. The monthly average gross notional amount for total return swaps was $42.4 million to the period ended June 30, 2014.
Credit default swap agreements may have as reference obligations one or more securities that are not currently held by the Fund. The protection “buyer” in a credit default contract is generally obligated to pay the protection “seller” an upfront, periodic, or daily stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If the Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
Credit default swap agreements involve greater risks than if a Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront, periodic, or daily payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. The Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owing to the Fund). In connection with credit default swaps in which a Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which a Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that the Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss. As of June 30, 2014, the Fund entered into OTC and centrally cleared credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The gross notional amount of OTC and centrally cleared credit default swaps outstanding was $4.9 million as of June 30, 2014. The monthly average gross notional amount for credit default swaps was $3.2 million for the period ended June 30, 2014.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Consolidated Statement of Assets and Liabilities Location | Total Fair Value | Consolidated Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Risk Exposure | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 138,132 | Payable for variation margin on futures contracts* | $ | 398,188 | ||||||
Option Contracts | Investment securities, at value (purchased options) | 8,292,062 | Written options | 3,273,802 | ||||||||
Total Return Swap Agreements | Unrealized appreciation on swap agreements | 129,365 | Unrealized depreciation on swap agreements | 20,697 |
27
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Consolidated Statement of Assets and Liabilities Location | Total Fair Value | Consolidated Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Credit Risk Exposure | ||||||||||||
Credit Default Swap Agreements | Unrealized appreciation on swap agreements+ | $ | 6,152 | Unrealized depreciation on swap agreements+ | $ | 29,198 | ||||||
Foreign Exchange Rate Risk Exposure | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 146,316 | Unrealized depreciation on forward currency contracts | 808,630 |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities as Variation margin on futures contracts. |
+ | For swap agreements, the amounts represent the cumulative appreciation/(depreciation) of these agreements as reported in the Consolidated Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities as Variation margin on swaps. |
The following is a summary of the effect of derivative instruments on the Consolidated Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations | Net Change in Unrealized Appreciation/(Depreciation) on Derivatives Recognized as a Result from Operations | ||||||||||||||||||||||||
Net Realized Gains/(Losses) on Futures Contracts | Net Realized Gains/(Losses) on Swap Agreements | Net Realized Gains/(Losses) on Option Contracts | Net Realized Gains/(Losses) on Forward Currency Contracts | Change in Net Unrealized Appreciation/Depreciation on Investments | |||||||||||||||||||||
Equity Risk Exposure | $ | (3,432,424 | ) | $ | — | $ | (350,115 | ) | $ | — | $ | 2,574,355 | |||||||||||||
Credit Risk Exposure | — | (31,596 | ) | — | — | 28,635 | |||||||||||||||||||
Interest Rate Risk Exposure | — | — | — | — | 91,517 | ||||||||||||||||||||
Foreign Exchange Rate Risk Exposure | — | — | — | 12,592 | (1,524,764 | ) |
Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Consolidated Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2014. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Consolidated Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014.
As of June 30, 2014, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Futures contracts | $ | 44,820 | $ | 50,511 | ||||||
Forward currency contracts | 146,316 | 808,630 | ||||||||
Option contracts* | 8,292,062 | 3,273,802 | ||||||||
Swap agreements | 179,475 | 30,651 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | 8,662,673 | 4,163,594 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (756,719 | ) | (263,168 | ) | ||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 7,905,954 | $ | 3,900,426 | ||||||
|
|
|
|
* | Includes option contracts purchased at value as reported in the Consolidated Statement of Assets and Liabilities. |
28
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of June 30, 2014:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Bank of America | $ | 371,672 | $ | (364,658 | ) | $ | — | $ | — | $ | 7,014 | ||||||||||||||
Barclays Bank | 231,143 | (92,758 | ) | — | — | 138,385 | |||||||||||||||||||
BNP Paribas | 102,404 | (100,613 | ) | — | — | 1,791 | |||||||||||||||||||
Citibank | 906,508 | (719,652 | ) | — | (100,000 | ) | 86,856 | ||||||||||||||||||
Credit Suisse First Boston | 423,529 | (319,937 | ) | (103,592 | ) | — | — | ||||||||||||||||||
Deutsche Bank | 2,390,486 | (805,183 | ) | — | (1,200,000 | ) | 385,303 | ||||||||||||||||||
Goldman Sachs | 2,460,668 | (831,563 | ) | — | (1,629,105 | ) | — | ||||||||||||||||||
JPMorgan Chase | 322,966 | (126,032 | ) | — | — | 196,934 | |||||||||||||||||||
Morgan Stanley | 524,630 | (371,192 | ) | — | — | 153,438 | |||||||||||||||||||
UBS Warburg | 171,948 | (168,838 | ) | — | — | 3,110 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 7,905,954 | $ | (3,900,426 | ) | $ | (103,592 | ) | $ | (2,929,105 | ) | $ | 972,831 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
The following table presents the Fund’s derivative liabilities by counerparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2014:
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Bank of America | $ | 364,658 | $ | (364,658 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Barclays Bank | 92,758 | (92,758 | ) | — | — | — | |||||||||||||||||||
BNP Paribas | 100,613 | (100,613 | ) | — | — | — | |||||||||||||||||||
Citibank | 719,652 | (719,652 | ) | — | — | — | |||||||||||||||||||
Credit Suisse First Boston | 319,937 | (319,937 | ) | — | — | — | |||||||||||||||||||
Deutsche Bank | 805,183 | (805,183 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs | 831,563 | (831,563 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase | 126,032 | (126,032 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley | 371,192 | (371,192 | ) | — | — | — | |||||||||||||||||||
UBS Warburg | 168,838 | (168,838 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 3,900,426 | $ | (3,900,426 | ) | $ | — | $ | — | $ | — | ||||||||||||||
|
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|
|
|
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|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Consolidated Statement of Assets and Liabilities. |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Consolidated Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL BlackRock Global Allocation Fund | 0.75 | % | 1.19 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Consolidated Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Consolidated Statement of Operations.
29
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Consolidated Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Consolidated Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Consolidated Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,903 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy. Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy. Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
30
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Aerospace & Defense | $ | 5,688,230 | $ | 6,892,710 | $ | — | $ | 12,580,940 | ||||||||||||
Air Freight & Logistics | 4,581,156 | 355,119 | — | 4,936,275 | ||||||||||||||||
Airlines | 2,859,663 | 1,433,635 | — | 4,293,298 | ||||||||||||||||
Auto Components | 3,275,276 | 7,030,646 | — | 10,305,922 | ||||||||||||||||
Automobiles | 2,368,578 | 12,967,627 | — | 15,336,205 | ||||||||||||||||
Banks | 16,944,852 | 13,384,691 | — | 30,329,543 | ||||||||||||||||
Beverages | 5,127,401 | 2,682,407 | 1,063,140 | 8,872,948 | ||||||||||||||||
Biotechnology | 6,618,681 | 251,709 | — | 6,870,390 | ||||||||||||||||
Building Products | — | 2,307,670 | — | 2,307,670 | ||||||||||||||||
Capital Markets | 1,581,712 | 2,676,701 | — | 4,258,413 | ||||||||||||||||
Chemicals | 2,522,059 | 12,778,412 | — | 15,300,471 | ||||||||||||||||
Commercial Services & Supplies | 130,781 | 69,663 | — | 200,444 | ||||||||||||||||
Communications Equipment | 2,702,449 | 793,780 | — | 3,496,229 | ||||||||||||||||
Construction & Engineering | — | 2,290,722 | — | 2,290,722 | ||||||||||||||||
Construction Materials | — | 414,372 | — | 414,372 | ||||||||||||||||
Distributors | — | 39,462 | — | 39,462 | ||||||||||||||||
Diversified Consumer Services | — | 160,657 | — | 160,657 | ||||||||||||||||
Diversified Financial Services | 3,817,115 | 1,835,515 | — | 5,652,630 | ||||||||||||||||
Diversified Telecommunication Services | 3,349,757 | 5,670,284 | — | 9,020,041 | ||||||||||||||||
Electric Utilities | 3,359,739 | 741,194 | — | 4,100,933 | ||||||||||||||||
Electrical Equipment | 3,673,844 | 3,768,063 | — | 7,441,907 | ||||||||||||||||
Electronic Equipment, Instruments & Components | 294,378 | 4,314,142 | — | 4,608,520 | ||||||||||||||||
Energy Equipment & Services | 3,817,914 | 1,642,497 | 1,761,837 | 7,222,248 | ||||||||||||||||
Food & Staples Retailing | 1,357,363 | 379,020 | — | 1,736,383 | ||||||||||||||||
Food Products | 1,122,261 | 9,002,541 | — | 10,124,802 | ||||||||||||||||
Gas Utilities | — | 1,759,041 | — | 1,759,041 | ||||||||||||||||
Health Care Equipment & Supplies | 2,222,185 | 407,501 | — | 2,629,686 | ||||||||||||||||
Health Care Providers & Services | 16,822,956 | 6,158,549 | — | 22,981,505 | ||||||||||||||||
Household Durables | 632,746 | 1,681,779 | — | 2,314,525 | ||||||||||||||||
Household Products | 7,701,564 | 688,300 | — | 8,389,864 | ||||||||||||||||
Industrial Conglomerates | 5,935,978 | 7,517,982 | — | 13,453,960 | ||||||||||||||||
Insurance | 7,422,897 | 9,239,373 | — | 16,662,270 | ||||||||||||||||
Internet Software & Services | 13,254,151 | 2,176,793 | — | 15,430,944 | ||||||||||||||||
IT Services | 10,295,346 | 3,068,714 | — | 13,364,060 | ||||||||||||||||
Leisure Products | 669,037 | 778,254 | — | 1,447,291 | ||||||||||||||||
Machinery | 4,271,308 | 4,997,528 | — | 9,268,836 | ||||||||||||||||
Media | 10,081,081 | 793,121 | — | 10,874,202 | ||||||||||||||||
Metals & Mining | 13,760,638 | 7,459,595 | — | 21,220,233 | ||||||||||||||||
Multiline Retail | 115,692 | 602,090 | — | 717,782 | ||||||||||||||||
Multi-Utilities | 3,471,223 | 2,126,532 | — | 5,597,755 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 28,495,150 | 10,492,692 | 712,042 | 39,699,884 | ||||||||||||||||
Personal Products | 670,819 | 402,602 | — | 1,073,421 | ||||||||||||||||
Pharmaceuticals | 10,762,619 | 15,518,233 | — | 26,280,852 | ||||||||||||||||
Real Estate Investment Trusts (REITs) | 4,345,112 | 782,710 | — | 5,127,822 | ||||||||||||||||
Real Estate Management & Development | 2,467,439 | 6,010,241 | — | 8,477,680 | ||||||||||||||||
Road & Rail | 5,666,182 | 2,172,616 | — | 7,838,798 | ||||||||||||||||
Semiconductors & Semiconductor Equipment | 59,855 | 4,068,366 | — | 4,128,221 | ||||||||||||||||
Software | 7,599,506 | 2,007,205 | — | 9,606,711 | ||||||||||||||||
Specialty Retail | — | 2,077,331 | — | 2,077,331 | ||||||||||||||||
Technology Hardware, Storage & Peripherals | 6,005,542 | 635,969 | — | 6,641,511 | ||||||||||||||||
Textiles, Apparel & Luxury Goods | 2,146,700 | 969,828 | — | 3,116,528 |
31
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Trading Companies & Distributors | $ | 1,355,086 | $ | 6,326,699 | $ | — | $ | 7,681,785 | ||||||||||||
Transportation Infrastructure | — | 125,137 | 407,108 | 532,245 | ||||||||||||||||
Wireless Telecommunication Services | 1,605,351 | 3,404,776 | — | 5,010,127 | ||||||||||||||||
All Other Common Stocks+ | 18,795,129 | — | — | 18,795,129 | ||||||||||||||||
Preferred Stocks | ||||||||||||||||||||
Auto Components | — | — | 483,628 | 483,628 | ||||||||||||||||
Automobiles | — | 2,267,372 | — | 2,267,372 | ||||||||||||||||
Banks | 5,032,617 | 435,628 | — | 5,468,245 | ||||||||||||||||
Communications Equipment | — | 678,673 | — | 678,673 | ||||||||||||||||
Real Estate Investment Trusts (REITs) | 300,686 | 596,623 | — | 897,309 | ||||||||||||||||
Real Estate Management & Development | — | 367,409 | — | 367,409 | ||||||||||||||||
All Other Preferred Stocks+ | 1,721,018 | — | — | 1,721,018 | ||||||||||||||||
Warrants+ | — | 128,797 | — | 128,797 | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||
Airlines | — | 32,033 | — | 32,033 | ||||||||||||||||
Banks | — | 299,642 | — | 299,642 | ||||||||||||||||
All Other Convertible Preferred Stocks+ | 1,265,219 | — | — | 1,265,219 | ||||||||||||||||
Convertible Bonds+ | — | 16,966,889 | — | 16,966,889 | ||||||||||||||||
Floating Rate Loans | ||||||||||||||||||||
Energy Equipment & Services | — | 802,790 | 1,193,266 | 1,996,056 | ||||||||||||||||
All Other Floating Rate Loans+ | — | 5,870,693 | — | 5,870,963 | ||||||||||||||||
Corporate Bonds | ||||||||||||||||||||
Transportation Infrastructure | — | — | 517,424 | 517,424 | ||||||||||||||||
All Other Corporate Bonds+ | — | 14,860,669 | — | 14,860,669 | ||||||||||||||||
Foreign Bonds+ | — | 72,686,916 | — | 72,686,916 | ||||||||||||||||
Yankee Dollars+ | — | 19,057,764 | — | 19,057,764 | ||||||||||||||||
U.S. Treasury Obligations | — | 123,257,586 | — | 123,257,586 | ||||||||||||||||
Purchased Swaptions | — | 1,507,382 | — | 1,507,382 | ||||||||||||||||
Purchased Options | 661,613 | 6,123,067 | — | 6,784,680 | ||||||||||||||||
Exchange Traded Funds | 8,223,646 | — | — | 8,223,646 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 12,928,596 | — | 12,928,596 | ||||||||||||||||
Unaffiliated Investment Company | 1,560,222 | — | — | 1,560,222 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 280,589,522 | $ | 477,201,595 | $ | 6,138,445 | $ | 763,929,562 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Securities Sold Short | — | (375,600 | ) | — | (375,600 | ) | ||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (260,056 | ) | — | — | (260,056 | ) | ||||||||||||||
Written Put Options | 14,078 | 311,802 | — | 325,880 | ||||||||||||||||
Written Call Options | (94,845 | ) | (259,393 | ) | — | (354,238 | ) | |||||||||||||
Written Swaptions | — | (40,458 | ) | — | (40,458 | ) | ||||||||||||||
Forward Currency Contracts | — | (662,314 | ) | — | (662,314 | ) | ||||||||||||||
Over-the-Counter Credit Default Swaps | — | (7,987 | ) | — | (7,987 | ) | ||||||||||||||
Centrally Cleared Credit Default Swaps | — | (15,059 | ) | — | (15,059 | ) | ||||||||||||||
Total Return Swaps | — | 108,668 | — | 108,668 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 280,248,699 | $ | 476,261,254 | $ | 6,138,445 | $ | 762,648,398 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts, written options, forward currency contacts, and swaps. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL BlackRock Global Allocation Fund | $ | 270,665,067 | $ | 213,501,361 |
32
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
For the period ended June 30, 2014, purchases and sales on long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL BlackRock Global Allocation Fund | $ | 29,871,227 | $ | 39,113,143 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Delta Debtco, Ltd., 9.25%, 10/30/19 | 10/17/12 | $ | 564,471 | $ | 571,000 | $ | 594,554 | 0.08 | % | ||||||||||||||||
Delta Topco, Ltd. | 5/2/12 | 379,997 | 615,711 | 407,108 | 0.06 | % | |||||||||||||||||||
Delta Topco, Ltd., 10.00%, 11/24/60 | 5/2/12 | 474,384 | 516,343 | 517,424 | 0.07 | % | |||||||||||||||||||
Inversiones Alsacia SA, 8.00%, 8/18/18, Callable 2/18/15 @ 104.00 | 2/1/12 | 325,083 | 370,503 | 248,237 | 0.03 | % | |||||||||||||||||||
Mobileye N.V., Series F, Preferred Shares | 8/15/13 | 426,443 | 12,219 | 483,628 | 0.07 | % | |||||||||||||||||||
Palantir Technologies, Inc. | 3/27/14 | 712,042 | 116,157 | 712,042 | 0.10 | % | |||||||||||||||||||
Uber Technologies, Inc., Preferred | 3/21/14 | 1,063,120 | 17,133 | 1,063,140 | 0.14 | % | |||||||||||||||||||
Dropbox, Inc. | 1/28/14 | 1,827,985 | 95,700 | 1,761,837 | 0.24 | % | |||||||||||||||||||
REI Agro, Ltd., Registered Shares, | 2/7/12 | 378,307 | 400,000 | 100,000 | 0.01 | % | |||||||||||||||||||
TFS Corp., Ltd., 11.00%, 7/15/18, Callable 7/15/15 @ 108.00 | 6/6/12 | 413,239 | 425,000 | 440,406 | 0.06 | % | |||||||||||||||||||
Twitter, Inc. | 12/27/12 | 669,581 | 39,416 | 1,534,130 | 0.21 | % | |||||||||||||||||||
Zeus (Cayman) II, Ltd., Registered Shares, (23.28)%, 8/18/16+ | 1/25/12 | 250,959 | 20,000,000 | 347,596 | 0.05 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
+ | The principle amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
7. Investment Risks
Commodities-Related Investment Risk: Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. The U.S. Commodities Futures Trading Commission has proposed changes to certain of its rules governing investment in commodities by mutual funds, such as the Fund. In the event these changes are adopted, or if there are changes in the tax treatment of the Fund’s direct and indirect investments in commodities, the Fund may be unable to obtain exposure to commodity markets, or may be limited in the extent to which or manner in which it can obtain such exposure.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising
33
AZL BlackRock Global Allocation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $710,559,513. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 76,543,622 | ||
Unrealized depreciation | (23,173,573 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 53,370,049 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL BlackRock Global Allocation Fund | $ | 1,024,599 | $ | — | $ | 1,024,599 |
(a) | Total distributions paid may differ from the Consolidated Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL BlackRock Global Allocation Fund | $ | 10,588,934 | $ | 8,900,442 | $ | — | $ | 61,240,378 | $ | 80,729,754 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2014, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.
10. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
34
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
35
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Dreyfus Research Growth Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 11 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Dreyfus Research Growth Fund
(Unaudited)
As a shareholder of the AZL Dreyfus Research Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Dreyfus Research Growth Fund | $ | 1,000.00 | $ | 1,040.00 | $ | 5.06 | 1.00 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Dreyfus Research Growth Fund | $ | 1,000.00 | $ | 1,019.84 | $ | 5.01 | 1.00 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 27.5 | % | |||
Consumer Discretionary | 17.7 | ||||
Health Care | 14.1 | ||||
Consumer Staples | 11.2 | ||||
Industrials | 10.4 | ||||
Energy | 6.5 | ||||
Financials | 5.6 | ||||
Materials | 3.9 | ||||
|
| ||||
Total Common Stock | 96.9 | ||||
Affiliated Investment Companies | 1.5 | ||||
Exchange Traded Fund | 1.0 | ||||
|
| ||||
Total Investment Securities | 99.4 | ||||
Net other assets (liabilities) | 0.6 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Dreyfus Research Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (96.9%): |
| ||||||
| Aerospace & Defense (3.5%): |
| ||||||
72,770 | Honeywell International, Inc. | $ | 6,763,971 | |||||
21,980 | Precision Castparts Corp. | 5,547,752 | ||||||
|
| |||||||
12,311,723 | ||||||||
|
| |||||||
| Air Freight & Logistics (1.0%): |
| ||||||
23,290 | FedEx Corp. | 3,525,640 | ||||||
|
| |||||||
| Auto Components (1.3%): |
| ||||||
67,180 | Delphi Automotive plc | 4,617,953 | ||||||
|
| |||||||
| Beverages (3.8%): |
| ||||||
87,940 | Coca-Cola Enterprises, Inc. | 4,201,773 | ||||||
100,540 | PepsiCo, Inc. | 8,982,244 | ||||||
|
| |||||||
13,184,017 | ||||||||
|
| |||||||
| Biotechnology (6.3%): |
| ||||||
25,690 | Alexion Pharmaceuticals, Inc.* | 4,014,063 | ||||||
15,440 | Biogen Idec, Inc.* | 4,868,386 | ||||||
88,030 | Gilead Sciences, Inc.* | 7,298,566 | ||||||
8,350 | Regeneron Pharmaceuticals, Inc.* | 2,358,625 | ||||||
41,810 | Vertex Pharmaceuticals, Inc.* | 3,958,571 | ||||||
|
| |||||||
22,498,211 | ||||||||
|
| |||||||
| Capital Markets (2.3%): |
| ||||||
34,540 | Ameriprise Financial, Inc. | 4,144,800 | ||||||
12,370 | BlackRock, Inc., Class A | 3,953,452 | ||||||
|
| |||||||
8,098,252 | ||||||||
|
| |||||||
| Chemicals (2.9%): |
| ||||||
45,760 | Eastman Chemical Co. | 3,997,136 | ||||||
47,240 | Praxair, Inc. | 6,275,361 | ||||||
|
| |||||||
10,272,497 | ||||||||
|
| |||||||
| Commercial Services & Supplies (1.4%): |
| ||||||
108,630 | Tyco International, Ltd. | 4,953,528 | ||||||
|
| |||||||
| Communications Equipment (1.3%): |
| ||||||
179,590 | Juniper Networks, Inc.* | 4,407,139 | ||||||
|
| |||||||
| Construction & Engineering (1.3%): |
| ||||||
59,150 | Fluor Corp. | 4,548,635 | ||||||
|
| |||||||
| Construction Materials (1.0%): |
| ||||||
26,330 | Martin Marietta Materials, Inc. | 3,476,877 | ||||||
|
| |||||||
| Consumer Finance (2.3%): |
| ||||||
55,510 | American Express Co. | 5,266,234 | ||||||
46,050 | Discover Financial Services | 2,854,179 | ||||||
|
| |||||||
8,120,413 | ||||||||
|
| |||||||
| Diversified Financial Services (1.0%): |
| ||||||
18,340 | IntercontinentalExchange Group, Inc. | 3,464,426 | ||||||
|
| |||||||
| Energy Equipment & Services (4.6%): |
| ||||||
88,570 | Halliburton Co. | 6,289,356 | ||||||
83,450 | Schlumberger, Ltd. | 9,842,927 | ||||||
|
| |||||||
16,132,283 | ||||||||
|
| |||||||
| Food & Staples Retailing (2.8%): |
| ||||||
44,630 | Costco Wholesale Corp. | 5,139,591 | ||||||
60,160 | CVS Caremark Corp. | 4,534,259 | ||||||
|
| |||||||
9,673,850 | ||||||||
|
| |||||||
| Food Products (1.0%): |
| ||||||
94,220 | Mondelez International, Inc., Class A | 3,543,614 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Providers & Services (2.4%): |
| ||||||
27,480 | McKesson, Inc. | $ | 5,117,051 | |||||
42,160 | UnitedHealth Group, Inc. | 3,446,580 | ||||||
|
| |||||||
8,563,631 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.3%): |
| ||||||
44,820 | Las Vegas Sands Corp. | 3,416,181 | ||||||
12,930 | Starbucks Corp. | 1,000,523 | ||||||
|
| |||||||
4,416,704 | ||||||||
|
| |||||||
| Household Products (1.6%): |
| ||||||
84,770 | Colgate-Palmolive Co. | 5,779,619 | ||||||
|
| |||||||
| Industrial Conglomerates (1.3%): |
| ||||||
58,560 | Danaher Corp. | 4,610,429 | ||||||
|
| |||||||
| Internet & Catalog Retail (2.6%): |
| ||||||
16,430 | Amazon.com, Inc.* | 5,336,135 | ||||||
3,260 | Priceline.com, Inc.* | 3,921,780 | ||||||
|
| |||||||
9,257,915 | ||||||||
|
| |||||||
| Internet Software & Services (6.2%): |
| ||||||
105,440 | Facebook, Inc., Class A* | 7,095,058 | ||||||
12,600 | Google, Inc., Class C* | 7,248,528 | ||||||
12,600 | Google, Inc., Class A* | 7,366,842 | ||||||
|
| |||||||
21,710,428 | ||||||||
|
| |||||||
| IT Services (4.2%): |
| ||||||
56,080 | Accenture plc, Class A | 4,533,507 | ||||||
70,560 | Cognizant Technology Solutions Corp., Class A* | 3,451,090 | ||||||
32,720 | Visa, Inc., Class A | 6,894,431 | ||||||
|
| |||||||
14,879,028 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (1.3%): |
| ||||||
24,740 | Illumina, Inc.* | 4,417,080 | ||||||
|
| |||||||
| Machinery (1.9%): |
| ||||||
43,820 | Cummins, Inc. | 6,760,988 | ||||||
|
| |||||||
| Media (5.1%): |
| ||||||
24,290 | AMC Networks, Inc., Class A* | 1,493,592 | ||||||
146,730 | Comcast Corp., Class A | 7,876,467 | ||||||
119,840 | Twenty-First Century Fox, Inc. | 4,212,376 | ||||||
50,830 | Viacom, Inc., Class B | 4,408,486 | ||||||
|
| |||||||
17,990,921 | ||||||||
|
| |||||||
| Multiline Retail (0.7%): |
| ||||||
45,550 | Dollar General Corp.* | 2,612,748 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (1.9%): |
| ||||||
56,950 | EOG Resources, Inc. | 6,655,177 | ||||||
|
| |||||||
| Pharmaceuticals (4.1%): |
| ||||||
107,150 | Bristol-Myers Squibb Co. | 5,197,846 | ||||||
37,100 | Forest Laboratories, Inc.* | 3,672,900 | ||||||
48,470 | Mylan, Inc.* | 2,499,113 | ||||||
19,830 | Perrigo Co. plc | 2,890,421 | ||||||
|
| |||||||
14,260,280 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.1%): |
| ||||||
78,600 | Xilinx, Inc. | 3,718,566 | ||||||
|
| |||||||
| Software (7.7%): |
| ||||||
52,310 | Adobe Systems, Inc.* | 3,785,152 | ||||||
63,970 | Intuit, Inc. | 5,151,503 | ||||||
339,890 | Microsoft Corp. | 14,173,412 | ||||||
73,070 | Salesforce.com, Inc.* | 4,243,906 | ||||||
|
| |||||||
27,353,973 | ||||||||
|
|
Continued
2
AZL Dreyfus Research Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Specialty Retail (2.7%): |
| ||||||
81,470 | Home Depot, Inc. (The) | $ | 6,595,811 | |||||
81,800 | Urban Outfitters, Inc.* | 2,769,748 | ||||||
|
| |||||||
9,365,559 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (7.0%): |
| ||||||
188,370 | Apple, Inc. | 17,505,225 | ||||||
155,830 | EMC Corp. | 4,104,562 | ||||||
29,980 | SanDisk Corp. | 3,130,811 | ||||||
|
| |||||||
24,740,598 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (4.0%): |
| ||||||
32,660 | Michael Kors Holdings, Ltd.* | 2,895,309 | ||||||
58,220 | Nike, Inc., Class B | 4,514,961 | ||||||
36,080 | PVH Corp. | 4,206,928 | ||||||
42,770 | Under Armour, Inc., Class A* | 2,544,387 | ||||||
|
| |||||||
14,161,585 | ||||||||
|
| |||||||
| Tobacco (2.0%): |
| ||||||
84,600 | Philip Morris International, Inc. | 7,132,626 | ||||||
|
| |||||||
| Total Common Stocks (Cost $244,153,687) | 341,216,913 | ||||||
|
|
Shares | Fair Value | |||||||
| Exchange Traded Fund (1.0%): |
| ||||||
38,820 | iShares Russell 1000 Growth ETF, 1.26% | $ | 3,529,903 | |||||
|
| |||||||
| Total Exchange Traded Fund (Cost $3,405,737) | 3,529,903 | ||||||
|
| |||||||
| Affiliated Investment Companies (1.5%): | |||||||
5,282,929 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(a) | 5,282,929 | ||||||
|
| |||||||
| Total Affiliated Investment Companies (Cost $5,282,929) | 5,282,929 | ||||||
|
| |||||||
| Total Investment Securities (Cost $252,842,353)(b) — 99.4% | 350,029,745 | ||||||
| Net other assets (liabilities) — 0.6% | 1,965,358 | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 351,995,103 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
(a) | The rate represents the effective yield at June 30, 2014. |
(b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
3
AZL Dreyfus Research Growth Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 247,559,424 | |||
Investments in affiliates, at cost | 5,282,929 | ||||
|
| ||||
Total Investment securities, at cost | $ | 252,842,353 | |||
|
| ||||
Investments in non-affiliates, at value | $ | 344,746,816 | |||
Investments in affiliates, at value | 5,282,929 | ||||
|
| ||||
Total Investment securities, at value | 350,029,745 | ||||
Interest and dividends receivable | 264,650 | ||||
Receivable for investments sold | 8,807,383 | ||||
Prepaid expenses | 1,680 | ||||
|
| ||||
Total Assets | 359,103,458 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 6,712,538 | ||||
Payable for capital shares redeemed | 93,424 | ||||
Manager fees payable | 201,056 | ||||
Administration fees payable | 11,742 | ||||
Distribution fees payable | 71,806 | ||||
Custodian fees payable | 4,352 | ||||
Administrative and compliance services fees payable | 912 | ||||
Trustee fees payable | 1,910 | ||||
Other accrued liabilities | 10,615 | ||||
|
| ||||
Total Liabilities | 7,108,355 | ||||
|
| ||||
Net Assets | $ | 351,995,103 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 207,177,243 | |||
Accumulated net investment income/(loss) | 1,029,401 | ||||
Accumulated net realized gains/(losses) from investment transactions | 46,601,067 | ||||
Net unrealized appreciation/(depreciation) on investments | 97,187,392 | ||||
|
| ||||
Net Assets | $ | 351,995,103 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 22,945,689 | ||||
Net Asset Value (offering and redemption price per share) | $ | 15.34 | |||
|
|
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,127,626 | |||
Interest | 4,973 | ||||
Dividends from affiliates | 1 | ||||
|
| ||||
Total Investment Income | 2,132,600 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,329,568 | ||||
Administration fees | 47,543 | ||||
Distribution fees | 436,990 | ||||
Custodian fees | 6,723 | ||||
Administrative and compliance services fees | 2,748 | ||||
Trustee fees | 8,629 | ||||
Professional fees | 8,362 | ||||
Shareholder reports | 9,162 | ||||
Other expenses | 3,251 | ||||
|
| ||||
Total expenses before reductions | 1,852,976 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (105,997 | ) | |||
|
| ||||
Net expenses | 1,746,979 | ||||
|
| ||||
Net Investment Income/(Loss) | 385,621 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 29,274,724 | ||||
Change in net unrealized appreciation/depreciation on investments | (16,109,769 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 13,164,955 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 13,550,576 | |||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL Dreyfus Research Growth Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 385,621 | $ | 643,804 | ||||||
Net realized gains/(losses) on investment transactions | 29,274,724 | 29,632,495 | ||||||||
Change in unrealized appreciation/depreciation on investments | (16,109,769 | ) | 68,018,427 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 13,550,576 | 98,294,726 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (1,345,946 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (1,345,946 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 8,468,692 | 20,353,105 | ||||||||
Proceeds from dividends reinvested | — | 1,345,946 | ||||||||
Value of shares redeemed | (30,798,042 | ) | (39,532,733 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (22,329,350 | ) | (17,833,682 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (8,778,774 | ) | 79,115,098 | |||||||
Net Assets: | ||||||||||
Beginning of period | 360,773,877 | 281,658,779 | ||||||||
|
|
|
| |||||||
End of period | $ | 351,995,103 | $ | 360,773,877 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 1,029,401 | $ | 643,780 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 566,953 | 1,617,698 | ||||||||
Dividends reinvested | — | 102,353 | ||||||||
Shares redeemed | (2,082,880 | ) | (3,128,891 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,515,927 | ) | (1,408,840 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL Dreyfus Research Growth Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.75 | $ | 10.89 | $ | 9.28 | $ | 9.62 | $ | 7.86 | $ | 5.86 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | 0.03 | 0.05 | 0.03 | 0.05 | 0.04 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.57 | 3.88 | 1.60 | (0.34 | ) | 1.75 | 1.99 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.59 | 3.91 | 1.65 | (0.31 | ) | 1.80 | 2.03 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.05 | ) | (0.04 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.05 | ) | (0.04 | ) | (0.03 | ) | (0.04 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 15.34 | $ | 14.75 | $ | 10.89 | $ | 9.28 | $ | 9.62 | $ | 7.86 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 4.00 | %(b) | 36.00 | % | 17.75 | % | (3.20 | )% | 22.92 | % | 34.76 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 351,995 | $ | 360,774 | $ | 281,659 | $ | 219,720 | $ | 193,126 | $ | 154,388 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.22 | % | 0.20 | % | 0.53 | % | 0.43 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Expenses Before Reductions(c) (d) | 1.06 | % | 1.07 | % | 1.07 | % | 1.10 | % | 1.11 | % | 1.12 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 0.99 | % | 0.97 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e) | 1.00 | % | 1.00 | % | 1.02 | % | 1.03 | % | 1.04 | % | 1.05 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 24 | %(b) | 48 | % | 53 | % | 109 | % | 112 | % | 165 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(f) | The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period. |
See accompanying notes to the financial statements.
6
AZL Dreyfus Research Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Dreyfus Research Growth Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL Dreyfus Research Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with The Dreyfus Corporation (“Dreyfus”), Dreyfus provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Dreyfus Research Growth Fund | 1.00 | % | 1.20 | % |
* | The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $10 million at 1.00%, the next $10 million at 0.875% and above $20 million at 0.75%. The Manager voluntarily reduced management fees to 0.70%. The Manager reserves the right to stop reducing the manager fee at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,099 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
8
AZL Dreyfus Research Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
During the period ended June 30, 2014, the Fund paid approximately $258 to affiliated broker/dealers of the Subadvisor on the execution of purchases and sales of the Fund’s portfolio investments.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 341,216,913 | $ | — | $ | 341,216,913 | |||||||||
Affiliated Investment Companies | 5,282,929 | — | 5,282,929 | ||||||||||||
Exchange Traded Funds | 3,529,903 | — | 3,529,903 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 350,029,745 | $ | — | $ | 350,029,745 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Dreyfus Research Growth Fund | $ | 84,665,906 | $ | 107,218,633 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
9
AZL Dreyfus Research Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $253,012,614. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 98,351,460 | ||
Unrealized depreciation | (1,334,329 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 97,017,131 | ||
|
|
During the year ended December 31, 2013, the Fund utilized $11,560,566 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Dreyfus Research Growth Fund | $ | 1,345,946 | $ | — | $ | 1,345,946 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Dreyfus Research Growth Fund | $ | 643,781 | $ | 17,604,342 | $ | — | $ | 113,019,161 | $ | 131,267,284 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
10
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
11
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Enhanced Bond Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 12 |
Page 12 |
Statements of Changes in Net Assets Page 13 |
Page 14 |
Notes to the Financial Statements Page 15 |
Page 22 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Enhanced Bond Index Fund
(Unaudited)
As a shareholder of the AZL Enhanced Bond Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,036.60 | $ | 3.28 | 0.65 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,021.57 | $ | 3.26 | 0.65 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 32.7 | % | |||
U.S. Treasury Obligation | 28.0 | ||||
Corporate Bond | 18.4 | ||||
Yankee Dollar | 9.6 | ||||
Collateralized Mortgage Obligations | 7.5 | ||||
Asset Backed Securities | 6.5 | ||||
Money Market | 6.1 | ||||
Municipal Bond | 1.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.2 | ||||
Other Investments | 0.2 | ||||
|
| ||||
Total Investment Securities | 110.2 | ||||
Net other assets (liabilities) | (10.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Asset Backed Securities (6.5%): |
| ||||||
$ | 2,360,000 | AmeriCredit Automobile Receivables Trust, Class A3, Series 2013-5, 0.90%, 9/8/18 | $ | 2,366,382 | ||||
404,065 | Auto ABS Compartiment, Class A, Series 2012-2, 2.80%, 4/27/25(a) | 559,098 | ||||||
2,160,000 | Cabela’s Master Credit Card Trust, Class A2, Series 2013-2A, 0.80%, 8/16/21(a)(b) | 2,178,266 | ||||||
1,714,898 | Capital Auto Receivables Asset Trust, Class A2, Series 2013-1, 0.62%, 7/20/16 | 1,715,067 | ||||||
2,560,000 | Chrysler Capital Auto Receivables Trust, Class A3, Series 2013-BA, 0.85%, 5/15/18(a) | 2,567,886 | ||||||
1,270,000 | Chrysler Capital Auto Receivables Trust, Class B, Series 2013-BA, 1.78%, 6/17/19(a) | 1,281,958 | ||||||
1,460,000 | Chrysler Capital Auto Receivables Trust, Class D, Series 2013-BA, 2.89%, 10/15/20(a) | 1,488,416 | ||||||
2,210,000 | Citibank Credit Card Issuance Trust, Class A1, Series 2014-A1, 2.88%, 1/23/23 | 2,257,820 | ||||||
2,090,000 | CNH Equipment Trust, Class A3, Series 2013-A, 0.69%, 6/15/18 | 2,092,590 | ||||||
1,920,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2013-1A, 1.21%, 10/15/20(a) | 1,921,751 | ||||||
867,504 | First Investors Auto Owner Trust, Class A2, Series 2013-1A, 0.90%, 10/15/18(a) | 868,705 | ||||||
1,821,000 | Ford Credit Auto Owner Trust, Class A3, Series 2013-A, 0.55%, 7/15/17 | 1,821,641 | ||||||
2,025,000 | Ford Credit Floorplan Master Owner Trust, Class A, Series 2012-2, 1.92%, 1/15/19 | 2,065,427 | ||||||
1,595,000 | Golden Credit Card Trust, Class A, Series 2013-1A, 0.40%, 2/15/18(a)(b) | 1,595,255 | ||||||
3,290,000 | Golden Credit Card Trust, Class A, Series 2014-1A, 0.47%, 3/15/19(a)(b) | 3,289,894 | ||||||
2,205,000 | HLSS Servicer Advance Receivables Backed Notes, Class AT6, Series 2013-T6, 1.29%, 9/15/44(a) | 2,206,103 | ||||||
2,265,000 | HLSS Servicer Advance Receivables Trust, Class A2, Series 2013-T2, 1.15%, 5/16/44(a)(b) | 2,267,324 | ||||||
1,830,000 | Nissan Master Owner Trust Receivables, Class A, Series 2013-A, 0.45%, 2/15/18(b) | 1,831,502 | ||||||
1,595,000 | PFS Financing Corp., Class A, Series 2012-BA, 0.85%, 10/17/16(a)(b) | 1,596,841 | ||||||
1,735,000 | PFS Financing Corp., Class A, Series 2013-AA, 0.70%, 2/15/18(a)(b) | 1,736,424 | ||||||
1,110,524 | Prestige Auto Receivables Trust, Class A2, Series 2013-1A, 1.09%, 2/15/18(a) | 1,112,690 | ||||||
2,300,000 | Prestige Auto Receivables Trust, Class C, Series 2014-1A, 2.39%, 5/15/20(a) | 2,306,943 | ||||||
2,000,000 | Santander Drive Auto Receivables Trust, Class B, Series 2013-5, 1.55%, 10/15/18 | 2,008,471 | ||||||
303,840 | Santander Drive Auto Receivables Trust, Class C, Series 2011-3, 3.09%, 5/15/17 | 307,356 | ||||||
1,330,000 | Santander Drive Auto Receivables Trust, Class B, Series 2012-5, 1.56%, 8/15/18 | 1,339,604 | ||||||
1,040,000 | Santander Drive Auto Receivables Trust, Class B, Series 2012-3, 1.94%, 12/15/16 | 1,046,956 | ||||||
1,200,000 | Santander Drive Auto Receivables Trust, Class C, Series 2012-6, 1.94%, 4/16/18 | 1,217,389 | ||||||
1,785,000 | Santander Drive Auto Receivables Trust, Class B, Series 2013-2, 1.33%, 3/15/18 | 1,794,652 |
Principal Amount | Fair Value | |||||||
| Asset Backed Securities, continued |
| ||||||
$ | 1,900,000 | Santander Drive Auto Receivables Trust, Class C, Series 2013-4, 3.25%, 1/15/20 | $ | 1,982,910 | ||||
2,500,000 | Santander Drive Auto Receivables Trust, Class A3, Series 2013-A, 1.02%, 1/16/18(a) | 2,510,955 | ||||||
2,075,000 | Santander Drive Auto Receivables Trust, Class B, Series 2013-A, 1.89%, 10/15/19(a) | 2,097,057 | ||||||
478,899 | SLM Student Loan Trust, Class A2, Series 2004-B, 0.43%, 6/15/21(b) | 474,693 | ||||||
730,246 | SLM Student Loan Trust, Class A1, Series 2012-A, 1.55%, 4/15/16(a)(b) | 739,950 | ||||||
1,115,000 | World Financial Network Credit Card Master Trust, Class A, Series 2012-A, 3.14%, 1/17/23 | 1,158,184 | ||||||
|
| |||||||
| Total Asset Backed Securities (Cost $57,447,906) | 57,806,160 | ||||||
|
| |||||||
| Collateralized Mortgage Obligations (7.5%): |
| ||||||
1,852,684 | Banc of America Commercial Mortgage, Inc., Class A1A, Series 2007-3, 5.77%, 6/10/49(b) | 2,004,937 | ||||||
1,295,000 | Banc of America Large Loan, Class A4B, Series 2010-UB4, 4.93%, 12/20/41(a)(b) | 1,294,469 | ||||||
1,330,000 | Bank of America Re-REMIC Trust, Class A, Series 2012-CLRN, 1.30%, 8/15/29(a)(b) | 1,330,890 | ||||||
50,000 | Bear Stearns Commercial Mortgage Securities, Inc., Class AM, Series 2005-PW10, 5.45%, 12/15/15(b) | 52,780 | ||||||
1,802,771 | Bear Stearns Commercial Mortgage Securities, Inc., Class A1A, Series 2006-PW14, 5.19%, 12/11/38 | 1,958,979 | ||||||
625,000 | Bear Stearns Commercial Mortgage Securities, Inc., Class AM, Series 2007-PW16, 5.90%, 6/1/40(b) | 693,573 | ||||||
1,510,000 | Citigroup Commercial Mortgage Trust, Class A, Series 2014-388G, 0.90%, 6/15/33(a)(b) | 1,513,245 | ||||||
2,041,422 | Commercial Mortgage Loan Trust, Class A1A, Series 2008-LS1, 6.21%, 12/10/49(b) | 2,298,910 | ||||||
590,000 | Commercial Mortgage Pass-Through Certificates, Class AM, Series 2006-C8, 5.35%, 12/10/16 | 641,343 | ||||||
1,820,000 | Commercial Mortgage Trust, Class A4, Series 2014-LC15, 4.01%, 4/10/47 | 1,923,447 | ||||||
2,015,000 | Commercial Mortgage Trust, Class A4, Series 2014-UBS3, 3.82%, 6/10/47 | 2,092,001 | ||||||
428,000 | Commercial Mortgage Trust, Class B, Series 2012-LTRT, 3.80%, 10/5/30(a) | 412,784 | ||||||
2,370,494 | Commercial Mortgage Trust, Class A, Series 2013-FL3, 1.67%, 10/13/28(a)(b) | 2,381,671 | ||||||
1,510,000 | Commercial Mortgage Trust, Class C, Series 2014-CR17, 4.90%, 5/10/47(b) | 1,577,100 | ||||||
2,930,000 | Commercial Mortgage Trust, Class A, Series 2014-TWC, 1.00%, 2/13/32(a)(b) | 2,933,916 | ||||||
2,840,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2014-A1, 1.55%, 10/15/21(a) | 2,847,456 | ||||||
855,000 | Credit Suisse Commercial Mortgage Trust, Class AM, Series 2006-C5, 5.34%, 12/15/39 | 927,424 | ||||||
100,000 | Credit Suisse Mortgage Capital Certificates, Class AM, Series 2006-C3, 5.98%, 6/15/16(b) | 108,189 | ||||||
1,940 | Credit Suisse Mortgage Capital Certificates, Class A2, Series 2007-C2, 5.45%, 1/15/49(b) | 1,933 | ||||||
57,751 | DBRR Trust, Class A, Series 2012-EZ1, 0.95%, 9/25/45(a) | 57,728 |
Continued
2
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Collateralized Mortgage Obligations, continued |
| ||||||
$ | 2,160,254 | DBRR Trust, Class A, Series 2013-EZ3, 1.64%, 12/18/49(a)(b) | $ | 2,176,456 | ||||
1,320,000 | DBUBS Mortgage Trust, Class A2, Series 2011-LC1A, 4.53%, 7/1/19(a) | 1,438,737 | ||||||
1,039,172 | DBUBS Mortgage Trust, Class A1, Series 2011-LC1A, 3.74%, 6/10/17(a) | 1,081,010 | ||||||
2,190,000 | GoldenTree Loan Opportunities VII, Ltd., Class A, Series 2013-7A, 1.38%, 4/25/25(a)(b) | 2,167,263 | ||||||
10,811,986 | GS Mortgage Securities Trust, Class XA, Series 2013-GC10, 1.90%, 2/10/46(b) | 1,112,748 | ||||||
1,100,000 | GS Mortgage Securities Trust, Class A, Series 2012-SHOP, 2.93%, 6/5/31(a) | 1,137,962 | ||||||
1,065,000 | GS Mortgage Securities Trust, Class B, Series 2014-GC22, 4.39%, 6/10/47 | 1,104,816 | ||||||
1,500,000 | Hilton USA Trust, Class AFX, Series 2013-HLT, 2.66%, 11/5/30(a) | 1,519,088 | ||||||
114,762 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A2, Series 2007-LD11, 5.98%, 6/15/49(b) | 114,688 | ||||||
600,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A, Series 2012-WLDN, 3.90%, 5/5/30(a) | 624,968 | ||||||
11,463,955 | JPMorgan Chase Commercial Mortgage Securities Corp., Class XA, Series 2013-LC11, 1.72%, 4/15/46(b) | 1,073,478 | ||||||
1,203,288 | Lanark Master Issuer plc, Class 1A, Series 2012-2A, 1.63%, 12/22/54(a)(b) | 1,221,122 | ||||||
1,200,000 | LB Commercial Conduit Mortgage Trust, Class AM, Series 2007-C3, 6.09%, 7/15/44(b) | 1,341,404 | ||||||
619,070 | Merrill Lynch Mortgage Trust, Class A4, Series 2004-KEY2, 4.86%, 8/12/39(b) | 620,172 | ||||||
1,624,500 | Merrill Lynch Mortgage Trust, Class A1A, Series 2007-C1, 6.03%, 6/12/50(b) | 1,758,577 | ||||||
1,260,696 | ML-CFC Commercial Mortgage Trust, Class A1A, Series 2006-4, 5.17%, 12/12/49(b) | 1,361,347 | ||||||
2,114,387 | ML-CFC Commercial Mortgage Trust, Class A1A, Series 2006-3, 5.41%, 7/12/46(b) | 2,285,443 | ||||||
1,395,000 | Morgan Stanley BAML Trust, Class C, Series 2013-C13, 5.06%, 11/15/46(b) | 1,483,481 | ||||||
1,206,141 | Morgan Stanley Capital I Trust, Class A1A, Series 2007-IQ13, 5.31%, 3/15/44 | 1,318,966 | ||||||
1,400,000 | Morgan Stanley Re-REMIC Trust, Class B, Series 2011-IO, 0.05%, 3/23/51(a) | 1,373,750 | ||||||
763,796 | Morgan Stanley Re-REMIC Trust, Class A, Series 2012-XA, 2.00%, 7/28/49(a) | 768,089 | ||||||
330,629 | Morgan Stanley Re-REMIC Trust, Class AXB1, Series 2012-IO, 1.00%, 3/29/51(a) | 331,042 | ||||||
1,010,000 | Motel 6 Trust, Class B, Series 2012-MTL6, 2.74%, 10/5/25(a) | 1,021,441 | ||||||
2,205,000 | Nomad CLO, Ltd., Class A1, Series 2013-1A, 1.43%, 1/15/25(a)(b) | 2,186,782 | ||||||
620,000 | RBSCF Trust, Class WBTA, Series 2010-RR3, 6.14%, 4/16/17(a)(b) | 656,929 | ||||||
2,348,607 | Santander Drive Auto Receivables Trust, Class R, Series 2014-S6, 1.43%, 12/16/19(a) | 2,348,607 | ||||||
2,335,000 | SLM Student Loan Trust, Class A4, Series 2006-A, 0.42%, 12/15/23(b) | 2,307,050 |
Principal Amount | Fair Value | |||||||
| Collateralized Mortgage Obligations, continued |
| ||||||
$ | 538,583 | STRIPS, Class A, Series 2012-1A, 1.50%, 12/25/44(a) | $ | 533,197 | ||||
18,530,000 | WF-RBS Commercial Mortgage Trust, Class XA, Series 2014-C20, 1.42%, 5/15/47(b) | 1,480,955 | ||||||
1,900,000 | WF-RBS Commercial Mortgate Trust, Class A5, Series 2014-LC14, 4.04%, 3/15/47(b) | 2,001,272 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations (Cost $66,695,770) | 67,003,615 | ||||||
|
| |||||||
| Corporate Bonds (18.4%): |
| ||||||
| Aerospace & Defense (0.2%): | |||||||
355,000 | Precision Castparts Corp., 2.50%, 1/15/23, Callable 10/15/22 @ 100 | 340,012 | ||||||
390,000 | United Technologies Corp., 3.10%, 6/1/22 | 395,031 | ||||||
1,040,000 | United Technologies Corp., 4.50%, 6/1/42 | 1,089,258 | ||||||
|
| |||||||
1,824,301 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.1%): |
| ||||||
500,000 | FedEx Corp., 3.88%, 8/1/42 | 448,997 | ||||||
|
| |||||||
| Banks (2.5%): |
| ||||||
1,315,000 | Bank of America Corp., 0.49%, 10/14/16(b) | 1,309,364 | ||||||
1,925,000 | Bank of America Corp., 2.60%, 1/15/19 | 1,947,643 | ||||||
1,525,000 | Bank of America Corp., Series L, 2.65%, 4/1/19 | 1,545,740 | ||||||
1,230,000 | Bank of America Corp., 4.00%, 4/1/24, MTN | 1,255,253 | ||||||
670,000 | Bank of America Corp., 5.00%, 1/21/44, MTN | 710,832 | ||||||
1,165,000 | Citigroup, Inc., 1.25%, 1/15/16 | 1,172,017 | ||||||
1,035,000 | Citigroup, Inc., 1.02%, 4/1/16(b) | 1,041,568 | ||||||
1,260,000 | Citigroup, Inc., 1.30%, 4/1/16 | 1,267,522 | ||||||
1,630,000 | HSBC USA, Inc., 3.50%, 6/23/24 | 1,634,625 | ||||||
1,350,000 | JPMorgan Chase & Co., Series G, 0.85%, 2/26/16(b) | 1,357,634 | ||||||
730,000 | JPMorgan Chase & Co., 2.00%, 8/15/17 | 742,376 | ||||||
775,000 | JPMorgan Chase & Co., 1.13%, 1/25/18(b) | 785,917 | ||||||
1,115,000 | JPMorgan Chase & Co., 3.63%, 5/13/24 | 1,119,470 | ||||||
360,000 | JPMorgan Chase & Co., 5.63%, 8/16/43 | 406,938 | ||||||
840,000 | JPMorgan Chase & Co., 4.85%, 2/1/44 | 890,674 | ||||||
1,565,000 | Wells Fargo & Co., 1.25%, 7/20/16 | 1,578,511 | ||||||
1,170,000 | Wells Fargo & Co., 0.86%, 4/23/18(b) | 1,180,139 | ||||||
575,000 | Wells Fargo & Co., 4.13%, 8/15/23 | 597,313 | ||||||
1,040,000 | Wells Fargo & Co., 4.10%, 6/3/26, MTN | 1,053,103 | ||||||
360,000 | Wells Fargo & Co., 5.38%, 11/2/43 | 396,014 | ||||||
945,000 | Wells Fargo & Co., Series S, 5.90%, 12/31/49, Callable 6/15/24 @ 100(b) | 1,001,700 | ||||||
|
| |||||||
22,994,353 | ||||||||
|
| |||||||
| Beverages (0.3%): |
| ||||||
1,520,000 | Anheuser-Busch InBev Finance, Inc., 2.63%, 1/17/23 | 1,459,986 | ||||||
460,000 | Anheuser-Busch InBev NV Worldwide, Inc., 5.00%, 4/15/20 | 523,180 | ||||||
620,000 | Anheuser-Busch InBev NV Worldwide, Inc., 2.50%, 7/15/22 | 594,106 | ||||||
|
| |||||||
2,577,272 | ||||||||
|
| |||||||
| Biotechnology (0.3%): |
| ||||||
450,000 | Amgen, Inc., 3.63%, 5/15/22, Callable 2/15/22 @ 100 | 463,882 | ||||||
545,000 | Amgen, Inc., 5.15%, 11/15/41, Callable 5/15/41 @ 100 | 584,804 | ||||||
935,000 | Amgen, Inc., 5.38%, 5/15/43, Callable 11/15/42 @ 100 | 1,031,753 |
Continued
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Biotechnology, continued |
| ||||||
$ | 665,000 | Celgene Corp., 3.63%, 5/15/24, Callable 2/15/24 @ 100 | $ | 666,554 | ||||
|
| |||||||
2,746,993 | ||||||||
|
| |||||||
| Capital Markets (2.0%): |
| ||||||
1,055,000 | Ford Motor Credit Co. LLC, 8.13%, 1/15/20 | 1,347,016 | ||||||
370,000 | General Electric Capital Corp., 4.38%, 9/16/20 | 408,637 | ||||||
555,000 | General Electric Capital Corp., Series G, 6.15%, 8/7/37, MTN | 689,367 | ||||||
905,000 | Goldman Sachs Group, Inc. (The), 0.68%, 3/22/16(b) | 905,099 | ||||||
1,175,000 | Goldman Sachs Group, Inc. (The), 2.38%, 1/22/18 | 1,193,255 | ||||||
915,000 | Goldman Sachs Group, Inc. (The), 1.42%, 4/30/18(b) | 929,774 | ||||||
932,000 | Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18 | 960,212 | ||||||
1,090,000 | Goldman Sachs Group, Inc. (The), 3.63%, 1/22/23 | 1,094,688 | ||||||
1,445,000 | Goldman Sachs Group, Inc. (The), 3.85%, 7/8/24, Callable 4/8/24 @ 100 | 1,443,093 | ||||||
745,000 | Goldman Sachs Group, Inc. (The), 4.80%, 7/8/44, Callable 1/8/44 @ 100 | 741,364 | ||||||
2,525,000 | Morgan Stanley, 6.00%, 4/28/15, MTN | 2,642,429 | ||||||
1,035,000 | Morgan Stanley, Series F, 5.63%, 9/23/19, MTN | 1,190,466 | ||||||
870,000 | Morgan Stanley, 3.75%, 2/25/23 | 885,033 | ||||||
615,000 | Morgan Stanley, 4.10%, 5/22/23 | 623,864 | ||||||
1,775,000 | Morgan Stanley, Series F, 3.88%, 4/29/24 | 1,796,512 | ||||||
650,000 | Morgan Stanley, 5.00%, 11/24/25 | 693,269 | ||||||
272,125 | SteelRiver Transmission Co. LLC, 4.71%, 6/30/17(a) | 287,512 | ||||||
|
| |||||||
17,831,590 | ||||||||
|
| |||||||
| Chemicals (0.1%): |
| ||||||
555,000 | Eastman Chemical Co., 2.40%, 6/1/17 | 571,391 | ||||||
|
| |||||||
| Communications Equipment (0.0%): | |||||||
330,000 | Cisco Systems, Inc., 2.90%, 3/4/21 | 335,065 | ||||||
|
| |||||||
| Consumer Finance (0.3%): |
| ||||||
1,135,000 | American Express Credit Corp., 1.13%, 6/5/17 | 1,133,809 | ||||||
290,000 | Capital One Bank USA NA, 1.30%, 6/5/17, Callable 5/5/17 @ 100 | 289,903 | ||||||
1,045,000 | Ford Motor Credit Co. LLC, 1.72%, 12/6/17 | 1,045,425 | ||||||
|
| |||||||
2,469,137 | ||||||||
|
| |||||||
| Diversified Financial Services (1.9%): |
| ||||||
1,650,000 | Bank of America Corp., 1.50%, 10/9/15 | 1,665,193 | ||||||
430,000 | Bank of America Corp., Series 1, 3.75%, 7/12/16 | 452,342 | ||||||
1,245,000 | Bank of America Corp., 6.50%, 8/1/16 | 1,379,944 | ||||||
820,000 | Bank of America Corp., 5.63%, 10/14/16 | 900,308 | ||||||
1,050,000 | Bank of America Corp., Series L, 1.35%, 11/21/16 | 1,053,088 | ||||||
1,065,000 | Bank of America Corp., 1.30%, 3/22/18, MTN(b) | 1,078,712 | ||||||
545,000 | Bank of America Corp., 5.70%, 1/24/22 | 632,409 | ||||||
2,575,000 | Capital One Bank USA NA, Series BKNT, 2.25%, 2/13/19, Callable 1/13/19 @ 100 | 2,591,346 | ||||||
1,155,000 | Caterpillar Financial Services Corp., 1.10%, 5/29/15, MTN | 1,163,712 |
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Diversified Financial Services, continued |
| ||||||
$ | 1,710,000 | Citigroup, Inc., 4.59%, 12/15/15 | $ | 1,802,590 | ||||
795,000 | Citigroup, Inc., 5.30%, 5/6/44 | 829,223 | ||||||
1,375,000 | Daimler Finance NA LLC, 1.88%, 9/15/14(a) | 1,379,261 | ||||||
1,090,000 | Daimler Finance NA LLC, 1.88%, 1/11/18(a) | 1,099,871 | ||||||
1,090,000 | General Electric Capital Corp., 0.94%, 4/2/18(b) | 1,104,534 | ||||||
720,000 | JPMorgan Chase & Co., 6.00%, 1/15/18 | 824,486 | ||||||
125,000 | JPMorgan Chase & Co., 4.50%, 1/24/22 | 136,967 | ||||||
130,000 | JPMorgan Chase & Co., 3.25%, 9/23/22 | 130,593 | ||||||
|
| |||||||
18,224,579 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.5%): |
| ||||||
860,000 | AT&T, Inc., 0.90%, 2/12/16 | 862,276 | ||||||
3,000,000 | AT&T, Inc., 3.74%, 11/27/22, Callable 5/27/15 @ 69.67(a)(c) | 2,255,018 | ||||||
310,000 | AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100 | 293,451 | ||||||
985,000 | AT&T, Inc., 4.35%, 6/15/45 | 933,699 | ||||||
975,000 | Verizon Communications, Inc., 2.45%, 11/1/22, Callable 8/1/22 @ 100 | 914,652 | ||||||
4,375,000 | Verizon Communications, Inc., 5.15%, 9/15/23 | 4,896,031 | ||||||
1,345,000 | Verizon Communications, Inc., 4.15%, 3/15/24, Callable 12/15/23 @ 100 | 1,404,384 | ||||||
1,685,000 | Verizon Communications, Inc., 6.55%, 9/15/43 | 2,120,473 | ||||||
|
| |||||||
13,679,984 | ||||||||
|
| |||||||
| Education Services (0.1%): |
| ||||||
700,000 | Massachusetts Institute of Technology, 4.68%, 7/1/14 | 747,045 | ||||||
|
| |||||||
| Electric Utilities (0.6%): |
| ||||||
430,000 | Carolina Power & Light Co., 4.10%, 3/15/43, Callable 9/15/42 @ 100 | 424,279 | ||||||
610,000 | CenterPoint Energy Houston Electric LLC, 4.50%, 4/1/44, Callable 10/1/43 @ 100 | 643,576 | ||||||
355,000 | DTE Electric Co., Series A, 4.00%, 4/1/43, Callable 10/1/42 @ 100 | 344,655 | ||||||
445,000 | Exelon Corp., 5.63%, 6/15/35 | 500,770 | ||||||
1,350,000 | Oncor Electric Delivery Co. LLC, 6.38%, 1/15/15 | 1,391,034 | ||||||
180,000 | Oncor Electric Delivery Co. LLC, 7.00%, 9/1/22 | 230,027 | ||||||
635,000 | Pacific Gas & Electric Co., 5.13%, 11/15/43, Callable 5/15/43 @ 100 | 711,612 | ||||||
250,000 | Pacific Gas & Electric Co., 4.75%, 2/15/44, Callable 8/15/43 @ 100 | 266,130 | ||||||
350,000 | PPL Capital Funding, Inc., 5.00%, 3/15/44, Callable 9/15/43 @ 100 | 376,704 | ||||||
220,000 | Southern California Edison Co., Series 06-E, 5.55%, 1/15/37 | 263,544 | ||||||
185,000 | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | 234,270 | ||||||
25,000 | Virginia Electric & Power Co., 6.35%, 11/30/37 | 33,051 | ||||||
200,000 | Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100^ | 193,392 | ||||||
|
| |||||||
5,613,044 | ||||||||
|
| |||||||
| Electrical Equipment (0.3%): |
| ||||||
840,000 | Eaton Corp. plc, 1.50%, 11/2/17 | 841,041 | ||||||
255,000 | Eaton Corp. plc, 4.00%, 11/2/32 | 255,162 | ||||||
1,720,000 | General Electric Co., 2.70%, 10/9/22 | 1,689,112 | ||||||
|
| |||||||
2,785,315 | ||||||||
|
|
Continued
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Electronic Equipment, Instruments & Components (0.1%): |
| ||||||
$ | 675,000 | Agilent Technologies, Inc., 6.50%, 11/1/17 | $ | 771,788 | ||||
|
| |||||||
| Energy Equipment & Services (0.1%): |
| ||||||
475,000 | Kerr-McGee Corp., 6.95%, 7/1/24 | 610,071 | ||||||
|
| |||||||
| Food Products (0.3%): |
| ||||||
630,000 | Kraft Foods Group, Inc., 2.25%, 6/5/17 | 647,167 | ||||||
1,425,000 | Wm. Wrigley Jr. Co., 1.40%, 10/21/16(a) | 1,434,870 | ||||||
705,000 | Wm. Wrigley Jr. Co., 3.38%, 10/21/20, Callable 9/21/20 @ 100(a) | 729,920 | ||||||
|
| |||||||
2,811,957 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (0.1%): |
| ||||||
845,000 | Baxter International, Inc., 3.20%, 6/15/23, Callable 3/15/23 @ 100 | 838,099 | ||||||
270,000 | CareFusion Corp., 3.88%, 5/15/24, Callable 2/15/24 @ 100 | 272,793 | ||||||
|
| |||||||
1,110,892 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.3%): |
| ||||||
380,000 | Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100 | 364,648 | ||||||
725,000 | UnitedHealth Group, Inc., 1.40%, 10/15/17 | 727,749 | ||||||
200,000 | UnitedHealth Group, Inc., 3.88%, 10/15/20, Callable 7/15/20 @ 100 | 214,819 | ||||||
410,000 | UnitedHealth Group, Inc., 4.25%, 3/15/43, Callable 9/15/42 @ 100 | 400,680 | ||||||
325,000 | WellPoint, Inc., 3.30%, 1/15/23 | 324,613 | ||||||
300,000 | WellPoint, Inc., 5.10%, 1/15/44 | 326,669 | ||||||
|
| |||||||
2,359,178 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.7%): |
| ||||||
220,000 | Carolina Power & Light Co., 5.70%, 4/1/35 | 261,987 | ||||||
300,000 | Columbus Southern Power Co., 6.05%, 5/1/18 | 345,422 | ||||||
100,000 | Duke Energy Corp., 3.95%, 9/15/14 | 100,722 | ||||||
65,000 | Florida Power & Light Co., 5.95%, 2/1/38 | 82,719 | ||||||
845,000 | Florida Power Corp., 6.40%, 6/15/38 | 1,130,290 | ||||||
40,000 | MidAmerican Energy Holdings Co., 5.95%, 5/15/37 | 48,816 | ||||||
450,000 | MidAmerican Energy Holdings Co., 6.50%, 9/15/37 | 580,294 | ||||||
850,000 | PacifiCorp, 5.65%, 7/15/18 | 971,150 | ||||||
395,000 | PacifiCorp, 5.75%, 4/1/37 | 488,784 | ||||||
630,000 | PacifiCorp, 4.10%, 2/1/42, Callable 8/1/41 @ 100 | 621,806 | ||||||
350,000 | Progress Energy Carolinas, Inc., 5.30%, 1/15/19 | 400,341 | ||||||
865,000 | Public Service Electric & Gas Co., 2.38%, 5/15/23, Callable 2/15/23 @ 100 | 821,478 | ||||||
|
| |||||||
5,853,809 | ||||||||
|
| |||||||
| Industrial Conglomerates (0.1%): |
| ||||||
495,000 | 3M Co., 3.88%, 6/15/44 | 475,483 | ||||||
|
| |||||||
| Insurance (1.0%): |
| ||||||
410,000 | ACE INA Holdings, Inc., 4.15%, 3/13/43 | 402,902 | ||||||
635,000 | American International Group, Inc., 3.80%, 3/22/17 | 678,566 | ||||||
125,000 | American International Group, Inc., Series MP, 5.45%, 5/18/17, MTN | 139,453 | ||||||
1,080,000 | American International Group, Inc., 4.88%, 6/1/22 | 1,202,648 |
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Insurance, continued |
| ||||||
$ | 690,000 | American International Group, Inc., 4.13%, 2/15/24 | $ | 726,318 | ||||
405,000 | Berkshire Hathaway Finance Corp., 4.30%, 5/15/43 | 402,348 | ||||||
410,000 | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | 394,911 | ||||||
555,000 | Loews Corp., 4.13%, 5/15/43, Callable 11/15/42 @ 100 | 520,271 | ||||||
1,710,000 | MetLife Institutional Funding II LLC, 1.63%, 4/2/15(a) | 1,725,418 | ||||||
1,125,000 | MetLife, Inc., 6.75%, 6/1/16 | 1,250,174 | ||||||
905,000 | New York Life Global Funding, 1.65%, 5/15/17(a) | 916,141 | ||||||
90,000 | Prudential Financial, Inc., Series D, 4.75%, 9/17/15, MTN | 94,456 | ||||||
720,000 | Prudential Financial, Inc., 3.50%, 5/15/24 | 717,835 | ||||||
|
| |||||||
9,171,441 | ||||||||
|
| |||||||
| IT Services (0.2%): |
| ||||||
1,450,000 | IBM Corp., 1.95%, 7/22/16 | 1,488,022 | ||||||
450,000 | MasterCard, Inc., 3.38%, 4/1/24 | 456,684 | ||||||
|
| |||||||
1,944,706 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.0%): |
| ||||||
280,000 | Thermo Fisher Scientific, Inc., 5.30%, 2/1/44, Callable 8/1/43 @ 100 | 310,776 | ||||||
|
| |||||||
| Machinery (0.1%): |
| ||||||
605,000 | Deere & Co., 2.60%, 6/8/22, Callable 3/8/22 @ 100 | 591,544 | ||||||
|
| |||||||
| Media (1.1%): |
| ||||||
200,000 | Comcast Corp., 6.50%, 11/15/35 | 259,102 | ||||||
330,000 | Comcast Corp., 6.45%, 3/15/37 | 420,913 | ||||||
935,000 | Comcast Corp., 4.65%, 7/15/42 | 969,398 | ||||||
1,035,000 | Comcast Corp., 4.75%, 3/1/44 | 1,094,675 | ||||||
575,000 | Cox Communications, Inc., 4.70%, 12/15/42(a) | 559,181 | ||||||
575,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.50%, 3/1/16 | 600,010 | ||||||
730,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.20%, 3/15/20 | 822,350 | ||||||
190,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.80%, 3/15/22 | 196,197 | ||||||
150,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100 | 159,049 | ||||||
89,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.15%, 3/15/42 | 93,462 | ||||||
111,000 | Discovery Communications, Inc., 4.88%, 4/1/43 | 111,941 | ||||||
1,135,000 | NBCUniversal Enterprise, Inc., 0.91%, 4/15/18(a)(b) | 1,147,632 | ||||||
280,000 | NBCUniversal Media LLC, 5.15%, 4/30/20 | 321,312 | ||||||
129,000 | NBCUniversal Media LLC, 5.95%, 4/1/41 | 158,381 | ||||||
816,000 | NBCUniversal Media LLC, 4.45%, 1/15/43 | 818,654 | ||||||
525,000 | Omnicom Group, Inc., 5.90%, 4/15/16 | 569,983 | ||||||
820,000 | Scripps Networks Interactive, Inc., 2.70%, 12/15/16 | 853,194 | ||||||
595,000 | Viacom, Inc., 5.25%, 4/1/44, Callable 10/1/43 @ 100^ | 628,578 | ||||||
|
| |||||||
9,784,012 | ||||||||
|
|
Continued
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Multiline Retail (0.0%): |
| ||||||
$ | 390,000 | Target Corp., 4.00%, 7/1/42 | $ | 368,044 | ||||
|
| |||||||
| Multi-Utilities (0.4%): |
| ||||||
155,000 | CenterPoint Energy Resources Corp., 6.25%, 2/1/37 | 191,941 | ||||||
675,000 | CMS Energy Corp., 5.05%, 3/15/22, Callable 12/15/21 @ 100 | 767,192 | ||||||
415,000 | CMS Energy Corp., 4.70%, 3/31/43, Callable 9/30/42 @ 100 | 423,575 | ||||||
900,000 | DTE Energy Co., Series F, 3.85%, 12/1/23, Callable 9/1/23 @ 100 | 939,279 | ||||||
505,000 | Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 633,216 | ||||||
470,000 | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | 515,834 | ||||||
|
| |||||||
3,471,037 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (1.0%): |
| ||||||
2,025,000 | Anadarko Petroleum Corp., 6.38%, 9/15/17 | 2,331,463 | ||||||
225,000 | Continental Resources, inc., 4.90%, 6/1/44, Callable 12/1/43 @ 100(a) | 232,492 | ||||||
216,000 | El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/1/20 | 253,017 | ||||||
550,000 | Energy Transfer Partners LP, 6.50%, 2/1/42, Callable 8/1/41 @ 100 | 656,874 | ||||||
455,000 | Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100^ | 515,227 | ||||||
500,000 | Enterprise Products Partners LP, 3.90%, 2/15/24, Callable 11/15/23 @ 100 | 517,230 | ||||||
200,000 | Enterprise Products Partners LP, 4.85%, 8/15/42, Callable 2/15/42 @ 100 | 206,818 | ||||||
220,000 | Enterprise Products Partners LP, 5.10%, 2/15/45, Callable 8/15/44 @ 100 | 234,840 | ||||||
1,415,000 | Enterprise Products Partners LP, Series A, 8.38%, 8/1/66, Callable 8/1/16 @ 100 | 1,592,723 | ||||||
530,000 | EOG Resources, Inc., 2.45%, 4/1/20, Callable 3/1/20 @ 100 | 534,102 | ||||||
334,000 | Kinder Morgan Energy Partners LP, 5.50%, 3/1/44, Callable 9/1/43 @ 100 | 352,576 | ||||||
515,000 | Noble Energy, Inc., 5.25%, 11/15/43, Callable 5/15/43 @ 100 | 567,741 | ||||||
480,000 | Williams Partners LP, 4.00%, 11/15/21 | 501,927 | ||||||
|
| |||||||
8,497,030 | ||||||||
|
| |||||||
| Paper & Forest Products (0.1%): |
| ||||||
400,000 | Georgia-Pacific LLC, 7.70%, 6/15/15 | 426,696 | ||||||
405,000 | International Paper Co., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | 408,195 | ||||||
|
| |||||||
834,891 | ||||||||
|
| |||||||
| Pharmaceuticals (0.9%): |
| ||||||
795,000 | AbbVie, Inc., 2.00%, 11/6/18 | 794,016 | ||||||
1,390,000 | AbbVie, Inc., 4.40%, 11/6/42 | 1,349,418 | ||||||
1,020,000 | Merck & Co., Inc., 0.59%, 5/18/18(b) | 1,023,568 | ||||||
345,000 | Merck & Co., Inc., 4.15%, 5/18/43 | 337,608 | ||||||
390,000 | Novartis Capital Corp., 4.40%, 5/6/44 | 405,915 | ||||||
710,000 | Pfizer, Inc., 3.40%, 5/15/24 | 720,951 | ||||||
490,000 | Pfizer, Inc., 4.30%, 6/15/43 | 494,889 | ||||||
330,000 | Pfizer, Inc., 4.40%, 5/15/44 | 337,767 |
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Pharmaceuticals, continued |
| ||||||
$ | 995,000 | Watson Pharmaceuticals, Inc., 1.88%, 10/1/17 | $ | 1,003,874 | ||||
1,174,000 | Watson Pharmaceuticals, Inc., 3.25%, 10/1/22, Callable 7/1/22 @ 100 | 1,153,427 | ||||||
|
| |||||||
7,621,433 | ||||||||
|
| |||||||
| Property & Casualty Insurance (0.0%): |
| ||||||
325,000 | ACE INA Holdings, Inc., 3.35%, 5/15/24 | 327,830 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.5%): |
| ||||||
1,670,000 | ARC Properties Operating Partnership LP, 4.60%, 2/6/24, Callable 11/6/23 @ 100(a) | 1,712,614 | ||||||
835,000 | Boston Properties LP, 3.85%, 2/1/23, Callable 11/1/22 @ 100 | 861,081 | ||||||
380,000 | ERP Operating LP, 4.50%, 7/1/44, Callable 1/1/44 @ 100 | 381,241 | ||||||
620,000 | Simon Property Group LP, 3.75%, 2/1/24, Callable 11/1/23 @ 100 | 636,925 | ||||||
485,000 | UDR, Inc., 3.75%, 7/1/24, Callable 4/1/24 @ 100 | 487,135 | ||||||
|
| |||||||
4,078,996 | ||||||||
|
| |||||||
| Road & Rail (0.2%): |
| ||||||
370,000 | Burlington North Santa Fe LLC, 4.45%, 3/15/43, Callable 9/15/42 @ 100 | 367,916 | ||||||
445,000 | Burlington North Santa Fe LLC, 4.90%, 4/1/44, Callable 10/1/43 @ 100 | 475,701 | ||||||
240,000 | Union Pacific Corp., 4.85%, 6/15/44, Callable 12/15/43 @ 100 | 265,362 | ||||||
505,000 | Union Pacific Railroad Co., Series 14-1, 3.23%, 5/14/26 | 508,560 | ||||||
|
| |||||||
1,617,539 | ||||||||
|
| |||||||
| Software (0.2%): |
| ||||||
605,000 | Oracle Corp., 3.40%, 7/8/24, Callable 4/8/24 @ 100 | 603,881 | ||||||
1,040,000 | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | 1,039,584 | ||||||
|
| |||||||
1,643,465 | ||||||||
|
| |||||||
| Specialty Retail (0.2%): |
| ||||||
215,000 | Home Depot, Inc. (The), 4.40%, 3/15/45, Callable 9/15/44 @ 100 | 218,268 | ||||||
510,000 | Lowe’s Cos., Inc., 5.00%, 9/15/43, Callable 3/15/43 @ 100 | 559,153 | ||||||
815,000 | Penske Truck Leasing Co. LP, 3.13%, 5/11/15(a) | 832,731 | ||||||
|
| |||||||
1,610,152 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.1%): |
| ||||||
860,000 | Apple, Inc., 2.85%, 5/6/21 | 867,409 | ||||||
410,000 | Apple, Inc., 3.45%, 5/6/24 | 414,569 | ||||||
|
| |||||||
1,281,978 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.2%): |
| ||||||
975,000 | Capital One Bank USA NA, Series BKNT, 1.15%, 11/21/16, Callable 10/21/16 @ 100 | 979,710 | ||||||
440,000 | Capital One Bank USA NA, 3.38%, 2/15/23 | 437,028 | ||||||
|
| |||||||
1,416,738 | ||||||||
|
| |||||||
| Tobacco (0.1%): |
| ||||||
155,000 | Philip Morris International, Inc., 4.50%, 3/20/42 | 157,716 | ||||||
20,000 | Philip Morris International, Inc., 3.88%, 8/21/42 | 18,590 |
Continued
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Tobacco, continued |
| ||||||
$ | 370,000 | Philip Morris International, Inc., 4.13%, 3/4/43 | $ | 356,433 | ||||
425,000 | Philip Morris International, Inc., 4.88%, 11/15/43 | 457,731 | ||||||
|
| |||||||
�� | 990,470 | |||||||
|
| |||||||
| Trading Companies & Distributors (0.1%): |
| ||||||
825,000 | GATX Corp., 2.50%, 7/30/19 | 830,309 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): | |||||||
535,000 | Crown Castle Towers LLC, 6.11%, 1/15/20(a) | 629,709 | ||||||
400,000 | SBA Tower Trust, 4.25%, 4/15/15(a) | 410,730 | ||||||
|
| |||||||
1,040,439 | ||||||||
|
| |||||||
| Total Corporate Bonds (Cost $160,355,249) | 164,275,074 | ||||||
|
| |||||||
| Preferred Stock (0.1%) |
| ||||||
| Banks (0.1%) |
| ||||||
40,000 | Wells Fargo & Co., Callable 9/15/23 @ 25 | 1,037,600 | ||||||
|
| |||||||
| Total Preferred Stock (Cost $1,025,200) | 1,037,600 | ||||||
|
| |||||||
| Convertible Preferred Stock(0.1%): |
| ||||||
| Capital Markets (0.1%): |
| ||||||
1,165,000 | State Street Capital Trust IV, 1.23%, 6/15/37, Callable 8/11/14 @ 100(b) | 990,250 | ||||||
|
| |||||||
| Total Convertible Preferred Stock (Cost $999,020) | 990,250 | ||||||
|
| |||||||
| Yankee Dollars (9.6%): |
| ||||||
| Auto Components (0.1%): |
| ||||||
725,000 | Magna International, Inc., 3.63%, 6/15/24, Callable 3/15/24 @ 100 | 730,865 | ||||||
|
| |||||||
| Banks (4.5%): |
| ||||||
1,805,000 | Achmea Hypotheekbank NV, 0.57%, 11/3/14(a)(b) | 1,806,933 | ||||||
2,130,000 | Bank of England Euro Note, Series REGS, 0.50%, 3/6/15(a) | 2,134,423 | ||||||
420,000 | Barclays Bank plc, 5.14%, 10/14/20 | 460,024 | ||||||
675,000 | BPCE SA, 5.70%, 10/22/23(a) | 743,249 | ||||||
790,000 | Caixa Economica Federal, 2.38%, 11/6/17(a) | 772,225 | ||||||
920,000 | Credit Agricole SA, 3.88%, 4/15/24(a) | 937,997 | ||||||
1,870,000 | Credit Suisse Group AG, 5.40%, 1/14/20 | 2,101,323 | ||||||
710,000 | HSBC Holdings plc, 5.25%, 3/14/44 | 760,268 | ||||||
1,115,000 | ING Bank NV, 3.75%, 3/7/17(a) | 1,185,992 | ||||||
314,000 | ING Bank NV, 5.80%, 9/25/23(a) | 353,721 | ||||||
1,914,000 | KFW, 0.50%, 7/15/16 | 1,911,741 | ||||||
1,465,000 | Kommunalbanken AS, 0.25%, 1/26/15(a)(b) | 1,465,001 | ||||||
1,856,000 | Kommunalbanken AS, 0.35%, 10/31/16(a)(b) | 1,857,141 | ||||||
1,110,000 | National Bank of Canada, 1.50%, 6/26/15 | 1,122,671 | ||||||
805,000 | Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV, Series G, 1.50%, 2/12/18(a) | 805,588 | ||||||
1,740,000 | Nederlandse Waterschapsbank NV, Series E, 3.00%, 3/17/15(a) | 1,773,728 | ||||||
1,185,000 | Nordea Bank AB, 2.38%, 4/4/19(a) | 1,196,163 | ||||||
555,000 | Nordea Eiendomskreditt AS, 2.13%, 9/22/16^(a) | 570,463 | ||||||
2,610,000 | Oesterreichische Kontrollbank AG, Series G, 1.13%, 7/6/15 | 2,633,046 | ||||||
990,000 | Royal Bank of Canada, 1.45%, 10/30/14 | 993,843 | ||||||
2,005,000 | Royal Bank of Canada, 1.13%, 7/22/16 | 2,020,946 | ||||||
710,000 | Royal Bank of Scotland Group plc, 1.88%, 3/31/17 | 716,325 |
Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Banks, continued |
| ||||||
$ | 674,000 | Societe Generale SA, 5.00%, 1/17/24(a) | $ | 704,893 | ||||
2,300,000 | Toronto-Dominion Bank, 2.20%, 7/29/15(a) | 2,345,792 | ||||||
2,540,000 | UBS AG London, 1.88%, 1/23/15(a) | 2,561,513 | ||||||
2,915,000 | Westpac Banking Corp., 1.38%, 7/17/15(a) | 2,945,403 | ||||||
1,490,000 | Westpac Banking Corp., 2.45%, 11/28/16^(a) | 1,543,744 | ||||||
3,830,000 | Westpac Banking Corp., 2.00%, 5/21/19(a) | 3,828,319 | ||||||
|
| |||||||
42,252,475 | ||||||||
|
| |||||||
| Capital Markets (0.2%): |
| ||||||
1,355,000 | Credit Suisse Guernsey, Ltd., 2.60%, 5/27/16(a) | 1,403,707 | ||||||
|
| |||||||
| Chemicals (0.2%): | |||||||
1,330,000 | LyondellBasell Industries NV, 5.00%, 4/15/19, Callable 1/15/19 @ 100 | 1,500,208 | ||||||
|
| |||||||
| Diversified Financial Services (0.4%): |
| ||||||
575,000 | BP Capital Markets plc, 4.74%, 3/11/21 | 644,674 | ||||||
2,190,000 | CDP Financial, Inc., 4.40%, 11/25/19(a) | 2,435,741 | ||||||
|
| |||||||
3,080,415 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.1%): |
| ||||||
407,000 | Orange SA, 5.50%, 2/6/44, Callable 8/6/43 @ 100 | 454,546 | ||||||
|
| |||||||
| Energy Equipment & Services (0.1%): |
| ||||||
600,000 | Schlumberger Investment SA, 3.30%, 9/14/21, Callable 6/14/21 @ 100(a) | 622,353 | ||||||
|
| |||||||
| Government (0.1%): |
| ||||||
689,000 | Province of Manitoba Canada, 3.05%, 5/14/24 | 693,835 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.2%): |
| ||||||
1,595,000 | Carnival Corp., 1.20%, 2/5/16 | 1,604,450 | ||||||
|
| |||||||
| Insurance (0.0%): |
| ||||||
250,000 | AIA Group, Ltd., 4.88%, 3/11/44(a) | 261,903 | ||||||
185,000 | Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100 | 184,996 | ||||||
310,000 | Manulife Financial Corp., 3.40%, 9/17/15 | 320,340 | ||||||
|
| |||||||
767,239 | ||||||||
|
| |||||||
| Metals & Mining (0.4%): |
| ||||||
1,310,000 | BHP Billiton Finance USA, Ltd., 1.13%, 11/21/14 | 1,314,419 | ||||||
385,000 | BHP Billiton Finance USA, Ltd., 5.00%, 9/30/43 | 425,496 | ||||||
985,000 | Rio Tinto Finance (USA) plc, 4.13%, 8/21/42, Callable 2/21/42 @ 100 | 925,637 | ||||||
815,000 | Xstrata Canada Financial Corp., 2.85%, 11/10/14(a) | 819,671 | ||||||
|
| |||||||
3,485,223 | ||||||||
|
| |||||||
| Multi-National (1.0%): |
| ||||||
2,385,000 | African Development Bank, 0.75%, 10/18/16 | 2,389,627 | ||||||
1,640,000 | FMS Wertmanagement, 0.63%, 4/18/16 | 1,644,690 | ||||||
2,790,000 | FMS Wertmanagement, 1.63%, 11/20/18 | 2,797,556 | ||||||
1,700,000 | International Finance Corp., 0.88%, 6/15/18 | 1,665,730 | ||||||
|
| |||||||
8,497,603 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.9%): |
| ||||||
945,000 | BP Capital Markets plc, 0.73%, 5/10/18(b) | 948,997 | ||||||
575,000 | BP Capital Markets plc, 2.75%, 5/10/23 | 552,336 | ||||||
1,080,000 | Petrobras International Finance Co., 3.88%, 1/27/16 | 1,113,534 | ||||||
50,000 | Petroleos Mexicanos, 8.00%, 5/3/19 | 61,950 |
Continued
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
$ | 107,000 | Petroleos Mexicanos, 6.00%, 3/5/20 | $ | 122,408 | ||||
1,638,000 | Petroleos Mexicanos, 4.88%, 1/18/24 | 1,756,755 | ||||||
270,000 | Petroleos Mexicanos, 4.88%, 1/18/24(a) | 289,575 | ||||||
295,000 | Shell International Finance BV, 4.55%, 8/12/43 | 310,720 | ||||||
800,000 | Statoil ASA, 2.45%, 1/17/23 | 767,885 | ||||||
1,100,000 | Statoil ASA, 3.70%, 3/1/24 | 1,150,395 | ||||||
575,000 | Trans-Canada Pipelines, Ltd., 3.75%, 10/16/23, Callable 7/16/23 @ 100 | 593,389 | ||||||
175,000 | Transocean, Inc., 3.80%, 10/15/22, Callable 7/15/22 @ 100 | 173,202 | ||||||
|
| |||||||
7,841,146 | ||||||||
|
| |||||||
| Personal Products (0.2%): |
| ||||||
690,000 | GlaxoSmithKline Capital plc, 2.85%, 5/8/22 | 681,082 | ||||||
670,000 | Takeda Pharmaceutical Co., Ltd., 1.63%, 3/17/17(a) | 677,684 | ||||||
|
| |||||||
1,358,766 | ||||||||
|
| |||||||
| Pharmaceuticals (0.2%): |
| ||||||
425,000 | Actavis Funding SCS, 3.85%, 6/15/24, Callable 3/15/24 @ 100(a) | 429,612 | ||||||
365,000 | Actavis Funding SCS, 4.85%, 6/15/44, Callable 12/15/43 @ 100(a) | 368,449 | ||||||
750,000 | Warner Chilcott Co. LLC, 7.75%, 9/15/18 | 788,468 | ||||||
|
| |||||||
1,586,529 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
680,000 | CDP Financial, Inc., 3.00%, 11/25/14(a) | 687,122 | ||||||
|
| |||||||
| Sovereign Bonds (0.4%): |
| ||||||
620,000 | Canada Government, 1.63%, 2/27/19 | 621,934 | ||||||
1,349,000 | Federal Republic of Brazil, 4.88%, 1/22/21 | 1,470,410 | ||||||
1,450,000 | Federal Republic of Brazil, 4.25%, 1/7/25 | 1,469,575 | ||||||
364,000 | United Mexican States, 5.55%, 1/21/45 | 414,050 | ||||||
|
| |||||||
3,975,969 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.5%): |
| ||||||
4,158,000 | Credit Suisse Guernsey, Ltd., 1.63%, 3/6/15(a) | 4,194,341 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.0%): |
| ||||||
246,000 | Vodafone Group plc, 2.95%, 2/19/23 | 237,848 | ||||||
215,000 | Vodafone Group plc, 4.38%, 2/19/43 | 205,040 | ||||||
|
| |||||||
442,888 | ||||||||
|
| |||||||
| Total Yankee Dollars (Cost $84,280,811) | 85,179,680 | ||||||
|
| |||||||
| Municipal Bonds (1.0%): |
| ||||||
| California (0.2%): |
| ||||||
700,000 | California State, GO, 5.00%, 9/1/42, Callable 9/1/22 @ 100 | 768,215 | ||||||
750,000 | California State University Revenue, Series G, 5.00%, 5/15/37, Callable 5/15/22 @ 100 | 827,835 | ||||||
360,000 | California State Health Facilities Financing Authority Revenue, Series A, 5.00%, 8/15/52 | 387,688 | ||||||
|
| |||||||
1,983,738 | ||||||||
|
| |||||||
| Massachusetts (0.1%): |
| ||||||
450,000 | Massachusetts State School Building Authority Sales Tax Revenue, Series B, 5.00%, 10/15/41, Callable 10/15/21 @ 100 | 495,473 | ||||||
|
| |||||||
495,473 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
| Municipal Bonds, continued |
| ||||||
| Missouri (0.1%): |
| ||||||
$ | 800,000 | Missouri Saint Louis Metropolitan Sewer District West Water System Revenue, Series A, 5.00%, 5/1/42, Callable 5/1/22 @ 100 | $ | 887,288 | ||||
|
| |||||||
887,288 | ||||||||
|
| |||||||
| New Jersey (0.2%): |
| ||||||
2,005,000 | New Jersey State Transportation Trust Fund Authority Revenue, Series AA, 5.00%, 6/15/36, Callable 6/15/23 @ 100 | 2,149,881 | ||||||
|
| |||||||
2,149,881 | ||||||||
|
| |||||||
| New York (0.4%): |
| ||||||
905,000 | New York City Municipal Finance Authority Water & Sewer System Revenue, Series EE, 5.00%, 6/15/47, Callable 6/15/23 @ 100 | 988,875 | ||||||
895,000 | New York State Urban Development Corp. Revenue, Series E, 5.00%, 3/15/24, Callable 3/15/23 @ 100 | 1,067,404 | ||||||
530,000 | New York City Municipal Finance Authority Water & Sewer System Revenue, Series BB, 5.00%, 6/15/47, Callable 12/15/22 @ 100 | 576,788 | ||||||
515,000 | New York City Municipal Finance Authority Water & Sewer System Revenue, Series CC, 5.00%, 6/15/47, Callable 6/15/23 @ 100 | 562,730 | ||||||
|
| |||||||
3,195,797 | ||||||||
|
| |||||||
| Ohio (0.0%): |
| ||||||
175,000 | Ohio State Turnpike Commission Revenue, Series A-1, 5.00%, 2/15/48, Callable 2/15/23 @ 100 | 188,038 | ||||||
|
| |||||||
188,038 | ||||||||
|
| |||||||
| Total Municipal Bonds (Cost $8,706,340) | 8,900,215 | ||||||
|
| |||||||
| U.S. Government Agency Mortgages (32.7%): |
| ||||||
| Federal Farm Credit Bank (0.2%) |
| ||||||
2,120,000 | 2.35%, 4/24/23, Callable 7/18/14 @ 100 | 2,038,363 | ||||||
|
| |||||||
| Federal Home Loan Mortgage Corporation (1.0%) |
| ||||||
7,062,854 | 4.00%, 4/20/44, Pool #MA1839 | 7,571,252 | ||||||
|
| |||||||
| Federal Home Loan Mortgage Corporation (8.6%) |
| ||||||
1,299,000 | 1.00%, 9/27/17 | 1,297,756 | ||||||
1,437,000 | 2.02%, 7/16/18, Callable 7/16/14 @ 100 | 1,438,131 | ||||||
1,357,356 | Class BW, Series 3738, 3.50%, 10/15/28 | 1,420,261 | ||||||
190,000 | 6.75%, 3/15/31 | 272,631 | ||||||
681,000 | 6.25%, 7/15/32 | 939,196 | ||||||
244,179 | 5.00%, 7/1/35, Pool #G01838 | 271,106 | ||||||
182,700 | 5.00%, 7/1/35, Pool #G01840 | 202,909 | ||||||
546,760 | 6.00%, 4/1/39, Pool #G07613 | 621,368 | ||||||
95,538 | 4.00%, 10/1/40, Pool #A95923 | 101,539 | ||||||
99,567 | 4.00%, 11/1/40, Pool #A95144 | 105,819 | ||||||
97,145 | 4.00%, 11/1/40, Pool #A94977 | 103,239 | ||||||
98,355 | 4.00%, 11/1/40, Pool #A94779 | 104,496 | ||||||
367,199 | 4.00%, 12/1/40, Pool #A95856 | 389,576 | ||||||
292,091 | 4.00%, 12/1/40, Pool #A95656 | 309,857 | ||||||
781,943 | 4.00%, 12/1/40, Pool #A95575 | 829,504 | ||||||
163,602 | 3.14%, 3/1/41, Pool #1B8062(b) | 171,634 | ||||||
2,326,906 | 5.50%, 6/1/41, Pool #G07553 | 2,593,708 | ||||||
97,650 | 4.00%, 10/1/41, Pool #Q03841 | 103,816 |
Continued
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| U.S. Government Agency Mortgages, continued |
| ||||||
| Federal Home Loan Mortgage Corporation, continued |
| ||||||
$ | 193,627 | 4.00%, 10/1/41, Pool #Q04022 | $ | 205,872 | ||||
386,460 | 5.00%, 10/1/41, Pool #G07642 | 427,968 | ||||||
1,699,194 | Class BU, Series 4150, 4.00%, 2/15/42 | 1,812,423 | ||||||
386,510 | 3.50%, 4/1/42, Pool #C03805 | 398,029 | ||||||
573,141 | 3.50%, 4/1/42, Pool #C03811 | 591,086 | ||||||
351,745 | 2.03%, 7/1/42, Pool #2B0646(b) | 361,586 | ||||||
1,100,000 | 3.00%, 7/15/42 | 1,108,250 | ||||||
613,554 | 3.50%, 11/1/42, Pool #Q12841 | 631,479 | ||||||
588,946 | 3.00%, 1/1/43, Pool #Q14866 | 582,200 | ||||||
564,559 | 3.00%, 3/1/43, Pool #Q16673 | 557,571 | ||||||
387,822 | 3.00%, 3/1/43, Pool #Q16403 | 383,022 | ||||||
677,644 | 3.00%, 3/1/43, Pool #Q16567 | 669,256 | ||||||
189,555 | 3.00%, 4/1/43, Pool #Q17095 | 187,678 | ||||||
393,872 | 3.50%, 7/1/43, Pool #Q20206 | 406,224 | ||||||
1,079,820 | 3.50%, 7/1/43, Pool #Q20262 | 1,112,013 | ||||||
3,854,586 | 3.00%, 7/1/43, Pool #V80169 | 3,812,824 | ||||||
390,829 | 3.50%, 7/1/43, Pool #Q20021 | 403,450 | ||||||
3,700,000 | 3.50%, 7/15/43 | 3,847,711 | ||||||
2,800,000 | 3.50%, 7/15/43 | 2,878,095 | ||||||
883,592 | 3.50%, 8/1/43, Pool #V80355 | 912,125 | ||||||
2,118,051 | 3.00%, 8/1/43, Pool #G07550 | 2,091,833 | ||||||
777,828 | 3.50%, 12/1/43, Pool #G07591 | 800,986 | ||||||
27,000,000 | 4.00%, 6/20/44, Pool #MA1996 | 28,943,511 | ||||||
200,000 | 5.00%, 7/15/44 | 221,375 | ||||||
2,800,000 | 4.00%, 7/15/44 | 2,990,750 | ||||||
2,100,000 | 3.00%, 7/15/44 | 2,071,616 | ||||||
700,000 | 5.50%, 7/15/44 | 781,170 | ||||||
4,800,000 | 4.50%, 7/15/44 | 5,194,957 | ||||||
2,000,000 | 4.00%, 7/15/44 | 2,118,750 | ||||||
|
| |||||||
77,780,356 | ||||||||
|
| |||||||
| Federal National Mortgage Association (20.0%) |
| ||||||
1,065,000 | 5.00%, 3/2/15, Pool #AQ6099 | 1,099,730 | ||||||
241,314 | 4.00%, 7/1/19, Pool #AE0968 | 256,590 | ||||||
30,364 | Class NT, Series 2009-70, 4.00%, 8/25/19 | 31,685 | ||||||
445,199 | 4.00%, 7/1/24, Pool #AL1938 | 475,493 | ||||||
494,037 | 5.50%, 7/1/25, Pool #AE0096 | 552,722 | ||||||
565,545 | 4.00%, 9/1/26, Pool #AL2683 | 603,675 | ||||||
6,430,843 | 2.50%, 5/1/28, Pool #310125 | 6,541,559 | ||||||
18,800,000 | 3.00%, 7/25/28 | 19,528,499 | ||||||
3,162,728 | 3.50%, 9/1/28, Pool #AL4245 | 3,361,481 | ||||||
1,007,197 | 3.50%, 10/1/28, Pool #AV0198 | 1,070,497 | ||||||
1,280,271 | 3.50%, 11/1/28, Pool #AV1360 | 1,360,629 | ||||||
991,733 | Class CD, Series 2011-56, 3.50%, 1/25/29 | 1,030,135 | ||||||
878,974 | 3.50%, 2/1/29, Pool #AL4922 | 934,224 | ||||||
100,000 | 4.50%, 7/25/29 | 106,141 | ||||||
1,200,000 | 5.50%, 7/25/29 | 1,274,618 | ||||||
1,100,000 | 5.00%, 7/25/29 | 1,167,333 | ||||||
5,250,000 | 4.00%, 7/25/29 | 5,573,203 | ||||||
2,605,000 | 5.67%, 1/15/30(c) | 1,453,033 | ||||||
1,500,000 | 5.70%, 5/15/30(c) | 822,152 | ||||||
444,519 | 5.50%, 1/1/33, Pool #676661 | 499,928 | ||||||
289,351 | 5.50%, 5/1/33, Pool #555424 | 325,362 | ||||||
198,082 | 5.00%, 7/1/34, Pool #725589 | 220,710 | ||||||
685,417 | 5.50%, 2/1/35, Pool #735989 | 770,961 | ||||||
55,537 | 6.00%, 4/1/35, Pool #735504 | 62,987 |
Principal Amount | Fair Value | |||||||
| U.S. Government Agency Mortgages, continued |
| ||||||
| Federal National Mortgage Association, continued |
| ||||||
$ | 1,569,359 | 5.50%, 9/1/36, Pool #995113 | $ | 1,765,278 | ||||
166,628 | 5.50%, 2/1/38, Pool #961545 | 186,421 | ||||||
61,182 | 6.00%, 3/1/38, Pool #889529 | 68,899 | ||||||
438,020 | 5.50%, 5/1/38, Pool #889692 | 490,051 | ||||||
186,125 | 6.00%, 5/1/38, Pool #889466 | 210,094 | ||||||
330,584 | 5.50%, 5/1/38, Pool #889441 | 369,853 | ||||||
310,707 | 5.50%, 6/1/38, Pool #995018 | 347,615 | ||||||
86,121 | 5.50%, 9/1/38, Pool #889995 | 96,350 | ||||||
211,742 | 6.00%, 10/1/38, Pool #889983 | 238,723 | ||||||
99,599 | 4.00%, 4/1/39, Pool #AV6610 | 105,850 | ||||||
398,510 | 4.00%, 5/1/39, Pool #AS2352 | 423,523 | ||||||
224,248 | 5.50%, 10/1/39, Pool #AD0362 | 252,742 | ||||||
204,066 | 5.50%, 12/1/39, Pool #AD0571 | 230,311 | ||||||
1,360,248 | 6.00%, 4/1/40, Pool #AL4141 | 1,533,311 | ||||||
279,884 | 6.50%, 5/1/40, Pool #AL1704 | 314,567 | ||||||
145,100 | 6.00%, 9/1/40, Pool #AE0823 | 163,275 | ||||||
1,245,000 | Class CY, Series 2010-136, 4.00%, 12/25/40 | 1,299,524 | ||||||
577,546 | 4.00%, 1/1/41, Pool #AE0835 | 615,345 | ||||||
4,127,475 | 4.00%, 1/1/41, Pool #AL5233 | 4,386,541 | ||||||
194,916 | 2.90%, 2/1/41, Pool #AH6958(b) | 205,049 | ||||||
2,199,473 | 5.00%, 4/1/41, Pool #AH6176 | 2,446,520 | ||||||
1,642,583 | 5.00%, 4/1/41, Pool #AH6283 | 1,828,164 | ||||||
301,877 | 6.00%, 6/1/41, Pool #AL4142 | 340,387 | ||||||
379,565 | 3.25%, 7/1/41, Pool #AL0533(b) | 400,334 | ||||||
183,216 | 4.00%, 12/1/41, Pool #AJ4188 | 195,329 | ||||||
180,667 | 4.00%, 5/1/42, Pool #AT6144 | 192,858 | ||||||
84,815 | 3.50%, 6/1/42, Pool #AO3107 | 87,547 | ||||||
2,548,034 | 4.00%, 7/1/42, Pool #AL4244 | 2,719,229 | ||||||
121,500 | 2.32%, 7/1/42, Pool #AO6482(b) | 125,564 | ||||||
83,925 | 3.50%, 7/1/42, Pool #AO8011 | 86,550 | ||||||
393,985 | 2.02%, 7/1/42, Pool #AP0006(b) | 406,832 | ||||||
2,609,663 | 4.50%, 9/1/42, Pool #AL5231 | 2,829,445 | ||||||
336,966 | 3.00%, 12/1/42, Pool #AB7425 | 333,893 | ||||||
402,186 | 3.00%, 12/1/42, Pool #AB7271 | 398,515 | ||||||
1,093,294 | 3.00%, 1/1/43, Pool #AB7567 | 1,082,976 | ||||||
1,016,269 | 3.00%, 1/1/43, Pool #AB7497 | 1,006,678 | ||||||
1,013,425 | 3.00%, 1/1/43, Pool #AB7458 | 1,003,861 | ||||||
694,783 | 3.00%, 1/1/43, Pool #AB7755 | 688,442 | ||||||
1,399,215 | 3.00%, 2/1/43, Pool #AL3162 | 1,387,311 | ||||||
377,958 | 3.00%, 2/1/43, Pool #AB8558 | 374,743 | ||||||
378,411 | 3.00%, 2/1/43, Pool #AB7762 | 375,192 | ||||||
696,536 | 3.00%, 3/1/43, Pool #AB8701 | 690,178 | ||||||
191,275 | 3.00%, 3/1/43, Pool #AR7576 | 189,181 | ||||||
152,726 | 3.00%, 3/1/43, Pool #AR7568 | 151,056 | ||||||
274,949 | 3.00%, 3/1/43, Pool #AR9218 | 271,938 | ||||||
274,357 | 4.00%, 3/1/43, Pool #AL3377 | 292,379 | ||||||
741,158 | 3.00%, 3/1/43, Pool #AR9194 | 734,855 | ||||||
89,841 | 3.00%, 3/1/43, Pool #AB8712 | 89,021 | ||||||
248,392 | 3.00%, 3/1/43, Pool #AB8830 | 246,124 | ||||||
90,515 | 3.00%, 4/1/43, Pool #AB9033 | 89,689 | ||||||
655,813 | 3.00%, 4/1/43, Pool #AB9016 | 649,827 | ||||||
185,239 | 3.00%, 4/1/43, Pool #AB8924 | 183,210 | ||||||
368,715 | 3.00%, 4/1/43, Pool #AT2040 | 364,677 | ||||||
194,191 | 3.00%, 4/1/43, Pool #AT2043 | 192,064 | ||||||
191,617 | 3.00%, 4/1/43, Pool #AB8923 | 189,518 | ||||||
120,828 | 3.00%, 4/1/43, Pool #AT2037 | 119,505 |
Continued
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| U.S. Government Agency Mortgages, continued |
| ||||||
| Federal National Mortgage Association, continued |
| ||||||
$ | 284,417 | 3.00%, 4/1/43, Pool #AR8630 | $ | 281,302 | ||||
1,171,142 | 4.00%, 5/1/43, Pool #AL3692 | 1,247,881 | ||||||
469,998 | 3.00%, 5/1/43, Pool #AB9173 | 465,999 | ||||||
282,794 | 3.00%, 5/1/43, Pool #AL3759 | 280,684 | ||||||
335,087 | 3.00%, 5/1/43, Pool #AB9462 | 332,548 | ||||||
277,077 | 3.00%, 5/1/43, Pool #AT6654 | 274,720 | ||||||
2,765,719 | 3.00%, 5/1/43, Pool #AT5974 | 2,742,187 | ||||||
745,659 | 3.00%, 5/1/43, Pool #AT2719 | 739,315 | ||||||
25,737 | 3.00%, 6/1/43, Pool #AB9564 | 25,542 | ||||||
128,500 | 3.00%, 6/1/43, Pool #AT7676 | 127,409 | ||||||
397,884 | 3.00%, 6/1/43, Pool #AB9662 | 394,870 | ||||||
2,848,171 | 3.50%, 7/1/43, Pool #AL4009 | 2,944,332 | ||||||
358,564 | 3.50%, 7/1/43, Pool #AT8464 | 370,276 | ||||||
325,220 | 3.50%, 7/1/43, Pool #AT4327 | 336,116 | ||||||
2,962,418 | 3.50%, 7/1/43, Pool #AL4014 | 3,059,681 | ||||||
864,661 | 3.50%, 7/1/43, Pool #AL4010 | 892,514 | ||||||
1,200,000 | 2.50%, 7/25/43 | 1,137,563 | ||||||
4,082,500 | 3.50%, 7/25/43 | 4,202,423 | ||||||
193,618 | 3.50%, 8/1/43, Pool #AU0613 | 199,822 | ||||||
194,466 | 3.50%, 8/1/43, Pool #AU0570 | 200,712 | ||||||
872,915 | 4.00%, 8/1/43, Pool #AL5096 | 929,825 | ||||||
5,666,863 | 4.50%, 8/1/43, Pool #AL5097 | 6,142,349 | ||||||
959,898 | 3.50%, 8/1/43, Pool #AS0209 | 990,819 | ||||||
98,264 | 3.50%, 8/1/43, Pool #AU3270 | 101,410 | ||||||
98,322 | 3.50%, 8/1/43, Pool #AU3267 | 101,603 | ||||||
1,386,135 | 4.00%, 10/1/43, Pool #AL4311 | 1,476,471 | ||||||
1,912,446 | 4.00%, 11/1/43, Pool #890567 | 2,039,382 | ||||||
975,204 | 3.50%, 12/1/43, Pool #AL4682 | 1,008,088 | ||||||
180,172 | 3.50%, 1/1/44, Pool #AS1539 | 186,088 | ||||||
3,896,417 | 4.00%, 1/1/44, Pool #AL4685 | 4,150,092 | ||||||
590,900 | 4.00%, 1/1/44, Pool #AV2357 | 629,800 | ||||||
390,941 | 4.00%, 1/1/44, Pool #AV2356 | 417,164 | ||||||
96,995 | 4.00%, 1/1/44, Pool #AS1460 | 103,508 | ||||||
98,596 | 4.00%, 1/1/44, Pool #AS1456 | 105,131 | ||||||
2,731,790 | 2.91%, 1/1/44, Pool #AV7743(b) | 2,820,483 | ||||||
113,195 | 3.50%, 1/1/44, Pool #AS1453 | 117,018 | ||||||
1,080,394 | 4.00%, 2/1/44, Pool #AS1773 | 1,152,907 | ||||||
349,773 | 4.00%, 2/1/44, Pool #AL4915 | 373,070 | ||||||
880,389 | 4.00%, 2/1/44, Pool #AL4840 | 938,802 | ||||||
369,235 | 4.00%, 4/1/44, Pool #AW1069 | 393,672 | ||||||
3,767,341 | 4.00%, 4/1/44, Pool #AL5159 | 4,016,501 | ||||||
371,434 | 4.00%, 5/1/44, Pool #AL5383 | 394,748 | ||||||
16,850,000 | 4.00%, 7/25/44 | 17,882,062 | ||||||
7,300,000 | 5.00%, 7/25/44 | 8,106,422 | ||||||
14,400,000 | 4.50%, 7/25/44 | 15,594,753 | ||||||
600,000 | 5.50%, 7/25/44 | 671,739 | ||||||
2,300,000 | 6.00%, 7/25/44 | 2,590,734 | ||||||
1,320,935 | 3.50%, 12/31/49, Pool #AL4543 | 1,362,421 | ||||||
|
| |||||||
180,243,219 | ||||||||
|
| |||||||
| Government National Mortgage Association (2.9%) |
| ||||||
60,910 | 4.50%, 9/15/33, Pool #615516 | 66,942 | ||||||
215,495 | 5.00%, 12/15/33, Pool #783571 | 239,145 | ||||||
66,657 | 6.50%, 8/20/38, Pool #4223 | 75,291 | ||||||
99,883 | 6.50%, 10/15/38, Pool #673213 | 113,485 | ||||||
37,793 | 6.50%, 11/20/38, Pool #4292 | 42,688 |
Principal Amount | Fair Value | |||||||
| U.S. Government Agency Mortgages, continued |
| ||||||
| Government National Mortgage Association, continued |
| ||||||
$ | 75,584 | 6.50%, 12/15/38, Pool #782510 | $ | 85,877 | ||||
698,925 | 5.00%, 1/15/39, Pool #782557 | 775,123 | ||||||
492,637 | 5.00%, 4/15/39, Pool #782619 | 541,783 | ||||||
49,919 | 5.00%, 6/15/39, Pool #782696 | 55,522 | ||||||
394,113 | 5.00%, 10/20/39, Pool #4559 | 438,037 | ||||||
115,571 | 4.50%, 1/15/40, Pool #728627 | 126,335 | ||||||
303,629 | 5.00%, 5/15/40, Pool #782958 | 336,481 | ||||||
317,338 | 4.50%, 7/15/40, Pool #745793 | 346,897 | ||||||
526,940 | 4.50%, 10/15/40, Pool #783609 | 575,958 | ||||||
167,416 | 4.50%, 2/15/41, Pool #738019 | 182,991 | ||||||
28,899 | 5.00%, 4/20/41, Pool #5018 | 32,057 | ||||||
477,357 | 4.50%, 6/20/41, Pool #783590 | 522,809 | ||||||
62,679 | 5.00%, 6/20/41, Pool #5083 | 69,467 | ||||||
318,198 | 4.50%, 7/20/41, Pool #783584 | 348,447 | ||||||
32,310 | 5.00%, 7/20/41, Pool #5116 | 35,824 | ||||||
1,072,398 | 4.50%, 7/20/41, Pool #5115 | 1,173,609 | ||||||
365,977 | 4.50%, 11/15/41, Pool #783610 | 399,965 | ||||||
4,676,632 | 3.50%, 4/20/43, Pool #MA0934 | 4,880,302 | ||||||
2,450,000 | 3.00%, 6/20/43 | 2,472,969 | ||||||
5,500,000 | 3.50%, 7/20/43 | 5,729,024 | ||||||
500,000 | 5.00%, 7/15/44 | 549,388 | ||||||
400,000 | 4.50%, 7/15/44 | 435,578 | ||||||
3,300,000 | 4.50%, 7/20/44 | 3,603,316 | ||||||
950,000 | 4.00%, 4/4/47, Pool #MA1678 | 1,004,162 | ||||||
9,314,414 | Class XA, Series 2014-GC20, 1.39%, 4/10/47, Pool #MA1678(b) | 751,561 | ||||||
|
| |||||||
26,011,033 | ||||||||
|
| |||||||
| Total U.S. Government Agency Mortgages (Cost $290,765,470) | 293,644,223 | ||||||
|
| |||||||
| U.S. Treasury Obligations (28.0%): |
| ||||||
| U.S. Treasury Bonds (3.4%) |
| ||||||
2,600,000 | 4.75%, 2/15/37 | 3,268,281 | ||||||
4,080,000 | 3.75%, 8/15/41 | 4,431,900 | ||||||
890,000 | 2.88%, 5/15/43 | 813,238 | ||||||
350,000 | 3.75%, 11/15/43 | 378,000 | ||||||
21,375,000 | 3.38%, 5/15/44 | 21,518,619 | ||||||
|
| |||||||
30,410,038 | ||||||||
|
| |||||||
| U.S. Treasury Inflation Index Bonds (0.2%) |
| ||||||
1,705,000 | 1.38%, 2/15/44 | 1,907,526 | ||||||
|
| |||||||
| U.S. Treasury Inflation Index Notes (1.4%) |
| ||||||
8,885,000 | 0.13%, 4/15/19 | 9,256,276 | ||||||
3,690,000 | 0.63%, 1/15/24 | 3,885,057 | ||||||
|
| |||||||
13,141,333 | ||||||||
|
| |||||||
| U.S. Treasury Notes (23.0%) |
| ||||||
87,340,000 | 0.50%, 6/30/16 | 87,415,024 | ||||||
50,425,000 | 0.88%, 6/15/17 | 50,444,715 | ||||||
4,500,000 | 1.63%, 3/31/19 | 4,513,010 | ||||||
38,770,000 | 1.63%, 6/30/19 | 38,769,999 | ||||||
6,015,000 | 2.00%, 5/31/21 | 5,969,888 | ||||||
10,675,000 | 2.13%, 6/30/21 | 10,673,335 | ||||||
6,055,000 | 2.50%, 5/15/24 | 6,046,487 | ||||||
|
| |||||||
203,832,458 | ||||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $248,324,759) | 249,291,355 | ||||||
|
|
Continued
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (0.2%): |
| ||||||
$ | 1,740,071 | Allianz Variable Insurance Products Securities Lending Collateral Trust(d) | $ | 1,740,071 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,740,071 | ||||||
|
|
Shares | Fair Value | |||||||
| Unaffiliated Investment Company (6.1%): |
| ||||||
53,922,771 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c) | $ | 53,922,771 | |||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $53,922,771) | 53,922,771 | ||||||
|
| |||||||
| Total Investment Securities (Cost $974,263,367)(e) — 110.2% | 983,791,014 | ||||||
| Net other assets (liabilities) — (10.2)% | (93,821,815 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 889,969,199 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
GO—General Obligation
MTN—Medium Term Note
REMIC—Real Estate Mortgage Investment Conduit
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,685,218. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Securities Sold Short (-4.9%):
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Fair Value | Unrealized Appreciation/ Deprecation | ||||||||||||||
Federal National Mortgage Association | 2.50% | 7/25/27 | $ | (6,400,000 | ) | $ | (6,444,000 | ) | $ | (6,500,999 | ) | $ | (56,999 | ) | ||||||
Federal National Mortgage Association | 3.00% | 7/25/43 | (10,000,000 | ) | (9,817,508 | ) | (9,878,911 | ) | (61,403 | ) | ||||||||||
Federal National Mortgage Association | 3.50% | 7/25/28 | (700,000 | ) | (738,391 | ) | (741,891 | ) | (3,500 | ) | ||||||||||
Government National Mortgage Association | 4.00% | 7/20/43 | (27,600,000 | ) | (29,283,765 | ) | (29,536,311 | ) | (252,546 | ) | ||||||||||
|
|
|
|
| �� | |||||||||||||||
$ | (46,283,664 | ) | $ | (46,658,112 | ) | $ | (374,448 | ) | ||||||||||||
|
|
|
|
|
|
Futures Contracts
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
U.S. Treasury 30-Year Bond September Futures | Long | 9/19/14 | 77 | $ | 10,563,437 | $ | 36,949 | |||||||||||||
Ultra Long Term U.S. Treasury Bond September Futures | Long | 9/19/14 | 4 | 599,750 | 592 | |||||||||||||||
U.S. Treasury 2-Year Note October Futures | Long | 9/30/14 | 4 | 878,375 | (544 | ) | ||||||||||||||
U.S. Treasury 10-Year Note September Futures | Long | 9/19/14 | 151 | 18,900,953 | (62,895 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | (25,898 | ) | |||||||||||||||||
|
|
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
European Euro | Barclays Bank | 7/23/14 | 421,000 | $ | 581,869 | $ | 576,484 | $ | 5,385 | |||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 581,869 | $ | 576,484 | $ | 5,385 | |||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 974,263,367 | |||
|
| ||||
Investment securities, at value* | $ | 983,791,014 | |||
Interest and dividends receivable | 3,589,829 | ||||
Foreign currency, at value (cost $199,252) | 206,222 | ||||
Unrealized appreciation on forward currency contracts | 5,385 | ||||
Receivable for capital shares issued | 344,904 | ||||
Receivable for investments sold | 125,649,017 | ||||
Receivable for variation margin on futures contracts | 26,192 | ||||
Prepaid expenses | 3,505 | ||||
|
| ||||
Total Assets | 1,113,616,068 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 53,865 | ||||
Payable for investments purchased | 174,695,504 | ||||
Payable for capital shares redeemed | 17 | ||||
Payable for collateral received on loaned securities | 1,740,071 | ||||
Securities sold short (Proceeds received $46,283,665) | 46,658,112 | ||||
Manager fees payable | 252,931 | ||||
Administration fees payable | 27,234 | ||||
Distribution fees payable | 180,666 | ||||
Custodian fees payable | 9,421 | ||||
Administrative and compliance services fees payable | 2,081 | ||||
Trustee fees payable | 4,745 | ||||
Other accrued liabilities | 22,222 | ||||
|
| ||||
Total Liabilities | 223,646,869 | ||||
|
| ||||
Net Assets | $ | 889,969,199 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 864,597,848 | |||
Accumulated net investment income/(loss) | 14,928,115 | ||||
Accumulated net realized gains/(losses) from investment transactions | 1,303,578 | ||||
Net unrealized appreciation/(depreciation) on investments | 9,139,658 | ||||
|
| ||||
Net Assets | $ | 889,969,199 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 80,448,458 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.06 | |||
|
|
* | Includes securities on loan of $1,685,218. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Interest | $ | 8,651,077 | |||
Dividends | 14,650 | ||||
Income from securities lending | 51,075 | ||||
|
| ||||
Total Investment Income | 8,716,802 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,458,523 | ||||
Administration fees | 148,094 | ||||
Distribution fees | 1,041,805 | ||||
Custodian fees | 17,080 | ||||
Administrative and compliance services fees | 6,614 | ||||
Trustee fees | 20,563 | ||||
Professional fees | 19,755 | ||||
Shareholder reports | 5,178 | ||||
Other expenses | 7,917 | ||||
|
| ||||
Total expenses | 2,725,529 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,991,273 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 8,371,337 | ||||
Net realized gains/(losses) on futures contracts | 1,798,546 | ||||
Net realized gains/(losses) on forward currency contracts | (17,114 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 14,353,742 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 24,506,511 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 30,497,784 | |||
|
|
See accompanying notes to the financial statements.
12
Statements of Changes in Net Assets
AZL Enhanced Bond Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,991,273 | $ | 7,243,910 | ||||||
Net realized gains/(losses) on investment transactions | 10,152,769 | (6,611,504 | ) | |||||||
Change in unrealized appreciation/depreciation on investments | 14,353,742 | (14,704,971 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 30,497,784 | (14,072,565 | ) | |||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (7,329,474 | ) | |||||||
From net realized gains | — | (7,727,147 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (15,056,621 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 91,593,520 | 317,585,411 | ||||||||
Proceeds from dividends reinvested | — | 15,056,621 | ||||||||
Value of shares redeemed | (21,035,441 | ) | (18,147,991 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 70,558,079 | 314,494,041 | ||||||||
|
|
|
| |||||||
Change in net assets | 101,055,863 | 285,364,855 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 788,913,336 | 503,548,481 | ||||||||
|
|
|
| |||||||
End of period | $ | 889,969,199 | $ | 788,913,336 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 14,928,115 | $ | 8,936,842 | ||||||
|
|
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Share Transactions: | ||||||||||
Shares issued | 8,425,050 | 29,111,948 | ||||||||
Dividends reinvested | — | 1,427,168 | ||||||||
Shares redeemed | (1,934,409 | ) | (1,679,500 | ) | ||||||
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Change in shares | 6,490,641 | 28,859,616 | ||||||||
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See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | July 10, 2009 to December 31, 2009 (a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.67 | $ | 11.17 | $ | 11.02 | $ | 10.51 | $ | 10.04 | $ | 10.00 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | 0.05 | 0.09 | 0.11 | 0.15 | 0.03 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.33 | (0.31 | ) | 0.38 | 0.65 | 0.41 | 0.01 | |||||||||||||||||||||||
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Total from Investment Activities | 0.39 | (0.26 | ) | 0.47 | 0.76 | 0.56 | 0.04 | |||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | (0.13 | ) | (0.13 | ) | (0.03 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.12 | ) | (0.19 | ) | (0.12 | ) | (0.06 | ) | — | ||||||||||||||||||||
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Total Dividends | — | (0.24 | ) | (0.32 | ) | (0.25 | ) | (0.09 | ) | — | ||||||||||||||||||||
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Net Asset Value, End of Period | $ | 11.06 | $ | 10.67 | $ | 11.17 | $ | 11.02 | $ | 10.51 | $ | 10.04 | ||||||||||||||||||
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Total Return(b) | 3.66 | %(c) | (2.32 | )% | 4.22 | % | 7.28 | % | 5.62 | % | 0.40 | %(c) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 889,969 | $ | 788,913 | $ | 503,548 | $ | 341,219 | $ | 205,572 | $ | 127,833 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.44 | % | 1.14 | % | 1.35 | % | 1.69 | % | 2.01 | % | 1.34 | % | ||||||||||||||||||
Expenses Before Reductions(d) (e) | 0.65 | % | 0.66 | % | 0.68 | % | 0.69 | % | 0.71 | % | 0.76 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.65 | % | 0.66 | % | 0.68 | % | 0.69 | % | 0.70 | % | 0.70 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 317 | %(c) | 663 | % | 385 | % | 407 | % | 700 | % | 366 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period. |
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Enhanced Bond Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.
15
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $34.9 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $5,012 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $0.6 million as of June 30, 2014. The monthly average amount for these contracts was $0.9 million for the period ended June 30, 2014.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $30.9 million as of June 30, 2014. The monthly average notional amount for these contracts was $51.7 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
16
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Foreign Currency Contracts | Unrealized appreciation on forward currency contracts | $ | 5,385 | Unrealized depreciation on forward currency contracts | $ | — | ||||||
Interest Rate Contracts | Receivable for variation margin on futures contracts* | 37,541 | Payable for variation margin on futures contracts* | 63,439 |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Foreign Currency Contracts | Net realized gains/(losses) on forward currency contracts/Change in unrealized appreciation/depreciation on investments | $ | (17,114 | ) | $ | 20,608 | ||||
Interest Rate Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments | 1,798,546 | 561,888 |
Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2014. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014.
As of June 30, 2014, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Futures Contracts | $ | 26,192 | $ | — | ||||||
Forward Currency Contracts | 5,385 | — | ||||||||
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Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | 31,577 | — | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (26,192 | ) | — | |||||||
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Total assets and liabilities subject to a MNA | $ | 5,385 | $ | — | ||||||
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The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of June 30, 2014:
Counterparty | Derivative Assets by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Assets | ||||||||||||||||||||
Barclays Bank | $ | 5,385 | $ | — | $ | — | $ | — | $ | 5,385 | |||||||||||||||
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Total | $ | 5,385 | $ | — | $ | — | $ | — | $ | 5,385 | |||||||||||||||
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* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
17
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Financial Management, Inc. (“BlackRock Financial”), BlackRock Financial provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Enhanced Bond Index Fund | 0.35 | % | 0.70 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $4,800 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
18
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 57,806,160 | $ | 57,806,160 | |||||||||
Collateralized Mortgage Obligations | — | 67,003,615 | 67,003,615 | ||||||||||||
Convertible Preferred Stock+ | — | 990,250 | 990,250 | ||||||||||||
Corporate Bonds+ | — | 164,275,074 | 164,275,074 | ||||||||||||
Municipal Bonds | — | 8,900,215 | 8,900,215 | ||||||||||||
Preferred Stock+ | 1,037,600 | — | 1,037,600 | ||||||||||||
U.S. Government Agency Mortgages | — | 293,644,223 | 293,644,223 | ||||||||||||
U.S. Treasury Obligations | — | 249,291,355 | 249,291,355 | ||||||||||||
Yankee Dollars+ | — | 85,179,680 | 85,179,680 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 1,740,071 | 1,740,071 | ||||||||||||
Unaffiliated Investment Company | 53,922,771 | — | 53,922,771 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | 54,960,371 | 928,830,643 | 983,791,014 | ||||||||||||
|
|
|
|
|
| ||||||||||
Securities Sold Short | — | (46,658,112 | ) | (46,658,112 | ) | ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | (25,898 | ) | — | (25,898 | ) | ||||||||||
Forward Currency Contracts | — | 5,385 | 5,385 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 54,934,473 | $ | 882,177,916 | $ | 937,112,389 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts and forward currency contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 2,496,713,723 | $ | 2,327,408,679 |
19
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
For the period ended June 30, 2014, purchases and sales on long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 2,343,047,819 | $ | 2,235,798,951 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $974,593,687. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 11,305,554 | ||
Unrealized depreciation | (2,108,227 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 9,197,327 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short Term Amount | Short Term Amount | Total Amount | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 8,685,941 | $ | 5,491,128 | $ | 8,685,941 |
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 13,419,467 | $ | 1,637,154 | $ | 15,056,621 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
20
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 8,934,759 | $ | — | $ | (8,685,941 | ) | $ | (5,375,251 | ) | $ | (5,126,433 | ) |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
21
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
22
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Federated Clover Small Value Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Federated Clover Small Value Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Federated Clover Small Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Federated Clover Small Value Fund | $ | 1,000.00 | $ | 1,089.20 | $ | 5.44 | 1.05 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Federated Clover Small Value Fund | $ | 1,000.00 | $ | 1,019.54 | $ | 5.26 | 1.05 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 35.3 | % | |||
Industrials | 11.6 | ||||
Consumer Discretionary | 9.9 | ||||
Information Technology | 9.2 | ||||
Health Care | 7.8 | ||||
Energy | 7.6 | ||||
Utilities | 6.7 | ||||
Materials | 6.4 | ||||
Consumer Staples | 2.3 | ||||
|
| ||||
Total Common Stock | 96.8 | ||||
Securities Held as Collateral for Securities on Loan | 5.8 | ||||
Money Market | 3.6 | ||||
|
| ||||
Total Investment Securities | 106.2 | ||||
Net other assets (liabilities) | (6.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Federated Clover Small Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (96.8%): |
| ||||||
| Aerospace & Defense (2.9%): |
| ||||||
71,275 | Curtiss-Wright Corp. | $ | 4,672,789 | |||||
48,615 | Esterline Technologies Corp.* | 5,596,558 | ||||||
45,625 | Triumph Group, Inc. | 3,185,538 | ||||||
|
| |||||||
13,454,885 | ||||||||
|
| |||||||
| Auto Components (0.8%): |
| ||||||
58,125 | Tenneco, Inc.* | 3,818,813 | ||||||
|
| |||||||
| Banks (12.2%): |
| ||||||
157,093 | Capital Bank Financial Corp.* | 3,708,966 | ||||||
50,560 | City Holding Co. | 2,281,267 | ||||||
517,575 | F.N.B. Corp.^ | 6,635,311 | ||||||
563,198 | Investors Bancorp, Inc. | 6,223,338 | ||||||
168,300 | PacWest Bancorp | 7,265,510 | ||||||
191,325 | Popular, Inc.* | 6,539,489 | ||||||
583,225 | Susquehanna Bancshares, Inc. | 6,158,856 | ||||||
216,078 | Synovus Financial Corp. | 5,267,982 | ||||||
172,175 | Talmer Bancorp, Inc., Class A* | 2,374,293 | ||||||
177,150 | Webster Financial Corp. | 5,587,311 | ||||||
92,275 | Wintrust Financial Corp. | 4,244,650 | ||||||
|
| |||||||
56,286,973 | ||||||||
|
| |||||||
| Biotechnology (1.4%): |
| ||||||
50,550 | Alkermes plc* | 2,544,182 | ||||||
27,200 | Cubist Pharmaceuticals, Inc.* | 1,899,104 | ||||||
279,200 | Spectrum Pharmaceuticals, Inc.*^ | 2,269,896 | ||||||
|
| |||||||
6,713,182 | ||||||||
|
| |||||||
| Building Products (0.5%): |
| ||||||
73,100 | USG Corp.*^ | 2,202,503 | ||||||
|
| |||||||
| Chemicals (2.8%): |
| ||||||
265,975 | Chemtura Corp.* | 6,949,926 | ||||||
215,075 | Huntsman Corp. | 6,043,608 | ||||||
|
| |||||||
12,993,534 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.8%): |
| ||||||
33,950 | UniFirst Corp. | 3,598,700 | ||||||
|
| |||||||
| Communications Equipment (1.3%): |
| ||||||
61,200 | Black Box Corp. | 1,434,528 | ||||||
238,275 | SeaChange International, Inc.* | 1,908,583 | ||||||
45,250 | ViaSat, Inc.*^ | 2,622,690 | ||||||
|
| |||||||
5,965,801 | ||||||||
|
| |||||||
| Construction & Engineering (1.0%): |
| ||||||
52,525 | Granite Construction, Inc. | 1,889,850 | ||||||
92,750 | Tutor Perini Corp.* | 2,943,885 | ||||||
|
| |||||||
4,833,735 | ||||||||
|
| |||||||
| Containers & Packaging (0.6%): |
| ||||||
115,475 | Berry Plastics Group, Inc.* | 2,979,255 | ||||||
|
| |||||||
| Diversified Consumer Services (0.6%): |
| ||||||
202,525 | Bridgepoint Education, Inc.* | 2,689,532 | ||||||
|
| |||||||
| Diversified Financial Services (1.2%): |
| ||||||
249,525 | FXCM, Inc.^ | 3,732,894 | ||||||
79,375 | PHH Corp.* | 1,824,038 | ||||||
|
| |||||||
5,556,932 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electric Utilities (5.3%): |
| ||||||
133,700 | Cleco Corp. | $ | 7,881,615 | |||||
324,500 | Great Plains Energy, Inc. | 8,719,314 | ||||||
132,400 | IDACORP, Inc. | 7,656,692 | ||||||
|
| |||||||
24,257,621 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (1.5%): |
| ||||||
29,700 | Anixter International, Inc. | 2,972,078 | ||||||
66,848 | CTS Corp. | 1,250,058 | ||||||
90,025 | Insight Enterprises, Inc.* | 2,767,369 | ||||||
|
| |||||||
6,989,505 | ||||||||
|
| |||||||
| Energy Equipment & Services (3.0%): |
| ||||||
100,450 | Exterran Holdings, Inc. | 4,519,245 | ||||||
338,275 | Key Energy Services, Inc.* | 3,091,834 | ||||||
484,700 | Precision Drilling Corp. | 6,863,352 | ||||||
|
| |||||||
14,474,431 | ||||||||
|
| |||||||
| Food Products (1.5%): |
| ||||||
587,550 | Rite AID Corp.* | 4,212,734 | ||||||
91,825 | WhiteWave Foods Co., Class A* | 2,972,375 | ||||||
|
| |||||||
7,185,109 | ||||||||
|
| |||||||
| Gas Utilities (1.4%): |
| ||||||
120,025 | Atmos Energy Corp. | 6,409,335 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (2.8%): |
| ||||||
61,825 | Alere, Inc.* | 2,313,492 | ||||||
84,650 | Cynosure, Inc., Class A* | 1,798,813 | ||||||
140,784 | Merit Medical Systems, Inc.* | 2,125,838 | ||||||
102,450 | Tornier NV* | 2,395,281 | ||||||
144,425 | Wright Medical Group, Inc.* | 4,534,944 | ||||||
|
| |||||||
13,168,368 | ||||||||
|
| |||||||
| Health Care Providers & Services (2.2%): |
| ||||||
41,675 | Magellan Health Services, Inc.* | 2,593,852 | ||||||
36,550 | Universal Health Services, Inc., Class B | 3,500,028 | ||||||
56,650 | WellCare Health Plans, Inc.* | 4,229,489 | ||||||
|
| |||||||
10,323,369 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.6%): |
| ||||||
199,500 | Orient-Express Hotel, Ltd.* | 2,900,730 | ||||||
|
| |||||||
| Household Durables (1.7%): |
| ||||||
136,075 | KB Home^ | 2,541,881 | ||||||
100,550 | La-Z-Boy, Inc. | 2,329,744 | ||||||
51,600 | Tempur-Pedic International, Inc.* | 3,080,520 | ||||||
|
| |||||||
7,952,145 | ||||||||
|
| |||||||
| Insurance (5.8%): |
| ||||||
143,250 | American Equity Investment Life Holding Co. | 3,523,950 | ||||||
88,247 | Argo Group International Holdings, Ltd. | 4,510,304 | ||||||
271,300 | CNO Financial Group, Inc. | 4,829,140 | ||||||
152,250 | Fidelity & Guaranty Life | 3,644,865 | ||||||
107,875 | Hanover Insurance Group, Inc. (The) | 6,812,306 | ||||||
294,300 | Maiden Holdings, Ltd. | 3,558,087 | ||||||
|
| |||||||
26,878,652 | ||||||||
|
| |||||||
| Internet Software & Services (0.3%): |
| ||||||
30,400 | j2 Global, Inc. | 1,546,144 | ||||||
|
|
Continued
2
AZL Federated Clover Small Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| IT Services (0.7%): |
| ||||||
54,625 | CSG Systems International, Inc. | $ | 1,426,259 | |||||
82,000 | Unisys Corp.* | 2,028,680 | ||||||
|
| |||||||
3,454,939 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.5%): |
| ||||||
93,825 | Bruker Corp.* | 2,277,133 | ||||||
|
| |||||||
| Machinery (3.0%): |
| ||||||
100,400 | Barnes Group, Inc. | 3,869,416 | ||||||
97,075 | Manitowoc Co., Inc. (The) | 3,189,885 | ||||||
77,450 | Terex Corp. | 3,183,195 | ||||||
89,200 | Trinity Industries, Inc. | 3,899,824 | ||||||
|
| |||||||
14,142,320 | ||||||||
|
| |||||||
| Marine (0.6%): |
| ||||||
260,825 | Diana Shipping, Inc.*^ | 2,840,384 | ||||||
|
| |||||||
| Media (2.4%): |
| ||||||
80,550 | Carmike Cinemas, Inc.* | 2,829,722 | ||||||
90,375 | Cinemark Holdings, Inc. | 3,195,659 | ||||||
141,000 | Lions Gate Entertainment Corp.^ | 4,029,780 | ||||||
66,225 | National CineMedia, Inc. | 1,159,600 | ||||||
|
| |||||||
11,214,761 | ||||||||
|
| |||||||
| Metals & Mining (1.9%): |
| ||||||
217,575 | Stillwater Mining Co.* | 3,818,441 | ||||||
87,100 | US Silica Holdings, Inc. | 4,828,824 | ||||||
|
| |||||||
8,647,265 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (4.6%): |
| ||||||
241,575 | Bill Barrett Corp.* | 6,469,379 | ||||||
191,300 | Newfield Exploration Co.* | 8,455,460 | ||||||
100,475 | Teekay Shipping Corp. | 6,254,569 | ||||||
|
| |||||||
21,179,408 | ||||||||
|
| |||||||
| Paper & Forest Products (1.1%): |
| ||||||
159,425 | KapStone Paper & Packaging Corp.* | 5,281,750 | ||||||
|
| |||||||
| Pharmaceuticals (0.9%): |
| ||||||
43,900 | Impax Laboratories, Inc.* | 1,316,561 | ||||||
93,250 | Medicines Co. (The)* | 2,709,845 | ||||||
|
| |||||||
4,026,406 | ||||||||
|
| |||||||
| Professional Services (0.7%): |
| ||||||
122,225 | Trueblue, Inc.* | 3,369,743 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (13.1%): |
| ||||||
103,950 | Associated Estates Realty Corp. | 1,873,179 | ||||||
337,750 | Colony Financial, Inc. | 7,842,554 | ||||||
370,800 | FelCor Lodging Trust, Inc. | 3,897,108 | ||||||
257,825 | First Potomac Realty Trust | 3,382,664 | ||||||
143,450 | LaSalle Hotel Properties | 5,062,351 | ||||||
505,150 | Lexington Realty Trust^ | 5,561,702 | ||||||
551,650 | MFA Financial, Inc. | 4,529,047 | ||||||
586,500 | New Residential Investment Corp. | 3,694,950 | ||||||
448,275 | NorthStar Realty Finance Corp. | 7,791,019 | ||||||
375,700 | Starwood Property Trust, Inc. | 8,930,388 | ||||||
75,110 | Starwood Waypoint Residential Trust* | 1,968,633 | ||||||
114,500 | Sun Communities, Inc. | 5,706,680 | ||||||
|
| |||||||
60,240,275 | ||||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Road & Rail (1.0%): |
| ||||||
179,950 | Swift Transportation Co.* | $ | 4,540,139 | |||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (4.5%): |
| ||||||
111,450 | Advanced Energy Industries, Inc.* | 2,145,413 | ||||||
226,575 | Atmel Corp.* | 2,123,008 | ||||||
289,050 | Brooks Automation, Inc. | 3,113,068 | ||||||
236,650 | Cypress Semiconductor Corp.^ | 2,581,852 | ||||||
147,400 | Fairchild Semiconductor International, Inc.* | 2,299,440 | ||||||
229,900 | Lattice Semiconductor Corp.* | 1,896,675 | ||||||
76,550 | MKS Instruments, Inc. | 2,391,422 | ||||||
57,200 | Tessera Technologies, Inc. | 1,262,976 | ||||||
86,700 | Veeco Instruments, Inc.* | 3,230,441 | ||||||
|
| |||||||
21,044,295 | ||||||||
|
| |||||||
| Software (0.5%): |
| ||||||
45,425 | Verint Systems, Inc.* | 2,228,096 | ||||||
|
| |||||||
| Specialty Retail (1.4%): |
| ||||||
410,450 | American Eagle Outfitters, Inc.^ | 4,605,249 | ||||||
60,175 | Rent-A-Center, Inc. | 1,725,819 | ||||||
|
| |||||||
6,331,068 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.4%): |
| ||||||
1,379,416 | Quantum Corp.* | 1,682,888 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (2.4%): |
| ||||||
125,575 | Crocs, Inc.* | 1,887,392 | ||||||
60,475 | Deckers Outdoor Corp.* | 5,220,807 | ||||||
86,800 | Skechers U.S.A., Inc., Class A* | 3,966,760 | ||||||
|
| |||||||
11,074,959 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (3.0%): |
| ||||||
186,778 | Flushing Financial Corp. | 3,838,288 | ||||||
319,600 | Radian Group, Inc. | 4,733,276 | ||||||
75,800 | WSFS Financial Corp. | 5,584,186 | ||||||
|
| |||||||
14,155,750 | ||||||||
|
| |||||||
| Tobacco (0.8%): |
| ||||||
179,850 | Vector Group, Ltd.^ | 3,719,298 | ||||||
|
| |||||||
| Trading Companies & Distributors (1.1%): |
| ||||||
47,575 | United Rentals, Inc.* | 4,982,530 | ||||||
|
| |||||||
| Total Common Stocks | 449,612,661 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (5.8%): |
| ||||||
$ | 26,831,236 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 26,831,236 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 26,831,236 | ||||||
|
| |||||||
| Unaffiliated Investment Company (3.6%): |
| ||||||
16,745,459 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 16,745,459 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 16,745,459 | ||||||
|
| |||||||
| Total Investment Securities | 493,189,356 | ||||||
| Net other assets (liabilities) — (6.2)% | (28,838,205 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 464,351,151 | |||||
|
|
Continued
3
AZL Federated Clover Small Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $26,062,981. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
4
AZL Federated Clover Small Value Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 419,892,411 | |||
|
| ||||
Investment securities, at value* | $ | 493,189,356 | |||
Interest and dividends receivable | 950,448 | ||||
Receivable for investments sold | 1,536,883 | ||||
Prepaid expenses | 1,068 | ||||
|
| ||||
Total Assets | 495,677,755 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 3,174,526 | ||||
Payable for capital shares redeemed | 716,521 | ||||
Payable for collateral received on loaned securities | 26,831,236 | ||||
Manager fees payable | 283,069 | ||||
Administration fees payable | 20,001 | ||||
Distribution fees payable | 94,356 | ||||
Custodian fees payable | 50,782 | ||||
Administrative and compliance services fees payable | 8,720 | ||||
Trustee fees payable | 17,920 | ||||
Other accrued liabilities | 129,473 | ||||
|
| ||||
Total Liabilities | 31,326,604 | ||||
|
| ||||
Net Assets | $ | 464,351,151 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 297,664,014 | |||
Accumulated net investment income/(loss) | 8,080,018 | ||||
Accumulated net realized gains/(losses) from investment transactions | 85,310,174 | ||||
Net unrealized appreciation/(depreciation) on investments | 73,296,945 | ||||
|
| ||||
Net Assets | $ | 464,351,151 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 18,016,575 | ||||
Net Asset Value (offering and redemption price per share) | $ | 25.77 | |||
|
|
* | Includes securities on loan of $26,062,981. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 6,518,450 | |||
Interest | 20,170 | ||||
Income from securities lending | 39,494 | ||||
Foreign withholding tax | (13,007 | ) | |||
|
| ||||
Total Investment Income | 6,565,107 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,725,102 | ||||
Administration fees | 63,727 | ||||
Distribution fees | 575,034 | ||||
Custodian fees | 15,634 | ||||
Administrative and compliance services fees | 5,295 | ||||
Trustee fees | 16,693 | ||||
Professional fees | 17,148 | ||||
Shareholder reports | 20,569 | ||||
Other expenses | 4,303 | ||||
|
| ||||
Total expenses before reductions | 2,443,505 | ||||
|
| ||||
Net expenses | 2,443,505 | ||||
|
| ||||
Net Investment Income/(Loss) | 4,121,602 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 33,828,412 | ||||
Change in net unrealized appreciation/depreciation on investments | 1,031,229 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 34,859,641 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 38,981,243 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Federated Clover Small Value Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 4,121,602 | $ | 3,958,815 | ||||||
Net realized gains/(losses) on investment transactions | 33,828,412 | 54,010,895 | ||||||||
Change in unrealized appreciation/depreciation on investments | 1,031,229 | 29,950,075 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 38,981,243 | 87,919,785 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (2,163,714 | ) | |||||||
From net realized gains | — | (1,287,134 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (3,450,848 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 7,349,080 | 17,347,315 | ||||||||
Proceeds from shares issued in merger | — | 164,648,332 | ||||||||
Proceeds from dividends reinvested | — | 3,450,848 | ||||||||
Value of shares redeemed | (63,867,820 | ) | (49,757,745 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (56,518,740 | ) | 135,688,750 | |||||||
|
|
|
| |||||||
Change in net assets | (17,537,497 | ) | 220,157,687 | |||||||
Net Assets: | ||||||||||
Beginning of period | 481,888,648 | 261,730,961 | ||||||||
|
|
|
| |||||||
End of period | $ | 464,351,151 | $ | 481,888,648 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 8,080,018 | $ | 3,958,416 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 305,287 | 826,337 | ||||||||
Shares issued in merger | — | 7,290,861 | ||||||||
Dividends reinvested | — | 161,936 | ||||||||
Shares redeemed | (2,651,956 | ) | (2,346,338 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,346,669 | ) | 5,932,796 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Federated Clover Small Value Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 23.66 | $ | 18.14 | $ | 15.96 | $ | 16.72 | $ | 13.27 | $ | 10.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.25 | 0.20 | 0.15 | 0.11 | 0.09 | 0.15 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.86 | 5.58 | 2.13 | (0.77 | ) | 3.48 | 3.01 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 2.11 | 5.78 | 2.28 | (0.66 | ) | 3.57 | 3.16 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.10 | ) | (0.10 | ) | (0.12 | ) | (0.20 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.10 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.26 | ) | (0.10 | ) | (0.10 | ) | (0.12 | ) | (0.20 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 25.77 | $ | 23.66 | $ | 18.14 | $ | 15.96 | $ | 16.72 | $ | 13.27 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 8.92 | %(b) | 32.00 | % | 14.32 | % | (3.92 | )% | 27.11 | % | 30.61 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 464,351 | $ | 481,889 | $ | 261,731 | $ | 199,020 | $ | 234,305 | $ | 187,475 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 1.79 | % | 1.27 | % | 0.96 | % | 0.60 | % | 0.59 | % | 0.96 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.06 | % | 1.08 | % | 1.07 | % | 1.09 | % | 1.08 | % | 1.12 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.06 | % | 1.01 | % | 0.99 | % | 1.09 | % | 1.08 | % | 1.12 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c)(e) | 1.06 | % | 1.08 | % | 1.07 | % | 1.09 | % | 1.08 | % | 1.12 | % | ||||||||||||||||||
Portfolio Turnover Rate | 34 | %(b) | 97 | %(f) | 156 | %(g) | 15 | % | 23 | % | 10 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 140%. |
(g) | Effective February 24, 2012, the Subadviser changed from Franklin Advisory Services LLC to Federated Global Investment Management Corp. Costs of purchase and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2012 as compared to prior years. |
See accompanying notes to the financial statements.
7
AZL Federated Clover Small Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Federated Clover Small Value Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL Federated Clover Small Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $17.8 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $3,928 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Federated Global Investment Management Corp. (“Federated”), Federated provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Federated Clover Small Value Fund | 0.75 | % | 1.35 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
9
AZL Federated Clover Small Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,665 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 449,612,661 | $ | — | $ | 449,612,661 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 26,831,236 | 26,831,236 | ||||||||||||
Unaffiliated Investment Company | 16,745,459 | — | 16,745,459 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 466,358,120 | $ | 26,831,236 | $ | 493,189,356 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
10
AZL Federated Clover Small Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Federated Clover Small Value Fund | $ | 155,568,154 | $ | 209,146,341 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $420,378,604. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 80,374,918 | ||
Unrealized depreciation | (7,564,166 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 72,810,752 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Federated Clover Small Value Fund | $ | 2,163,714 | $ | 1,287,134 | $ | 3,450,848 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Federated Clover Small Value Fund | $ | 12,212,537 | $ | 44,206,785 | $ | — | $ | 71,286,572 | $ | 127,705,894 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Acquisition of Funds
On November 15, 2013, the Fund acquired all of the net assets of the AZL Columbia Small Cap Value Fund, an open-end investment company, pursuant to a plan of reorganization approved by AZL Columbia Small Cap Value Fund shareholders on November 13, 2013. The purpose of the transaction was to combine two funds managed by the Manager with comparable investment objectives and strategies. The acquisition was accomplished by a tax-free exchange of 7,290,861 shares of the Fund, valued at $164,648,332, for 13,890,997 shares of the AZL Columbia Small Cap Value Fund outstanding on November 15, 2013.
The investment portfolio of the AZL Columbia Small Cap Value Fund, with a fair value of $164,695,001 and identified cost of $129,598,076 at November 15, 2013, was the principal asset acquired by the Fund. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the AZL Columbia Small Cap Value Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the merger, the net assets of the Fund were $307,055,448. All fees and expenses incurred by the AZL Columbia Small Cap Value Fund and the Fund directly in connection with the plan of reorganization were borne by the Funds.
11
AZL Federated Clover Small Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Assuming the acquisition had been completed on January 1, 2013, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the year ended December 31, 2013, are as follows:
Net investment income/(loss) | $ | 4,413,950 | ||
Net realized/unrealized gains/losses) | 121,321,372 | |||
|
| |||
Change in net assets resulting from operations | $ | 125,735,322 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the AZL Columbia Small Cap Value Fund that have been included in the Fund’s statement of operations since November 15, 2013.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Franklin Templeton Founding Strategy Plus Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 23 |
Page 23 |
Statements of Changes in Net Assets Page 24 |
Page 25 |
Notes to the Financial Statements Page 26 |
Page 35 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Franklin Templeton Founding Strategy Plus Fund
(Unaudited)
As a shareholder of the AZL Franklin Templeton Founding Strategy Plus Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | $ | 1,000.00 | $ | 1,059.20 | $ | 5.31 | 1.04 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | $ | 1,000.00 | $ | 1,024.79 | $ | 5.21 | 1.04 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of net assets | ||||
Common Stock | 59.6 | % | |||
Foreign Bond | 16.1 | ||||
Corporate Bond | 7.3 | ||||
Money Market | 5.7 | ||||
U.S. Government Agency Mortgages | 4.2 | ||||
Yankee Dollar | 3.7 | ||||
Securities Held as Collateral for Securities on Loan | 2.4 | ||||
U.S. Treasury Obligation | 0.9 | ||||
Convertible Bond | 0.7 | ||||
Other Investments | 1.4 | ||||
|
| ||||
Total Investment Securities | 101.9 | ||||
Net other assets (liabilities) | (1.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
Investments | Percent of net assets | ||||
United States | 46.4 | % | |||
United Kingdom | 8.1 | ||||
Republic of Korea (South) | 4.3 | ||||
France | 2.7 | ||||
Netherlands | 2.6 | ||||
Malaysia | 2.5 | ||||
Switzerland | 2.4 | ||||
Hungary | 2.3 | ||||
Poland | 2.2 | ||||
Germany | 1.9 | ||||
All other countries | 18.4 | ||||
|
| ||||
Total Investment Securities | 101.9 | ||||
Net other assets (liabilities) | (1.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (59.6%): |
| ||||||
| Aerospace & Defense (0.7%): |
| ||||||
87,790 | BAE Systems plc | $ | 650,379 | |||||
15,890 | BE Aerospace, Inc.* | 1,469,666 | ||||||
18,753 | Huntington Ingalls Industries, Inc. | 1,773,846 | ||||||
7,200 | Lockheed Martin Corp. | 1,157,256 | ||||||
6,370 | Raytheon Co. | 587,633 | ||||||
|
| |||||||
5,638,780 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.5%): |
| ||||||
10,490 | FedEx Corp. | 1,587,977 | ||||||
204,142 | TNT Express NV^ | 1,845,342 | ||||||
7,540 | United Parcel Service, Inc., Class B | 774,056 | ||||||
|
| |||||||
4,207,375 | ||||||||
|
| |||||||
| Airlines (0.7%): |
| ||||||
139,520 | Deutsche Lufthansa AG, Registered Shares | 2,995,257 | ||||||
296,020 | International Consolidated Airlines Group SA* | 1,873,652 | ||||||
|
| |||||||
4,868,909 | ||||||||
|
| |||||||
| Auto Components (0.4%): |
| ||||||
26,971 | Compagnie Generale des Establissements Michelin SCA, Class B | 3,226,377 | ||||||
|
| |||||||
| Automobiles (1.1%): |
| ||||||
40,000 | Ford Motor Co. | 689,600 | ||||||
84,132 | General Motors Co. | 3,053,992 | ||||||
176,000 | Mazda Motor Corp. | 827,591 | ||||||
265,200 | Nissan Motor Co., Ltd. | 2,520,638 | ||||||
26,700 | Toyota Motor Corp. | 1,606,354 | ||||||
|
| |||||||
8,698,175 | ||||||||
|
| |||||||
| Banks (5.5%): |
| ||||||
100,000 | Bank of America Corp. | 1,537,000 | ||||||
46,750 | Barclays plc | 170,274 | ||||||
37,480 | BNP Paribas SA | 2,542,818 | ||||||
23,852 | CIT Group, Inc. | 1,091,468 | ||||||
9,886 | Columbia Banking System, Inc. | 260,101 | ||||||
51,180 | Commerzbank AG* | 804,585 | ||||||
5,306 | Commonwealth Bank of Australia | 404,870 | ||||||
153,240 | Credit Agricole SA | 2,161,245 | ||||||
111,000 | DBS Group Holdings, Ltd. | 1,488,610 | ||||||
249,352 | HSBC Holdings plc | 2,530,252 | ||||||
38,540 | HSBC Holdings plc | 391,213 | ||||||
8,619 | ICICI Bank, Ltd., ADR | 430,088 | ||||||
165,735 | Intesa Sanpaolo SpA | 510,891 | ||||||
127,520 | JPMorgan Chase & Co. | 7,347,701 | ||||||
84,397 | KB Financial Group, Inc. | 2,940,291 | ||||||
47,372 | PNC Financial Services Group, Inc. | 4,218,477 | ||||||
9,100 | Royal Bank of Canada | 650,621 | ||||||
7,304 | Societe Generale | 381,935 | ||||||
89,272 | SunTrust Banks, Inc. | 3,576,236 | ||||||
9,400 | Toronto-Dominion Bank (The) | 483,965 | ||||||
364,398 | UniCredit SpA | 3,051,870 | ||||||
114,831 | Wells Fargo & Co. | 6,035,517 | ||||||
|
| |||||||
43,010,028 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Beverages (0.7%): |
| ||||||
28,090 | Coca-Cola Co. (The) | $ | 1,189,892 | |||||
16,977 | Coca-Cola Enterprises, Inc. | 811,161 | ||||||
37,254 | PepsiCo, Inc. | 3,328,273 | ||||||
|
| |||||||
5,329,326 | ||||||||
|
| |||||||
| Biotechnology (0.4%): |
| ||||||
25,440 | Amgen, Inc. | 3,011,333 | ||||||
|
| |||||||
| Capital Markets (0.9%): |
| ||||||
159,144 | Credit Suisse Group AG, Registered Shares | 4,532,708 | ||||||
86,717 | Morgan Stanley | 2,803,561 | ||||||
|
| |||||||
7,336,269 | ||||||||
|
| |||||||
| Chemicals (1.4%): |
| ||||||
12,000 | Agrium, Inc. | 1,099,560 | ||||||
37,598 | Akzo Nobel NV | 2,818,798 | ||||||
62,170 | Dow Chemical Co. (The) | 3,199,268 | ||||||
17,620 | E.I. du Pont de Nemours & Co. | 1,153,053 | ||||||
15,000 | LyondellBasell Industries NV, Class A | 1,464,750 | ||||||
13,950 | Mosaic Co. (The) | 689,828 | ||||||
7,560 | Potash Corp. of Saskatchewan, Inc. | 286,978 | ||||||
|
| |||||||
10,712,235 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.4%): |
| ||||||
230 | CEVA Group plc* | 252,615 | ||||||
28,550 | Republic Services, Inc. | 1,084,044 | ||||||
214,018 | Serco Group plc | 1,340,051 | ||||||
16,210 | Waste Management, Inc. | 725,073 | ||||||
|
| |||||||
3,401,783 | ||||||||
|
| |||||||
| Communications Equipment (1.0%): |
| ||||||
29,824 | Brocade Communications Systems, Inc. | 274,381 | ||||||
252,209 | Cisco Systems, Inc. | 6,267,393 | ||||||
145,920 | Telefonaktiebolaget LM Ericsson, B Shares | 1,764,925 | ||||||
|
| |||||||
8,306,699 | ||||||||
|
| |||||||
| Construction & Engineering (0.2%): |
| ||||||
22,100 | FLSmidth & Co. A/S^ | 1,235,472 | ||||||
|
| |||||||
| Construction Materials (0.4%): |
| ||||||
110,471 | CRH plc | 2,844,469 | ||||||
|
| |||||||
| Consumer Finance (0.1%): |
| ||||||
44,980 | Ally Financial, Inc.* | 1,075,472 | ||||||
|
| |||||||
| Containers & Packaging (0.2%): |
| ||||||
43,374 | MeadWestvaco Corp. | 1,919,733 | ||||||
|
| |||||||
| Diversified Consumer Services (0.0%): |
| ||||||
7,063 | Cengage Learning Holdings II, LP* | 247,205 | ||||||
|
| |||||||
| Diversified Financial Services (1.2%): |
| ||||||
1,251 | Bond Street Holdings LLC, Class A*(a) | 21,267 | ||||||
120,990 | Citigroup, Inc. | 5,698,629 | ||||||
299,964 | ING Groep NV* | 4,208,544 | ||||||
|
| |||||||
9,928,440 | ||||||||
|
|
Continued
2
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Diversified Telecommunication Services (1.6%): |
| ||||||
65,820 | AT&T, Inc. | $ | 2,327,396 | |||||
10,000 | CenturyLink, Inc. | 362,000 | ||||||
27,407 | China Telecom Corp., Ltd., ADR^ | 1,341,573 | ||||||
286,680 | Koninklijke (Royal) KPN NV* | 1,043,831 | ||||||
548,520 | Singapore Telecommunications, Ltd. | 1,694,871 | ||||||
205,627 | Telefonica SA | 3,525,169 | ||||||
84,310 | Telstra Corp., Ltd. | 414,340 | ||||||
970 | Verizon Communications, Inc. | 47,462 | ||||||
21,203 | Verizon Communications, Inc. | 1,037,171 | ||||||
43,572 | Vivendi | 1,065,528 | ||||||
|
| |||||||
12,859,341 | ||||||||
|
| |||||||
| Electric Utilities (1.6%): |
| ||||||
15,000 | American Electric Power Co., Inc. | 836,550 | ||||||
30,897 | Duke Energy Corp. | 2,292,248 | ||||||
24,782 | Entergy Corp. | 2,034,354 | ||||||
54,000 | Exelon Corp. | 1,969,920 | ||||||
24,000 | FirstEnergy Corp. | 833,280 | ||||||
200,000 | HK Electric Investments, Ltd.* | 135,491 | ||||||
16,670 | NextEra Energy, Inc. | 1,708,342 | ||||||
22,920 | PPL Corp. | 814,348 | ||||||
48,220 | Southern Co. (The) | 2,188,224 | ||||||
| �� | |||||||
12,812,757 | ||||||||
|
| |||||||
| Electrical Equipment (0.1%): |
| ||||||
23,560 | Alstom SA | 859,844 | ||||||
101,615 | Dongfang Electric Corp., Ltd., H Shares^ | 174,657 | ||||||
|
| |||||||
1,034,501 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.1%): |
| ||||||
49,730 | Flextronics International, Ltd.* | 550,511 | ||||||
|
| |||||||
| Energy Equipment & Services (2.0%): |
| ||||||
80,577 | Baker Hughes, Inc. | 5,998,958 | ||||||
14,186 | Ensco plc, Class A, ADR | 788,316 | ||||||
30,730 | Fugro NV^ | 1,757,839 | ||||||
41,644 | Halliburton Co. | 2,957,140 | ||||||
62,130 | Noble Corp. plc | 2,085,083 | ||||||
56,734 | Transocean, Ltd.^ | 2,554,732 | ||||||
|
| |||||||
16,142,068 | ||||||||
|
| |||||||
| Food & Staples Retailing (2.0%): |
| ||||||
56,086 | CVS Caremark Corp. | 4,227,202 | ||||||
56,333 | Kroger Co. (The) | 2,784,540 | ||||||
14,140 | Metro AG* | 616,211 | ||||||
925,014 | Tesco plc | 4,492,725 | ||||||
46,772 | Walgreen Co. | 3,467,208 | ||||||
|
| |||||||
15,587,886 | ||||||||
|
| |||||||
| Food Products (0.0%): |
| ||||||
5,000 | Nestle SA, Registered Shares | 387,502 | ||||||
|
| |||||||
| Gas Utilities (0.0%): |
| ||||||
2,870 | AGL Resources, Inc. | 157,936 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Equipment & Supplies (1.5%): |
| ||||||
78,200 | Getinge AB, B Shares | $ | 2,054,315 | |||||
141,740 | Medtronic, Inc. | 9,037,343 | ||||||
11,520 | Stryker Corp. | 971,366 | ||||||
|
| |||||||
12,063,024 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.5%): |
| ||||||
48,326 | CIGNA Corp. | 4,444,542 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity | |||||||
15,370 | Dynegy, Inc.* | 534,876 | ||||||
58,183 | NRG Energy, Inc. | 2,164,408 | ||||||
|
| |||||||
2,699,284 | ||||||||
|
| |||||||
| Industrial Conglomerates (0.6%): |
| ||||||
89,340 | General Electric Co. | 2,347,855 | ||||||
37,630 | Koninklijke Philips Electronics NV | 1,192,807 | ||||||
14,360 | Siemens AG, Registered Shares | 1,896,461 | ||||||
|
| |||||||
5,437,123 | ||||||||
|
| |||||||
| Insurance (3.4%): |
| ||||||
31,667 | ACE, Ltd. | 3,283,867 | ||||||
5,163 | Alleghany Corp.* | 2,262,014 | ||||||
31,483 | Allstate Corp. (The) | 1,848,682 | ||||||
125,486 | American International Group, Inc. | 6,849,025 | ||||||
287,997 | Aviva plc | 2,523,509 | ||||||
86,573 | AXA SA | 2,065,904 | ||||||
54,486 | MetLife, Inc. | 3,027,242 | ||||||
8,320 | Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares | 1,844,275 | ||||||
22,760 | Swiss Re AG | 2,026,046 | ||||||
980 | White Mountains Insurance Group, Ltd. | 596,271 | ||||||
4,601 | Zurich Insurance Group AG | 1,387,469 | ||||||
|
| |||||||
27,714,304 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.1%): |
| ||||||
32,100 | QIAGEN NV* | 777,563 | ||||||
|
| |||||||
| Machinery (0.7%): |
| ||||||
19,170 | Caterpillar, Inc. | 2,083,204 | ||||||
122,448 | CNH Industrial NV | 1,256,070 | ||||||
8,060 | Deere & Co. | 729,833 | ||||||
3,788 | Federal Signal Corp. | 55,494 | ||||||
41,856 | Navistar International Corp.*^ | 1,568,763 | ||||||
|
| |||||||
5,693,364 | ||||||||
|
| |||||||
| Marine (0.3%): |
| ||||||
1,275 | A.P. Moller – Maersk A/S, Class B | 3,170,478 | ||||||
|
| |||||||
| Media (2.8%): |
| ||||||
40,256 | CBS Corp., Class B^ | 2,501,508 | ||||||
73,942 | Comcast Corp., Special Class A | 3,943,327 | ||||||
83,860 | News Corp., Class A* | 1,504,448 | ||||||
59,790 | Reed Elsevier NV | 1,370,655 | ||||||
172,817 | Reed Elsevier plc | 2,777,188 | ||||||
20,291 | Time Warner Cable, Inc. | 2,988,864 | ||||||
2,462 | Tribune Co., B Shares* | 209,393 |
Continued
3
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Media, continued |
| ||||||
5,213 | Tribune Co.*(b)(c) | $ | — | |||||
4,015 | Tribune Co.* | 341,476 | ||||||
63,920 | Twenty-First Century Fox, Inc. | 2,246,788 | ||||||
120,534 | Twenty-First Century Fox, Inc., Class B | 4,125,878 | ||||||
7,740 | Walt Disney Co. (The) | 663,628 | ||||||
|
| |||||||
22,673,153 | ||||||||
|
| |||||||
| Metals & Mining (2.5%): |
| ||||||
54,370 | Anglo American plc | 1,328,069 | ||||||
11,046 | AngloGold Ashanti, Ltd., ADR* | 190,102 | ||||||
27,100 | Barrick Gold Corp. | 495,930 | ||||||
65,240 | BHP Billiton plc | 2,123,902 | ||||||
127,985 | Freeport-McMoRan Copper & Gold, Inc. | 4,671,453 | ||||||
33,460 | Goldcorp, Inc. | 933,869 | ||||||
103,842 | Mining and Metallurgical Co. Norilsk Nickel, ADR | 2,067,494 | ||||||
38,760 | Newmont Mining Corp. | 986,054 | ||||||
8,511 | POSCO | 2,548,699 | ||||||
49,478 | Rio Tinto plc, Registered Shares, ADR^ | 2,685,666 | ||||||
58,286 | ThyssenKrupp AG* | 1,699,292 | ||||||
|
| |||||||
19,730,530 | ||||||||
|
| |||||||
| Multiline Retail (0.5%): |
| ||||||
29,160 | Kohl’s Corp. | 1,536,149 | ||||||
156,610 | Marks & Spencer Group plc | 1,138,231 | ||||||
36,240 | Target Corp. | 2,100,108 | ||||||
|
| |||||||
4,774,488 | ||||||||
|
| |||||||
| Multi-Utilities (0.8%): |
| ||||||
17,270 | Dominion Resources, Inc. | 1,235,150 | ||||||
38,710 | PG&E Corp. | 1,858,854 | ||||||
22,060 | Public Service Enterprise Group, Inc. | 899,827 | ||||||
11,070 | Sempra Energy | 1,159,140 | ||||||
3,650 | TECO Energy, Inc.^ | 67,452 | ||||||
27,390 | Xcel Energy, Inc. | 882,780 | ||||||
|
| |||||||
6,103,203 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (7.1%): |
| ||||||
39,230 | Apache Corp. | 3,947,324 | ||||||
77,233 | BG Group plc | 1,632,602 | ||||||
55,000 | BP plc, ADR | 2,901,250 | ||||||
381,501 | BP plc | 3,358,774 | ||||||
39,300 | Canadian Oil Sands, Ltd. | 890,687 | ||||||
16,800 | Chevron Corp. | 2,193,240 | ||||||
543,000 | China Shenhua Energy Co., Ltd., H Shares | 1,570,774 | ||||||
30,549 | CONSOL Energy, Inc. | 1,407,392 | ||||||
103,761 | Eni SpA | 2,836,020 | ||||||
23,580 | Exxon Mobil Corp. | 2,374,034 | ||||||
133,040 | Galp Energia SGPS SA, B Shares | 2,435,879 | ||||||
844,000 | Kunlun Energy Co., Ltd. | 1,392,524 | ||||||
19,051 | LUKOIL, ADR | 1,139,631 | ||||||
78,116 | Marathon Oil Corp. | 3,118,391 | ||||||
20,380 | Murphy Oil Corp. | 1,354,862 | ||||||
143,499 | Petroleo Brasileiro SA, ADR | 2,244,325 | ||||||
55,391 | Petroleo Brasileiro SA, ADR | 810,370 | ||||||
460 | Royal Dutch Shell plc, A Shares | 19,027 | ||||||
56,209 | Royal Dutch Shell plc, ADR | 4,629,936 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
54,908 | Royal Dutch Shell plc, B Shares | $ | 2,387,556 | |||||
92,497 | Royal Dutch Shell plc, A Shares | 3,827,748 | ||||||
22,490 | Spectra Energy Corp. | 955,375 | ||||||
106,688 | Talisman Energy, Inc. | 1,130,893 | ||||||
11,500 | Talisman Energy, Inc. | 121,900 | ||||||
295,454 | Talisman Energy, Inc.^ | 3,123,742 | ||||||
52,650 | Total SA | 3,803,724 | ||||||
23,740 | Total SA, Sponsored ADR^ | 1,714,028 | ||||||
23,280 | Williams Cos., Inc. (The) | 1,355,129 | ||||||
|
| |||||||
58,677,137 | ||||||||
|
| |||||||
| Paper & Forest Products (0.4%): |
| ||||||
60,562 | International Paper Co. | 3,056,564 | ||||||
|
| |||||||
| Personal Products (0.2%): |
| ||||||
111,782 | Avon Products, Inc. | 1,633,135 | ||||||
|
| |||||||
| Pharmaceuticals (6.2%): |
| ||||||
23,580 | AstraZeneca plc | 1,754,396 | ||||||
9,239 | AstraZeneca plc, ADR | 686,550 | ||||||
63,051 | Eli Lilly & Co. | 3,919,881 | ||||||
21,710 | Forest Laboratories, Inc.* | 2,149,290 | ||||||
106,622 | GlaxoSmithKline plc | 2,848,779 | ||||||
35,571 | Hospira, Inc.* | 1,827,282 | ||||||
15,000 | Johnson & Johnson Co. | 1,569,300 | ||||||
202,544 | Merck & Co., Inc. | 11,717,169 | ||||||
21,980 | Merck KGaA | 1,907,820 | ||||||
140,360 | Pfizer, Inc. | 4,165,885 | ||||||
18,620 | Roche Holding AG | 5,557,490 | ||||||
21,470 | Sanofi-Aventis SA | 2,283,457 | ||||||
15,000 | Sanofi-Aventis SA, ADR | 797,550 | ||||||
146,753 | Teva Pharmaceutical Industries, Ltd., ADR | 7,692,792 | ||||||
|
| |||||||
48,877,641 | ||||||||
|
| |||||||
| Professional Services (0.0%): |
| ||||||
7,005 | Randstad Holding NV | 379,335 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
2,556 | Alexander’s, Inc. | 944,365 | ||||||
26,255 | Scentre Group* | 79,210 | ||||||
|
| |||||||
1,023,575 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
13,131 | Canary Wharf Group plc*(b)(c) | 99,851 | ||||||
2,624 | Forestar Group, Inc.* | 50,092 | ||||||
|
| |||||||
149,943 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.3%): |
| ||||||
71,480 | Intel Corp. | 2,208,732 | ||||||
5,038 | Samsung Electronics Co., Ltd. | 6,587,999 | ||||||
205,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 863,642 | ||||||
19,910 | Texas Instruments, Inc. | 951,499 | ||||||
|
| |||||||
10,611,872 | ||||||||
|
| |||||||
| Software (2.1%): |
| ||||||
300,422 | Microsoft Corp. | 12,527,598 | ||||||
14,870 | Oracle Corp. | 602,681 |
Continued
4
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software, continued |
| ||||||
12,060 | SAP AG | $ | 931,427 | |||||
140,568 | Symantec Corp. | 3,219,007 | ||||||
|
| |||||||
17,280,713 | ||||||||
|
| |||||||
| Sovereign Bonds (0.1%): |
| ||||||
85,800 | Bangkok Bank Public Co., Ltd. | 510,519 | ||||||
|
| |||||||
| Specialty Retail (0.4%): |
| ||||||
33,852 | Best Buy Co., Inc. | 1,049,751 | ||||||
414,761 | Kingfisher plc | 2,545,140 | ||||||
|
| |||||||
3,594,891 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (2.0%): |
| ||||||
82,389 | Apple, Inc. | 7,656,409 | ||||||
132,344 | Hewlett-Packard Co. | 4,457,346 | ||||||
166,600 | Konica Minolta Holdings, Inc. | 1,650,003 | ||||||
229,395 | Xerox Corp. | 2,853,674 | ||||||
|
| |||||||
16,617,432 | ||||||||
|
| |||||||
| Tobacco (1.4%): |
| ||||||
55,557 | Altria Group, Inc. | 2,330,061 | ||||||
62,947 | British American Tobacco plc | 3,745,327 | ||||||
48,518 | Imperial Tobacco Group plc | 2,181,509 | ||||||
43,450 | Lorillard, Inc. | 2,649,146 | ||||||
12,227 | Philip Morris International, Inc. | 1,030,858 | ||||||
|
| |||||||
11,936,901 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (1.1%): |
| ||||||
49,000 | China Mobile, Ltd. | 475,714 | ||||||
78,067 | Mobile TeleSystems, ADR | 1,541,043 | ||||||
164,437 | Turkcell Iletisim Hizmetleri AS, ADR* | 2,565,217 | ||||||
1,196,879 | Vodafone Group plc | 3,999,217 | ||||||
|
| |||||||
8,581,191 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $386,772,613) | 482,742,487 | ||||||
|
| |||||||
| Preferred Stocks (0.3%): | |||||||
| Automobiles (0.2%): | |||||||
5,855 | Volkswagen AG, Preferred Shares | 1,537,757 | ||||||
|
| |||||||
| Banks (0.0%): | |||||||
6,800 | GMAC Capital Trust I, Series 2, Preferred Shares | 185,640 | ||||||
|
| |||||||
| Multi-Utilities (0.1%): | |||||||
9,300 | Dominion Resources, Inc., Preferred Shares | 489,413 | ||||||
|
| |||||||
| Total Preferred Stocks (Cost $2,170,940) | 2,212,810 | ||||||
|
| |||||||
| Convertible Preferred Stocks (0.3%): | |||||||
| Banks (0.1%): | |||||||
416 | Wells Fargo & Co., Series L, Class A, 0.02% | 504,660 | ||||||
|
| |||||||
| Commercial Services & Supplies (0.0%): |
| ||||||
6 | CEVA Group plc, Series A-1, 0.00% | 8,700 | ||||||
49 | CEVA Group plc, Series A-2, 0.00% | 53,405 | ||||||
|
| |||||||
62,105 | ||||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
800 | Bank of America Corp., Series L, 7.25% | 933,600 | ||||||
|
| |||||||
| Insurance (0.0%): |
| ||||||
4,200 | MetLife, Inc., 0.63% | 134,232 | ||||||
|
|
Shares | Fair Value | |||||||
| Convertible Preferred Stocks, continued | |||||||
| Multi-Utilities (0.0%): |
| ||||||
2,500 | Dominion Resources, Inc., Series B, 6.00% | $ | 145,050 | |||||
2,500 | Dominion Resources, Inc., Series A, 6.13% | 144,125 | ||||||
|
| |||||||
289,175 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.1%): |
| ||||||
100 | Chesapeake Energy Corp., Series A, 5.75%(a) | 126,688 | ||||||
3,500 | SandRidge Energy, Inc., 0.25% | 386,968 | ||||||
|
| |||||||
513,656 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.0%): |
| ||||||
2,500 | FelCor Lodging Trust, Inc., Series A, 29.79% | 65,469 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Cost $1,989,072) | 2,502,897 | ||||||
|
| |||||||
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds (0.7%): |
| ||||||
| Automobiles (0.3%): |
| ||||||
$ | 1,500,000 | Volkswagen International Finance NV, 5.50%, 11/9/15(a) | 2,406,592 | |||||
|
| |||||||
| Construction Materials (0.1%): |
| ||||||
455,000 | Cemex SAB de C.V., 3.25%, 3/15/16 | 660,603 | ||||||
300,000 | Cemex SAB de C.V., 3.75%, 3/15/18 | 455,063 | ||||||
|
| |||||||
1,115,666 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.3%): |
| ||||||
2,000,000 | Cobalt International Energy, Inc., 3.13%, 5/15/24 | 2,151,250 | ||||||
|
| |||||||
| Total Convertible Bonds (Cost $4,676,627) | 5,673,508 | ||||||
|
| |||||||
| Floating Rate Loans (0.6%): |
| ||||||
| Diversified Financial Services (0.2%): |
| ||||||
3,860,813 | Lehman Brothers Holdings, Inc., 0.00%, 12/31/49(d) | 1,779,603 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.0%): |
| ||||||
125,531 | Avaya, Inc., 6.50%, 3/31/18(d) | 125,548 | ||||||
|
| |||||||
| Electric Utilities (0.0%): |
| ||||||
148,651 | Texas Competitive Electric Holdings Co. LLC, 4.65%, 10/10/17(d) | 121,460 | ||||||
|
| |||||||
| Hotels Restaurants & Leisure (0.0%): |
| ||||||
51,000 | Caesars Entertainment Operating Co., Inc., 0.00%, 1/28/18(d) | 50,299 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.1%): |
| ||||||
95,000 | Caesars Entertainment Operating Co., Inc., 4.40%, 1/28/18(d) | 87,664 | ||||||
454,000 | Caesars Entertainment Operating Co., Inc., 5.40%, 1/28/18(d) | 423,414 | ||||||
|
| |||||||
511,078 | ||||||||
|
| |||||||
| Machinery (0.1%): |
| ||||||
483,718 | Navistar International Corp., 5.75%, 8/17/17(d) | 492,787 | ||||||
|
|
Continued
5
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Floating Rate Loans, continued |
| ||||||
| Media (0.1%): |
| ||||||
$ | 43,890 | Cengage Learning Acquisitions, Inc., 7.00%, 3/31/20(d) | $ | 44,357 | ||||
488 | Clear Channel Communications, Inc., 3.80%, 1/19/16(d) | 481 | ||||||
6,958 | Clear Channel Communications, Inc., 3.80%, 1/29/16(d) | 6,908 | ||||||
430,631 | Clear Channel Communications, Inc., 6.90%, 1/30/19(d) | 428,245 | ||||||
138,444 | Clear Channel Communications, Inc., 7.65%, 7/30/19(d) | 138,660 | ||||||
|
| |||||||
618,651 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.1%): |
| ||||||
1,000,000 | Fieldwood Energy LLC, 8.38%, 9/30/20(d) | 1,030,500 | ||||||
26,614 | NGPL PipeCo LLC, 6.75%, 9/15/17(d) | 26,581 | ||||||
|
| |||||||
1,057,081 | ||||||||
|
| |||||||
| Total Floating Rate Loans (Cost $4,590,140) | 4,756,507 | ||||||
|
| |||||||
| Equity-Linked Securities (0.1%): |
| ||||||
| Banks (0.1%): |
| ||||||
7,500 | Barclays Bank plc, Series 0000, 6.00%, 12/24/14(a) | 526,088 | ||||||
20,000 | Wells Fargo & Co., Series 0000, 7.00%, 12/4/14(a) | 613,400 | ||||||
|
| |||||||
1,139,488 | ||||||||
|
| |||||||
| Total Equity-Linked Securities (Cost $995,675) | 1,139,488 | ||||||
|
| |||||||
| Corporate Bonds (7.3%): |
| ||||||
| Aerospace & Defense (0.0%): |
| ||||||
100,000 | TransDigm Group, Inc., 6.00%, 7/15/22, Callable 7/15/17 @ 104.5(a) | 102,750 | ||||||
100,000 | TransDigm Group, Inc., 6.50%, 7/15/24, Callable 7/15/19 @ 103.25(a) | 104,125 | ||||||
|
| |||||||
206,875 | ||||||||
|
| |||||||
| Airlines (0.1%): |
| ||||||
527,000 | American Airlines, Inc., 7.50%, 3/15/16, Callable 8/11/14 @ 103.75(a) | 547,421 | ||||||
|
| |||||||
| Auto Components (0.2%): |
| ||||||
100,000 | Goodyear Tire & Rubber Co., 8.25%, 8/15/20, Callable 8/15/15 @ 104.13 | 109,750 | ||||||
1,600,000 | Goodyear Tire & Rubber Co., 6.50%, 3/1/21, Callable 3/1/16 @ 104.88 | 1,736,000 | ||||||
|
| |||||||
1,845,750 | ||||||||
|
| |||||||
| Automobiles (0.1%): |
| ||||||
200,000 | Chrysler GP / Chrysler CG Co. Issuer, 8.00%, 6/15/19, Callable 6/15/15 @ 104 | 217,250 | ||||||
400,000 | Chrysler GP / Chrysler CG Co. Issuer, 8.25%, 6/15/21, Callable 6/15/15 @ 104.13 | 452,000 | ||||||
|
| |||||||
669,250 | ||||||||
|
| |||||||
| Banks (0.1%): |
| ||||||
250,000 | JPMorgan Chase & Co., Series 1, 7.90%, 4/29/49, Callable 4/30/18 @ 100(d) | 279,375 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Banks, continued |
| ||||||
$ | 200,000 | Wells Fargo & Co., Series S, 5.90%, 12/31/49, Callable 6/15/24 @ 100(d) | $ | 212,000 | ||||
|
| |||||||
491,375 | ||||||||
|
| |||||||
| Beverages (0.0%): |
| ||||||
250,000 | Innovation Ventures LLC / Innovation Ventures Finance Corp., 9.50%, 8/15/19, Callable 8/15/15 @ 107.13^(a) | 246,250 | ||||||
|
| |||||||
| Capital Markets (0.1%): |
| ||||||
500,000 | E*TRADE Financial Corp., 6.00%, 11/15/17, Callable 11/15/14 @ 103 | 520,000 | ||||||
|
| |||||||
| Commercial Services & Supplies (0.1%): |
| ||||||
475,000 | CEVA Group plc, 4.00%, 5/1/18, Callable 8/11/14 @ 101(a) | 441,750 | ||||||
|
| |||||||
| Diversified Consumer Services (0.1%): |
| ||||||
500,000 | Laureate Education, Inc., 9.25%, 9/1/19, Callable 9/1/15 @ 106.94(a) | 515,000 | ||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
75,000 | Citigroup, Inc., Series 0000, 6.00%, 10/10/14(a) | 1,138,500 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.3%): |
| ||||||
200,000 | CenturyLink, Inc., Series W, 6.75%, 12/1/23 | 218,500 | ||||||
1,700,000 | Verizon Communications, Inc., 5.15%, 9/15/23 | 1,902,458 | ||||||
|
| |||||||
2,120,958 | ||||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
300,000 | JBS USA LLC / JBS USA Finance Corp., 8.25%, 2/1/20, Callable 2/1/15 @ 106.19(a) | 325,500 | ||||||
161,000 | JBS USA LLC / JBS USA Finance Corp., 7.25%, 6/1/21, Callable 6/1/15 @ 105.44(a) | 172,673 | ||||||
135,000 | SuperValu, Inc., 8.00%, 5/1/16 | 148,331 | ||||||
200,000 | US Foods, Inc., 8.50%, 6/30/19, Callable 8/11/14 @ 106.38 | 214,100 | ||||||
|
| |||||||
860,604 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.5%): |
| ||||||
100,000 | FWCT-2 Escrow Corp., 5.13%, 8/1/21, Callable 2/1/17 @ 103.84(a) | 103,000 | ||||||
300,000 | FWCT-2 Escrow Corp., 6.88%, 2/1/22, Callable 2/1/18 @ 103.44(a) | 319,500 | ||||||
299,000 | HCA, Inc., 6.50%, 2/15/16 | 321,799 | ||||||
800,000 | HCA, Inc., 7.50%, 2/15/22 | 923,000 | ||||||
500,000 | HCA, Inc., 5.88%, 5/1/23 | 523,125 | ||||||
200,000 | MPH Acquisition Holdings LLC, 6.63%, 4/1/22, Callable 4/1/17 @ 104.97(a) | 209,500 | ||||||
400,000 | Tenet Healthcare Corp., 9.25%, 2/1/15 | 419,640 | ||||||
1,400,000 | Tenet Healthcare Corp., 8.13%, 4/1/22 | 1,620,500 | ||||||
|
| |||||||
4,440,064 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.1%): |
| ||||||
500,000 | MGM Resorts International, 10.00%, 11/1/16 | 591,250 | ||||||
200,000 | MGM Resorts International, 6.75%, 10/1/20 | 223,250 | ||||||
|
| |||||||
814,500 | ||||||||
|
|
Continued
6
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Household Products (0.2%): |
| ||||||
$ | 300,000 | Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 7.88%, 8/15/19, Callable 8/15/15 @ 103.94 | $ | 326,625 | ||||
200,000 | Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 9.88%, 8/15/19, Callable 8/15/15 @ 104.94 | 221,500 | ||||||
500,000 | Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 5.75%, 10/15/20, Callable 10/15/15 @ 104.31 | 527,500 | ||||||
600,000 | Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 8.25%, 2/15/21, Callable 2/15/16 @ 104.13^ | 652,500 | ||||||
|
| |||||||
1,728,125 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.5%): |
| ||||||
1,000,000 | AES Corp., 4.88%, 5/15/23, Callable 5/15/18 @ 102.44 | 990,000 | ||||||
160,000 | Calpine Corp., 7.88%, 7/31/20, Callable 7/31/15 @ 103.94(a) | 173,600 | ||||||
200,000 | Calpine Corp., 7.50%, 2/15/21, Callable 11/1/15 @ 103.75(a) | 217,000 | ||||||
400,000 | Calpine Corp., 7.88%, 1/15/23, Callable 1/15/17 @ 103.94(a) | 446,000 | ||||||
410,000 | Dynegy Holdings, Inc., 7.50%, 6/1/15(b)(c)(e) | — | ||||||
50,000 | Dynegy Holdings, Inc., 8.38%, 5/1/16(b)(c)(e) | — | ||||||
170,000 | Dynegy Holdings, Inc., 7.75%, 6/1/19(b)(c)(e) | — | ||||||
115,000 | RRI Energy, Inc., 7.88%, 6/15/17 | 122,188 | ||||||
2,581,000 | Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/1/20, Callable 4/1/16 @ 105.75(a)(e) | 2,355,162 | ||||||
|
| |||||||
4,303,950 | ||||||||
|
| |||||||
| IT Services (0.0%): |
| ||||||
200,000 | SRA International, Inc., 11.00%, 10/1/19, Callable 10/1/15 @ 105.5 | 214,500 | ||||||
|
| |||||||
| Machinery (0.1%): |
| ||||||
245,000 | Aviation Capital Group Corp., 6.75%, 4/6/21(a) | 275,607 | ||||||
400,000 | Navistar International Corp., 8.25%, 11/1/21, Callable 11/1/14 @ 104.13^ | 417,500 | ||||||
|
| |||||||
693,107 | ||||||||
|
| |||||||
| Media (1.1%): |
| ||||||
325,000 | Cablevision Systems Corp., 8.63%, 9/15/17 | 378,219 | ||||||
100,000 | Cablevision Systems Corp., 7.75%, 4/15/18 | 113,000 | ||||||
100,000 | CBS Outdoor Americas Capital LLC / CBS Outdoor Americas Capital Corp., 5.25%, 2/15/22, Callable 2/15/17 @ 103.94(a) | 102,750 | ||||||
100,000 | CBS Outdoor Americas Capital LLC / CBS Outdoor Americas Capital Corp., 5.63%, 2/15/24, Callable 2/15/19 @ 102.81(a) | 103,250 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Media, continued |
| ||||||
$ | 1,000,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 7.00%, 1/15/19, Callable 8/11/14 @ 105.25 | $ | 1,055,000 | ||||
500,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 6.50%, 4/30/21, Callable 4/30/15 @ 104.88 | 532,500 | ||||||
1,548,000 | Clear Channel Communications, Inc., 9.00%, 12/15/19, Callable 7/15/15 @ 104.5 | 1,650,555 | ||||||
1,000,000 | Clear Channel Communications, Inc., 9.00%, 3/1/21, Callable 3/1/16 @ 104.5 | 1,075,000 | ||||||
700,000 | CSC Holdings LLC, 6.75%, 11/15/21 | 770,000 | ||||||
175,000 | Cumulus Media Holdings, Inc., 7.75%, 5/1/19, Callable 5/1/15 @ 103.88^ | 184,406 | ||||||
1,000,000 | Dish DBS Corp., 5.88%, 7/15/22 | 1,085,000 | ||||||
500,000 | Dish DBS Corp., 5.00%, 3/15/23 | 509,375 | ||||||
200,000 | Sirius XM Radio, Inc., 6.00%, 7/15/24, Callable 7/15/19 @ 103(a) | 208,000 | ||||||
1,000,000 | Univision Communications, Inc., 5.13%, 5/15/23, Callable 5/15/18 @ 102.56(a) | 1,058,750 | ||||||
200,000 | Visant Corp., 10.00%, 10/1/17, Callable 8/11/14 @ 107.5 | 186,500 | ||||||
|
| |||||||
9,012,305 | ||||||||
|
| |||||||
| Metals & Mining (0.1%): |
| ||||||
500,000 | Dynacast International LLC / Dynacast Finance, Inc., 9.25%, 7/15/19, Callable 7/15/15 @ 104.63 | 550,000 | ||||||
500,000 | Molycorp, Inc., 10.00%, 6/1/20, Callable 6/1/16 @ 105^ | 460,000 | ||||||
|
| |||||||
1,010,000 | ||||||||
|
| |||||||
| Multiline Retail (0.1%): |
| ||||||
848,656 | J.C. Penney Co., Inc., 6.00%, 5/22/18(d) | 857,949 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (1.8%): |
| ||||||
200,000 | Alpha Natural Resources, Inc., 7.50%, 8/1/20, Callable 8/1/16 @ 105.63^(a) | 193,500 | ||||||
200,000 | Antero Resources Finance Corp., 5.38%, 11/1/21, Callable 11/1/16 @ 104.03 | 207,500 | ||||||
250,000 | Arch Coal, Inc., 7.00%, 6/15/19, Callable 6/15/15 @ 103.5 | 189,375 | ||||||
750,000 | Arch Coal, Inc., 7.25%, 6/15/21, Callable 6/15/16 @ 103.63^ | 547,500 | ||||||
500,000 | Bill Barrett Corp., 7.00%, 10/15/22, Callable 10/15/17 @ 103.5 | 530,000 | ||||||
345,000 | Chesapeake Energy Corp., 6.50%, 8/15/17 | 386,400 | ||||||
200,000 | Chesapeake Energy Corp., 7.25%, 12/15/18 | 236,000 | ||||||
1,700,000 | Chesapeake Energy Corp., 5.75%, 3/15/23^ | 1,889,040 | ||||||
500,000 | CONSOL Energy, Inc., 5.88%, 4/15/22, Callable 4/15/17 @ 104.41(a) | 523,750 | ||||||
500,000 | Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17, Callable 12/15/14 @ 104.63 | 532,500 | ||||||
500,000 | EP Energy/EP Finance, Inc., 9.38%, 5/1/20, Callable 5/1/16 @ 104.69 | 572,500 | ||||||
400,000 | EXCO Resources, Inc., 7.50%, 9/15/18, Callable 9/15/14 @ 103.75 | 410,000 |
Continued
7
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Oil, Gas & Consumable Fuel, continued |
| ||||||
$ | 500,000 | Halcon Resources Corp., 9.75%, 7/15/20, Callable 7/15/16 @ 104.88 | $ | 545,625 | ||||
400,000 | Halcon Resources Corp., 8.88%, 5/15/21, Callable 11/15/16 @ 104.44 | 430,000 | ||||||
1,300,000 | Kinder Morgan (Delaware), Inc., 5.63%, 11/15/23, Callable 8/15/23 @ 100(a) | 1,335,750 | ||||||
100,000 | Linn Energy LLC / Linn Energy Finance Corp., 8.63%, 4/15/20, Callable 4/15/15 @ 104.31 | 108,000 | ||||||
325,000 | Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 10.75%, 10/1/20, Callable 10/1/16 @ 105.38^ | 368,875 | ||||||
315,000 | NGPL PipeCo LLC, 7.12%, 12/15/17(a) | 319,725 | ||||||
469,000 | NGPL PipeCo LLC, 9.63%, 6/1/19, Callable 6/1/15 @ 107.22^(a) | 513,555 | ||||||
200,000 | Peabody Energy Corp., 6.25%, 11/15/21^ | 199,250 | ||||||
100,000 | Regency Energy Partners LP / Regency Energy Finance Corp., 5.88%, 3/1/22, Callable 12/1/21 @ 100 | 108,625 | ||||||
100,000 | Rice Energy, Inc., 6.25%, 5/1/22, Callable 5/1/17 @ 104.69(a) | 102,500 | ||||||
300,000 | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24(a) | 312,750 | ||||||
900,000 | Samson Investment Co., 9.75%, 2/15/20, Callable 2/15/16 @ 104.88(a) | 948,375 | ||||||
900,000 | Sanchez Energy Corp., 7.75%, 6/15/21, Callable 6/15/17 @ 103.88(a) | 976,500 | ||||||
500,000 | SandRidge Energy, Inc., 8.75%, 1/15/20, Callable 1/15/15 @ 104.38 | 537,500 | ||||||
300,000 | SandRidge Energy, Inc., 7.50%, 3/15/21, Callable 3/15/16 @ 103.75 | 325,125 | ||||||
400,000 | W&T Offshore, Inc., 8.50%, 6/15/19, Callable 6/15/15 @ 104.25 | 432,000 | ||||||
|
| |||||||
13,782,220 | ||||||||
|
| |||||||
| Professional Services (0.0%): |
| ||||||
100,000 | United Rentals (North America), Inc., 8.38%, 9/15/20, Callable 9/15/15 @ 104.19 | 109,750 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
1,000,000 | iStar Financial, Inc., 5.00%, 7/1/19, Callable 7/1/16 @ 102.5 | 1,000,000 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.1%): |
| ||||||
508,000 | Freescale Semiconductor, Inc., 8.05%, 2/1/20, Callable 6/1/15 @ 104.03 | 548,640 | ||||||
480,000 | Freescale Semiconductor, Inc., 10.75%, 8/1/20, Callable 8/1/15 @ 105.38 | 542,400 | ||||||
|
| |||||||
1,091,040 | ||||||||
|
| |||||||
| Software (0.5%): |
| ||||||
500,000 | BMC Software Finance, Inc., 8.13%, 7/15/21, Callable 7/15/16 @ 106.1(a) | 514,375 | ||||||
1,389,000 | First Data Corp., 8.25%, 1/15/21, Callable 1/15/16 @ 104.13(a) | 1,520,954 | ||||||
727,000 | First Data Corp., 12.63%, 1/15/21, Callable 1/15/16 @ 112.63 | 895,119 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Software, continued |
| ||||||
$ | 544,000 | First Data Corp., 11.75%, 8/15/21, Callable 5/15/16 @ 108.81 | $ | 645,320 | ||||
141,000 | First Data Corp., 8.75%, 1/15/22, Callable 1/15/16 @ 104.38(a) | 155,629 | ||||||
350,009 | First Data Holdings, Inc., 14.50%, 9/24/19, Callable 8/4/14 @ 107.25(a) | 388,948 | ||||||
200,000 | Infor (US), Inc., 9.38%, 4/1/19, Callable 4/1/15 @ 107.03 | 222,750 | ||||||
|
| |||||||
4,343,095 | ||||||||
|
| |||||||
| Specialty Retail (0.1%): |
| ||||||
400,000 | Academy, Ltd., 9.25%, 8/1/19, Callable 8/1/14 @ 106.94(a) | 429,000 | ||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.1%): |
| ||||||
900,000 | Nuveen Investments, Inc., 9.50%, 10/15/20, Callable 10/15/16 @ 104.75(a) | 1,066,500 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.6%): |
| ||||||
510,436 | Avaya, Inc., 4.73%, 10/26/17(d) | 499,349 | ||||||
339,000 | Avaya, Inc., 7.00%, 4/1/19, Callable 4/1/15 @ 103.5^(a) | 339,000 | ||||||
332,000 | Avaya, Inc., 10.50%, 3/1/21, Callable 3/1/17 @ 107.88(a) | 306,270 | ||||||
100,000 | Frontier Communications Corp., 8.50%, 4/15/20 | 118,000 | ||||||
700,000 | Sprint Nextel Corp., 9.13%, 3/1/17 | 819,875 | ||||||
500,000 | Sprint Nextel Corp., 9.00%, 11/15/18(a) | 606,250 | ||||||
500,000 | Sprint Nextel Corp., 11.50%, 11/15/21 | 675,000 | ||||||
900,000 | T-Mobile USA, Inc., 6.54%, 4/28/20, Callable 4/28/16 @ 103.27 | 972,000 | ||||||
|
| |||||||
4,335,744 | ||||||||
|
| |||||||
| Total Corporate Bonds (Cost $54,049,579) | 58,835,582 | ||||||
|
| |||||||
| Foreign Bonds (16.1%): |
| ||||||
| Chemicals (0.1%): | |||||||
100,000 | Kerling plc, 10.63%, 2/1/17, Callable 8/21/14 @ 105.31+(a) | 145,192 | ||||||
400,000 | Orion Engineered Carbons Bondco GmbH, 10.00%, 6/15/18, Callable 8/7/14 @ 107.5+(a) | 589,799 | ||||||
|
| |||||||
734,991 | ||||||||
|
| |||||||
| Sovereign Bonds (16.0%): |
| ||||||
330,000 | Bank Negara Monetary Notes, Series 7413, 1.94%, 7/3/14+(f) | 102,803 | ||||||
280,000 | Bank Negara Monetary Notes, Series 4313, 2.54%, 7/8/14+(f) | 87,192 | ||||||
140,000 | Bank Negara Monetary Notes, Series 7613, 2.62%, 7/10/14+(f) | 43,589 | ||||||
280,000 | Bank Negara Monetary Notes, Series 4413, 2.91%, 7/15/14+(f) | 87,135 | ||||||
400,000 | Bank Negara Monetary Notes, Series 7813, 2.74%, 7/17/14+(f) | 124,469 | ||||||
720,000 | Bank Negara Monetary Notes, Series 4613, 2.79%, 7/24/14+(f) | 223,918 |
Continued
8
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 990,000 | Bank Negara Monetary Notes, Series 4813, 2.83%, 8/5/14+(f) | $ | 307,588 | ||||
970,000 | Bank Negara Monetary Notes, Series 4913, 2.85%, 8/14/14+(f) | 301,155 | ||||||
315,000 | Bank Negara Monetary Notes, Series 5113, 2.86%, 8/21/14+(f) | 97,742 | ||||||
100,000 | Bank Negara Monetary Notes, Series 5513, 2.88%, 9/9/14+(f) | 30,982 | ||||||
580,000 | Bank Negara Monetary Notes, Series 0814, 2.88%, 9/11/14+(f) | 179,663 | ||||||
390,000 | Bank Negara Monetary Notes, Series 5713, 2.89%, 9/18/14+(f) | 120,739 | ||||||
1,390,000 | Bank Negara Monetary Notes, Series 1014, 2.80%, 9/25/14+(f) | 430,181 | ||||||
370,000 | Bank Negara Monetary Notes, Series 6013, 2.90%, 10/2/14+(f) | 114,417 | ||||||
11,145,000 | Bank Negara Monetary Notes, Series 6213, 2.91%, 10/16/14+(f) | 3,442,477 | ||||||
1,465,000 | Bank Negara Monetary Notes, Series 6613, 2.91%, 10/28/14+(f) | 452,066 | ||||||
350,000 | Bank Negara Monetary Notes, Series 6713, 2.93%, 11/6/14+(f) | 107,917 | ||||||
330,000 | Bank Negara Monetary Notes, Series 7013, 2.96%, 11/18/14+(f) | 101,641 | ||||||
80,000 | Bank Negara Monetary Notes, Series 7313, 2.99%, 12/2/14+(f) | 24,609 | ||||||
290,000 | Bank Negara Monetary Notes, Series 7713, 3.02%, 12/16/14+(f) | 89,092 | ||||||
210,000 | Bank Negara Monetary Notes, Series 0214, 3.08%, 1/8/15+(f) | 64,375 | ||||||
1,770,000 | Bank Negara Monetary Notes, Series 0914, 3.14%, 2/17/15+(f) | 540,545 | ||||||
1,110,000 | Bank Negara Monetary Notes, Series 1114, 3.16%, 3/5/15+(f) | 338,485 | ||||||
150,000 | Bank Negara Monetary Notes, Series 1214, 2.89%, 3/12/15+(f) | 45,711 | ||||||
20,000 | Bank Negara Monetary Notes, Series 1314, 2.87%, 3/24/15+(f) | 6,088 | ||||||
810,000 | Bank Negara Monetary Notes, Series 1614, 2.93%, 4/16/15+(f) | 246,033 | ||||||
17,220,000 | Bank Negara Monetary Notes, Series 1914, 2.91%, 4/28/15+(f) | 5,229,515 | ||||||
690,000 | Bank Negara Monetary Notes, Series 2014, 2.96%, 5/5/15+(f) | 209,008 | ||||||
3,970,000 | Bank Negara Monetary Notes, Series 2214, 3.04%, 5/19/15+(f) | 1,202,270 | ||||||
280,000 | Bank Negara Monetary Notes, Series 2514, 3.08%, 6/3/15+(f) | 84,767 | ||||||
680,000 | Bank Negara Monetary Notes, Series 2814, 3.08%, 6/16/15+(f) | 205,429 | ||||||
250,000 | Boparan Finance plc, 9.88%, 4/30/18, Callable 7/23/14 @ 107.41+(a) | 459,881 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 365,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 5/15/15+(g) | $ | 412,345 | ||||
75,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/16+(g) | 86,212 | ||||||
3,200,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.37%, 1/1/17+(g) | 1,400,097 | ||||||
230,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/18+(g) | 263,831 | ||||||
4,910,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.35%, 1/1/19+(g) | 2,092,419 | ||||||
630,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.39%, 1/1/21+(g) | 260,593 | ||||||
910,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/22+(g) | 1,035,387 | ||||||
1,790,000 | Brazil Nota do Tesouro Nacional, Series NTNF, 1.31%, 1/1/23+(g) | 725,193 | ||||||
140,000 | Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 5/15/45+(g) | 153,049 | ||||||
300,000 | Canadian Government, 0.90%, 7/31/14+(f) | 280,972 | ||||||
1,173,000 | Canadian Government, 2.25%, 8/1/14+ | 1,100,656 | ||||||
80,000 | Canadian Government, 0.90%, 8/14/14+(f) | 74,899 | ||||||
150,000 | Canadian Government, 0.91%, 8/28/14+(f) | 140,385 | ||||||
260,000 | Canadian Government, 0.90%, 9/11/14+(f) | 243,246 | ||||||
678,000 | Canadian Government, 1.00%, 11/1/14+ | 635,461 | ||||||
609,000 | Canadian Government, 2.00%, 12/1/14+ | 573,239 | ||||||
1,672,000 | Canadian Government, 1.00%, 2/1/15+ | 1,567,376 | ||||||
26,230,000 | Hungary Government Bond, Series 14/D, 6.75%, 8/22/14+ | 116,623 | ||||||
7,800,000 | Hungary Government Bond, Series 15/A, 8.00%, 2/12/15+ | 35,683 | ||||||
15,720,000 | Hungary Government Bond, Series 15/C, 7.75%, 8/24/15+ | 73,847 | ||||||
12,500,000 | Hungary Government Bond, Series 16/C, 5.50%, 2/12/16+ | 58,111 | ||||||
1,257,570,000 | Hungary Government Bond, Series 16/D, 5.50%, 12/22/16+ | 5,942,707 | ||||||
491,980,000 | Hungary Government Bond, Series 17/B, 6.75%, 2/24/17+ | 2,399,745 | ||||||
309,150,000 | Hungary Government Bond, Series 17/A, 6.75%, 11/24/17+ | 1,537,764 | ||||||
141,200,000 | Hungary Government Bond, Series 18/B, 4.00%, 4/25/18+ | 642,394 | ||||||
333,880,000 | Hungary Government Bond, Series 18/A, 5.50%, 12/20/18+ | 1,613,510 | ||||||
193,030,000 | Hungary Government Bond, Series 19/A, 6.50%, 6/24/19+ | 976,217 | ||||||
9,040,000 | Hungary Government Bond, Series 20/A, 7.50%, 11/12/20+ | 48,342 | ||||||
14,460,000 | Hungary Government Bond, Series 22/A, 7.00%, 6/24/22+ | 76,372 | ||||||
124,950,000 | Hungary Government Bond, Series 23/A, 6.00%, 11/24/23+ | 625,834 |
Continued
9
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 13,460,000 | Hungary Government Bond, Series 25/B, 5.50%, 6/24/25+ | $ | 65,423 | ||||
47,000,000 | Indonesia Government, Series FR31, 11.00%, 11/15/20+ | 4,553 | ||||||
5,300,000,000 | Indonesia Government, Series FR34, 12.80%, 6/15/21+ | 559,308 | ||||||
120,000,000 | Indonesia Government, Series FR53, 8.25%, 7/15/21+ | 10,232 | ||||||
3,200,000,000 | Indonesia Government, Series FR44, 10.00%, 9/15/24+ | 298,793 | ||||||
3,300,000,000 | Indonesia Government, Series FR47, 10.00%, 2/15/28+ | 308,308 | ||||||
164,700 | Ireland Treasury Bill, 5.50%, 10/18/17+ | 262,417 | ||||||
246,000 | Irish Government, 4.50%, 10/18/18+ | 391,009 | ||||||
597,000 | Irish Government, 4.40%, 6/18/19+ | 955,617 | ||||||
1,175,000 | Irish Government, 5.90%, 10/18/19+ | 2,016,248 | ||||||
552,000 | Irish Government, 4.50%, 4/18/20+ | 894,159 | ||||||
1,821,000 | Irish Government, 5.00%, 10/18/20+ | 3,041,558 | ||||||
958,580 | Irish Government, 5.40%, 3/13/25+ | 1,663,061 | ||||||
258,700,000 | Korea Monetary Stab Bond, Series 1408, 2.82%, 8/2/14+ | 255,760 | ||||||
1,092,000,000 | Korea Monetary Stab Bond, Series 1409, 2.72%, 9/9/14+ | 1,079,626 | ||||||
2,081,000,000 | Korea Monetary Stab Bond, Series 1410, 2.78%, 10/2/14+ | 2,057,909 | ||||||
768,130,000 | Korea Monetary Stab Bond, Series 1412, 2.84%, 12/2/14+ | 760,004 | ||||||
1,013,290,000 | Korea Monetary Stab Bond, Series 1502, 2.74%, 2/2/15+ | 1,002,320 | ||||||
434,060,000 | Korea Monetary Stab Bond, Series 1504, 2.47%, 4/2/15+ | 428,619 | ||||||
1,618,900,000 | Korea Monetary Stab Bond, Series 1506, 2.76%, 6/2/15+ | 1,602,231 | ||||||
368,750,000 | Korea Monetary Stab Bond, Series 1506, 2.66%, 6/9/15+ | 364,948 | ||||||
2,757,580,000 | Korea Monetary Stab Bond, Series 1508, 2.80%, 8/2/15+ | 2,730,778 | ||||||
6,041,000,000 | Korea Monetary Stab Bond, Series 1510, 2.81%, 10/2/15+ | 5,984,072 | ||||||
2,618,100,000 | Korea Monetary Stab Bond, Series 1512, 2.90%, 12/2/15+ | 2,597,058 | ||||||
211,700,000 | Korea Monetary Stab Bond, Series 1602, 2.78%, 2/2/16+ | 209,667 | ||||||
768,050,000 | Korea Monetary Stab Bond, Series 1604, 2.80%, 4/2/16+ | 760,978 | ||||||
797,300,000 | Korea Monetary Stab Bond, Series 1606, 2.79%, 6/2/16+ | 789,999 | ||||||
347,060,000 | Korea Treasury Bond, Series 1412, 3.25%, 12/10/14+ | 344,007 | ||||||
314,700,000 | Korea Treasury Bond, Series 1506, 3.25%, 6/10/15+ | 312,895 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 2,224,930,000 | Korea Treasury Bond, Series 1512, 2.75%, 12/10/15+ | $ | 2,203,088 | ||||
880,600,000 | Korea Treasury Bond, Series 1606, 2.75%, 6/10/16+ | 871,876 | ||||||
946,400,000 | Korea Treasury Bond, Series 1612, 3.00%, 12/10/16+ | 942,365 | ||||||
96,000 | Letra do Tesouro Nacional, Series LTN, 10.84%, 1/1/15+(f)(g) | 41,165 | ||||||
1,660,000 | Letra do Tesouro Nacional, Series LTN, 11.50%, 1/1/16+(f)(g) | 639,162 | ||||||
1,450,000 | Letra do Tesouro Nacional, Series LTN, 12.79%, 7/1/16+(f)(g) | 527,595 | ||||||
3,160,000 | Letra do Tesouro Nacional, Series LTN, 12.49%, 1/1/17+(f)(g) | 1,085,597 | ||||||
1,820,000 | Letra do Tesouro Nacional, Series LTN, 14.77%, 1/1/18+(f)(g) | 556,380 | ||||||
4,895,000 | Malaysian Government, Series 0211, 3.43%, 8/15/14+ | 1,525,831 | ||||||
1,915,000 | Malaysian Government, Series 0409, 3.74%, 2/27/15+ | 598,973 | ||||||
2,100,000 | Malaysian Government, Series 0110, 3.84%, 8/12/15+ | 659,338 | ||||||
3,105,000 | Malaysian Government, Series 2/05, 4.72%, 9/30/15+ | 985,912 | ||||||
890,000 | Malaysian Government, Series 0312, 3.20%, 10/15/15+ | 277,455 | ||||||
6,000,000 | Malaysian Government, Series 0113, 3.17%, 7/15/16+ | 1,865,010 | ||||||
14,400,000 | Mexican Cetes, Series BI, 0.00%, 7/10/14+(h) | 110,916 | ||||||
27,820,000 | Mexican Cetes, Series B, 0.00%, 9/18/14+(h) | 213,083 | ||||||
98,679,000 | Mexican Cetes, Series BI, 0.00%, 10/16/14+(h) | 754,089 | ||||||
156,245,000 | Mexican Cetes, Series BI, 0.00%, 12/11/14+(h) | 1,188,037 | ||||||
31,029,000 | Mexican Cetes, Series BI, 0.00%, 12/24/14+(h) | 235,700 | ||||||
182,810,000 | Mexican Cetes, Series BI, 0.00%, 4/1/15+(h) | 1,376,811 | ||||||
33,120,000 | Mexican Cetes, Series BI, 0.00%, 5/28/15+(h) | 248,392 | ||||||
728,105 | Mexican Udibonos, 4.50%, 12/18/14+(d)(h) | 57,639 | ||||||
1,857,462 | Mexican Udibonos, 5.00%, 6/16/16+(d)(h) | 157,137 | ||||||
1,580,382 | Mexican Udibonos, 3.50%, 12/14/17+(d)(h) | 133,467 | ||||||
954,386 | Mexican Udibonos, 4.00%, 6/13/19+(d)(h) | 82,977 | ||||||
769,667 | Mexican Udibonos, 2.50%, 12/10/20+(d)(h) | 61,991 | ||||||
15,830,000 | Mexico Bonos Desarr, Series MI10, 9.50%, 12/18/14+(d)(h) | 1,255,851 | ||||||
3,650,000 | Mexico Bonos Desarr, Series M, 6.00%, 6/18/15+(d)(h) | 289,062 | ||||||
19,710,000 | Mexico Bonos Desarr, Series M 10, 8.00%, 12/17/15+(d)(h) | 1,622,033 | ||||||
18,156,000 | Mexico Bonos Desarr, Series M, 6.25%, 6/16/16+(d)(h) | 1,475,663 |
Continued
10
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 2,407,000 | Mexico Bonos Desarr, Series M 10, 7.25%, 12/15/16+(d)(h) | $ | 201,108 | ||||
3,030,000 | Philippine Government International Bond, Series 7-48, 7.00%, 1/27/16+ | 74,427 | ||||||
4,540,000 | Philippine Government International Bond, Series 3-20, 1.63%, 4/25/16+ | 102,499 | ||||||
1,830,000 | Philippine Government International Bond, Series 1042, 9.13%, 9/4/16+ | 47,681 | ||||||
1,720,000 | Philippine Treasury Bill, 0.00%, 7/2/14+(f) | 39,413 | ||||||
1,580,000 | Philippine Treasury Bill, 1.02%, 8/6/14+(f) | 36,167 | ||||||
6,740,000 | Philippine Treasury Bill, 1.13%, 9/3/14+(f) | 154,131 | ||||||
1,800,000 | Philippine Treasury Bill, 0.50%, 10/8/14+(f) | 41,098 | ||||||
15,445,000 | Philippine Treasury Bill, 0.15%, 10/8/14+(f) | 352,641 | ||||||
60,000 | Philippine Treasury Bill, 0.14%, 11/5/14+(f) | 1,368 | ||||||
1,800,000 | Philippine Treasury Bill, Series 364, 1.20%, 4/8/15+(f) | 40,830 | ||||||
1,090,000 | Poland Government Bond, Series 0714, 2.16%, 7/25/14+(f) | 358,498 | ||||||
1,201,000 | Poland Government Bond, Series 0415, 5.50%, 4/25/15+ | 405,371 | ||||||
1,146,000 | Poland Government Bond, Series 0715, 2.35%, 7/25/15+(f) | 368,121 | ||||||
15,863,000 | Poland Government Bond, Series 1015, 6.25%, 10/24/15+ | 5,480,649 | ||||||
7,419,000 | Poland Government Bond, Series 0116, 2.41%, 1/25/16+(f) | 2,353,337 | ||||||
2,985,000 | Poland Government Bond, Series 0416, 5.00%, 4/25/16+ | 1,026,791 | ||||||
6,340,000 | Poland Government Bond, Series 0716, 2.88%, 7/25/16+(f) | 1,984,970 | ||||||
10,935,000 | Poland Government Bond, Series 1016, 4.75%, 10/25/16+ | 3,781,272 | ||||||
3,343,000 | Poland Government Bond, Series 0117, 2.72%, 1/25/17+(d) | 1,100,385 | ||||||
3,391,000 | Poland Government Bond, Series 0121, 2.72%, 1/25/21+(d) | 1,100,771 | ||||||
180,000 | Republic of Hungary, 4.38%, 7/4/17+(a) | 263,857 | ||||||
260,000 | Republic of Hungary, 5.75%, 6/11/18+(a) | 403,608 | ||||||
70,000 | Republic of Hungary, 6.00%, 1/11/19+ | 110,908 | ||||||
200,000 | Singapore Government, 3.63%, 7/1/14+ | 160,436 | ||||||
350,000 | Singapore Government, 1.13%, 4/1/16+ | 284,365 | ||||||
250,000 | Singapore Treasury Bill, Series 81, 0.31%, 7/11/14+(f) | 200,532 | ||||||
620,000 | Singapore Treasury Bill, Series 84, 0.31%, 7/25/14+(f) | 497,271 | ||||||
4,391,000 | Singapore Treasury Bill, Series 84, 0.30%, 8/1/14+(f) | 3,521,594 | ||||||
915,000 | Singapore Treasury Bill, Series 84, 0.32%, 8/15/14+(f) | 733,759 | ||||||
1,371,000 | Singapore Treasury Bill, Series 168, 0.25%, 8/19/14+(f) | 1,099,422 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Foreign Bonds, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 1,300,000 | Singapore Treasury Bill, Series 168, 0.32%, 9/30/14+(f) | $ | 1,042,187 | ||||
1,690,000 | Singapore Treasury Bill, Series 168, 0.32%, 11/25/14+(f) | 1,354,210 | ||||||
34,500,000 | Swedish Government Bond, Series 1049, 4.50%, 8/12/15+ | 5,399,666 | ||||||
5,150,000 | Swedish Treasury Bill, Series 110, 0.57%, 8/20/14+(f) | 770,411 | ||||||
6,470,000 | Swedish Treasury Bill, Series 194D, 0.54%, 9/17/14+(f) | 967,030 | ||||||
100,000 | Ukraine Government, 4.95%, 10/13/15+(a) | 129,185 | ||||||
|
| |||||||
130,078,112 | ||||||||
|
| |||||||
| Total Foreign Bonds (Cost $124,979,393) | 130,813,103 | ||||||
|
| |||||||
| Yankee Dollars (3.6%): |
| ||||||
| Chemicals (0.0%): |
| ||||||
300,000 | INEOS Finance plc, 8.38%, 2/15/19, Callable 2/15/15 @ 106.28(a) | 327,750 | ||||||
200,000 | INEOS Group Holdings SA, 5.88%, 2/15/19, Callable 2/15/16 @ 102.94(a) | 205,000 | ||||||
|
| |||||||
532,750 | ||||||||
|
| |||||||
| Construction & Engineering (0.1%): |
| ||||||
400,000 | Abengoa Finance SAU, 8.88%, 11/1/17(a) | 452,000 | ||||||
|
| |||||||
| Construction Materials (0.1%): |
| ||||||
500,000 | Cemex Sab de C.V., 7.25%, 1/15/21, Callable 1/15/18 @ 103.63(a) | 550,000 | ||||||
300,000 | Cemex SAB de C.V., 5.88%, 3/25/19, Callable 3/25/16 @ 102.94^(a) | 313,500 | ||||||
|
| |||||||
863,500 | ||||||||
|
| |||||||
| Containers & Packaging (0.2%): |
| ||||||
700,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.25%, 1/31/19, Callable 1/31/16 @ 103.13(a) | 717,500 | ||||||
800,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.75%, 1/31/21, Callable 1/31/17 @ 103.38(a) | 826,000 | ||||||
|
| |||||||
1,543,500 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.2%): |
| ||||||
500,000 | Telecom Italia SpA, 5.30%, 5/30/24(a) | 501,875 | ||||||
1,000,000 | Virgin Media Secured Finance plc, 5.50%, 1/15/25, Callable 1/15/19 @ 102.75(a) | 1,036,250 | ||||||
|
| |||||||
1,538,125 | ||||||||
|
| |||||||
| Energy Equipment & Services (0.3%): |
| ||||||
500,000 | CGGVeritas, 6.50%, 6/1/21, Callable 6/1/16 @ 103.25 | 496,250 | ||||||
111,000 | Expro Finance Luxembourg, 8.50%, 12/15/16, Callable 8/11/14 @ 104.25(a) | 115,995 | ||||||
2,000,000 | Ocean Rig UDW, Inc., 7.25%, 4/1/19, Callable 4/1/17 @ 105.44(a) | 1,980,000 | ||||||
|
| |||||||
2,592,245 | ||||||||
|
|
Continued
11
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Independent Power and Renewable Electricity Producers (0.1%): |
| ||||||
$ | 1,000,000 | InterGen NV, 7.00%, 6/30/23, Callable 6/30/18 @ 103.5(a) | $ | 1,032,500 | ||||
|
| |||||||
| Marine (0.1%): |
| ||||||
200,000 | Stena AB, 7.00%, 2/1/24(a) | 213,000 | ||||||
400,000 | Stena International SA, 5.75%, 3/1/24(a) | 404,000 | ||||||
|
| |||||||
617,000 | ||||||||
|
| |||||||
| Media (0.0%): |
| ||||||
300,000 | Altice SA, 7.75%, 5/15/22, Callable 5/15/17 @ 105.81(a) | 320,250 | ||||||
500,000 | Numericable Group SA, 6.00%, 5/15/22, Callable 5/15/17 @ 104.5(a) | 520,000 | ||||||
|
| |||||||
840,250 | ||||||||
|
| |||||||
| Metals & Mining (0.2%): |
| ||||||
230,000 | First Quantum Minerals, Ltd., 6.75%, 2/15/20, Callable 2/15/17 @ 103.38(a) | 236,900 | ||||||
230,000 | First Quantum Minerals, Ltd., 7.00%, 2/15/21, Callable 2/15/18 @ 103.5(a) | 236,613 | ||||||
500,000 | FMG Resources Pty, Ltd., 6.88%, 2/1/18, Callable 8/11/14 @ 105.16(a) | 525,000 | ||||||
250,000 | FMG Resources Pty, Ltd., 8.25%, 11/1/19, Callable 11/1/15 @ 104.13^(a) | 272,188 | ||||||
|
| |||||||
1,270,701 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.0%): |
| ||||||
500,000 | Niska Gas Storage Canada ULC / Niska Gas Storage Canada Finance Corp., 6.50%, 4/1/19, Callable 10/1/16 @ 103.25(a) | 480,000 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.1%): |
| ||||||
500,000 | Algeco Scotsman Global Finance plc, 8.50%, 10/15/18, Callable 10/15/15 @ 104.25(a) | 531,250 | ||||||
|
| |||||||
| Sovereign Bonds (2.1%): |
| ||||||
200,000 | Financing of Infrastructure, 7.40%, 4/20/18(a) | 189,806 | ||||||
430,000 | Republic of Hungary, 4.13%, 2/19/18 | 448,275 | ||||||
1,077,000 | Republic of Hungary, 6.25%, 1/29/20 | 1,217,419 | ||||||
542,000 | Republic of Hungary, 6.38%, 3/29/21 | 617,880 | ||||||
800,000 | Republic of Hungary, 5.38%, 2/21/23^ | 861,000 | ||||||
240,000 | Republic of Iceland, 5.88%, 5/11/22(a) | 264,842 | ||||||
230,000 | Republic of Lithuania, 7.38%, 2/11/20(a) | 281,750 | ||||||
100,000 | Republic of Lithuania, 7.38%, 2/11/20(a) | 122,500 | ||||||
150,000 | Republic of Lithuania, 6.13%, 3/9/21(a) | 175,260 | ||||||
200,000 | Republic of Serbia, 5.25%, 11/21/17(a) | 208,500 | ||||||
300,000 | Republic of Serbia, 4.88%, 2/25/20(a) | 303,750 | ||||||
320,000 | Republic of Serbia, 7.25%, 9/28/21(a) | 364,800 | ||||||
1,400,000 | Republic of Slovenia, 5.50%, 10/26/22(a) | 1,533,000 | ||||||
1,025,000 | Republic of Slovenia, 5.85%, 5/10/23(a) | 1,150,563 | ||||||
506,900 | Russia Foreign Bond, 7.50%, 3/31/30(a) | 587,061 | ||||||
100,000 | Socialist Republic of Vietnam, 6.75%, 1/29/20(a) | 113,000 |
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Sovereign Bonds, continued |
| ||||||
$ | 200,000 | Ukraine Government, 6.25%, 6/17/16(a) | $ | 193,040 | ||||
100,000 | Ukraine Government, 6.58%, 11/21/16(a) | 96,500 | ||||||
760,000 | Ukraine Government, 9.25%, 7/24/17(a) | 769,500 | ||||||
1,400,000 | Ukraine Government, 6.75%, 11/14/17(a) | 1,335,600 | ||||||
620,000 | Ukraine Government, 7.75%, 9/23/20(a) | 591,480 | ||||||
1,430,000 | Ukraine Government, 7.95%, 2/23/21(a) | 1,365,650 | ||||||
1,240,000 | Ukraine Government, 7.80%, 11/28/22(a) | 1,168,700 | ||||||
2,400,000 | Ukraine Government, 7.50%, 4/17/23(a) | 2,255,999 | ||||||
|
| |||||||
16,215,875 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
500,000 | Wind Acquisition Finance SA, 7.38%, 4/23/21, Callable 4/23/17 @ 103.69(a) | 533,750 | ||||||
|
| |||||||
| Total Yankee Dollars (Cost $27,221,524) | 29,043,446 | ||||||
|
| |||||||
| Municipal Bond (0.1%): |
| ||||||
| Puerto Rico (0.1%): |
| ||||||
569,000 | Puerto Rico Commonwealth, GO, Series A, 8.00%, 7/1/35, Callable 7/1/20 @ 100 | 500,726 | ||||||
|
| |||||||
| Total Municipal Bond (Cost $530,102) | 500,726 | ||||||
|
| |||||||
| U.S. Treasury Obligations (0.9%): |
| ||||||
| U.S. Treasury Bills (0.9%) |
| ||||||
1,000,000 | 0.00%, 7/3/14^(f) | 1,000,000 | ||||||
1,000,000 | 0.06%, 7/10/14(f) | 999,999 | ||||||
1,000,000 | 0.06%, 7/24/14(f) | 999,989 | ||||||
1,000,000 | 0.04%, 8/21/14(f) | 999,968 | ||||||
1,000,000 | 0.02%, 10/2/14^(f) | 999,897 | ||||||
1,000,000 | 0.04%, 10/9/14(f) | 999,917 | ||||||
1,000,000 | 0.04%, 10/23/14(f) | 999,881 | ||||||
|
| |||||||
6,999,651 | ||||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $6,999,445) | 6,999,651 | ||||||
|
| |||||||
| U.S. Government Agency Mortgages (4.2%): |
| ||||||
34,000,000 | Federal Home Loan Bank, 0.00%, 7/1/14(f) | 34,000,000 | ||||||
|
| |||||||
| Total U.S. Government Agency Mortgages (Cost $34,000,000) | 34,000,000 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (2.4%): |
| ||||||
19,090,906 | Allianz Variable Insurance Products Securities Lending Collateral Trust(i) | 19,090,906 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan (Cost $19,090,906) | 19,090,906 | ||||||
|
| |||||||
| Unaffiliated Investment Company (5.7%): |
| ||||||
46,134,204 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(f) | 46,134,204 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $46,134,204) | 46,134,204 | ||||||
|
| |||||||
| Total Investment Securities (Cost $714,200,220)(j) — 101.9% | 824,445,315 | ||||||
| Net other assets (liabilities) — (1.9)% | (15,164,089 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 809,281,226 | |||||
|
|
Continued
12
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
GO—General Obligation
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $18,548,434. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 0.00% of the net assets of the fund. |
(c) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.00% of the net assets of the fund. |
(d) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(e) | Defaulted bond. |
(f) | The rate represents the effective yield at June 30, 2014. |
(g) | Principal amount is stated in 1,000 Brazilian Real Units. |
(h) | Principal amount is stated in 100 Mexican Peso Units. |
(i) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(j) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 0.2 | % | ||
Bermuda | 0.1 | % | ||
Brazil | 1.5 | % | ||
Canada | 1.8 | % | ||
China | 0.4 | % | ||
Denmark | 0.5 | % | ||
France | 2.6 | % | ||
Germany | 1.8 | % | ||
Hong Kong | 0.2 | % | ||
Hungary | 2.2 | % | ||
Iceland | — | %NM | ||
India | 0.1 | % | ||
Indonesia | 0.1 | % | ||
Ireland (Republic of) | 1.6 | % | ||
Israel | 0.9 | % | ||
Italy | 0.9 | % | ||
Japan | 0.8 | % | ||
Korea, Republic Of | 0.3 | % | ||
Lithuania | 0.1 | % | ||
Luxembourg | 0.1 | % | ||
Malaysia | 2.5 | % | ||
Marshall Islands | 0.2 | % | ||
Mexico | 1.3 | % |
Country | Percentage | |||
Netherlands | 2.6 | % | ||
Philippines | 0.1 | % | ||
Poland | 2.2 | % | ||
Portugal | 0.3 | % | ||
Republic of Korea (South) | 4.2 | % | ||
Russian Federation | 0.7 | % | ||
Serbia (Republic of) | 0.1 | % | ||
Singapore | 1.6 | % | ||
Slovenia | 0.3 | % | ||
South Africa | — | %NM | ||
Spain | 0.8 | % | ||
Sweden | 1.5 | % | ||
Switzerland | 2.4 | % | ||
Taiwan | 0.1 | % | ||
Thailand | 0.1 | % | ||
Turkey | 0.3 | % | ||
Ukraine | 1.0 | % | ||
United Kingdom | 8.0 | % | ||
United States | 53.5 | % | ||
Vietnam | — | %NM | ||
|
| |||
100.0 | % | |||
|
|
NM | Not meaningful, amount is less than 0.05%. |
Continued
13
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
British Pound | Bank of America | 8/19/14 | 2,145,301 | $ | 3,583,851 | $ | 3,669,482 | $ | (85,631 | ) | ||||||||||
British Pound | Bank of America | 8/19/14 | 124,488 | 208,686 | 212,933 | (4,247 | ) | |||||||||||||
British Pound | Bank of America | 8/19/14 | 293,282 | 494,443 | 501,652 | (7,209 | ) | |||||||||||||
British Pound | Barclays Bank | 8/19/14 | 72,878 | 122,956 | 124,656 | (1,700 | ) | |||||||||||||
British Pound | Barclays Bank | 8/19/14 | 165,380 | 279,937 | 282,878 | (2,941 | ) | |||||||||||||
British Pound | Barclays Bank | 8/19/14 | 5,071,347 | 8,474,284 | 8,674,407 | (200,123 | ) | |||||||||||||
British Pound | Credit Suisse First Boston | 8/19/14 | 13,393 | 22,311 | 22,908 | (597 | ) | |||||||||||||
British Pound | HSBC Bank | 8/19/14 | 3,641,496 | 6,087,602 | 6,228,684 | (141,082 | ) | |||||||||||||
British Pound | HSBC Bank | 8/19/14 | 10,209 | 17,178 | 17,462 | (284 | ) | |||||||||||||
British Pound | State Street Bank | 8/19/14 | 396,419 | 670,343 | 678,064 | (7,721 | ) | |||||||||||||
European Euro | Barclays Bank | 7/16/14 | 82,000 | 107,207 | 112,282 | (5,075 | ) | |||||||||||||
European Euro | Morgan Stanley | 7/16/14 | 277,000 | 361,377 | 379,292 | (17,915 | ) | |||||||||||||
European Euro | UBS Warburg | 7/16/14 | 257,000 | 335,621 | 351,907 | (16,286 | ) | |||||||||||||
European Euro | UBS Warburg | 7/16/14 | 257,000 | 335,619 | 351,907 | (16,288 | ) | |||||||||||||
European Euro | Bank of America | 7/17/14 | 3,828,407 | 5,205,724 | 5,242,206 | (36,482 | ) | |||||||||||||
European Euro | Barclays Bank | 7/17/14 | 11,074 | 15,038 | 15,164 | (126 | ) | |||||||||||||
European Euro | HSBC Bank | 7/17/14 | 124,836 | 169,925 | 170,937 | (1,012 | ) | |||||||||||||
European Euro | State Street Bank | 7/17/14 | 8,935 | 12,233 | 12,235 | (2 | ) | |||||||||||||
European Euro | Barclays Bank | 7/18/14 | 129,000 | 169,667 | 176,639 | (6,972 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/21/14 | 470,000 | 619,916 | 643,576 | (23,660 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/22/14 | 71,000 | 93,139 | 97,221 | (4,082 | ) | |||||||||||||
European Euro | Morgan Stanley | 7/22/14 | 366,000 | 479,438 | 501,170 | (21,732 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/23/14 | 93,795 | 123,248 | 128,435 | (5,187 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/25/14 | 198,000 | 261,882 | 271,128 | (9,246 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/25/14 | 9,975 | 13,208 | 13,659 | (451 | ) | |||||||||||||
European Euro | Goldman Sachs | 7/25/14 | 197,000 | 260,800 | 269,758 | (8,958 | ) | |||||||||||||
European Euro | Citibank | 7/28/14 | 60,360 | 79,936 | 82,654 | (2,718 | ) | |||||||||||||
European Euro | Barclays Bank | 7/29/14 | 19,995 | 26,506 | 27,380 | (874 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/29/14 | 9,978 | 13,225 | 13,664 | (439 | ) | |||||||||||||
European Euro | JPMorgan Chase | 7/31/14 | 380,000 | 505,178 | 520,357 | (15,179 | ) | |||||||||||||
European Euro | UBS Warburg | 8/1/14 | 380,000 | 505,742 | 520,359 | (14,617 | ) | |||||||||||||
European Euro | Barclays Bank | 8/4/14 | 97,592 | 129,588 | 133,641 | (4,053 | ) | |||||||||||||
European Euro | HSBC Bank | 8/4/14 | 380,000 | 503,663 | 520,365 | (16,702 | ) | |||||||||||||
European Euro | Barclays Bank | 8/5/14 | 229,000 | 303,709 | 313,590 | (9,881 | ) | |||||||||||||
European Euro | JPMorgan Chase | 8/6/14 | 269,500 | 356,468 | 369,051 | (12,583 | ) | |||||||||||||
European Euro | Citibank | 8/8/14 | 34,482 | 45,906 | 47,220 | (1,314 | ) | |||||||||||||
European Euro | Citibank | 8/11/14 | 9,686 | 12,906 | 13,264 | (358 | ) | |||||||||||||
European Euro | Deutsche Bank | 8/11/14 | 180,000 | 240,003 | 246,495 | (6,492 | ) | |||||||||||||
European Euro | JPMorgan Chase | 8/11/14 | 239,500 | 318,923 | 327,975 | (9,052 | ) | |||||||||||||
European Euro | Goldman Sachs | 8/12/14 | 61,000 | 81,669 | 83,535 | (1,866 | ) | |||||||||||||
European Euro | Morgan Stanley | 8/15/14 | 66,000 | 87,581 | 90,383 | (2,802 | ) | |||||||||||||
European Euro | Barclays Bank | 8/19/14 | 237,000 | 314,061 | 324,561 | (10,500 | ) | |||||||||||||
European Euro | Deutsche Bank | 8/20/14 | 133,000 | 177,627 | 182,138 | (4,511 | ) | |||||||||||||
European Euro | JPMorgan Chase | 8/20/14 | 263,000 | 351,379 | 360,168 | (8,789 | ) | |||||||||||||
European Euro | Barclays Bank | 8/25/14 | 75,988 | 101,869 | 104,065 | (2,196 | ) | |||||||||||||
European Euro | Deutsche Bank | 8/29/14 | 28,980 | 38,700 | 39,688 | (988 | ) | |||||||||||||
European Euro | Deutsche Bank | 9/3/14 | 15,000 | 19,865 | 20,543 | (678 | ) | |||||||||||||
European Euro | Deutsche Bank | 9/3/14 | 34,000 | 45,026 | 46,564 | (1,538 | ) | |||||||||||||
European Euro | Deutsche Bank | 9/5/14 | 137,800 | 181,853 | 188,723 | (6,870 | ) | |||||||||||||
European Euro | Barclays Bank | 9/19/14 | 19,406 | 25,926 | 26,579 | (653 | ) | |||||||||||||
European Euro | Deutsche Bank | 9/23/14 | 229,000 | 310,712 | 313,646 | (2,934 | ) | |||||||||||||
European Euro | Barclays Bank | 9/24/14 | 45,864 | 62,089 | 62,817 | (728 | ) |
Continued
14
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
European Euro | Deutsche Bank | 9/26/14 | 120,451 | $ | 162,906 | $ | 164,975 | $ | (2,069 | ) | ||||||||||
European Euro | Barclays Bank | 9/29/14 | 200,000 | 270,190 | 273,932 | (3,742 | ) | |||||||||||||
European Euro | Deutsche Bank | 9/30/14 | 1,320,000 | 1,782,488 | 1,807,962 | (25,474 | ) | |||||||||||||
European Euro | Goldman Sachs | 9/30/14 | 130,000 | 175,410 | 178,057 | (2,647 | ) | |||||||||||||
European Euro | HSBC Bank | 9/30/14 | 180,000 | 243,340 | 246,540 | (3,200 | ) | |||||||||||||
European Euro | Deutsche Bank | 10/9/14 | 420,000 | 570,520 | 575,283 | (4,763 | ) | |||||||||||||
European Euro | Deutsche Bank | 10/15/14 | 320,000 | 432,698 | 438,322 | (5,624 | ) | |||||||||||||
European Euro | Barclays Bank | 10/21/14 | 3,724,000 | 5,092,569 | 5,101,101 | (8,532 | ) | |||||||||||||
European Euro | Deutsche Bank | 10/21/14 | 570,000 | 779,931 | 780,781 | (850 | ) | |||||||||||||
European Euro | Deutsche Bank | 10/24/14 | 319,000 | 440,536 | 436,969 | 3,567 | ||||||||||||||
European Euro | Barclays Bank | 10/27/14 | 175,515 | 242,685 | 240,425 | 2,260 | ||||||||||||||
European Euro | Deutsche Bank | 10/31/14 | 1,747,075 | 2,412,728 | 2,393,229 | 19,499 | ||||||||||||||
European Euro | Deutsche Bank | 11/3/14 | 7,376 | 10,150 | 10,104 | 46 | ||||||||||||||
European Euro | Barclays Bank | 11/5/14 | 49,418 | 66,833 | 67,697 | (864 | ) | |||||||||||||
European Euro | Citibank | 11/7/14 | 1,793,000 | 2,414,678 | 2,456,213 | (41,535 | ) | |||||||||||||
European Euro | Deutsche Bank | 11/7/14 | 3,620,000 | 4,880,664 | 4,959,002 | (78,338 | ) | |||||||||||||
European Euro | JPMorgan Chase | 11/12/14 | 278,508 | 371,374 | 381,534 | (10,160 | ) | |||||||||||||
European Euro | Bank of America | 11/17/14 | 1,395,932 | 1,913,857 | 1,912,355 | 1,502 | ||||||||||||||
European Euro | Barclays Bank | 11/17/14 | 1,776,409 | 2,436,434 | 2,433,589 | 2,845 | ||||||||||||||
European Euro | Citibank | 11/17/14 | 1,801,000 | 2,421,841 | 2,467,277 | (45,436 | ) | |||||||||||||
European Euro | Deutsche Bank | 11/17/14 | 398,522 | 537,047 | 545,955 | (8,908 | ) | |||||||||||||
European Euro | HSBC Bank | 11/17/14 | 896,541 | 1,224,115 | 1,228,215 | (4,100 | ) | |||||||||||||
European Euro | Morgan Stanley | 11/17/14 | 66,000 | 88,822 | 90,417 | (1,595 | ) | |||||||||||||
European Euro | State Street Bank | 11/17/14 | 5,681 | 7,747 | 7,783 | (36 | ) | |||||||||||||
European Euro | Deutsche Bank | 11/19/14 | 93,863 | 126,424 | 128,589 | (2,165 | ) | |||||||||||||
European Euro | Deutsche Bank | 11/20/14 | 130,000 | 175,936 | 178,096 | (2,160 | ) | |||||||||||||
European Euro | JPMorgan Chase | 11/20/14 | 327,027 | 442,656 | 448,016 | (5,360 | ) | |||||||||||||
European Euro | Deutsche Bank | 12/4/14 | 100,000 | 135,466 | 137,005 | (1,539 | ) | |||||||||||||
European Euro | Standard Charter | 12/9/14 | 76,800 | 104,919 | 105,222 | (303 | ) | |||||||||||||
European Euro | JPMorgan Chase | 12/15/14 | 97,000 | 133,796 | 132,901 | 895 | ||||||||||||||
European Euro | Deutsche Bank | 12/17/14 | 525,093 | 721,898 | 719,442 | 2,456 | ||||||||||||||
European Euro | Deutsche Bank | 1/7/15 | 312,372 | 426,054 | 428,037 | (1,983 | ) | |||||||||||||
European Euro | Barclays Bank | 1/21/15 | 97,000 | 132,211 | 132,929 | (718 | ) | |||||||||||||
European Euro | Deutsche Bank | 1/26/15 | 1,650,000 | 2,239,380 | 2,261,235 | (21,855 | ) | |||||||||||||
European Euro | Deutsche Bank | 1/30/15 | 2,630,000 | 3,594,683 | 3,604,363 | (9,680 | ) | |||||||||||||
European Euro | Deutsche Bank | 2/3/15 | 2,280,000 | 3,090,426 | 3,124,775 | (34,349 | ) | |||||||||||||
European Euro | Deutsche Bank | 2/9/15 | 1,411,000 | 1,908,660 | 1,933,872 | (25,212 | ) | |||||||||||||
European Euro | Goldman Sachs | 2/9/15 | 181,000 | 252,267 | 248,073 | 4,194 | ||||||||||||||
European Euro | JPMorgan Chase | 2/19/15 | 30,000 | 41,142 | 41,120 | 22 | ||||||||||||||
European Euro | Barclays Bank | 2/20/15 | 210,000 | 288,555 | 287,840 | 715 | ||||||||||||||
European Euro | Credit Suisse First Boston | 2/23/15 | 17,000 | 23,395 | 23,302 | 93 | ||||||||||||||
European Euro | Deutsche Bank | 2/25/15 | 277,730 | 381,740 | 380,687 | 1,053 | ||||||||||||||
European Euro | Barclays Bank | 2/26/15 | 170,862 | 234,619 | 234,203 | 416 | ||||||||||||||
European Euro | Bank of America | 2/27/15 | 76,694 | 104,864 | 105,126 | (262 | ) | |||||||||||||
European Euro | Deutsche Bank | 3/5/15 | 43,000 | 59,282 | 58,943 | 339 | ||||||||||||||
European Euro | Barclays Bank | 3/9/15 | 107,759 | 147,981 | 147,718 | 263 | ||||||||||||||
European Euro | Barclays Bank | 3/9/15 | 33,304 | 45,768 | 45,654 | 114 | ||||||||||||||
European Euro | Deutsche Bank | 3/9/15 | 660,000 | 906,147 | 904,737 | 1,410 | ||||||||||||||
European Euro | HSBC Bank | 3/9/15 | 15,000 | 20,621 | 20,562 | 59 | ||||||||||||||
European Euro | Citibank | 3/10/15 | 1,704,605 | 2,359,216 | 2,336,711 | 22,505 | ||||||||||||||
European Euro | Morgan Stanley | 3/10/15 | 43,000 | 59,554 | 58,945 | 609 | ||||||||||||||
European Euro | Deutsche Bank | 3/16/15 | 134,000 | 185,857 | 183,697 | 2,160 | ||||||||||||||
European Euro | JPMorgan Chase | 3/16/15 | 15,000 | 20,787 | 20,563 | 224 | ||||||||||||||
European Euro | Barclays Bank | 3/17/15 | 10,012 | 13,962 | 13,725 | 237 | ||||||||||||||
European Euro | Citibank | 3/17/15 | 10,643 | 14,850 | 14,590 | 260 | ||||||||||||||
European Euro | Barclays Bank | 3/23/15 | 9,076 | 12,638 | 12,443 | 195 |
Continued
15
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
European Euro | Deutsche Bank | 3/23/15 | 173,000 | $ | 240,816 | $ | 237,172 | $ | 3,644 | |||||||||||
European Euro | Deutsche Bank | 3/26/15 | 78,000 | 107,418 | 106,935 | 483 | ||||||||||||||
European Euro | Barclays Bank | 3/27/15 | 200,000 | 276,200 | 274,194 | 2,006 | ||||||||||||||
European Euro | Deutsche Bank | 3/31/15 | 4,566 | 6,285 | 6,260 | 25 | ||||||||||||||
European Euro | Barclays Bank | 4/2/15 | 17,912 | 24,691 | 24,558 | 133 | ||||||||||||||
European Euro | Deutsche Bank | 4/7/15 | 192,660 | 265,773 | 264,150 | 1,623 | ||||||||||||||
European Euro | HSBC Bank | 4/10/15 | 73,000 | 100,643 | 100,090 | 553 | ||||||||||||||
European Euro | Deutsche Bank | 4/13/15 | 77,961 | 107,607 | 106,894 | 713 | ||||||||||||||
European Euro | Standard Charter | 4/13/15 | 37,000 | 51,143 | 50,731 | 412 | ||||||||||||||
European Euro | JPMorgan Chase | 4/14/15 | 99,000 | 137,219 | 135,742 | 1,477 | ||||||||||||||
European Euro | Deutsche Bank | 4/15/15 | 370,000 | 513,264 | 507,321 | 5,943 | ||||||||||||||
European Euro | HSBC Bank | 4/16/15 | 78,849 | 109,491 | 108,114 | 1,377 | ||||||||||||||
European Euro | Barclays Bank | 4/22/15 | 16,935 | 23,372 | 23,221 | 151 | ||||||||||||||
European Euro | JPMorgan Chase | 4/22/15 | 5,188 | 7,177 | 7,114 | 63 | ||||||||||||||
European Euro | Barclays Bank | 4/30/15 | 11,783 | 16,337 | 16,158 | 179 | ||||||||||||||
European Euro | Standard Charter | 4/30/15 | 380,000 | 525,867 | 521,083 | 4,784 | ||||||||||||||
European Euro | Barclays Bank | 5/5/15 | 228,900 | 317,223 | 313,894 | 3,329 | ||||||||||||||
European Euro | Barclays Bank | 5/7/15 | 112,000 | 155,432 | 153,589 | 1,843 | ||||||||||||||
European Euro | Goldman Sachs | 5/7/15 | 317,570 | 440,832 | 435,494 | 5,338 | ||||||||||||||
European Euro | Deutsche Bank | 5/12/15 | 1,425,000 | 1,973,340 | 1,954,209 | 19,131 | ||||||||||||||
European Euro | Citibank | 5/13/15 | 136,787 | 188,451 | 187,587 | 864 | ||||||||||||||
European Euro | Goldman Sachs | 5/13/15 | 142,000 | 195,654 | 194,736 | 918 | ||||||||||||||
European Euro | Standard Charter | 5/13/15 | 56,000 | 77,032 | 76,797 | 235 | ||||||||||||||
European Euro | Goldman Sachs | 5/14/15 | 87,000 | 119,837 | 119,311 | 526 | ||||||||||||||
European Euro | Barclays Bank | 5/18/15 | 266,076 | 365,248 | 364,904 | 344 | ||||||||||||||
European Euro | Goldman Sachs | 5/21/15 | 289,000 | 396,742 | 396,350 | 392 | ||||||||||||||
European Euro | Barclays Bank | 5/22/15 | 363,741 | 498,734 | 498,857 | (123 | ) | |||||||||||||
European Euro | JPMorgan Chase | 5/26/15 | 172,504 | 235,816 | 236,589 | (773 | ) | |||||||||||||
European Euro | Barclays Bank | 5/29/15 | 72,758 | 99,061 | 99,789 | (728 | ) | |||||||||||||
European Euro | Goldman Sachs | 6/1/15 | 760,000 | 1,034,121 | 1,042,378 | (8,257 | ) | |||||||||||||
European Euro | Barclays Bank | 6/5/15 | 237,868 | 323,964 | 326,256 | (2,292 | ) | |||||||||||||
European Euro | Deutsche Bank | 6/10/15 | 285,500 | 390,079 | 391,600 | (1,521 | ) | |||||||||||||
European Euro | Deutsche Bank | 6/15/15 | 124,000 | 168,066 | 170,087 | (2,021 | ) | |||||||||||||
European Euro | Barclays Bank | 6/22/15 | 28,929 | 39,356 | 39,683 | (327 | ) | |||||||||||||
European Euro | Deutsche Bank | 6/22/15 | 420,000 | 571,116 | 576,129 | (5,013 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 7/11/14 | 26,073,000 | 258,866 | 257,433 | 1,433 | ||||||||||||||
Japanese Yen | Morgan Stanley | 7/22/14 | 50,187,445 | 501,884 | 495,573 | 6,311 | ||||||||||||||
Japanese Yen | Citibank | 7/24/14 | 74,785,000 | 751,712 | 738,473 | 13,239 | ||||||||||||||
Japanese Yen | JP Morgan Hambrecht and Quist | 7/24/14 | 115,000,000 | 1,154,271 | 1,135,581 | 18,690 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 7/25/14 | 40,100,000 | 404,540 | 395,975 | 8,565 | ||||||||||||||
Japanese Yen | Barclays Bank | 7/29/14 | 8,700,000 | 87,650 | 85,913 | 1,737 | ||||||||||||||
Japanese Yen | Barclays Bank | 8/11/14 | 2,240,000 | 23,148 | 22,122 | 1,026 | ||||||||||||||
Japanese Yen | Citibank | 8/11/14 | 2,240,000 | 23,148 | 22,122 | 1,026 | ||||||||||||||
Japanese Yen | Deutsche Bank | 8/12/14 | 2,240,000 | 23,312 | 22,122 | 1,190 | ||||||||||||||
Japanese Yen | Citibank | 8/13/14 | 46,922,100 | 487,890 | 463,404 | 24,486 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 8/29/14 | 22,800,000 | 234,654 | 225,198 | 9,456 | ||||||||||||||
Japanese Yen | Barclays Bank | 9/18/14 | 2,251,755 | 22,874 | 22,244 | 630 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 9/29/14 | 2,255,332 | 22,954 | 22,281 | 673 | ||||||||||||||
Japanese Yen | Deutsche Bank | 10/7/14 | 399,565,980 | 3,848,641 | 3,947,753 | (99,112 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 10/17/14 | 33,615,000 | 323,436 | 332,152 | (8,716 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 10/20/14 | 63,490,000 | 646,801 | 627,366 | 19,435 | ||||||||||||||
Japanese Yen | Barclays Bank | 10/22/14 | 26,770,000 | 274,508 | 264,529 | 9,979 | ||||||||||||||
Japanese Yen | Deutsche Bank | 10/29/14 | 20,662,500 | 212,974 | 204,191 | 8,783 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 11/4/14 | 91,650,000 | 936,408 | 905,755 | 30,653 | ||||||||||||||
Japanese Yen | Barclays Bank | 11/5/14 | 536,000,000 | 5,472,514 | 5,297,213 | 175,301 | ||||||||||||||
Japanese Yen | Citibank | 11/12/14 | 94,163,000 | 952,853 | 930,662 | 22,191 |
Continued
16
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Japanese Yen | HSBC Bank | 11/12/14 | 3,336,000 | $ | 33,834 | $ | 32,971 | $ | 863 | |||||||||||
Japanese Yen | JPMorgan Chase | 11/13/14 | 36,450,000 | 368,591 | 360,258 | 8,333 | ||||||||||||||
Japanese Yen | Deutsche Bank | 11/14/14 | 45,848,000 | 461,489 | 453,149 | 8,340 | ||||||||||||||
Japanese Yen | Citibank | 11/19/14 | 7,667,000 | 76,748 | 75,782 | 966 | ||||||||||||||
Japanese Yen | Deutsche Bank | 11/19/14 | 6,194,000 | 61,965 | 61,223 | 742 | ||||||||||||||
Japanese Yen | Citibank | 11/20/14 | 8,613,000 | 86,424 | 85,133 | 1,291 | ||||||||||||||
Japanese Yen | HSBC Bank | 11/20/14 | 1,616,000 | 16,207 | 15,973 | 234 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 11/20/14 | 5,564,000 | 55,790 | 54,996 | 794 | ||||||||||||||
Japanese Yen | Morgan Stanley | 12/15/14 | 41,392,500 | 404,427 | 409,234 | (4,807 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 12/22/14 | 69,210,000 | 674,769 | 684,302 | (9,533 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 12/22/14 | 69,320,000 | 674,805 | 685,390 | (10,585 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 12/26/14 | 34,730,000 | 334,925 | 343,400 | (8,475 | ) | |||||||||||||
Japanese Yen | Citibank | 12/26/14 | 54,180,000 | 522,492 | 535,716 | (13,224 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 1/7/15 | 5,989,000 | 57,509 | 59,225 | (1,716 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 1/8/15 | 23,997,000 | 231,383 | 237,310 | (5,927 | ) | |||||||||||||
Japanese Yen | Citibank | 1/13/15 | 1,520,000 | 14,533 | 15,032 | (499 | ) | |||||||||||||
Japanese Yen | UBS Warburg | 1/14/15 | 4,550,000 | 43,549 | 44,999 | (1,450 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 1/15/15 | 101,530,000 | 979,037 | 1,004,126 | (25,089 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 1/15/15 | 5,640,000 | 54,231 | 55,779 | (1,548 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 1/15/15 | 66,000,000 | 636,362 | 652,736 | (16,374 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 1/16/15 | 37,020,000 | 358,141 | 366,130 | (7,989 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 1/16/15 | 1,520,000 | 14,705 | 15,033 | (328 | ) | |||||||||||||
Japanese Yen | Standard Charter | 1/16/15 | 7,340,000 | 71,040 | 72,593 | (1,553 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 1/20/15 | 33,615,000 | 323,785 | 332,469 | (8,684 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 1/27/15 | 7,610,000 | 73,615 | 75,273 | (1,658 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 1/28/15 | 7,248,281 | 70,992 | 71,696 | (704 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 1/28/15 | 9,353,364 | 91,399 | 92,518 | (1,119 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 1/30/15 | 121,466,500 | 1,191,642 | 1,201,503 | (9,861 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 2/6/15 | 100,100,000 | 991,397 | 990,232 | 1,165 | ||||||||||||||
Japanese Yen | Standard Charter | 2/6/15 | 100,170,000 | 991,807 | 990,924 | 883 | ||||||||||||||
Japanese Yen | Barclays Bank | 2/9/15 | 100,180,000 | 991,778 | 991,057 | 721 | ||||||||||||||
Japanese Yen | JPMorgan Chase | 2/9/15 | 100,400,000 | 991,800 | 993,234 | (1,434 | ) | |||||||||||||
Japanese Yen | Citibank | 2/10/15 | 5,590,000 | 55,059 | 55,301 | (242 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 2/12/15 | 3,771,000 | 36,934 | 37,307 | (373 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 2/12/15 | 53,860,000 | 528,441 | 532,843 | (4,402 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 2/12/15 | 53,831,000 | 528,776 | 532,556 | (3,780 | ) | |||||||||||||
Japanese Yen | Citibank | 2/13/15 | 71,350,000 | 700,059 | 705,881 | (5,822 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 2/13/15 | 35,730,000 | 349,800 | 353,485 | (3,685 | ) | |||||||||||||
Japanese Yen | Citibank | 2/17/15 | 35,630,000 | 349,177 | 352,511 | (3,334 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 2/18/15 | 964,860 | 9,500 | 9,546 | (46 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 2/18/15 | 35,780,000 | 352,481 | 353,999 | (1,518 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 2/18/15 | 37,560,000 | 369,893 | 371,610 | (1,717 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 2/24/15 | 4,020,000 | 39,403 | 39,776 | (373 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 2/25/15 | 17,870,000 | 174,469 | 176,816 | (2,347 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 2/25/15 | 4,000,000 | 39,039 | 39,578 | (539 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 2/26/15 | 35,700,000 | 349,086 | 353,240 | (4,154 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 2/27/15 | 11,991,000 | 117,640 | 118,648 | (1,008 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 3/3/15 | 5,100,000 | 50,090 | 50,466 | (376 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 3/3/15 | 4,600,000 | 45,169 | 45,518 | (349 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 3/4/15 | 4,600,000 | 45,076 | 45,519 | (443 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 3/9/15 | 64,145,400 | 627,287 | 634,778 | (7,491 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 3/16/15 | 44,142,850 | 431,188 | 436,869 | (5,681 | ) | |||||||||||||
Japanese Yen | Citibank | 3/17/15 | 2,260,084 | 22,088 | 22,368 | (280 | ) | |||||||||||||
Japanese Yen | Citibank | 3/19/15 | 46,322,000 | 456,311 | 458,451 | (2,140 | ) | |||||||||||||
Japanese Yen | Morgan Stanley | 3/19/15 | 7,060,000 | 69,922 | 69,873 | 49 | ||||||||||||||
Japanese Yen | Deutsche Bank | 3/24/15 | 20,538,000 | 201,124 | 203,277 | (2,153 | ) |
Continued
17
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Japanese Yen | Barclays Bank | 3/25/15 | 25,522,830 | $ | 249,904 | $ | 252,618 | $ | (2,714 | ) | ||||||||||
Japanese Yen | Citibank | 4/15/15 | 3,500,000 | 34,576 | 34,650 | (74 | ) | |||||||||||||
Japanese Yen | Morgan Stanley | 4/16/15 | 68,447,040 | 673,280 | 677,640 | (4,360 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 4/17/15 | 32,710,000 | 321,923 | 323,840 | (1,917 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 4/21/15 | 19,660,000 | 192,815 | 194,649 | (1,834 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 4/22/15 | 24,420,000 | 239,547 | 241,780 | (2,233 | ) | |||||||||||||
Japanese Yen | Citibank | 5/12/15 | 5,590,000 | 55,198 | 55,359 | (161 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 5/13/15 | 7,475,000 | 73,638 | 74,027 | (389 | ) | |||||||||||||
Japanese Yen | Standard Charter | 5/13/15 | 5,588,000 | 55,098 | 55,339 | (241 | ) | |||||||||||||
Japanese Yen | Citibank | 5/14/15 | 5,587,000 | 54,964 | 55,330 | (366 | ) | |||||||||||||
Japanese Yen | Bank of America | 5/18/15 | 84,777,550 | 835,000 | 839,621 | (4,621 | ) | |||||||||||||
Japanese Yen | Bank of America | 5/19/15 | 84,522,875 | 835,000 | 837,109 | (2,109 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 5/19/15 | 84,752,500 | 835,000 | 839,383 | (4,383 | ) | |||||||||||||
Japanese Yen | Citibank | 5/19/15 | 84,652,200 | 835,000 | 838,389 | (3,389 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 5/19/15 | 84,820,600 | 835,000 | 840,057 | (5,057 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 6/1/15 | 48,990,000 | 482,670 | 485,265 | (2,595 | ) | |||||||||||||
Japanese Yen | Citibank | 6/9/15 | 51,300,000 | 502,291 | 508,193 | (5,902 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 6/9/15 | 76,900,000 | 752,866 | 761,794 | (8,928 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 6/10/15 | 60,420,000 | 591,729 | 598,545 | (6,816 | ) | |||||||||||||
Japanese Yen | Citibank | 6/10/15 | 43,640,000 | 426,747 | 432,316 | (5,569 | ) | |||||||||||||
Japanese Yen | Citibank | 6/10/15 | 51,500,000 | 503,608 | 510,180 | (6,572 | ) | |||||||||||||
Japanese Yen | HSBC Bank | 6/10/15 | 64,350,000 | 630,453 | 637,477 | (7,024 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 6/11/15 | 21,300,000 | 208,537 | 211,009 | (2,472 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 6/11/15 | 59,620,000 | 583,583 | 590,627 | (7,044 | ) | |||||||||||||
Japanese Yen | Citibank | 6/17/15 | 2,416,000 | 23,749 | 23,936 | (187 | ) | |||||||||||||
Japanese Yen | JPMorgan Chase | 6/17/15 | 25,100,000 | 246,755 | 248,671 | (1,916 | ) | |||||||||||||
Japanese Yen | Deutsche Bank | 6/22/15 | 69,330,000 | 680,841 | 686,905 | (6,064 | ) | |||||||||||||
Japanese Yen | Barclays Bank | 6/30/15 | 16,411,000 | 161,960 | 162,627 | (667 | ) | |||||||||||||
Korean Won | Bank of America | 8/12/14 | 60,718,984 | 59,005 | 59,997 | (992 | ) | |||||||||||||
Korean Won | Bank of America | 8/12/14 | 462,105,446 | 429,416 | 456,610 | (27,194 | ) | |||||||||||||
Korean Won | Credit Suisse First Boston | 8/12/14 | 965,501,746 | 899,373 | 954,019 | (54,646 | ) | |||||||||||||
Korean Won | Credit Suisse First Boston | 8/12/14 | 59,961,029 | 55,817 | 59,248 | (3,431 | ) | |||||||||||||
Korean Won | HSBC Bank | 8/12/14 | 806,819,992 | 753,103 | 797,224 | (44,121 | ) | |||||||||||||
Korean Won | HSBC Bank | 8/12/14 | 233,976,159 | 218,635 | 231,193 | (12,558 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 8/6/14 | 110,000 | 33,698 | 34,174 | (476 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 8/7/14 | 110,000 | 33,696 | 34,172 | (476 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 8/11/14 | 170,000 | 52,063 | 52,794 | (731 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 10/24/14 | 812,462 | 247,702 | 250,879 | (3,177 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 11/20/14 | 39,000 | 11,870 | 12,018 | (148 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 2/18/15 | 1,235,558 | 374,128 | 378,138 | (4,010 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 2/23/15 | 720,000 | 217,951 | 220,271 | (2,320 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 3/11/15 | 2,909,811 | 880,027 | 889,130 | (9,103 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 3/31/15 | 500,000 | 151,057 | 152,551 | (1,494 | ) | |||||||||||||
Malaysian Ringgit | HSBC Bank | 4/10/15 | 340,000 | 102,657 | 103,657 | (1,000 | ) | |||||||||||||
Phillipine Peso | JPMorgan Chase | 7/11/14 | 9,520,000 | 218,128 | 218,103 | 25 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 8/7/14 | 123,000 | 97,053 | 98,670 | (1,617 | ) | |||||||||||||
Swiss Franc | Bank of America | 8/12/14 | 140,037 | 159,625 | 158,010 | 1,615 | ||||||||||||||
Swiss Franc | Bank of America | 8/12/14 | 62,500 | 70,020 | 70,521 | (501 | ) | |||||||||||||
Swiss Franc | Barclays Bank | 8/12/14 | 72,670 | 83,004 | 81,997 | 1,007 | ||||||||||||||
Swiss Franc | Deutsche Bank | 8/12/14 | 10,700 | 11,928 | 12,073 | (145 | ) | |||||||||||||
Swiss Franc | HSBC Bank | 8/12/14 | 51,869 | 58,684 | 58,526 | 158 | ||||||||||||||
Swiss Franc | State Street Bank | 8/12/14 | 195,320 | 221,534 | 220,388 | 1,146 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 142,780,594 | $ | 143,968,254 | $ | (1,187,660 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Long Contracts: | ||||||||||||||||||||
Brazilian Real | Deutsche Bank | 10/31/14 | 435,000 | $ | 185,264 | $ | 190,214 | $ | 4,950 | |||||||||||
British Pound | Bank of America | 8/19/14 | 39,996 | 67,244 | 68,412 | 1,168 |
Continued
18
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
British Pound | Bank of America | 8/19/14 | 14,074 | $ | 23,881 | $ | 24,072 | $ | 191 | |||||||||||
British Pound | Bank of America | 8/19/14 | 271,337 | 450,639 | 464,115 | 13,476 | ||||||||||||||
British Pound | Bank of America | 8/19/14 | 503,402 | 844,452 | 861,055 | 16,603 | ||||||||||||||
British Pound | Bank of America | 8/19/14 | 32,871 | 56,232 | 56,225 | (7 | ) | |||||||||||||
British Pound | Barclays Bank | 8/19/14 | 285,806 | 478,712 | 488,864 | 10,152 | ||||||||||||||
British Pound | Barclays Bank | 8/19/14 | 4,846 | 8,242 | 8,289 | 47 | ||||||||||||||
British Pound | Credit Suisse First Boston | 8/19/14 | 8,837 | 15,031 | 15,116 | 85 | ||||||||||||||
British Pound | Credit Suisse First Boston | 8/19/14 | 25,973 | 44,431 | 44,426 | (5 | ) | |||||||||||||
British Pound | Credit Suisse First Boston | 8/19/14 | 4,204 | 7,189 | 7,191 | 2 | ||||||||||||||
British Pound | Deutsche Bank | 8/19/14 | 49,020 | 83,214 | 83,847 | 633 | ||||||||||||||
British Pound | HSBC Bank | 8/19/14 | 235,976 | �� | 394,755 | 403,631 | 8,876 | |||||||||||||
British Pound | State Street Bank | 8/19/14 | 16,061 | 27,335 | 27,472 | 137 | ||||||||||||||
British Pound | State Street Bank | 8/19/14 | 5,954 | 10,184 | 10,184 | — | ||||||||||||||
British Pound | State Street Bank | 8/19/14 | 44,943 | 74,686 | 76,874 | 2,188 | ||||||||||||||
British Pound | State Street Bank | 8/19/14 | 21,947 | 37,238 | 37,540 | 302 | ||||||||||||||
British Pound | State Street Bank | 8/19/14 | 726,367 | 1,213,067 | 1,242,431 | 29,364 | ||||||||||||||
Chilean Peso | Deutsche Bank | 7/10/14 | 162,750,000 | 307,511 | 294,233 | (13,278 | ) | |||||||||||||
Chilean Peso | Morgan Stanley | 7/18/14 | 305,012,200 | 578,496 | 550,947 | (27,549 | ) | |||||||||||||
Chilean Peso | Morgan Stanley | 7/31/14 | 8,010,000 | 15,055 | 14,448 | (607 | ) | |||||||||||||
Chilean Peso | Deutsche Bank | 8/12/14 | 4,400,000 | 7,795 | 7,927 | 132 | ||||||||||||||
Chilean Peso | Deutsche Bank | 8/18/14 | 4,400,000 | 7,814 | 7,922 | 108 | ||||||||||||||
Chilean Peso | JPMorgan Chase | 8/20/14 | 4,300,000 | 7,711 | 7,740 | 29 | ||||||||||||||
Chilean Peso | Morgan Stanley | 8/20/14 | 4,010,000 | 7,535 | 7,218 | (317 | ) | |||||||||||||
Chilean Peso | Deutsche Bank | 8/27/14 | 2,610,000 | 4,631 | 4,695 | 64 | ||||||||||||||
Chilean Peso | JPMorgan Chase | 8/28/14 | 3,900,000 | 6,914 | 7,015 | 101 | ||||||||||||||
Chilean Peso | Deutsche Bank | 9/5/14 | 700,000 | 1,233 | 1,258 | 25 | ||||||||||||||
Chilean Peso | Citibank | 10/20/14 | 2,148,010,500 | 4,128,407 | 3,843,893 | (284,514 | ) | |||||||||||||
Chilean Peso | Barclays Bank | 10/27/14 | 153,759,000 | 294,163 | 274,984 | (19,179 | ) | |||||||||||||
Chilean Peso | Deutsche Bank | 10/29/14 | 307,366,000 | 585,236 | 549,599 | (35,637 | ) | |||||||||||||
Chilean Peso | Deutsche Bank | 11/28/14 | 3,250,000 | 5,711 | 5,796 | 85 | ||||||||||||||
Chilean Peso | Deutsche Bank | 12/1/14 | 3,250,000 | 5,701 | 5,794 | 93 | ||||||||||||||
Chilean Peso | Morgan Stanley | 1/12/15 | 8,700,000 | 15,774 | 15,453 | (321 | ) | |||||||||||||
Chilean Peso | Barclays Bank | 2/10/15 | 4,400,000 | 7,569 | 7,795 | 226 | ||||||||||||||
Chilean Peso | Morgan Stanley | 2/12/15 | 10,560,000 | 18,346 | 18,704 | 358 | ||||||||||||||
Chilean Peso | Deutsche Bank | 2/17/15 | 3,930,000 | 6,840 | 6,958 | 118 | ||||||||||||||
Chilean Peso | Morgan Stanley | 2/23/15 | 5,200,000 | 9,104 | 9,201 | 97 | ||||||||||||||
Chilean Peso | JPMorgan Chase | 2/24/15 | 7,300,000 | 12,789 | 12,916 | 127 | ||||||||||||||
Chilean Peso | Morgan Stanley | 2/25/15 | 5,600,000 | 9,767 | 9,907 | 140 | ||||||||||||||
Chilean Peso | Deutsche Bank | 2/26/15 | 3,890,000 | 6,772 | 6,881 | 109 | ||||||||||||||
Chilean Peso | Deutsche Bank | 3/3/15 | 700,000 | 1,208 | 1,238 | 30 | ||||||||||||||
Chilean Peso | JPMorgan Chase | 3/12/15 | 990,530,400 | 1,708,547 | 1,749,935 | 41,388 | ||||||||||||||
Chilean Peso | JPMorgan Chase | 3/20/15 | 4,300,000 | 7,294 | 7,591 | 297 | ||||||||||||||
Chilean Peso | Morgan Stanley | 5/11/15 | 4,500,000 | 7,680 | 7,906 | 226 | ||||||||||||||
Chilean Peso | Barclays Bank | 6/4/15 | 12,000,000 | 21,116 | 21,037 | (79 | ) | |||||||||||||
Chilean Peso | Morgan Stanley | 6/5/15 | 2,500,000 | 4,380 | 4,382 | 2 | ||||||||||||||
European Euro | Bank of America | 7/17/14 | 23,127 | 31,671 | 31,668 | (3 | ) | |||||||||||||
European Euro | Bank of America | 7/17/14 | 669,831 | 914,443 | 917,194 | 2,751 | ||||||||||||||
European Euro | Bank of America | 7/17/14 | 72,332 | 99,164 | 99,044 | (120 | ) | |||||||||||||
European Euro | Bank of America | 7/17/14 | 46,864 | 64,726 | 64,171 | (555 | ) | |||||||||||||
European Euro | Bank of America | 7/17/14 | 385,378 | 532,821 | 527,694 | (5,127 | ) | |||||||||||||
European Euro | Bank of America | 7/17/14 | 100,385 | 137,511 | 137,456 | (55 | ) | |||||||||||||
European Euro | Barclays Bank | 7/17/14 | 66,923 | 91,668 | 91,637 | (31 | ) | |||||||||||||
European Euro | Barclays Bank | 7/17/14 | 716,897 | 986,049 | 981,641 | (4,408 | ) | |||||||||||||
European Euro | Deutsche Bank | 7/17/14 | 43,524 | 59,241 | 59,597 | 356 | ||||||||||||||
European Euro | HSBC Bank | 7/17/14 | 434,612 | 594,052 | 595,110 | 1,058 | ||||||||||||||
European Euro | State Street Bank | 7/17/14 | 293,066 | 402,598 | 401,293 | (1,305 | ) |
Continued
19
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Indian Rupee | Deutsche Bank | 7/31/14 | 3,173,333 | $ | 51,407 | $ | 52,356 | $ | 949 | |||||||||||
Indian Rupee | JPMorgan Chase | 7/31/14 | 5,537,000 | 93,064 | 91,353 | (1,711 | ) | |||||||||||||
Indian Rupee | Citibank | 8/7/14 | 12,666,000 | 207,546 | 208,644 | 1,098 | ||||||||||||||
Indian Rupee | HSBC Bank | 8/13/14 | 8,549,600 | 140,171 | 140,646 | 475 | ||||||||||||||
Indian Rupee | JPMorgan Chase | 8/13/14 | 52,506,800 | 870,136 | 863,767 | (6,369 | ) | |||||||||||||
Indian Rupee | Deutsche Bank | 8/19/14 | 8,080,848 | 133,890 | 132,755 | (1,135 | ) | |||||||||||||
Indian Rupee | HSBC Bank | 8/19/14 | 8,645,260 | 143,241 | 142,028 | (1,213 | ) | |||||||||||||
Indian Rupee | JPMorgan Chase | 8/19/14 | 14,490,000 | 240,241 | 238,047 | (2,194 | ) | |||||||||||||
Indian Rupee | Deutsche Bank | 8/27/14 | 4,760,000 | 80,289 | 78,058 | (2,231 | ) | |||||||||||||
Indian Rupee | Deutsche Bank | 8/28/14 | 3,173,333 | 53,052 | 52,027 | (1,025 | ) | |||||||||||||
Indian Rupee | JPMorgan Chase | 8/28/14 | 5,537,000 | 92,612 | 90,780 | (1,832 | ) | |||||||||||||
Indian Rupee | Citibank | 9/3/14 | 12,790,000 | 213,831 | 209,360 | (4,471 | ) | |||||||||||||
Indian Rupee | JPMorgan Chase | 9/23/14 | 5,537,000 | 90,939 | 90,138 | (801 | ) | |||||||||||||
Indian Rupee | Deutsche Bank | 9/26/14 | 4,760,000 | 78,097 | 77,425 | (672 | ) | |||||||||||||
Indian Rupee | Deutsche Bank | 9/30/14 | 12,693,333 | 208,064 | 206,262 | (1,802 | ) | |||||||||||||
Korean Won | Bank of America | 8/12/14 | 107,316,160 | 104,633 | 106,040 | 1,407 | ||||||||||||||
Korean Won | Bank of America | 8/12/14 | 72,600,000 | 70,213 | 71,737 | 1,524 | ||||||||||||||
Korean Won | Bank of America | 8/12/14 | 15,938,991 | 14,636 | 15,749 | 1,113 | ||||||||||||||
Korean Won | Credit Suisse First Boston | 8/12/14 | 68,843,156 | 66,074 | 68,024 | 1,950 | ||||||||||||||
Korean Won | Credit Suisse First Boston | 8/12/14 | 25,394,035 | 24,804 | 25,092 | 288 | ||||||||||||||
Korean Won | HSBC Bank | 8/12/14 | 58,777,014 | 57,193 | 58,078 | 885 | ||||||||||||||
Korean Won | HSBC Bank | 9/26/14 | 317,000,000 | 290,027 | 313,108 | 23,081 | ||||||||||||||
Korean Won | JPMorgan Chase | 5/15/15 | 258,825,900 | 249,015 | 254,808 | 5,793 | ||||||||||||||
Korean Won | JPMorgan Chase | 5/18/15 | 44,818,000 | 43,045 | 44,121 | 1,076 | ||||||||||||||
Korean Won | JPMorgan Chase | 5/20/15 | 213,852,600 | 205,095 | 210,522 | 5,427 | ||||||||||||||
Korean Won | JPMorgan Chase | 5/21/15 | 270,144,000 | 259,879 | 265,934 | 6,055 | ||||||||||||||
Korean Won | Deutsche Bank | 6/29/15 | 316,000,000 | 305,196 | 310,962 | 5,766 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 7/2/14 | 1,976,500 | 606,482 | 615,828 | 9,346 | ||||||||||||||
Malaysian Ringgit | Deutsche Bank | 7/3/14 | 177,180 | 54,999 | 55,192 | 193 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 8/6/14 | 110,000 | 32,573 | 34,174 | 1,601 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 8/7/14 | 110,000 | 32,802 | 34,172 | 1,370 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 8/11/14 | 170,000 | 50,790 | 52,794 | 2,004 | ||||||||||||||
Malaysian Ringgit | Deutsche Bank | 9/18/14 | 964,663 | 290,947 | 298,698 | 7,751 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 10/24/14 | 812,462 | 250,915 | 250,879 | (36 | ) | |||||||||||||
Malaysian Ringgit | Barclays Bank | 10/27/14 | 805,012 | 251,307 | 248,521 | (2,786 | ) | |||||||||||||
Malaysian Ringgit | JPMorgan Chase | 10/31/14 | 359,000 | 112,258 | 110,795 | (1,463 | ) | |||||||||||||
Malaysian Ringgit | Deutsche Bank | 11/19/14 | 62,320 | 19,124 | 19,205 | 81 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 11/20/14 | 39,000 | 11,978 | 12,018 | 40 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 1/8/15 | 86,100 | 25,695 | 26,432 | 737 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 1/9/15 | 46,000 | 13,738 | 14,121 | 383 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 1/12/15 | 14,000 | 4,185 | 4,297 | 112 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 2/4/15 | 2,661,000 | 786,371 | 815,247 | 28,876 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 2/18/15 | 1,235,558 | 365,636 | 378,138 | 12,502 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 2/23/15 | 720,000 | 214,286 | 220,271 | 5,985 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 3/11/15 | 2,909,811 | 876,740 | 889,130 | 12,390 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 3/12/15 | 735,120 | 219,819 | 224,608 | 4,789 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 3/31/15 | 500,000 | 148,907 | 152,551 | 3,644 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 4/2/15 | 2,190,750 | 664,068 | 668,302 | 4,234 | ||||||||||||||
Malaysian Ringgit | HSBC Bank | 4/10/15 | 340,000 | 102,087 | 103,657 | 1,570 | ||||||||||||||
Malaysian Ringgit | Deutsche Bank | 5/19/15 | 2,093,018 | 635,017 | 636,223 | 1,206 | ||||||||||||||
Malaysian Ringgit | JPMorgan Chase | 7/2/15 | 988,250 | 301,719 | 299,560 | (2,159 | ) | |||||||||||||
Mexican Peso | Citibank | 7/10/14 | 3,689,235 | 277,957 | 284,177 | 6,220 | ||||||||||||||
Mexican Peso | HSBC Bank | 9/3/14 | 11,644,900 | 849,807 | 893,657 | 43,850 | ||||||||||||||
Mexican Peso | HSBC Bank | 9/10/14 | 10,223,640 | 766,390 | 784,215 | 17,825 | ||||||||||||||
Mexican Peso | Deutsche Bank | 10/14/14 | 19,592,000 | 1,446,972 | 1,499,421 | 52,449 | ||||||||||||||
Mexican Peso | Citibank | 10/22/14 | 6,418,829 | 487,707 | 490,990 | 3,283 |
Continued
20
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Mexican Peso | HSBC Bank | 11/7/14 | 27,672,950 | $ | 2,050,000 | $ | 2,114,547 | $ | 64,547 | |||||||||||
Mexican Peso | Citibank | 12/16/14 | 3,316,000 | 249,868 | 252,734 | 2,866 | ||||||||||||||
Mexican Peso | Citibank | 12/18/14 | 1,589,750 | 119,413 | 121,149 | 1,736 | ||||||||||||||
Mexican Peso | Citibank | 1/12/15 | 3,813,785 | 284,187 | 290,160 | 5,973 | ||||||||||||||
Mexican Peso | Citibank | 3/13/15 | 1,070,200 | 80,660 | 81,104 | 444 | ||||||||||||||
Mexican Peso | JPMorgan Chase | 3/13/15 | 28,297,935 | 2,079,507 | 2,144,534 | 65,027 | ||||||||||||||
Mexican Peso | Citibank | 3/17/15 | 903,100 | 66,154 | 68,423 | 2,269 | ||||||||||||||
Mexican Peso | Citibank | 3/24/15 | 2,637,800 | 192,963 | 199,759 | 6,796 | ||||||||||||||
Mexican Peso | HSBC Bank | 5/19/15 | 51,197,819 | 3,831,999 | 3,862,951 | 30,952 | ||||||||||||||
Mexican Peso | Citibank | 6/8/15 | 2,731,280 | 205,085 | 205,808 | 723 | ||||||||||||||
Mexican Peso | Citibank | 6/9/15 | 2,728,000 | 205,693 | 205,547 | (146 | ) | |||||||||||||
Mexican Peso | Citibank | 6/12/15 | 5,548,030 | 414,899 | 417,946 | 3,047 | ||||||||||||||
Mexican Peso | Citibank | 6/15/15 | 2,384,400 | 178,513 | 179,587 | 1,074 | ||||||||||||||
Mexican Peso | Citibank | 6/22/15 | 2,146,000 | 160,293 | 161,557 | 1,264 | ||||||||||||||
Phillipine Peso | JPMorgan Chase | 7/11/14 | 9,520,000 | 218,178 | 218,103 | (75 | ) | |||||||||||||
Phillipine Peso | Deutsche Bank | 7/18/14 | 28,970,800 | 668,871 | 663,631 | (5,240 | ) | |||||||||||||
Phillipine Peso | JPMorgan Chase | 9/25/14 | 3,020,000 | 68,802 | 69,092 | 290 | ||||||||||||||
Phillipine Peso | JPMorgan Chase | 12/29/14 | 440,000 | 10,010 | 10,050 | 40 | ||||||||||||||
Phillipine Peso | JPMorgan Chase | 6/25/15 | 6,140,000 | 139,362 | 140,055 | 693 | ||||||||||||||
Phillipine Peso | Deutsche Bank | 6/26/15 | 16,461,720 | 373,062 | 375,495 | 2,433 | ||||||||||||||
Phillipine Peso | JPMorgan Chase | 6/29/15 | 4,900,000 | 111,341 | 111,770 | 429 | ||||||||||||||
Phillipine Peso | JPMorgan Chase | 7/1/15 | 9,520,000 | 217,630 | 217,153 | (477 | ) | |||||||||||||
Singapore Dollar | JPMorgan Chase | 7/24/14 | 348,966 | 273,155 | 279,936 | 6,781 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 8/7/14 | 123,000 | 96,971 | 98,670 | 1,699 | ||||||||||||||
Singapore Dollar | HSBC Bank | 8/7/14 | 123,000 | 97,003 | 98,670 | 1,667 | ||||||||||||||
Singapore Dollar | Barclays Bank | 8/12/14 | 34,819 | 27,412 | 27,932 | 520 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 8/12/14 | 246,000 | 194,374 | 197,340 | 2,966 | ||||||||||||||
Singapore Dollar | Barclays Bank | 8/18/14 | 103,000 | 81,102 | 82,626 | 1,524 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 8/19/14 | 77,000 | 60,735 | 61,769 | 1,034 | ||||||||||||||
Singapore Dollar | HSBC Bank | 8/19/14 | 77,000 | 60,745 | 61,769 | 1,024 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 8/27/14 | 172,000 | 134,554 | 137,978 | 3,424 | ||||||||||||||
Singapore Dollar | HSBC Bank | 9/15/14 | 215,700 | 170,030 | 173,037 | 3,007 | ||||||||||||||
Singapore Dollar | HSBC Bank | 9/19/14 | 252,000 | 199,052 | 202,158 | 3,106 | ||||||||||||||
Singapore Dollar | HSBC Bank | 11/7/14 | 3,474,156 | 2,800,000 | 2,787,198 | (12,802 | ) | |||||||||||||
Singapore Dollar | Deutsche Bank | 11/28/14 | 66,000 | 52,557 | 52,951 | 394 | ||||||||||||||
Singapore Dollar | JPMorgan Chase | 12/19/14 | 156,000 | 124,581 | 125,161 | 580 | ||||||||||||||
Singapore Dollar | HSBC Bank | 12/22/14 | 190,000 | 151,636 | 152,440 | 804 | ||||||||||||||
Singapore Dollar | HSBC Bank | 2/18/15 | 77,000 | 60,918 | 61,789 | 871 | ||||||||||||||
Singapore Dollar | HSBC Bank | 3/13/15 | 499,540 | 394,270 | 400,886 | 6,616 | ||||||||||||||
Singapore Dollar | Citibank | 5/18/15 | 260,154 | 208,332 | 208,819 | 487 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 5/19/15 | 77,000 | 61,632 | 61,806 | 174 | ||||||||||||||
Singapore Dollar | HSBC Bank | 5/19/15 | 167,000 | 133,664 | 134,047 | 383 | ||||||||||||||
Singapore Dollar | JPMorgan Chase | 5/19/15 | 60,863 | 48,706 | 48,853 | 147 | ||||||||||||||
Singapore Dollar | JPMorgan Chase | 5/20/15 | 229,983 | 183,824 | 184,602 | 778 | ||||||||||||||
Singapore Dollar | Deutsche Bank | 5/29/15 | 66,000 | 52,579 | 52,978 | 399 | ||||||||||||||
Swedish Krona | Deutsche Bank | 8/19/14 | 20,440,000 | 3,105,911 | 3,058,366 | (47,545 | ) | |||||||||||||
Swiss Franc | Bank of America | 8/12/14 | 10,789 | 12,107 | 12,174 | 67 | ||||||||||||||
Swiss Franc | Credit Suisse First Boston | 8/12/14 | 6,715 | 7,520 | 7,577 | 57 | ||||||||||||||
Swiss Franc | Deutsche Bank | 8/12/14 | 12,300 | 13,752 | 13,879 | 127 | ||||||||||||||
Swiss Franc | HSBC Bank | 8/12/14 | 2,410 | 2,718 | 2,719 | 1 | ||||||||||||||
Swiss Franc | State Street Bank | 8/12/14 | 11,341 | 12,704 | 12,797 | 93 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 50,773,539 | $ | 50,927,012 | $ | 153,473 | |||||||||||||||
|
|
|
|
|
|
Continued
21
AZL Franklin Templeton Founding Strategy Plus Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
At June 30, 2014, the Fund’s open forward cross currency contracts were as follows:
Purchase/Sale | Counterparty | Amount Purchased | Amount Sold | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Hungarian Forint/European Euro | JPMorgan Chase | 43,445,000 HUF | 143,312 EUR | $ | 193,385 | $ | 188,724 | $ | (4,661 | ) | ||||||||||
Hungarian Forint/European Euro | JPMorgan Chase | 34,778,000 HUF | 113,565 EUR | 153,593 | 151,437 | (2,156 | ) | |||||||||||||
Hungarian Forint/European Euro | Deutsche Bank | 88,267,600 HUF | 276,614 EUR | 386,003 | 394,105 | 8,102 | ||||||||||||||
Hungarian Forint/European Euro | JPMorgan Chase | 26,454,170 HUF | 82,915 EUR | 115,687 | 118,097 | 2,410 | ||||||||||||||
Hungarian Forint/European Euro | JPMorgan Chase | 44,259,000 HUF | 139,192 EUR | 194,587 | 197,967 | 3,380 | ||||||||||||||
Hungarian Forint/European Euro | JPMorgan Chase | 44,021,000 HUF | 138,444 EUR | 193,541 | 196,903 | 3,362 | ||||||||||||||
Polish Zloty/European Euro | Deutsche Bank | 700,000 PLN | 163,540 EUR | 225,035 | 229,895 | 4,860 | ||||||||||||||
Polish Zloty/European Euro | Deutsche Bank | 233,000 PLN | 54,509 EUR | 74,401 | 75,480 | 1,079 | ||||||||||||||
Polish Zloty/European Euro | Barclays Bank | 233,000 PLN | 54,477 EUR | 74,396 | 75,515 | 1,119 | ||||||||||||||
Polish Zloty/European Euro | Deutsche Bank | 233,000 PLN | 54,721 EUR | 74,430 | 75,192 | 762 | ||||||||||||||
Polish Zloty/European Euro | Morgan Stanley | 91,000 PLN | 21,321 EUR | 29,245 | 29,455 | 210 | ||||||||||||||
Swedish Krona/European Euro | Deutsche Bank | 5,900,000 SEK | 641,179 EUR | 874,934 | 879,225 | 4,291 | ||||||||||||||
Swedish Krona/European Euro | Deutsche Bank | 4,380,000 SEK | 494,552 EUR | 680,545 | 658,077 | (22,468 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 3,269,782 | $ | 3,270,072 | $ | 290 | |||||||||||||||
|
|
|
|
|
|
Over-the-Counter Interest Rate Swap Agreements
At June 30, 2014, the Fund’s open over-the-counter interest rate swap agreements were as follows:
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Expiration Date | Counterparty | Notional Amount (Local) | Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
Receive | 3-Month U.S. Dollar LIBOR BBA | 3.018% | 8/22/23 | JPMorgan Chase | 3,910,000 USD | $ | (207,657 | ) | $ | (207,657 | ) | |||||||||||||
Receive | 3-Month U.S. Dollar LIBOR BBA | 3.848% | 8/22/43 | JPMorgan Chase | 2,230,000 USD | (264,525 | ) | (264,525 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | (472,182 | ) | $ | (472,182 | ) | |||||||||||||||||||
|
|
|
|
See accompanying notes to the financial statements.
22
AZL Franklin Templeton Founding Strategy Plus Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 714,200,220 | |||
|
| ||||
Investment securities, at value* | $ | 824,445,315 | |||
Cash | 184,813 | ||||
Segregated cash for collateral | 570,000 | ||||
Interest and dividends receivable | 4,364,511 | ||||
Foreign currency, at value (cost $1,471,792) | 1,489,434 | ||||
Unrealized appreciation on forward currency contracts | 1,181,890 | ||||
Receivable for capital shares issued | 428,208 | ||||
Receivable for investments sold | 2,876,848 | ||||
Reclaims receivable | 208,161 | ||||
Prepaid expenses | 3,148 | ||||
|
| ||||
Total Assets | 835,752,328 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 2,215,787 | ||||
Payable for investments purchased | 3,268,646 | ||||
Payable for capital shares redeemed | 672,847 | ||||
Unrealized depreciation on swap agreements | 472,182 | ||||
Payable for collateral received on loaned securities | 19,090,906 | ||||
Manager fees payable | 462,474 | ||||
Administration fees payable | 22,889 | ||||
Distribution fees payable | 165,169 | ||||
Custodian fees payable | 73,496 | ||||
Administrative and compliance services fees payable | 1,841 | ||||
Trustee fees payable | 4,243 | ||||
Other accrued liabilities | 20,622 | ||||
|
| ||||
Total Liabilities | 26,471,102 | ||||
|
| ||||
Net Assets | $ | 809,281,226 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 651,263,410 | |||
Accumulated net investment income/(loss) | 24,097,166 | ||||
Accumulated net realized gains/(losses) from investment transactions | 25,161,219 | ||||
Net unrealized appreciation/(depreciation) on investments | 108,759,431 | ||||
|
| ||||
Net Assets | $ | 809,281,226 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 55,141,470 | ||||
Net Asset Value (offering and redemption price per share) | $ | 14.68 | |||
|
|
* | Includes securities on loan of 18,548,434. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 10,898,453 | |||
Interest | 5,501,510 | ||||
Income from securities lending | 153,758 | ||||
Foreign withholding tax | (468,772 | ) | |||
|
| ||||
Total Investment Income | 16,084,949 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,623,884 | ||||
Administration fees | 133,805 | ||||
Distribution fees | 937,099 | ||||
Custodian fees | 135,512 | ||||
Administrative and compliance services fees | 5,699 | ||||
Trustee fees | 17,703 | ||||
Professional fees | 16,925 | ||||
Shareholder reports | 15,428 | ||||
Other expenses | 8,531 | ||||
|
| ||||
Total expenses before reduction | 3,894,586 | ||||
Less expenses paid indirectly | (659 | ) | |||
|
| ||||
Net expenses | 3,893,927 | ||||
|
| ||||
Net Investment Income/(Loss) | 12,191,022 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 13,507,428 | ||||
Net realized gains/(losses) on options contracts | (161,366 | ) | |||
Net realized gains/(losses) on forward currency contracts | (615,107 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 19,147,032 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 31,877,987 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 44,069,009 | |||
|
|
See accompanying notes to the financial statements.
23
Statements of Change In Net Assets
AZL Franklin Templeton Founding Strategy Plus Fund | ||||||||||
For the Six Months Ended 2014 | For the Year Ended December 31, | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 12,191,022 | $ | 11,578,127 | ||||||
Net realized gains/(losses) on investment transactions | 12,730,955 | 12,463,128 | ||||||||
Change in unrealized appreciation/depreciation on investments | 19,147,032 | 66,386,266 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 44,069,009 | 90,427,521 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (9,755,765 | ) | |||||||
From net realized gains | — | (4,135,980 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (13,891,745 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 87,750,292 | 286,382,484 | ||||||||
Proceeds from dividends reinvested | — | 13,891,744 | ||||||||
Value of shares redeemed | (33,751,605 | ) | (75,479,718 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 53,998,687 | 224,794,510 | ||||||||
|
|
|
| |||||||
Change in net assets | 98,067,696 | 301,330,286 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 711,213,530 | 409,883,244 | ||||||||
|
|
|
| |||||||
End of period | $ | 809,281,226 | $ | 711,213,530 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 24,097,166 | $ | 11,906,144 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 6,242,270 | 21,891,005 | ||||||||
Dividends reinvested | — | 1,063,686 | ||||||||
Shares redeemed | (2,419,385 | ) | (5,767,982 | ) | ||||||
|
|
|
| |||||||
Change in shares | 3,822,885 | 17,186,709 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
24
AZL Franklin Templeton Founding Strategy Plus Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, 2011 | Year Ended December 31, 2010 | October 23, 2009 to December 31, | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 13.86 | $ | 12.01 | $ | 10.75 | $ | 10.99 | $ | 10.20 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.21 | 0.15 | 0.27 | 0.23 | 0.20 | 0.04 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.61 | 2.01 | 1.31 | (0.43 | ) | 0.82 | 0.21 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.82 | 2.16 | 1.58 | (0.20 | ) | 1.02 | 0.25 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.22 | ) | (0.27 | ) | (0.02 | ) | (0.18 | ) | (0.05 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.09 | ) | (0.05 | ) | (0.02 | ) | (0.05 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.31 | ) | (0.32 | ) | (0.04 | ) | (0.23 | ) | (0.05 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 14.68 | $ | 13.86 | $ | 12.01 | $ | 10.75 | $ | 10.99 | $ | 10.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 5.92 | %(c) | 18.12 | % | 14.78 | % | (1.83 | )% | 10.02 | % | 2.45 | %(c) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 809,281 | $ | 711,214 | $ | 409,883 | $ | 302,592 | $ | 156,980 | $ | 54,952 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 3.25 | % | 2.10 | % | 2.80 | % | 2.90 | % | 3.13 | % | 2.11 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.04 | % | 1.05 | % | 1.09 | % | 1.16 | % | 1.25 | % | 1.20 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.04 | % | 1.05 | % | 1.09 | % | 1.16 | % | 1.19 | % | 1.20 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d)(f) | 1.04 | % | 1.05 | % | 1.09 | % | 1.16 | % | 1.19 | % | 1.20 | % | ||||||||||||||||||
Portfolio Turnover Rate | 11 | %(c) | 24 | % | 19 | % | 17 | % | 17 | % | 2 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract changes. If these charges were included, the returns would have been lower. |
(c) | Not Annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
25
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Franklin Templeton Founding Strategy Plus Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Floating Rate Loans
The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are floating, not fixed and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.
Structured Notes
The Fund may invest in structured notes, the values of which are based on the price movements of a reference security or index. Structured notes are derivative debt securities, the interest rate or principal of which is determined by an unrelated indicator. The terms of the structured notes may provide that in certain circumstances no principal is due at maturity and therefore, may result in a loss of invested capital. Structured notes may be positively or negatively indexed, so that appreciation of the reference may produce an increase or a decrease in the interest rate or the value of the structured note at maturity may be calculated as a specified multiple of the change in the value of the reference; therefore, the value of such security may be very volatile. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities.
26
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, and reclassification of certain distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $24.4 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $15,023 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
27
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $196.8 million as of June 30, 2014. The monthly average amount for these contracts was $170.2 million for the period ended June 30, 2014.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2014, the Fund used written call options to hedge against security prices (equity risk). A stock index fluctuates with changes in the fair values of the stocks included in the index, and therefore options on stock indexes and options on stocks involve elements of equity price risk.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.
The Fund had the following transactions in purchased call and put options during the period ended June 30, 2014:
Number of Contracts | Cost | |||||||||
Options outstanding at December 31, 2013 | 152 | $ | 112,029 | |||||||
Options purchased | 98 | 49,336 | ||||||||
Options exercised | — | — | ||||||||
Options expired | — | — | ||||||||
Options closed | (250 | ) | (161,366 | ) | ||||||
|
|
|
| |||||||
Options outstanding at June 30, 2014 | — | $ | — | |||||||
|
|
|
|
Swap Agreements
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. The Fund may enter into swap agreements to manage its exposure to market, interest rate and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.
Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. Payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for cleared swap agreements is generally lower than for uncleared over-the-counter swap agreements because generally a clearing organization becomes substituted for each counterparty to a cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Schedule of Portfolio Investments.
28
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of June 30, 2014, the Fund entered into interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The gross notional amount of interest rate swaps outstanding was $6.1 million as of June 30, 2014. The monthly average gross notional amount of interest rate swaps was $6.1 million for the period ended June 30, 2014.
Summary of Derivative Instruments
The following is a summary of the fair values of Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Interest Rate Risk Exposure | ||||||||||||
Interest Rate Swap Agreements | Unrealized appreciation on swap agreements | $ | — | Unrealized depreciation on swap agreements | $ | 472,182 | ||||||
Foreign Exchange Rate Risk Exposure | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 1,181,890 | Unrealized depreciation on forward currency contracts | 2,215,787 |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the June 30, 2014:
Realized Gain/(Loss) on Derivatives Recognized as a Result from Operations | Net Change in Unrealized Appreciation/ (Depreciation) on Derivatives Recognized as a Result from Operations | |||||||||||||||||||
Net Realized Gains/(Losses) on Swap Agreements | Net Realized Gains/(Losses) on Option Contracts | Net Realized Gains/(Losses) on Forward Currency Contracts | Change in Net Unrealized Appreciation/Depreciation on Investments | |||||||||||||||||
Equity Risk Exposure | $ | — | $ | (161,366 | ) | $ | — | $ | 13,989 | |||||||||||
Interest Rate Risk Exposure | — | — | — | (371,524 | ) | |||||||||||||||
Foreign Exchange Rate Risk Exposure | — | — | 615,107 | (952,672 | ) |
Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2014. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014.
As of June 30, 2014, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 1,181,890 | $ | 2,215,787 | ||||||
Swap agreements | — | 472,182 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 1,181,890 | 2,687,969 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (545,606 | ) | (1,283,694 | ) | ||||||
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|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 636,284 | $ | 1,404,275 | ||||||
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|
|
|
29
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under MNA and net of the related collateral received by the Fund as of June 30, 2014:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative Assets | ||||||||||||||||||||
Barclays Bank | $ | 219,019 | $ | (219,019 | ) | $ | — | $ | — | $ | — | ||||||||||||||
Citibank | 124,108 | (124,108 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase | 293,157 | (293,157 | ) | — | — | — | |||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 636,284 | $ | (636,284 | ) | $ | — | $ | — | $ | — | ||||||||||||||
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|
|
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2014:
Counterparty | Derivative Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Barclays Bank | $ | 353,684 | $ | (219,019 | ) | $ | — | $ | — | $ | 134,665 | ||||||||||||||
Citibank | 428,253 | (124,108 | ) | — | (300,000 | ) | 4,145 | ||||||||||||||||||
JPMorgan Chase | 622,338 | (293,157 | ) | — | (270,000 | ) | 59,181 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 1,404,275 | $ | (636,284 | ) | $ | — | $ | (570,000 | ) | $ | 197,991 | |||||||||||||
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|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained three independent money management organizations (the “Subadviser”), Franklin Advisers, Inc. (“Advisers”), Franklin Mutual Advisers, LLC (“Franklin Mutual”) and Templeton Global Advisors Limited (“Global Advisors”) to make investment decisions on behalf of the Fund. Pursuant to subadvisory agreements with the Manager and Advisers, the Manager and Franklin Mutual, and the Manager and Global Advisors, and the Trust, Advisers, Franklin Mutual and Global Advisors provide investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | 0.70 | % | 1.20 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
30
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $4,282 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy. Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy. Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yield, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the far value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
31
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Aerospace & Defense | $ | 4,988,401 | $ | 650,379 | $ | — | $ | 5,638,780 | ||||||||||||
Air Freight & Logistics | 2,362,033 | 1,845,342 | — | 4,207,375 | ||||||||||||||||
Airlines | — | 4,868,909 | — | 4,868,909 | ||||||||||||||||
Auto Components | — | 3,226,377 | — | 3,226,377 | ||||||||||||||||
Automobiles | 3,743,592 | 4,954,583 | — | 8,698,175 | ||||||||||||||||
Banks | 25,631,174 | 17,378,854 | — | 43,010,028 | ||||||||||||||||
Capital Markets | 2,803,561 | 4,532,708 | — | 7,336,269 | ||||||||||||||||
Chemicals | 7,893,437 | 2,818,798 | — | 10,712,235 | ||||||||||||||||
Commercial Services & Supplies | 1,809,117 | 1,592,666 | — | 3,401,783 | ||||||||||||||||
Communications Equipment | 6,541,774 | 1,764,925 | — | 8,306,699 | ||||||||||||||||
Construction & Engineering | — | 1,235,472 | — | 1,235,472 | ||||||||||||||||
Construction Materials | — | 2,844,469 | — | 2,844,469 | ||||||||||||||||
Diversified Financial Services | 5,698,629 | 4,229,811 | — | 9,928,440 | ||||||||||||||||
Diversified Telecommunication Services | 4,078,431 | 8,780,910 | — | 12,859,341 | ||||||||||||||||
Electric Utilities | 12,677,266 | 135,491 | — | 12,812,757 | ||||||||||||||||
Electrical Equipment | — | 1,034,501 | — | 1,034,501 | ||||||||||||||||
Energy Equipment & Services | 14,384,229 | 1,757,839 | — | 16,142,068 | ||||||||||||||||
Food & Staples Retailing | 10,478,950 | 5,108,936 | — | 15,587,886 | ||||||||||||||||
Food Products | — | 387,502 | — | 387,502 | ||||||||||||||||
Health Care Equipment & Supplies | 10,008,709 | 2,054,315 | — | 12,063,024 | ||||||||||||||||
Industrial Conglomerates | 2,347,855 | 3,089,268 | — | 5,437,123 | ||||||||||||||||
Insurance | 17,867,101 | 9,847,203 | — | 27,714,304 | ||||||||||||||||
Life Sciences Tools & Services | — | 777,563 | — | 777,563 | ||||||||||||||||
Machinery | 4,437,294 | 1,256,070 | — | 5,693,364 | ||||||||||||||||
Marine | — | 3,170,478 | — | 3,170,478 | ||||||||||||||||
Media | 18,525,310 | 4,147,843 | — | 22,673,153 | ||||||||||||||||
Metals & Mining | 12,030,568 | 7,699,962 | �� | — | 19,730,530 | |||||||||||||||
Multiline Retail | 3,636,257 | 1,138,231 | — | 4,774,488 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 35,412,509 | 23,264,628 | — | 58,677,137 | ||||||||||||||||
Pharmaceuticals | 34,525,699 | 14,351,942 | — | 48,877,641 | ||||||||||||||||
Professional Services | — | 379,335 | — | 379,335 | ||||||||||||||||
Real Estate Management & Development | 50,092 | — | 99,851 | 149,943 | ||||||||||||||||
Semiconductors & Semiconductor Equipment | 3,160,231 | 7,451,641 | — | 10,611,872 | ||||||||||||||||
Software | 16,349,286 | 931,427 | — | 17,280,713 | ||||||||||||||||
Sovereign Bonds | — | 510,519 | — | 510,519 | ||||||||||||||||
Specialty Retail | 1,049,751 | 2,545,140 | — | 3,594,891 | ||||||||||||||||
Technology Hardware, Storage & Peripherals | 14,967,429 | 1,650,003 | — | 16,617,432 | ||||||||||||||||
Tobacco | 6,010,065 | 5,926,836 | — | 11,936,901 | ||||||||||||||||
Wireless Telecommunication Services | 4,106,260 | 4,474,931 | — | 8,581,191 | ||||||||||||||||
Other Common Stocks+ | 31,251,819 | — | — | 31,251,819 | ||||||||||||||||
Preferred Stocks | ||||||||||||||||||||
Automobiles | — | 1,537,757 | — | 1,537,757 | ||||||||||||||||
Other Preferred Stocks+ | 675,053 | — | — | 675,053 | ||||||||||||||||
Convertible Preferred Stocks | ||||||||||||||||||||
Banks | — | 504,660 | — | 504,660 | ||||||||||||||||
Commercial Services & Supplies | — | 62,105 | — | 62,105 | ||||||||||||||||
Oil, Gas & Consumable Fuels | — | 513,656 | — | 513,656 | ||||||||||||||||
Real Estate Investment Trusts (REITs) | — | 65,469 | — | 65,469 | ||||||||||||||||
Other Convertible Preferred Stocks+ | 1,357,007 | — | — | 1,357,007 | ||||||||||||||||
Convertible Bonds+ | — | 5,673,508 | — | 5,673,508 | ||||||||||||||||
Floating Rate Loans+ | — | 4,756,507 | — | 4,756,507 | ||||||||||||||||
Equity-Linked Securities | — | 1,139,488 | — | 1,139,488 | ||||||||||||||||
Corporate Bonds | ||||||||||||||||||||
Independent Power and Renewable Electricity Producers | — | 4,303,950 | —^ | 4,303,950 | ||||||||||||||||
Media | — | 9,012,305 | — | 9,012,305 | ||||||||||||||||
Other Corporate Bonds+ | — | 45,519,327 | — | 45,519,327 | ||||||||||||||||
Foreign Bonds+ | — | 130,813,103 | — | 130,813,103 |
32
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Yankee Dollars+ | $ | — | $ | 29,043,446 | $ | — | $ | 29,043,446 | ||||||||||||
Municipal Bond | — | 500,726 | — | 500,726 | ||||||||||||||||
U.S. Treasury Obligations | — | 6,999,651 | — | 6,999,651 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 34,000,000 | — | 34,000,000 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 19,090,906 | — | 19,090,906 | ||||||||||||||||
Unaffiliated Investment Company | 46,134,204 | — | — | 46,134,204 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 366,993,093 | $ | 457,352,371 | $ | 99,851 | $ | 824,445,315 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Forward Currency Contracts | — | (1,033,897 | ) | — | (1,033,897 | ) | ||||||||||||||
Interest Rate Swaps | — | (472,182 | ) | — | (472,182 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 366,993,093 | $ | 455,846,292 | $ | 99,851 | $ | 822,939,236 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments |
* | Other Financial Instruments would include any derivative instruments, such as Forward Currency Contracts and Swaps. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
^ | Represents the interest in securities that were determined to have a value of zero at June 30, 2014. |
A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are represented when there are significant level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | $ | 122,451,201 | $ | 71,417,037 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. At June 30, 2014, all restricted securities were deemed liquid (except as noted below). The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Canary Wharf Group plc | 2/19/10 | $ | 63,209 | 13,131 | $ | 99,851 | 0.01 | % | |||||||||||||||||
Dynegy Holdings, Inc., 7.50%, 6/1/15 | 10/1/12 | — | $ | 410,000 | — | — | % | ||||||||||||||||||
Dynegy Holdings, Inc., 8.38%, 5/1/16 | 10/1/12 | — | 50,000 | — | — | % | |||||||||||||||||||
Dynegy Holdings, Inc., 7.75%, 6/1/19 | 10/1/12 | — | 170,000 | — | — | % | |||||||||||||||||||
Tribune Co. | 12/31/12 | — | 5,213 | — | — | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
33
AZL Franklin Templeton Founding Strategy Plus Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $714,215,505. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 119,607,784 | ||
Unrealized depreciation | (9,377,974 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 110,229,810 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | $ | 11,523,700 | $ | 2,368,045 | $ | 13,891,745 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Franklin Templeton Founding Strategy Plus Fund | $ | 14,780,659 | $ | 10,598,973 |
| $ | — | $ | 88,569,175 | $ | 113,948,807 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
34
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
35
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Gateway Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 7 |
Page 7 |
Statements of Changes in Net Assets Page 8 |
Page 9 |
Notes to the Financial Statements Page 10 |
Page 16 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Gateway Fund
(Unaudited)
As a shareholder of the AZL Gateway Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 1,023.20 | $ | 5.52 | 1.10 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 20.3 | % | |||
Financials | 14.9 | ||||
Health Care | 13.0 | ||||
Consumer Discretionary | 11.5 | ||||
Industrials | 10.8 | ||||
Energy | 10.5 | ||||
Consumer Staples | 9.2 | ||||
Materials | 3.8 | ||||
Utilities | 3.1 | ||||
Telecommunication Services | 2.2 | ||||
|
| ||||
Total Common Stock | 99.3 | ||||
Money Market | 2.6 | ||||
Purchased Options | 0.2 | ||||
|
| ||||
Total Investment Securities | 102.1 | ||||
Net other assets (liabilities) | (2.1 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks+ (99.3%): |
| ||||||
| Aerospace & Defense (2.6%): |
| ||||||
12,090 | Boeing Co. (The) | $ | 1,538,211 | |||||
16,875 | Honeywell International, Inc. | 1,568,531 | ||||||
8,680 | Raytheon Co. | 800,730 | ||||||
14,530 | United Technologies Corp. | 1,677,488 | ||||||
|
| |||||||
5,584,960 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.8%): |
| ||||||
17,525 | United Parcel Service, Inc., Class B | 1,799,117 | ||||||
|
| |||||||
| Auto Components (0.1%): |
| ||||||
4,275 | Cooper Tire & Rubber Co. | 128,250 | ||||||
|
| |||||||
| Automobiles (0.3%): |
| ||||||
42,310 | Ford Motor Co. | 729,424 | ||||||
|
| |||||||
| Banks (5.5%): |
| ||||||
4,455 | Associated Banc-Corp. | 80,546 | ||||||
124,885 | Bank of America Corp. | 1,919,482 | ||||||
41,468 | Citigroup, Inc. | 1,953,143 | ||||||
3,430 | FirstMerit Corp. | 67,743 | ||||||
51,495 | JPMorgan Chase & Co. | 2,967,142 | ||||||
4,600 | Old National Bancorp | 65,688 | ||||||
28,955 | U.S. Bancorp | 1,254,331 | ||||||
74,155 | Wells Fargo & Co. | 3,897,586 | ||||||
|
| |||||||
12,205,661 | ||||||||
|
| |||||||
| Beverages (2.2%): |
| ||||||
52,735 | Coca-Cola Co. (The) | 2,233,855 | ||||||
4,113 | Monster Beverage Corp.* | 292,146 | ||||||
24,720 | PepsiCo, Inc. | 2,208,485 | ||||||
|
| |||||||
4,734,486 | ||||||||
|
| |||||||
| Biotechnology (3.0%): |
| ||||||
1,275 | Alexion Pharmaceuticals, Inc.* | 199,219 | ||||||
13,815 | Amgen, Inc. | 1,635,282 | ||||||
3,775 | Biogen Idec, Inc.* | 1,190,295 | ||||||
8,900 | Celgene Corp.* | 764,332 | ||||||
25,390 | Gilead Sciences, Inc.* | 2,105,085 | ||||||
1,000 | Regeneron Pharmaceuticals, Inc.* | 282,470 | ||||||
2,440 | Vertex Pharmaceuticals, Inc.* | 231,019 | ||||||
|
| |||||||
6,407,702 | ||||||||
|
| |||||||
| Capital Markets (2.2%): |
| ||||||
300 | Affiliated Managers Group, Inc.* | 61,620 | ||||||
42,490 | Charles Schwab Corp. (The) | 1,144,255 | ||||||
9,300 | Eaton Vance Corp. | 351,447 | ||||||
6,665 | Goldman Sachs Group, Inc. (The) | 1,115,988 | ||||||
12,970 | Legg Mason, Inc. | 665,491 | ||||||
23,365 | Morgan Stanley | 755,390 | ||||||
9,600 | TD Ameritrade Holding Corp. | 300,960 | ||||||
6,200 | Waddell & Reed Financial, Inc., Class A | 388,058 | ||||||
|
| |||||||
4,783,209 | ||||||||
|
| |||||||
| Chemicals (2.4%): |
| ||||||
21,255 | Dow Chemical Co. (The) | 1,093,781 | ||||||
14,420 | E.I. du Pont de Nemours and Co. | 943,645 | ||||||
7,665 | Eastman Chemical Co. | 669,538 | ||||||
8,645 | LyondellBasell Industries NV, Class A | 844,184 | ||||||
6,965 | Monsanto Co. | 868,814 | ||||||
9,605 | Olin Corp. | 258,567 | ||||||
1,925 | Potash Corp. of Saskatchewan, Inc. | 73,073 | ||||||
8,360 | RPM International, Inc. | 386,065 | ||||||
|
| |||||||
5,137,667 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Commercial Services & Supplies (0.6%): |
| ||||||
5,320 | ADT Corp. (The) | $ | 185,881 | |||||
9,890 | R.R. Donnelley & Sons Co. | 167,734 | ||||||
9,240 | Tyco International, Ltd. | 421,344 | ||||||
11,765 | Waste Management, Inc. | 526,249 | ||||||
|
| |||||||
1,301,208 | ||||||||
|
| |||||||
| Communications Equipment (1.7%): |
| ||||||
69,845 | Cisco Systems, Inc. | 1,735,648 | ||||||
6,174 | Motorola Solutions, Inc. | 411,003 | ||||||
16,045 | QUALCOMM, Inc. | 1,270,764 | ||||||
9,895 | Telefonaktiebolaget LM Ericsson, Sponsored ADR | 119,532 | ||||||
|
| |||||||
3,536,947 | ||||||||
|
| |||||||
| Consumer Finance (1.0%): |
| ||||||
15,510 | American Express Co. | 1,471,434 | ||||||
12,030 | Discover Financial Services | 745,619 | ||||||
|
| |||||||
2,217,053 | ||||||||
|
| |||||||
| Containers & Packaging (0.5%): |
| ||||||
6,615 | Avery Dennison Corp. | 339,019 | ||||||
12,440 | MeadWestvaco Corp. | 550,594 | ||||||
3,060 | Sonoco Products Co. | 134,426 | ||||||
|
| |||||||
1,024,039 | ||||||||
|
| |||||||
| Distributors (0.3%): |
| ||||||
7,560 | Genuine Parts Co. | 663,768 | ||||||
|
| |||||||
| Diversified Financial Services (1.6%): |
| ||||||
20,305 | Berkshire Hathaway, Inc., Class B* | 2,569,801 | ||||||
8,535 | CME Group, Inc. | 605,558 | ||||||
1,010 | IntercontinentalExchange, Inc. | 190,789 | ||||||
|
| |||||||
3,366,148 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (2.2%): |
| ||||||
68,570 | AT&T, Inc. | 2,424,635 | ||||||
17,889 | Frontier Communications Corp. | 104,472 | ||||||
44,010 | Verizon Communications, Inc. | 2,153,409 | ||||||
|
| |||||||
4,682,516 | ||||||||
|
| |||||||
| Electric Utilities (1.3%): |
| ||||||
6,425 | American Electric Power Co., Inc. | 358,322 | ||||||
20,696 | Duke Energy Corp. | 1,535,437 | ||||||
2,070 | Hawaiian Electric Industries, Inc. | 52,412 | ||||||
8,495 | OGE Energy Corp. | 331,985 | ||||||
18,565 | Pepco Holdings, Inc. | 510,166 | ||||||
|
| |||||||
2,788,322 | ||||||||
|
| |||||||
| Electrical Equipment (1.1%): |
| ||||||
14,205 | Eaton Corp. plc | 1,096,342 | ||||||
14,815 | Emerson Electric Co. | 983,124 | ||||||
2,695 | Hubbell, Inc., Class B | 331,889 | ||||||
|
| |||||||
2,411,355 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.5%): |
| ||||||
25,555 | Corning, Inc. | 560,932 | ||||||
7,125 | TE Connectivity, Ltd. | 440,610 | ||||||
|
| |||||||
1,001,542 | ||||||||
|
| |||||||
| Energy Equipment & Services (2.7%): |
| ||||||
9,575 | Baker Hughes, Inc. | 712,859 | ||||||
1,570 | CARBO Ceramics, Inc. | 241,968 | ||||||
3,225 | Diamond Offshore Drilling, Inc. | 160,057 |
Continued
2
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Energy Equipment & Services, continued |
| ||||||
21,450 | Halliburton Co. | $ | 1,523,164 | |||||
13,210 | Patterson-UTI Energy, Inc. | 461,557 | ||||||
1,350 | Rowan Cos. plc, Class A | 43,106 | ||||||
22,781 | Schlumberger, Ltd. | 2,687,019 | ||||||
1,400 | Seadrill, Ltd. | 55,930 | ||||||
1,145 | Tidewater, Inc. | 64,292 | ||||||
|
| |||||||
5,949,952 | ||||||||
|
| |||||||
| Food & Staples Retailing (1.9%): |
| ||||||
22,310 | CVS Caremark Corp. | 1,681,505 | ||||||
12,350 | Walgreen Co. | 915,506 | ||||||
20,105 | Wal-Mart Stores, Inc. | 1,509,282 | ||||||
|
| |||||||
4,106,293 | ||||||||
|
| |||||||
| Food Products (1.4%): |
| ||||||
19,555 | ConAgra Foods, Inc. | 580,392 | ||||||
13,565 | Kraft Foods Group, Inc. | 813,222 | ||||||
41,495 | Mondelez International, Inc., Class A | 1,560,627 | ||||||
|
| |||||||
2,954,241 | ||||||||
|
| |||||||
| Gas Utilities (0.3%): |
| ||||||
1,451 | AGL Resources, Inc. | 79,849 | ||||||
5,005 | National Fuel Gas Co. | 391,891 | ||||||
2,915 | One Gas, Inc. | 110,041 | ||||||
3,500 | WGL Holdings, Inc. | 150,850 | ||||||
|
| |||||||
732,631 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (2.0%): |
| ||||||
26,325 | Abbott Laboratories | 1,076,693 | ||||||
12,135 | Baxter International, Inc. | 877,361 | ||||||
36,105 | Boston Scientific Corp.* | 461,061 | ||||||
7,540 | Covidien plc | 679,957 | ||||||
570 | Intuitive Surgical, Inc.* | 234,726 | ||||||
17,325 | Medtronic, Inc. | 1,104,641 | ||||||
|
| |||||||
4,434,439 | ||||||||
|
| |||||||
| Health Care Providers & Services (2.0%): |
| ||||||
12,694 | Aetna, Inc. | 1,029,230 | ||||||
10,245 | Express Scripts Holding Co.* | 710,286 | ||||||
3,545 | HCA Holdings, Inc.* | 199,867 | ||||||
1,050 | Patterson Cos., Inc. | 41,486 | ||||||
2,000 | Quest Diagnostics, Inc. | 117,380 | ||||||
16,605 | UnitedHealth Group, Inc. | 1,357,458 | ||||||
3,915 | Universal Health Services, Inc., Class B | 374,900 | ||||||
4,420 | WellPoint, Inc. | 475,636 | ||||||
|
| |||||||
4,306,243 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.6%): |
| ||||||
14,810 | International Game Technology | 235,627 | ||||||
5,300 | Las Vegas Sands Corp. | 403,966 | ||||||
15,880 | McDonald’s Corp. | 1,599,752 | ||||||
7,945 | Melco Crown Entertainment, Ltd., Sponsored ADR | 283,716 | ||||||
10,165 | MGM Resorts International* | 268,356 | ||||||
1,485 | Tim Hortons, Inc. | 81,274 | ||||||
5,715 | Wendy’s Co. (The) | 48,749 | ||||||
2,495 | Wynn Resorts, Ltd. | 517,862 | ||||||
|
| |||||||
3,439,302 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Household Durables (0.9%): |
| ||||||
13,485 | Leggett & Platt, Inc. | $ | 462,265 | |||||
14,425 | Newell Rubbermaid, Inc. | 447,031 | ||||||
12,040 | Toll Brothers, Inc.* | 444,276 | ||||||
3,995 | Tupperware Brands Corp. | 334,382 | ||||||
2,515 | Whirlpool Corp. | 350,138 | ||||||
|
| |||||||
2,038,092 | ||||||||
|
| |||||||
| Household Products (2.0%): |
| ||||||
14,135 | Colgate-Palmolive Co. | 963,724 | ||||||
7,370 | Kimberly-Clark Corp. | 819,691 | ||||||
31,105 | Procter & Gamble Co. (The) | 2,444,543 | ||||||
|
| |||||||
4,227,958 | ||||||||
|
| |||||||
| Industrial Conglomerates (2.3%): |
| ||||||
9,495 | 3M Co. | 1,360,064 | ||||||
136,155 | General Electric Co. | 3,578,153 | ||||||
|
| |||||||
4,938,217 | ||||||||
|
| |||||||
| Insurance (2.7%): |
| ||||||
2,525 | AEGON NV, NYS, Sponsored ADR, Registered Shares | 22,144 | ||||||
6,400 | AFLAC, Inc. | 398,400 | ||||||
13,705 | Allstate Corp. (The) | 804,758 | ||||||
21,920 | American International Group, Inc. | 1,196,393 | ||||||
4,445 | Aon plc | 400,450 | ||||||
6,800 | Arthur J. Gallagher & Co. | 316,880 | ||||||
9,115 | Fidelity National Financial, Inc., Class A | 298,607 | ||||||
11,060 | Lincoln National Corp. | 568,926 | ||||||
13,240 | Marsh & McLennan Cos., Inc. | 686,097 | ||||||
12,620 | Old Republic International Corp. | 208,735 | ||||||
6,795 | Principal Financial Group, Inc. | 343,012 | ||||||
5,010 | Travelers Cos., Inc. (The) | 471,291 | ||||||
8,960 | XL Group plc | 293,261 | ||||||
|
| |||||||
6,008,954 | ||||||||
|
| |||||||
| Internet & Catalog Retail (1.1%): |
| ||||||
6,345 | Amazon.com, Inc.* | 2,060,729 | ||||||
457 | Lands’ End, Inc.* | 15,346 | ||||||
875 | Netflix, Inc.* | 385,525 | ||||||
|
| |||||||
2,461,600 | ||||||||
|
| |||||||
| Internet Software & Services (3.7%): |
| ||||||
5,365 | Akamai Technologies, Inc.* | 327,587 | ||||||
1,240 | Baidu, Inc., Sponsored ADR* | 231,645 | ||||||
18,940 | eBay, Inc.* | 948,136 | ||||||
15,500 | Facebook, Inc., Class A* | 1,042,995 | ||||||
3,825 | Google, Inc., Class A* | 2,236,363 | ||||||
3,825 | Google, Inc., Class C* | 2,200,446 | ||||||
1,175 | LinkedIn Corp., Class A* | 201,477 | ||||||
6,095 | VeriSign, Inc.* | 297,497 | ||||||
7,675 | Yahoo!, Inc.* | 269,623 | ||||||
|
| |||||||
7,755,769 | ||||||||
|
| |||||||
| IT Services (3.5%): |
| ||||||
16,710 | Automatic Data Processing, Inc. | 1,324,769 | ||||||
4,185 | Broadridge Financial Solutions, Inc. | 174,263 | ||||||
13,065 | Cognizant Technology Solutions Corp., Class A* | 639,009 | ||||||
9,140 | Fidelity National Information Services, Inc. | 500,324 | ||||||
11,385 | International Business Machines Corp. | 2,063,760 | ||||||
21,440 | Paychex, Inc. | 891,046 |
Continued
3
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| IT Services, continued |
| ||||||
7,910 | Visa, Inc., Class A | $ | 1,666,716 | |||||
19,730 | Western Union Co. | 342,118 | ||||||
|
| |||||||
7,602,005 | ||||||||
|
| |||||||
| Leisure Products (0.3%): |
| ||||||
17,575 | Mattel, Inc. | 684,898 | ||||||
|
| |||||||
| Machinery (2.5%): |
| ||||||
7,700 | Caterpillar, Inc. | 836,759 | ||||||
6,570 | Cummins, Inc. | 1,013,685 | ||||||
5,780 | Deere & Co. | 523,379 | ||||||
6,320 | Parker Hannifin Corp. | 794,614 | ||||||
5,579 | Pentair plc | 402,357 | ||||||
2,870 | Snap-On, Inc. | 340,152 | ||||||
4,595 | SPX Corp. | 497,225 | ||||||
6,880 | Stanley Black & Decker, Inc. | 604,202 | ||||||
5,095 | Timken Co. | 345,645 | ||||||
|
| |||||||
5,358,018 | ||||||||
|
| |||||||
| Media (3.6%): |
| ||||||
26,050 | Comcast Corp., Class A | 1,398,364 | ||||||
4,088 | Liberty Global plc, Series C* | 172,963 | ||||||
1,459 | Liberty Global plc, Class A* | 64,517 | ||||||
6,311 | News Corp., Class B* | 110,127 | ||||||
9,585 | Omnicom Group, Inc. | 682,644 | ||||||
62,395 | Sirius XM Holdings, Inc.* | 215,887 | ||||||
7,495 | Time Warner Cable, Inc. | 1,104,014 | ||||||
20,390 | Time Warner, Inc. | 1,432,397 | ||||||
2,573 | Time, Inc.* | 62,318 | ||||||
28,775 | Walt Disney Co. (The) | 2,467,168 | ||||||
|
| |||||||
7,710,399 | ||||||||
|
| |||||||
| Metals & Mining (0.9%): |
| ||||||
20,660 | Alcoa, Inc. | 307,627 | ||||||
19,545 | Freeport-McMoRan Copper & Gold, Inc. | 713,393 | ||||||
9,705 | Nucor Corp. | 477,971 | ||||||
2,300 | Silver Wheaton Corp. | 60,421 | ||||||
5,309 | Southern Copper Corp. | 161,234 | ||||||
13,000 | Steel Dynamics, Inc. | 233,350 | ||||||
3,095 | Worthington Industries, Inc. | 133,209 | ||||||
|
| |||||||
2,087,205 | ||||||||
|
| |||||||
| Multiline Retail (0.8%): |
| ||||||
2,270 | J.C. Penney Co., Inc.* | 20,544 | ||||||
11,265 | Macy’s, Inc. | 653,594 | ||||||
7,250 | Nordstrom, Inc. | 492,493 | ||||||
1,545 | Sears Holdings Corp.* | 61,738 | ||||||
9,585 | Target Corp. | 555,451 | ||||||
|
| |||||||
1,783,820 | ||||||||
|
| |||||||
| Multi-Utilities (1.5%): |
| ||||||
16,640 | Ameren Corp. | 680,243 | ||||||
14,480 | CenterPoint Energy, Inc. | 369,819 | ||||||
14,010 | Consolidated Edison, Inc. | 808,937 | ||||||
5,715 | Integrys Energy Group, Inc. | 406,508 | ||||||
22,410 | Public Service Enterprise Group, Inc. | 914,105 | ||||||
|
| |||||||
3,179,612 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Oil, Gas & Consumable Fuels (7.8%): |
| ||||||
18,275 | Chesapeake Energy Corp. | $ | 567,987 | |||||
26,325 | Chevron Corp. | 3,436,729 | ||||||
26,410 | ConocoPhillips | 2,264,129 | ||||||
12,790 | CONSOL Energy, Inc. | 589,235 | ||||||
55,060 | Exxon Mobil Corp. | 5,543,440 | ||||||
3,700 | HollyFrontier Corp. | 161,653 | ||||||
16,345 | Occidental Petroleum Corp. | 1,677,487 | ||||||
11,560 | ONEOK, Inc. | 787,005 | ||||||
13,005 | Phillips 66 | 1,045,992 | ||||||
15,895 | Southwestern Energy Co.* | 723,064 | ||||||
3,260 | Statoil ASA, Sponsored ADR | 100,506 | ||||||
1,890 | Total SA, Sponsored ADR | 136,458 | ||||||
2,800 | Valero Energy Corp. | 140,280 | ||||||
|
| |||||||
17,173,965 | ||||||||
|
| |||||||
| Personal Products (0.1%): |
| ||||||
9,190 | Avon Products, Inc. | 134,266 | ||||||
1,565 | Herbalife, Ltd. | 101,005 | ||||||
|
| |||||||
235,271 | ||||||||
|
| |||||||
| Pharmaceuticals (6.0%): |
| ||||||
26,700 | Abbvie, Inc. | 1,506,948 | ||||||
28,170 | Bristol-Myers Squibb Co. | 1,366,527 | ||||||
16,135 | Eli Lilly and Co. | 1,003,113 | ||||||
4,160 | GlaxoSmithKline plc, Sponsored ADR | 222,477 | ||||||
35,035 | Johnson & Johnson Co. | 3,665,361 | ||||||
967 | Mallinckrodt plc* | 77,379 | ||||||
42,550 | Merck & Co., Inc. | 2,461,518 | ||||||
96,070 | Pfizer, Inc. | 2,851,357 | ||||||
|
| |||||||
13,154,680 | ||||||||
|
| |||||||
| Professional Services (0.1%): |
| ||||||
1,890 | Dun & Bradstreet Corp. | 208,278 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.7%): |
| ||||||
26,640 | American Capital Agency Corp. | 623,642 | ||||||
41,030 | Annaly Capital Management, Inc. | 468,973 | ||||||
31,570 | Duke Realty Corp. | 573,311 | ||||||
6,415 | Hatteras Financial Corp. | 127,081 | ||||||
3,230 | Healthcare Realty Trust, Inc. | 82,107 | ||||||
13,770 | Liberty Property Trust | 522,296 | ||||||
11,070 | Mack-Cali Realty Corp. | 237,784 | ||||||
12,500 | Senior Housing Properties Trust | 303,625 | ||||||
13,293 | Ventas, Inc. | 852,081 | ||||||
|
| |||||||
3,790,900 | ||||||||
|
| |||||||
| Road & Rail (0.7%): |
| ||||||
34,610 | CSX Corp. | 1,066,334 | ||||||
13,005 | Hertz Global Holdings, Inc.* | 364,530 | ||||||
|
| |||||||
1,430,864 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.9%): |
| ||||||
18,865 | Advanced Micro Devices, Inc.* | 79,044 | ||||||
8,180 | Altera Corp. | 284,337 | ||||||
9,115 | Analog Devices, Inc. | 492,848 | ||||||
30,930 | Applied Materials, Inc. | 697,472 | ||||||
1,745 | First Solar, Inc.* | 124,000 | ||||||
68,840 | Intel Corp. | 2,127,156 | ||||||
7,990 | Linear Technology Corp. | 376,089 |
Continued
4
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Semiconductors & Semiconductor Equipment, continued |
| ||||||
9,445 | Microchip Technology, Inc. | $ | 461,010 | |||||
8,500 | Micron Technology, Inc.* | 280,075 | ||||||
12,135 | NVIDIA Corp. | 224,983 | ||||||
5,435 | Skyworks Solutions, Inc. | 255,228 | ||||||
10,210 | Texas Instruments, Inc. | 487,936 | ||||||
7,475 | Xilinx, Inc. | 353,642 | ||||||
|
| |||||||
6,243,820 | ||||||||
|
| |||||||
| Software (3.8%): |
| ||||||
14,140 | Activision Blizzard, Inc. | 315,322 | ||||||
12,075 | Adobe Systems, Inc.* | 873,747 | ||||||
8,395 | Autodesk, Inc.* | 473,310 | ||||||
100,620 | Microsoft Corp. | 4,195,853 | ||||||
4,580 | Nuance Communications, Inc.* | 85,967 | ||||||
47,750 | Oracle Corp. | 1,935,308 | ||||||
14,795 | Symantec Corp. | 338,806 | ||||||
5,940 | TIBCO Software, Inc.* | 119,810 | ||||||
|
| |||||||
8,338,123 | ||||||||
|
| |||||||
| Specialty Retail (2.5%): |
| ||||||
2,840 | Abercrombie & Fitch Co., Class A | 122,830 | ||||||
10,455 | American Eagle Outfitters, Inc. | 117,305 | ||||||
100 | AutoZone, Inc.* | 53,624 | ||||||
5,295 | Best Buy Co., Inc. | 164,198 | ||||||
5,640 | Foot Locker, Inc. | 286,061 | ||||||
9,350 | Gap, Inc. (The) | 388,680 | ||||||
21,865 | Home Depot, Inc. (The) | 1,770,189 | ||||||
8,895 | L Brands, Inc. | 521,781 | ||||||
21,735 | Lowe’s Cos., Inc. | 1,043,063 | ||||||
5,375 | Tiffany & Co. | 538,844 | ||||||
6,885 | TJX Cos., Inc. (The) | 365,938 | ||||||
|
| |||||||
5,372,513 | ||||||||
|
|
Shares or Contracts | Fair Value | |||||||
| Common Stocks+, continued |
| ||||||
| Technology Hardware, Storage & Peripherals (4.2%): |
| ||||||
78,745 | Apple, Inc. | $ | 7,317,772 | |||||
23,555 | EMC Corp. | 620,439 | ||||||
26,070 | Hewlett-Packard Co. | 878,038 | ||||||
5,785 | Seagate Technology plc | 328,704 | ||||||
|
| |||||||
9,144,953 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.2%): |
| ||||||
20,475 | New York Community Bancorp, Inc. | 327,191 | ||||||
|
| |||||||
| Tobacco (1.6%): |
| ||||||
30,370 | Altria Group, Inc. | 1,273,718 | ||||||
18,390 | Philip Morris International, Inc. | 1,550,461 | ||||||
9,895 | Reynolds American, Inc. | 597,163 | ||||||
4,107 | Vector Group, Ltd. | 84,933 | ||||||
|
| |||||||
3,506,275 | ||||||||
|
| |||||||
| Trading Companies & Distributors (0.1%): |
| ||||||
3,285 | GATX Corp. | 219,898 | ||||||
|
| |||||||
| Total Common Stocks (Cost $157,768,830) | 215,409,753 | ||||||
|
| |||||||
| Purchased Options (0.2%): |
| ||||||
| Total Purchased Options (Cost $968,612) | 404,140 | ||||||
|
| |||||||
| Unaffiliated Investment Company (2.6%): |
| ||||||
5,546,098 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(a) | 5,546,098 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $5,546,098) | 5,546,098 | ||||||
|
| |||||||
| Total Investment Securities (Cost $164,283,540)(b) — 102.1% | 221,359,991 | ||||||
| Net other assets (liabilities) — (2.1)% | (4,555,810 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 216,804,181 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
NYS—New York Shares
* | Non-income producing security. |
+ | All or a portion of each common stock has been pledged as collateral for outstanding call options written. |
(a) | The rate represents the effective yield at June 30, 2014. |
(b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
5
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Exchange-traded options purchased as of June 30, 2014 were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | |||||||||||||||||||
S&P 500 Index | Put | USD | 1725.00 | 07/19/14 | 188 | $ | 12,220 | |||||||||||||||||
S&P 500 Index | Put | USD | 1725.00 | 08/16/14 | 144 | 30,240 | ||||||||||||||||||
S&P 500 Index | Put | USD | 1750.00 | 08/16/14 | 206 | 52,530 | ||||||||||||||||||
S&P 500 Index | Put | USD | 1775.00 | 08/16/14 | 193 | 62,725 | ||||||||||||||||||
S&P 500 Index | Put | USD | 1750.00 | 09/20/14 | 205 | 130,175 | ||||||||||||||||||
S&P 500 Index | Put | USD | 1775.00 | 09/20/14 | 150 | 116,250 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | 404,140 | |||||||||||||||||||||
|
|
Exchange-traded options written as of June 30, 2014 were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | |||||||||||||||||||
S&P 500 Index | Call | USD | 1930.00 | 07/03/14 | 126 | $ | (393,120 | ) | ||||||||||||||||
S&P 500 Index | Call | USD | 1975.00 | 07/11/14 | 129 | (45,795 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1875.00 | 07/19/14 | 132 | (1,139,160 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1900.00 | 07/19/14 | 121 | (756,250 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1950.00 | 07/19/14 | 105 | (214,200 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1925.00 | 08/16/14 | 246 | (1,183,260 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1950.00 | 08/16/14 | 122 | (370,880 | ) | |||||||||||||||||
S&P 500 Index | Call | USD | 1925.00 | 09/20/14 | 105 | (603,750 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | (4,706,415 | ) | ||||||||||||||||||||
|
|
See accompanying notes to the financial statements.
6
AZL Gateway Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 164,283,540 | |||
|
| ||||
Investment securities, at value | $ | 221,359,991 | |||
Cash | 1,593 | ||||
Interest and dividends receivable | 275,182 | ||||
Receivable for capital shares issued | 75,047 | ||||
Reclaims receivable | 2,575 | ||||
Prepaid expenses | 853 | ||||
|
| ||||
Total Assets | 221,715,241 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 721 | ||||
Written Options (Premiums received $3,316,585) | 4,706,415 | ||||
Manager fees payable | 142,215 | ||||
Administration fees payable | 7,343 | ||||
Distribution fees payable | 44,442 | ||||
Custodian fees payable | 3,272 | ||||
Administrative and compliance services fees payable | 475 | ||||
Trustee fees payable | 1,017 | ||||
Other accrued liabilities | 5,160 | ||||
|
| ||||
Total Liabilities | 4,911,060 | ||||
|
| ||||
Net Assets | $ | 216,804,181 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 195,940,680 | |||
Accumulated net investment income/(loss) | 3,814,863 | ||||
Accumulated net realized gains/(losses) from investment transactions | (38,637,983 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 55,686,621 | ||||
|
| ||||
Net Assets | $ | 216,804,181 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 18,194,959 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.92 | |||
|
|
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,393,508 | |||
Foreign withholding tax | (781 | ) | |||
|
| ||||
Total Investment Income | 2,392,727 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 839,944 | ||||
Administration fees | 30,014 | ||||
Distribution fees | 262,482 | ||||
Custodian fees | 6,246 | ||||
Administrative and compliance services fees | 1,561 | ||||
Trustee fees | 4,918 | ||||
Professional fees | 4,788 | ||||
Shareholder reports | 2,736 | ||||
Other expenses | 1,942 | ||||
|
| ||||
Total expenses | 1,154,631 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,238,096 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 2,609,071 | ||||
Net realized gains/(losses) on options contracts | (9,173,861 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 10,123,672 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 3,558,882 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 4,796,978 | |||
|
|
See accompanying notes to the financial statements.
7
Statements of Changes in Net Assets
AZL Gateway Fund | ||||||||||
For the 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,238,096 | $ | 2,574,178 | ||||||
Net realized gains/(losses) on investment transactions | (6,564,790 | ) | (28,154,431 | ) | ||||||
Change in unrealized appreciation/depreciation on investments | 10,123,672 | 40,871,485 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 4,796,978 | 15,291,232 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (1,613,620 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (1,613,620 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 11,992,418 | 48,460,939 | ||||||||
Proceeds from dividends reinvested | — | 1,613,620 | ||||||||
Value of shares redeemed | (12,149,073 | ) | (21,384,395 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (156,655 | ) | 28,690,164 | |||||||
|
|
|
| |||||||
Change in net assets | 4,640,323 | 42,367,776 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 212,163,858 | 169,796,082 | ||||||||
|
|
|
| |||||||
End of period | $ | 216,804,181 | $ | 212,163,858 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 3,814,863 | $ | 2,576,767 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 1,031,132 | 4,277,413 | ||||||||
Dividends reinvested | — | 142,798 | ||||||||
Shares redeemed | (1,049,236 | ) | (1,891,764 | ) | ||||||
|
|
|
| |||||||
Change in shares | (18,104 | ) | 2,528,447 | |||||||
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See accompanying notes to the financial statements.
8
AZL Gateway Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | April 30, 2010 to December 31, 2010 (a) | |||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.65 | $ | 10.83 | $ | 10.44 | $ | 10.13 | $ | 10.00 | |||||||||||||||
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Investment Activities: | |||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.13 | 0.06 | 0.09 | 0.07 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.20 | 0.78 | 0.37 | 0.22 | 0.13 | ||||||||||||||||||||
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Total from Investment Activities | 0.27 | 0.91 | 0.43 | 0.31 | 0.20 | ||||||||||||||||||||
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Dividends to Shareholders From: | |||||||||||||||||||||||||
Net Investment Income | — | (0.09 | ) | (0.04 | ) | — | (0.07 | ) | |||||||||||||||||
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Total Dividends | — | (0.09 | ) | (0.04 | ) | — | (0.07 | ) | |||||||||||||||||
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Net Asset Value, End of Period | $ | 11.92 | $ | 11.65 | $ | 10.83 | $ | 10.44 | $ | 10.13 | |||||||||||||||
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Total Return(b) | 2.32 | %(c) | 8.44 | % | 4.15 | % | 3.06 | % | 1.98 | %(c) | |||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 216,804 | $ | 212,164 | $ | 169,796 | $ | 52,116 | $ | 16,217 | |||||||||||||||
Net Investment Income/(Loss)(d) | 1.18 | % | 1.35 | % | 1.74 | % | 1.37 | % | 1.38 | % | |||||||||||||||
Expenses Before Reductions(d)(e) | 1.10 | % | 1.11 | % | 1.14 | % | 1.25 | % | 1.59 | % | |||||||||||||||
Expenses Net of Reductions(d) | 1.10 | % | 1.10 | % | 1.11 | % | 1.24 | % | 1.25 | % | |||||||||||||||
Portfolio Turnover Rate | 7 | %(c) | 16 | % | 5 | % | 12 | % | 28 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
9
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
10
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2014, the Fund used written call options to hedge against security prices (equity risk). A stock index fluctuates with changes in the fair values of the stocks included in the index, and therefore options on stock indexes and options on stocks involve elements of equity price risk.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.
The Fund had the following transactions in purchased call and put options during the period ended June 30, 2014:
Number of Contracts | Cost | |||||||||
Options outstanding at December 31, 2013 | 1,122 | $ | 941,255 | |||||||
Options purchased | 4,592 | 4,655,312 | ||||||||
Options exercised | — | — | ||||||||
Options expired | (216 | ) | (136,940 | ) | ||||||
Options closed | (4,412 | ) | (4,491,015 | ) | ||||||
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| |||||||
Options outstanding at June 30, 2014 | 1,086 | $ | 968,612 | |||||||
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The Fund had the following transactions in written call and put options during the period ended June 30, 2014:
Number of Contracts | Premiums Received | |||||||||
Options outstanding at December 31, 2013 | (1,122 | ) | $ | (3,078,945 | ) | |||||
Options written | (6,778 | ) | (17,721,911 | ) | ||||||
Options exercised | — | — | ||||||||
Options expired | 124 | 230,990 | ||||||||
Options closed | 6,690 | 17,253,281 | ||||||||
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| |||||||
Options outstanding at June 30, 2014 | (1,086 | ) | $ | (3,316,585 | ) | |||||
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Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Contracts | Investment securities, at value (purchased options) | $ | 404,140 | Written options | $ | 4,706,415 |
11
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on | |||||||
Equity Contracts | Net realized gains/(losses) on options contracts / Change in unrealized appreciation/depreciation on investments | $ | (9,173,861 | ) | $ | 1,736,895 |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Gateway Investment Advisers, LLC (“Gateway”), Gateway provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Gateway Fund | 0.80 | % | 1.25 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $1,233 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
12
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.
The Fund generally values index options at the average of the closing bid and ask quotations on the principal exchange on which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied. Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 215,409,753 | $ | — | $ | 215,409,753 | |||||||||
Purchased Put Options | 404,140 | — | 404,140 | ||||||||||||
Unaffiliated Investment Company | 5,546,098 | — | 5,546,098 | ||||||||||||
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Total Investment Securities | $ | 221,359,991 | $ | — | $ | 221,359,991 | |||||||||
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Other Financial Instruments:* | |||||||||||||||
Written Options | (1,389,830 | ) | — | (1,389,830 | ) | ||||||||||
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| ||||||||||
Total Investments | $ | 219,970,161 | $ | — | $ | 219,970,161 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as written options. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Gateway Fund | $ | 14,323,993 | $ | 19,359,059 |
13
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $164,903,023. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 58,658,233 | ||
Unrealized depreciation | (2,201,265 | ) | ||
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| |||
Net unrealized appreciation depreciation | $ | 56,456,968 | ||
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As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2018 | ||||
AZL Gateway Fund | $ | 10,170 |
CLCFs not subject to expiration:
Short Term Amount | Long Term Amount | Total Amount | |||||||||||||
AZL Gateway Fund | $ | 15,485,569 | $ | 19,653,046 | $ | 35,138,615 |
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Gateway Fund | $ | 1,613,620 | $ | — | $ | 1,613,620 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL Gateway Fund | $ | 2,564,227 | $ | — | $ | (35,148,785 | ) | $ | 48,651,081 | $ | 16,066,523 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
14
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
15
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
16
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® International Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 13 |
Page 13 |
Statements of Changes in Net Assets Page 14 |
Page 15 |
Notes to the Financial Statements Page 16 |
Page 22 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL International Index Fund
(Unaudited)
As a shareholder of the AZL International Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL International Index Fund | $ | 1,000.00 | $ | 1,045.20 | $ | 3.85 | 0.76 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL International Index Fund | $ | 1,000.00 | $ | 1,021.03 | $ | 3.81 | 0.76 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
United Kingdom | 20.0 | % | |||
Japan | 19.8 | ||||
France | 9.4 | ||||
Germany | 9.0 | ||||
Switzerland | 8.9 | ||||
Australia | 7.5 | ||||
Spain | 3.6 | ||||
Netherlands | 3.1 | ||||
Sweden | 2.9 | ||||
Hong Kong | 2.8 | ||||
All other countries | 10.8 | ||||
|
| ||||
Total Common Stock and Preferred Stock | 97.8 | ||||
Rights | — | ^ | |||
Money Market | 0.2 | ||||
Securities Held as Collateral for Securities on Loan | 0.1 | ||||
|
| ||||
Total Investment Securities | 98.1 | ||||
Net other assets (liabilities) | 1.9 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
1
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (97.2%): | |||||||
| Aerospace & Defense (1.0%): | |||||||
199,235 | BAE Systems plc | $ | 1,476,003 | |||||
76,147 | Cobham plc | 406,516 | ||||||
36,389 | European Aeronautic Defence & Space Co. NV | 2,442,188 | ||||||
25,787 | Finmeccanica SpA* | 244,938 | ||||||
51,028 | Meggitt plc | 441,277 | ||||||
116,091 | Rolls-Royce Holdings plc | 2,120,030 | ||||||
15,915,850 | Rolls-Royce Holdings plc*(a) | — | ||||||
16,850 | Safran SA | 1,102,494 | ||||||
97,000 | Singapore Technologies Engineering, Ltd. | 295,282 | ||||||
5,633 | Thales SA | 340,403 | ||||||
11,763 | Zodiac Aerospace | 397,818 | ||||||
|
| |||||||
9,266,949 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.4%): | |||||||
349 | Bollore | 226,510 | ||||||
60,455 | Deutsche Post AG | 2,186,384 | ||||||
39,654 | Royal Mail plc* | 338,336 | ||||||
26,648 | TNT Express NV | 240,885 | ||||||
43,939 | Toll Holdings, Ltd. | 211,424 | ||||||
23,000 | Yamato Holdings Co., Ltd. | 476,453 | ||||||
|
| |||||||
3,679,992 | ||||||||
|
| |||||||
| Airlines (0.0%): | |||||||
69,000 | All Nippon Airways Co., Ltd.^ | 162,953 | ||||||
71,000 | Cathay Pacific Airways, Ltd. | 132,679 | ||||||
14,473 | Deutsche Lufthansa AG, Registered Shares | 310,711 | ||||||
9,954 | easyJet plc | 232,194 | ||||||
62,529 | International Consolidated Airlines Group SA* | 398,151 | ||||||
3,435 | Japan Airlines Co., Ltd. | 190,136 | ||||||
57,609 | Qantas Airways, Ltd.* | 68,493 | ||||||
1,900 | Ryanair Holdings plc, ADR* | 106,020 | ||||||
34,000 | Singapore Airlines, Ltd. | 282,414 | ||||||
|
| |||||||
1,883,751 | ||||||||
|
| |||||||
| Auto Components (1.1%): | |||||||
11,700 | Aisin Sieki Co., Ltd. | 466,416 | ||||||
40,000 | Bridgestone Corp. | 1,402,066 | ||||||
11,496 | Compagnie Generale des Establissements Michelin SCA, Class B(b) | 1,375,197 | ||||||
6,797 | Continental AG | 1,574,440 | ||||||
29,900 | DENSO Corp. | 1,430,009 | ||||||
100,045 | GKN plc | 620,758 | ||||||
7,000 | Koito Manufacturing Co., Ltd. | 179,572 | ||||||
11,000 | NGK Spark Plug Co., Ltd. | 310,935 | ||||||
9,600 | NHK SPRING Co., Ltd. | 90,147 | ||||||
5,300 | NOK Corp. | 106,737 | ||||||
7,027 | Nokian Renkaat OYJ | 274,413 | ||||||
15,275 | Pirelli & C. SpA | 244,750 | ||||||
9,000 | Stanley Electric Co., Ltd. | 235,159 | ||||||
10,000 | Sumitomo Rubber Industries, Ltd. | 144,619 | ||||||
15,000 | The Yokohama Rubber Co., Ltd. | 129,943 | ||||||
3,700 | Toyoda Gosei Co., Ltd. | 76,970 | ||||||
10,100 | Toyota Industries Corp. | 522,597 | ||||||
4,704 | Valeo SA | 630,771 | ||||||
|
| |||||||
9,815,499 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Automobiles (3.6%): | |||||||
20,814 | Bayerische Motoren Werke AG (BMW) | $ | 2,639,932 | |||||
12,000 | Daihatsu Motor Co., Ltd. | 213,711 | ||||||
59,858 | Daimler AG, Registered Shares | 5,605,319 | ||||||
53,342 | Fiat SpA* | 525,671 | ||||||
36,200 | Fuji Heavy Industries, Ltd. | 1,004,761 | ||||||
102,200 | Honda Motor Co., Ltd. | 3,575,518 | ||||||
73,000 | Isuzu Motors, Ltd. | 483,734 | ||||||
164,000 | Mazda Motor Corp. | 771,165 | ||||||
42,800 | Mitsubishi Motors Corp. | 473,223 | ||||||
154,900 | Nissan Motor Co., Ltd. | 1,472,273 | ||||||
24,514 | PSA Peugeot Citroen SA* | 362,977 | ||||||
11,815 | Renault SA | 1,070,228 | ||||||
22,200 | Suzuki Motor Corp. | 696,798 | ||||||
171,900 | Toyota Motor Corp. | 10,342,031 | ||||||
1,852 | Volkswagen AG | 478,824 | ||||||
17,100 | Yamaha Motor Co., Ltd. | 294,919 | ||||||
|
| |||||||
30,011,084 | ||||||||
|
| |||||||
| Banks (13.4%): | |||||||
77,000 | Aozora Bank, Ltd. | 253,352 | ||||||
171,827 | Australia & New Zealand Banking Group, Ltd. | 5,404,926 | ||||||
366,229 | Banco Bilbao Vizcaya Argentaria SA | 4,662,085 | ||||||
212,031 | Banco de Sabadell SA | 722,438 | ||||||
163,391 | Banco Espirito Santo SA* | 134,547 | ||||||
23,948 | Banco Popolare SC* | 394,527 | ||||||
113,075 | Banco Popular Espanol SA | 759,454 | ||||||
730,280 | Banco Santander SA | 7,619,838 | ||||||
64,650 | Bank Hapoalim BM | 373,549 | ||||||
79,080 | Bank Leumi Le* | 308,324 | ||||||
77,600 | Bank of East Asia, Ltd. (The) | 322,098 | ||||||
1,473,636 | Bank of Ireland* | 495,376 | ||||||
21,000 | Bank of Kyoto, Ltd. (The) | 191,288 | ||||||
2,163 | Bank of Queensland, Ltd.* | 24,880 | ||||||
22,737 | Bank of Queensland, Ltd. | 261,529 | ||||||
75,000 | Bank of Yokohama, Ltd. (The) | 432,524 | ||||||
290,166 | Bankia SA* | 561,449 | ||||||
1,020,796 | Barclays plc | 3,717,967 | ||||||
25,785 | Bendigo and Adelaide Bank, Ltd. | 296,530 | ||||||
66,066 | BNP Paribas SA | 4,482,226 | ||||||
224,000 | BOC Hong Kong Holdings, Ltd. | 649,266 | ||||||
47,000 | Chiba Bank, Ltd. (The) | 332,439 | ||||||
12,300 | Chugoku Bank, Ltd. (The) | 189,448 | ||||||
205,030 | Chuo Mitsui Trust Holdings, Inc. | 939,072 | ||||||
59,931 | Commerzbank AG* | 942,157 | ||||||
100,407 | Commonwealth Bank of Australia | 7,661,465 | ||||||
62,478 | Credit Agricole SA | 881,168 | ||||||
110,217 | Criteria Caixacorp SA | 679,346 | ||||||
41,674 | Danske Bank A/S | 1,178,600 | ||||||
107,000 | DBS Group Holdings, Ltd. | 1,434,965 | ||||||
59,994 | DnB NOR ASA | 1,096,281 | ||||||
17,592 | Erste Group Bank AG | 569,060 | ||||||
47,000 | Fukuoka Financial Group, Inc. | 227,305 | ||||||
26,000 | Gunma Bank, Ltd. (The) | 154,015 | ||||||
28,000 | Hachijuni Bank, Ltd. (The) | 173,620 | ||||||
48,100 | Hang Seng Bank, Ltd. | 786,142 |
Continued
2
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Banks, continued | |||||||
33,000 | Hiroshima Bank, Ltd. (The) | $ | 157,939 | |||||
89,000 | Hokuhoku Financial Group, Inc. | 190,041 | ||||||
1,174,524 | HSBC Holdings plc | 11,922,390 | ||||||
60,208 | Intesa Sanpaolo | 159,750 | ||||||
729,269 | Intesa Sanpaolo SpA | 2,248,029 | ||||||
17,400 | Iyo Bank, Ltd. (The) | 176,189 | ||||||
45,000 | Joyo Bank, Ltd. (The) | 240,311 | ||||||
16,013 | KBC Groep NV* | 870,163 | ||||||
3,564,077 | Lloyds Banking Group plc* | 4,531,863 | ||||||
791,000 | Mitsubishi UFJ Financial Group, Inc. | 4,859,813 | ||||||
8,445 | Mizrahi Tefahot Bank, Ltd. | 109,178 | ||||||
1,442,439 | Mizuho Financial Group, Inc. | 2,965,555 | ||||||
147,255 | National Australia Bank, Ltd. | 4,554,264 | ||||||
54,937 | Natixis | 351,760 | ||||||
188,150 | Nordea Bank AB | 2,653,357 | ||||||
159,000 | Oversea-Chinese Banking Corp., Ltd. | 1,218,434 | ||||||
7,158 | Raiffeisen International Bank-Holding AG | 227,858 | ||||||
134,987 | Resona Holdings, Inc. | 787,847 | ||||||
155,766 | Royal Bank of Scotland Group plc* | 877,641 | ||||||
33,400 | Seven Bank, Ltd. | 136,670 | ||||||
103,000 | Shinsei Bank, Ltd. | 232,431 | ||||||
35,000 | Shizuoka Bank, Ltd. (The) | 379,063 | ||||||
94,803 | Skandinaviska Enskilda Banken AB, Class A | 1,266,117 | ||||||
45,132 | Societe Generale | 2,360,009 | ||||||
152,247 | Standard Chartered plc | 3,110,902 | ||||||
79,769 | Sumitomo Mitsui Financial Group, Inc. | 3,350,013 | ||||||
11,000 | Suruga Bank, Ltd. | 213,885 | ||||||
30,934 | Svenska Handelsbanken AB, A Shares | 1,512,976 | ||||||
56,309 | Swedbank AB, A Shares | 1,492,763 | ||||||
53,527 | UBI Banca - Unione di Banche Italiane SCPA | 462,266 | ||||||
278,110 | UniCredit SpA | 2,329,199 | ||||||
76,073 | United Overseas Bank, Ltd. | 1,375,194 | ||||||
193,411 | Westpac Banking Corp. | 6,183,163 | ||||||
15,000 | Yamaguchi Financial Group, Inc. | 158,368 | ||||||
|
| |||||||
112,978,657 | ||||||||
|
| |||||||
| Beverages (2.4%): | |||||||
49,957 | Anheuser-Busch InBev NV | 5,741,716 | ||||||
24,200 | Asahi Breweries, Ltd. | 760,728 | ||||||
6,677 | Carlsberg A/S, Class B | 719,243 | ||||||
36,363 | Coca-Cola Amatil, Ltd. | 324,174 | ||||||
12,509 | Coca-Cola HBC AG | 287,017 | ||||||
155,914 | Diageo plc | 4,962,637 | ||||||
6,248 | Heineken Holding NV | 410,777 | ||||||
14,169 | Heineken NV | 1,017,209 | ||||||
50,800 | Kirin Holdings Co., Ltd. | 734,800 | ||||||
13,149 | Pernod Ricard SA^ | 1,578,970 | ||||||
1,475 | Remy Cointreau SA | 135,692 | ||||||
60,408 | SABMiller plc | 3,499,449 | ||||||
8,800 | Suntory Beverage & Food, Ltd. | 345,541 | ||||||
46,255 | Treasury Wine Estates, Ltd. | 218,531 | ||||||
|
| |||||||
20,736,484 | ||||||||
|
| |||||||
| Biotechnology (0.4%): | |||||||
6,171 | Actelion, Ltd., Registered Shares | 780,264 | ||||||
29,894 | CSL, Ltd. | 1,876,533 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Biotechnology, continued | |||||||
9,048 | Grifols SA | $ | 493,949 | |||||
|
| |||||||
3,150,746 | ||||||||
|
| |||||||
| Building Products (0.6%): | |||||||
63,000 | Asahi Glass Co., Ltd. | 371,896 | ||||||
20,475 | Assa Abloy AB, Class B | 1,040,972 | ||||||
27,792 | Compagnie de Saint-Gobain SA | 1,565,582 | ||||||
14,500 | Daikin Industries, Ltd. | 917,286 | ||||||
2,325 | Geberit AG, Registered Shares | 816,676 | ||||||
16,300 | Lixil Group Corp. | 440,920 | ||||||
18,000 | TOTO, Ltd. | 243,079 | ||||||
|
| |||||||
5,396,411 | ||||||||
|
| |||||||
| Capital Markets (1.8%): | |||||||
59,663 | 3i Group plc | 409,810 | ||||||
55,368 | Aberdeen Asset Management plc | 430,163 | ||||||
93,881 | Credit Suisse Group AG, Registered Shares | 2,673,900 | ||||||
104,300 | Daiwa Securities Group, Inc. | 905,218 | ||||||
86,565 | Deutsche Bank AG, Registered Shares | 3,045,342 | ||||||
38,492 | ICAP plc | 250,002 | ||||||
35,628 | Investec plc | 328,653 | ||||||
14,125 | Julius Baer Group, Ltd. | 582,556 | ||||||
17,709 | Macquarie Group, Ltd. | 995,283 | ||||||
38,186 | Mediobanca SpA* | 380,730 | ||||||
224,100 | Nomura Holdings, Inc. | 1,584,068 | ||||||
1,118 | Partners Group Holding AG | 305,385 | ||||||
11,690 | SBI Holdings, Inc. | 143,519 | ||||||
7,885 | Schroders plc | 337,645 | ||||||
228,741 | UBS AG, Registered Shares | 4,192,418 | ||||||
|
| |||||||
16,564,692 | ||||||||
|
| |||||||
| Chemicals (3.3%): | |||||||
21,327 | Air Liquide SA | 2,879,148 | ||||||
10,000 | Air Water, Inc. | 160,190 | ||||||
15,251 | Akzo Nobel NV^ | 1,143,398 | ||||||
3,440 | Arkema, Inc. | 334,813 | ||||||
76,000 | Asahi Kasei Corp. | 582,736 | ||||||
57,163 | BASF SE | 6,655,483 | ||||||
8,319 | Croda International plc | 313,609 | ||||||
18,000 | Daicel Chemical Industries, Ltd. | 172,340 | ||||||
508 | Ems-Chemie Holding AG | 202,842 | ||||||
565 | Givaudan SA, Registered Shares | 942,750 | ||||||
8,400 | Hitachi Chemical Co., Ltd. | 139,225 | ||||||
103,372 | Incitec Pivot, Ltd. | 282,866 | ||||||
28,383 | Israel Chemicals, Ltd. | 243,637 | ||||||
163 | Israel Corp., Ltd. (The)* | 92,793 | ||||||
12,552 | Johnson Matthey plc | 665,265 | ||||||
11,800 | JSR Corp. | 202,796 | ||||||
10,653 | K+S AG, Registered Shares^ | 349,684 | ||||||
15,000 | Kaneka Corp. | 94,026 | ||||||
13,000 | Kansai Paint Co., Ltd. | 217,777 | ||||||
11,046 | Koninklijke DSM NV | 803,837 | ||||||
22,300 | Kuraray Co., Ltd. | 283,129 | ||||||
5,849 | Lanxess AG | 394,544 | ||||||
11,478 | Linde AG | 2,440,732 | ||||||
83,000 | Mitsubishi Chemical Holdings Corp. | 368,430 |
Continued
3
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Chemicals, continued | |||||||
25,000 | Mitsubishi Gas Chemical Co., Inc. | $ | 160,216 | |||||
56,000 | Mitsui Chemicals, Inc. | 153,378 | ||||||
10,000 | Nippon Paint Co., Ltd. | 212,232 | ||||||
10,100 | Nitto Denko Corp. | 474,267 | ||||||
14,195 | Novozymes A/S, B Shares | 712,327 | ||||||
23,220 | Orica, Ltd. | 426,843 | ||||||
25,400 | Shin-Etsu Chemical Co., Ltd. | 1,546,461 | ||||||
133 | Sika AG, Bearer Shares | 544,124 | ||||||
3,598 | Solvay SA | 620,238 | ||||||
91,000 | Sumitomo Chemical Co., Ltd. | 344,810 | ||||||
5,861 | Syngenta AG, Registered Shares | 2,190,279 | ||||||
17,000 | Taiyo Nippon Sanso Corp.^ | 150,830 | ||||||
62,000 | Teijin, Ltd. | 155,735 | ||||||
89,000 | Toray Industries, Inc. | 586,133 | ||||||
7,101 | Umicore | 330,480 | ||||||
11,517 | Yara International ASA | 577,632 | ||||||
|
| |||||||
29,152,035 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.6%): | |||||||
15,730 | Aggreko plc | 443,823 | ||||||
30,703 | Babcock International Group plc | 610,552 | ||||||
97,290 | Brambles, Ltd. | 843,564 | ||||||
35,000 | Dai Nippon Printing Co., Ltd. | 366,235 | ||||||
12,919 | Edenred | 391,431 | ||||||
98,126 | G4S plc | 428,299 | ||||||
6,600 | Park24 Co., Ltd. | 120,167 | ||||||
12,900 | SECOM Co., Ltd. | 789,728 | ||||||
18,326 | Securitas AB, B Shares | 217,293 | ||||||
1,677 | Societe BIC SA | 229,393 | ||||||
37,000 | Toppan Printing Co., Ltd. | 286,902 | ||||||
|
| |||||||
4,727,387 | ||||||||
|
| |||||||
| Communications Equipment (0.6%): | |||||||
170,427 | Alcatel-Lucent* | 611,084 | ||||||
231,027 | Nokia OYJ^ | 1,747,412 | ||||||
188,644 | Telefonaktiebolaget LM Ericsson, B Shares | 2,281,678 | ||||||
|
| |||||||
4,640,174 | ||||||||
|
| |||||||
| Construction & Engineering (0.8%): | |||||||
10,728 | ACS, Actividades de Construccion y Servicios SA | 490,040 | ||||||
12,560 | Bouygues SA | 523,467 | ||||||
9,000 | Chiyoda Corp. | 109,243 | ||||||
25,318 | Ferrovial SA | 563,203 | ||||||
1,338 | Hochtief AG | 115,812 | ||||||
13,000 | JGC Corp. | 395,729 | ||||||
51,000 | Kajima Corp. | 225,872 | ||||||
5,932 | Koninklijke Boskalis Westminster NV | 339,839 | ||||||
6,904 | Leighton Holdings, Ltd.^ | 128,450 | ||||||
40,000 | Obayashi Corp. | 285,997 | ||||||
5,805 | OCI NV* | 226,277 | ||||||
38,000 | Shimizu Corp. | 269,485 | ||||||
23,030 | Skanska AB, B Shares | 525,332 | ||||||
69,000 | TAISEI Corp. | 382,720 | ||||||
30,306 | Vinci SA | 2,263,285 | ||||||
|
| |||||||
6,844,751 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Construction Materials (0.6%): | |||||||
50,387 | Boral, Ltd. | $ | 249,653 | |||||
45,335 | CRH plc | 1,167,311 | ||||||
43,202 | Fletcher Building, Ltd. | 333,093 | ||||||
8,620 | HeidelbergCement AG | 735,107 | ||||||
14,177 | Holcim, Ltd., Registered Shares | 1,246,522 | ||||||
2,219 | Imerys SA | 187,251 | ||||||
27,322 | James Hardie Industries SE | 356,897 | ||||||
11,589 | Lafarge SA^ | 1,006,088 | ||||||
77,000 | Taiheiyo Cement Corp. | 310,633 | ||||||
|
| |||||||
5,592,555 | ||||||||
|
| |||||||
| Consumer Finance (0.1%): | |||||||
32,300 | ACOM Co., Ltd.*^ | 154,051 | ||||||
6,800 | Aeon Credit Service Co., Ltd. | 178,198 | ||||||
10,400 | Credit Saison Co., Ltd. | 216,301 | ||||||
|
| |||||||
548,550 | ||||||||
|
| |||||||
| Containers & Packaging (0.1%): | |||||||
76,058 | Amcor, Ltd. | 748,339 | ||||||
43,240 | Rexam plc | 395,658 | ||||||
9,800 | Toyo Seikan Kaisha, Ltd. | 150,896 | ||||||
|
| |||||||
1,294,893 | ||||||||
|
| |||||||
| Distributors (0.1%): | |||||||
6,000 | Jardine Cycle & Carriage, Ltd. | 212,354 | ||||||
352,000 | Li & Fung, Ltd. | 521,369 | ||||||
|
| |||||||
733,723 | ||||||||
|
| |||||||
| Diversified Consumer Services (0.0%): | |||||||
3,700 | Benesse Holdings, Inc. | 160,657 | ||||||
|
| |||||||
| Diversified Financial Services (1.3%): | |||||||
12,354 | ASX, Ltd. | 415,056 | ||||||
11,887 | Deutsche Boerse AG | 922,450 | ||||||
2,685 | Eurazeo | 223,169 | ||||||
6,343 | EXOR SpA | 260,517 | ||||||
149,750 | First Pacific Co., Ltd. | 167,341 | ||||||
5,077 | Groupe Bruxelles Lambert SA | 527,553 | ||||||
15,821 | Hargreaves Lansdown plc | 334,613 | ||||||
69,400 | Hong Kong Exchanges & Clearing, Ltd. | 1,295,505 | ||||||
8,009 | Industrivarden AB, C Shares | 158,134 | ||||||
240,821 | ING Groep NV* | 3,378,758 | ||||||
27,986 | Investor AB, B Shares | 1,049,303 | ||||||
17,300 | Japan Exchange Group, Inc. | 427,388 | ||||||
14,671 | Kinnevik Investment AB, Class B | 625,079 | ||||||
10,613 | London Stock Exchange Group plc | 364,164 | ||||||
34,100 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 196,405 | ||||||
82,600 | ORIX Corp. | 1,368,245 | ||||||
1,812 | Pargesa Holding SA | 162,757 | ||||||
54,000 | Singapore Exchange, Ltd. | 300,559 | ||||||
|
| |||||||
12,176,996 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (3.3%): | |||||||
9,463 | Belgacom SA | 313,735 | ||||||
119,553 | Bezeq The Israeli Telecommunication Corp., Ltd. | 223,908 | ||||||
496,307 | BT Group plc | 3,264,745 | ||||||
194,601 | Deutsche Telekom AG, Registered Shares | 3,410,687 | ||||||
8,210 | Elisa OYJ | 250,972 |
Continued
4
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Diversified Telecommunication Services, continued | |||||||
115,302 | France Telecom SA | $ | 1,816,998 | |||||
149,000 | HKT Trust & HKT, Ltd. | 175,523 | ||||||
1,632 | Iliad SA | 492,493 | ||||||
28,073 | Inmarsat plc | 358,777 | ||||||
196,105 | Koninklijke (Royal) KPN NV* | 714,038 | ||||||
23,076 | Nippon Telegraph & Telephone Corp. | 1,441,446 | ||||||
277,000 | PCCW, Ltd. | 165,149 | ||||||
496,000 | Singapore Telecommunications, Ltd. | 1,532,590 | ||||||
1,492 | Swisscom AG, Registered Shares | 866,941 | ||||||
51,006 | TDC A/S | 527,907 | ||||||
125,177 | Telecom Corp. of New Zealand, Ltd. | 293,625 | ||||||
612,054 | Telecom Italia SpA | 774,283 | ||||||
377,255 | Telecom Italia SpA, RSP | 372,243 | ||||||
18,991 | Telefonica Deutschland Holding AG | 156,948 | ||||||
256,751 | Telefonica SA | 4,401,614 | ||||||
13,949 | Telekom Austria AG | 136,340 | ||||||
3,024 | Telenet Group Holding NV* | 172,215 | ||||||
47,526 | Telenor ASA | 1,081,651 | ||||||
148,786 | TeliaSonera AB | 1,086,242 | ||||||
268,814 | Telstra Corp., Ltd. | 1,321,084 | ||||||
18,376 | TPG Telecom, Ltd. | 95,519 | ||||||
75,886 | Vivendi | 1,855,747 | ||||||
9,527 | Ziggo NV | 440,232 | ||||||
|
| |||||||
27,743,652 | ||||||||
|
| |||||||
| Electric Utilities (1.9%): | |||||||
39,000 | Cheung Kong Infrastructure Holdings, Ltd. | 268,966 | ||||||
40,400 | Chubu Electric Power Co., Inc.* | 503,172 | ||||||
18,700 | Chugoku Electric Power Co., Inc. (The) | 255,639 | ||||||
119,000 | CLP Holdings, Ltd. | 977,171 | ||||||
19,882 | Contact Energy, Ltd. | 92,399 | ||||||
125,056 | E.ON AG | 2,582,134 | ||||||
145,653 | EDP - Energias de Portugal SA | 730,303 | ||||||
15,690 | Electricite de France | 494,117 | ||||||
412,875 | Enel SpA^ | 2,402,392 | ||||||
27,460 | Fortum OYJ^ | 736,678 | ||||||
11,200 | Hokuriku Electric Power Co. | 148,735 | ||||||
84,500 | Hongkong Electric Holdings, Ltd. | 739,201 | ||||||
318,704 | Iberdrola SA | 2,436,509 | ||||||
42,400 | Kansai Electric Power Co., Inc. (The)* | 400,338 | ||||||
26,100 | Kyushu Electric Power Co., Inc.* | 294,403 | ||||||
6,025 | Red Electrica Corporacion SA^ | 551,857 | ||||||
60,966 | Scottish & Southern Energy plc | 1,633,800 | ||||||
11,900 | Shikoku Electric Power Co., Inc.* | 166,420 | ||||||
114,914 | SP AusNet | 143,601 | ||||||
94,887 | Terna - Rete Elettrica Nationale SpA^ | 500,208 | ||||||
28,400 | Tohoku Electric Power Co., Inc. | 333,996 | ||||||
91,100 | Tokyo Electric Power Co., Inc. (The)* | 380,049 | ||||||
|
| |||||||
16,772,088 | ||||||||
|
| |||||||
| Electrical Equipment (1.4%): | |||||||
137,862 | ABB, Ltd. | 3,182,133 | ||||||
13,191 | Alstom SA | 481,418 | ||||||
37,000 | Fuji Electric Holdings Co., Ltd. | 175,746 | ||||||
16,317 | Legrand SA | 997,423 | ||||||
1,700 | Mabuchi Motor Co., Ltd. | 129,085 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Electrical Equipment, continued | |||||||
120,000 | Mitsubishi Electric Corp. | $ | 1,484,886 | |||||
12,600 | Nidec Corp. | 774,824 | ||||||
6,048 | Osram Licht AG* | 305,077 | ||||||
12,754 | Prysmian SpA | 287,824 | ||||||
32,542 | Schneider Electric SA | 3,068,963 | ||||||
47,000 | Sumitomo Electric Industries, Ltd. | 662,906 | ||||||
14,020 | Vestas Wind Systems A/S* | 708,114 | ||||||
|
| |||||||
12,258,399 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (1.2%): | |||||||
14,500 | Citizen Holdings Co., Ltd. | 114,058 | ||||||
28,300 | Fujifilm Holdings Corp. | 790,946 | ||||||
4,800 | Hamamatsu Photonics K.K. | 235,906 | ||||||
16,053 | Hexagon AB, B Shares^ | 517,150 | ||||||
1,900 | Hirose Electric Co., Ltd. | 282,898 | ||||||
3,500 | Hitachi High-Technologies Corp. | 83,428 | ||||||
300,100 | Hitachi, Ltd. | 2,202,663 | ||||||
26,500 | HOYA Corp. | 881,950 | ||||||
7,600 | IBIDEN Co., Ltd. | 153,370 | ||||||
23,600 | Japan Display, Inc.* | 144,837 | ||||||
2,770 | Keyence Corp. | 1,211,805 | ||||||
20,200 | Kyocera Corp. | 961,164 | ||||||
12,500 | Murata Manufacturing Co., Ltd. | 1,172,685 | ||||||
25,000 | Nippon Electric Glass Co., Ltd. | 145,885 | ||||||
12,500 | Omron Corp. | 528,193 | ||||||
17,028 | Rexel SA | 398,066 | ||||||
13,000 | Shimadzu Corp. | 119,389 | ||||||
7,600 | TDK Corp. | 357,201 | ||||||
14,000 | Yaskawa Electric Corp. | 169,958 | ||||||
12,900 | Yokogawa Electric Corp. | 163,620 | ||||||
|
| |||||||
10,635,172 | ||||||||
|
| |||||||
| Energy Equipment & Services (0.6%): | |||||||
10,552 | Aker Solutions ASA | 183,200 | ||||||
19,839 | AMEC plc | 412,016 | ||||||
4,737 | Fugro NV^ | 270,969 | ||||||
16,323 | Petrofac, Ltd. | 335,429 | ||||||
16,365 | Saipem SpA* | 440,983 | ||||||
23,167 | Seadrill, Ltd.^ | 918,236 | ||||||
18,110 | Subsea 7 SA | 337,945 | ||||||
6,185 | Technip-Coflexip SA | 677,437 | ||||||
28,657 | Tenaris SA | 675,926 | ||||||
22,572 | Transocean, Ltd. | 1,013,570 | ||||||
13,604 | WorleyParsons, Ltd. | 223,526 | ||||||
|
| |||||||
5,489,237 | ||||||||
|
| |||||||
| Food & Staples Retailing (1.9%): | |||||||
38,000 | Aeon Co., Ltd.^ | 468,032 | ||||||
37,852 | Carrefour SA | 1,394,961 | ||||||
3,399 | Casino Guichard-Perrachon SA | 450,366 | ||||||
4,894 | Colruyt SA | 248,474 | ||||||
6,241 | Delhaize Group | 421,941 | ||||||
37,768 | Distribuidora Internacional de Alimentacion SA | 347,305 | ||||||
3,700 | FamilyMart Co., Ltd. | 159,684 | ||||||
74,414 | J Sainsbury plc | 402,767 | ||||||
15,701 | Jeronimo Martins SGPS SA | 258,364 |
Continued
5
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Food & Staples Retailing, continued | |||||||
59,114 | Koninklijke Ahold NV | $ | 1,109,126 | |||||
3,900 | LAWSON, Inc. | 292,828 | ||||||
57,202 | Metcash, Ltd.^ | 142,446 | ||||||
10,248 | Metro AG* | 446,600 | ||||||
46,500 | Seven & I Holdings Co., Ltd. | 1,962,602 | ||||||
501,834 | Tesco plc | 2,437,371 | ||||||
70,792 | Wesfarmers, Ltd. | 2,794,320 | ||||||
134,588 | William Morrison Supermarkets plc | 423,364 | ||||||
78,892 | Woolworths, Ltd. | 2,619,223 | ||||||
|
| |||||||
16,379,774 | ||||||||
|
| |||||||
| Food Products (3.9%): | |||||||
36,000 | Ajinomoto Co., Inc. | 564,240 | ||||||
5,369 | Aryzta AG | 508,264 | ||||||
22,075 | Associated British Foods plc | 1,155,903 | ||||||
146 | Barry Callebaut AG, Registered Shares | 198,407 | ||||||
4,400 | Calbee, Inc. | 121,513 | ||||||
35,622 | Danone SA | 2,643,601 | ||||||
458,382 | Golden Agri-Resources, Ltd. | 204,085 | ||||||
9,681 | Kerry Group plc, Class A | 727,123 | ||||||
10,000 | Kikkoman Corp. | 208,687 | ||||||
7 | Lindt & Spruengli AG, Registered Shares | 432,456 | ||||||
60 | Lindt & Spruengli AG | 305,444 | ||||||
3,926 | Meiji Holdings Co., Ltd. | 260,446 | ||||||
200,280 | Nestle SA, Registered Shares | 15,521,787 | ||||||
11,000 | Nippon Meat Packers, Inc. | 215,196 | ||||||
12,650 | Nisshin Seifun Group, Inc. | 151,169 | ||||||
3,500 | Nissin Foods Holdings Co., Ltd. | 180,202 | ||||||
28,564 | Tate & Lyle plc | 334,384 | ||||||
5,000 | Toyo Suisan Kaisha, Ltd. | 154,469 | ||||||
101,068 | Unilever NV | 4,420,561 | ||||||
79,654 | Unilever plc | 3,611,476 | ||||||
118,000 | Wilmar International, Ltd. | 302,064 | ||||||
5,600 | Yakult Honsha Co., Ltd. | 284,128 | ||||||
6,000 | Yamazaki Baking Co., Ltd. | 74,965 | ||||||
|
| |||||||
32,580,570 | ||||||||
|
| |||||||
| Gas Utilities (0.5%): | |||||||
51,712 | APA Group | 335,871 | ||||||
10,800 | Enagas^ | 347,973 | ||||||
21,397 | Gas Natural SDG SA^ | 677,108 | ||||||
393,829 | Hong Kong & China Gas Co., Ltd. | 862,533 | ||||||
115,000 | Osaka Gas Co., Ltd. | 484,235 | ||||||
127,558 | Snam Rete Gas SpA | 768,436 | ||||||
28,000 | Toho Gas Co., Ltd. | 154,218 | ||||||
147,000 | Tokyo Gas Co., Ltd. | 860,056 | ||||||
|
| |||||||
4,490,430 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (0.7%): | |||||||
3,306 | Cochlear, Ltd.^ | 192,435 | ||||||
6,838 | Coloplast A/S, Class B | 618,755 | ||||||
23,230 | Elekta AB, B Shares^ | 295,414 | ||||||
12,532 | Essilor International SA Cie Generale d’Optique | 1,330,400 | ||||||
12,446 | Getinge AB, B Shares | 326,957 | ||||||
14,600 | Olympus Co., Ltd.* | 504,285 | ||||||
56,012 | Smith & Nephew plc | 995,890 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Health Care Equipment & Supplies, continued | |||||||
3,349 | Sonova Holding AG, Registered Shares | $ | 511,305 | |||||
9,600 | Sysmex Corp. | 361,116 | ||||||
19,000 | Terumo Corp. | 425,738 | ||||||
1,418 | William Demant Holding A/S* | 128,766 | ||||||
|
| |||||||
5,691,061 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.4%): | |||||||
2,700 | Alfresa Holdings Corp. | 174,260 | ||||||
2,756 | Celesio AG* | 98,099 | ||||||
13,201 | Fresenius Medical Care AG & Co., KGaA | 888,274 | ||||||
7,849 | Fresenius SE & Co. KGaA | 1,170,445 | ||||||
7,600 | Medipal Holdings Corp. | 107,868 | ||||||
3,300 | Miraca Holdings, Inc. | 160,114 | ||||||
8,216 | Ramsay Health Care, Ltd. | 352,770 | ||||||
21,805 | Ryman Healthcare, Ltd. | 163,169 | ||||||
23,193 | Sonic Healthcare, Ltd. | 379,205 | ||||||
4,700 | Suzuken Co., Ltd. | 175,182 | ||||||
|
| |||||||
3,669,386 | ||||||||
|
| |||||||
| Health Care Technology (0.0%): | |||||||
12,500 | M3, Inc. | 198,838 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.2%): | |||||||
10,883 | Accor SA | 565,506 | ||||||
11,178 | Carnival plc | 421,710 | ||||||
110,721 | Compass Group plc | 1,932,596 | ||||||
21,713 | Crown, Ltd. | 309,704 | ||||||
3,662 | Flight Centre, Ltd.^ | 153,618 | ||||||
146,000 | Galaxy Entertainment Group, Ltd. | 1,167,883 | ||||||
372,757 | Genting Singapore plc | 397,791 | ||||||
16,229 | InterContinental Hotels Group plc | 671,410 | ||||||
4,629 | McDonald’s Holdings Co., Ltd.^ | 130,011 | ||||||
60,400 | MGM China Holdings, Ltd. | 209,691 | ||||||
3,100 | Oriental Land Co., Ltd. | 531,579 | ||||||
148,500 | Sands China, Ltd. | 1,121,782 | ||||||
87,333 | Shangri-La Asia, Ltd. | 136,876 | ||||||
120,000 | SJM Holdings, Ltd. | 301,023 | ||||||
5,848 | Sodexo, Inc. | 629,340 | ||||||
49,758 | Tabcorp Holdings, Ltd. | 157,594 | ||||||
90,522 | Tatts Group, Ltd. | 279,245 | ||||||
32,640 | Tui Travel plc | 222,041 | ||||||
11,308 | Whitbread plc | 851,962 | ||||||
55,786 | William Hill plc | 312,655 | ||||||
95,600 | Wynn Macau, Ltd. | 375,046 | ||||||
|
| |||||||
10,879,063 | ||||||||
|
| |||||||
| Household Durables (0.6%): | |||||||
11,400 | Casio Computer Co., Ltd.^ | 165,870 | ||||||
14,740 | Electrolux AB, Series B | 372,548 | ||||||
26,794 | Husqvarna AB, B Shares | 208,151 | ||||||
10,800 | Iida Group Holdings Co., Ltd. | 164,052 | ||||||
137,300 | Panasonic Corp. | 1,676,233 | ||||||
19,441 | Persimmon plc* | 422,724 | ||||||
2,300 | Rinnai Corp. | 222,440 | ||||||
27,000 | Sekisui Chemical Co., Ltd. | 313,393 | ||||||
36,500 | Sekisui House, Ltd. | 501,540 | ||||||
94,000 | Sharp Corp.*^ | 301,263 |
Continued
6
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Household Durables, continued | |||||||
66,200 | Sony Corp. | $ | 1,105,913 | |||||
88,000 | Techtronic Industries Co., Ltd. | 282,311 | ||||||
|
| |||||||
5,736,438 | ||||||||
|
| |||||||
| Household Products (0.6%): | |||||||
6,707 | Henkel AG & Co. KGaA | 674,878 | ||||||
40,615 | Reckitt Benckiser Group plc | 3,541,496 | ||||||
7,900 | Unicharm Corp. | 471,431 | ||||||
|
| |||||||
4,687,805 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.0%): |
| ||||||
7,700 | Electric Power Development Co., Ltd. | 250,518 | ||||||
111,801 | Enel Green Power SpA | 316,589 | ||||||
|
| |||||||
567,107 | ||||||||
|
| |||||||
| Industrial Conglomerates (1.4%): | |||||||
329 | Delek Group, Ltd. | 136,081 | ||||||
70,000 | Hankyu Hanshin Holdings, Inc. | 399,990 | ||||||
133,000 | Hutchison Whampoa, Ltd. | 1,819,414 | ||||||
88,200 | Keppel Corp., Ltd. | 763,656 | ||||||
62,685 | Koninklijke Philips Electronics NV | 1,987,008 | ||||||
102,390 | NWS Holdings, Ltd. | 189,973 | ||||||
52,166 | Orkla ASA | 464,532 | ||||||
63,000 | SembCorp Industries, Ltd. | 270,781 | ||||||
49,344 | Siemens AG, Registered Shares | 6,516,641 | ||||||
24,324 | Smiths Group plc | 539,495 | ||||||
2,053 | Wendel | 293,883 | ||||||
|
| |||||||
13,381,454 | ||||||||
|
| |||||||
| Insurance (5.1%): | |||||||
11,865 | Admiral Group plc | 315,333 | ||||||
113,297 | AEGON NV | 988,872 | ||||||
13,815 | Ageas NV | 551,160 | ||||||
746,800 | AIA Group, Ltd. | 3,758,152 | ||||||
28,589 | Allianz SE, Registered Shares+ | 4,764,479 | ||||||
182,929 | AMP, Ltd. | 914,861 | ||||||
72,312 | Assicurazioni Generali SpA | 1,585,026 | ||||||
182,158 | Aviva plc | 1,596,118 | ||||||
112,551 | AXA SA | 2,685,822 | ||||||
2,847 | Baloise Holding AG, Registered Shares | 335,599 | ||||||
11,102 | CNP Assurances | 230,474 | ||||||
53,200 | Dai-ichi Life Insurance Co., Ltd. (The) | 794,443 | ||||||
12,323 | Delta Lloyd NV | 312,522 | ||||||
94,955 | Direct Line Insurance Group plc | 439,441 | ||||||
12,692 | Gjensidige Forsikring ASA | 227,699 | ||||||
3,729 | Hannover Rueckversicherung AG, Registered Shares | 336,035 | ||||||
144,251 | Insurance Australia Group, Ltd. | 794,671 | ||||||
374,817 | Legal & General Group plc | 1,445,719 | ||||||
63,211 | Mapfre SA | 251,634 | ||||||
30,811 | MS&AD Insurance Group Holdings, Inc. | 746,107 | ||||||
11,286 | Muenchener Rueckversicherungs-Gesellschaft AG, Registered Shares | 2,501,741 | ||||||
20,425 | NKSJ Holdings, Inc. | 551,416 | ||||||
303,022 | Old Mutual plc | 1,023,918 | ||||||
160,446 | Prudential plc | 3,679,977 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Insurance, continued | |||||||
80,565 | QBE Insurance Group, Ltd. | $ | 826,170 | |||||
86,263 | Resolution, Ltd. | 464,968 | ||||||
63,366 | RSA Insurance Group plc | 514,830 | ||||||
28,239 | Sampo OYJ, A Shares | 1,429,247 | ||||||
9,485 | SCOR SE | 326,280 | ||||||
10,400 | Sony Financial Holdings, Inc. | 177,745 | ||||||
146,923 | Standard Life plc | 939,285 | ||||||
79,656 | Suncorp-Metway, Ltd. | 1,017,347 | ||||||
1,973 | Swiss Life Holding AG, Registered Shares | 468,053 | ||||||
22,095 | Swiss Re AG | 1,966,849 | ||||||
38,336 | T&D Holdings, Inc. | 522,258 | ||||||
42,900 | Tokio Marine Holdings, Inc. | 1,413,751 | ||||||
1,593 | Tryg A/S | 160,957 | ||||||
55,460 | Unipolsai Assicurazioni SpA | 178,346 | ||||||
2,104 | Vienna Insurance Group Weiner Staeditische Versicherung AG | 112,622 | ||||||
9,344 | Zurich Insurance Group AG | 2,817,759 | ||||||
|
| |||||||
44,167,686 | ||||||||
|
| |||||||
| Internet & Catalog Retail (0.1%): | |||||||
3,308 | Asos plc* | 167,173 | ||||||
50,100 | Rakuten, Inc. | 649,013 | ||||||
|
| |||||||
816,186 | ||||||||
|
| |||||||
| Internet Software & Services (0.1%): | |||||||
6,200 | DeNA Co., Ltd.^ | 84,019 | ||||||
5,200 | Gree, Inc.^ | 45,673 | ||||||
8,700 | Kakaku.com, Inc. | 152,791 | ||||||
7,563 | United Internet AG, Registered Shares | 333,199 | ||||||
87,300 | Yahoo! Japan Corp. | 404,610 | ||||||
|
| |||||||
1,020,292 | ||||||||
|
| |||||||
| IT Services (0.3%): | |||||||
23,385 | Amadeus IT Holding SA, A Shares | 963,377 | ||||||
4,965 | Atos Origin SA | 413,861 | ||||||
8,815 | Cap Gemini SA | 629,525 | ||||||
29,719 | Computershare, Ltd. | 349,946 | ||||||
1,200 | Itochu Techno-Solutions Corp. | 52,167 | ||||||
7,200 | Nomura Research Institute, Ltd. | 227,168 | ||||||
7,600 | NTT Data Corp. | 292,493 | ||||||
2,700 | Otsuka Corp. | 131,047 | ||||||
|
| |||||||
3,059,584 | ||||||||
|
| |||||||
| Leisure Products (0.2%): | |||||||
11,400 | Namco Bandai Holdings, Inc. | 267,502 | ||||||
21,300 | Nikon Corp. | 335,879 | ||||||
3,200 | Sankyo Co., Ltd. | 123,219 | ||||||
11,700 | Sega Sammy Holdings, Inc. | 230,652 | ||||||
4,700 | Shimano, Inc. | 522,604 | ||||||
11,800 | Yamaha Corp. | 186,411 | ||||||
|
| |||||||
1,666,267 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.0%): | |||||||
3,322 | Lonza Group AG, Registered Shares | 361,747 | ||||||
14,641 | QIAGEN NV* | 354,651 | ||||||
|
| |||||||
716,398 | ||||||||
|
|
Continued
7
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Machinery (2.4%): | |||||||
19,201 | Alfa Laval AB | $ | 494,543 | |||||
23,000 | AMADA Co., Ltd. | 234,203 | ||||||
4,684 | Andritz AG | 270,372 | ||||||
23,778 | Atlas Copco AB, B Shares | 634,720 | ||||||
41,430 | Atlas Copco AB, A Shares | 1,196,241 | ||||||
57,952 | CNH Industrial NV | 594,471 | ||||||
11,800 | Fanuc, Ltd. | 2,039,444 | ||||||
11,138 | GEA Group AG | 527,529 | ||||||
15,000 | Hino Motors, Ltd. | 207,122 | ||||||
6,900 | Hitachi Construction Machinery Co., Ltd. | 137,722 | ||||||
83,000 | IHI Corp. | 387,511 | ||||||
16,953 | IMI plc | 431,053 | ||||||
13,200 | JTEKT Corp. | 223,087 | ||||||
88,000 | Kawasaki Heavy Industries, Ltd. | 335,954 | ||||||
58,100 | Komatsu, Ltd. | 1,351,232 | ||||||
19,451 | Kone OYJ, B Shares^ | 812,098 | ||||||
71,000 | Kubota Corp. | 1,008,876 | ||||||
5,900 | Kurita Water Industries, Ltd. | 136,938 | ||||||
7,600 | Makita Corp. | 469,493 | ||||||
2,234 | MAN AG | 276,090 | ||||||
65,736 | Melrose Industries plc | 292,429 | ||||||
6,588 | Metso Corp. OYJ | 249,583 | ||||||
187,000 | Mitsubishi Heavy Industries, Ltd. | 1,169,072 | ||||||
6,500 | Nabtesco Corp. | 143,984 | ||||||
16,000 | NGK Insulators, Ltd. | 364,154 | ||||||
30,000 | NSK, Ltd. | 391,120 | ||||||
66,162 | Sandvik AB^ | 903,306 | ||||||
1,239 | Schindler Holding AG, Registered Shares | 186,842 | ||||||
3,061 | Schindler Holding AG^ | 465,159 | ||||||
49,000 | SembCorp Marine, Ltd.^ | 161,193 | ||||||
24,672 | SKF AB, B Shares | 629,083 | ||||||
3,500 | SMC Corp. | 938,695 | ||||||
1,669 | Sulzer AG, Registered Shares | 234,142 | ||||||
37,000 | Sumitomo Heavy Industries, Ltd. | 176,360 | ||||||
7,200 | THK Co., Ltd. | 170,145 | ||||||
6,864 | Vallourec SA | 307,207 | ||||||
94,057 | Volvo AB, B Shares | 1,294,566 | ||||||
9,303 | Wartsila Corp. OYJ | 461,058 | ||||||
13,937 | Weir Group plc (The) | 623,845 | ||||||
104,250 | Yangzijiang Shipbuilding Holdings, Ltd. | 90,078 | ||||||
11,945 | Zardoya Otis SA^ | 212,512 | ||||||
|
| |||||||
21,233,232 | ||||||||
|
| |||||||
| Marine (0.4%): | |||||||
175 | A.P. Moller - Maersk A/S, Class A | 412,014 | ||||||
405 | A.P. Moller - Maersk A/S, Class B | 1,007,093 | ||||||
3,282 | Kuehne & Nagel International AG, Registered Shares | 436,955 | ||||||
70,000 | Mitsui O.S.K. Lines, Ltd. | 260,921 | ||||||
102,000 | Nippon Yusen Kabushiki Kaisha | 294,471 | ||||||
|
| |||||||
2,411,454 | ||||||||
|
| |||||||
| Media (1.4%): | |||||||
3,878 | Altice SA*^ | 270,123 | ||||||
2,392 | Axel Springer AG | 147,166 | ||||||
62,505 | British Sky Broadcasting Group plc | 965,985 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Media, continued | |||||||
13,077 | Dentsu, Inc. | $ | 533,781 | |||||
10,353 | Eutelsat Communications SA | 359,526 | ||||||
15,400 | Hakuhodo DY Holdings, Inc. | 153,171 | ||||||
245,357 | ITV plc | 747,099 | ||||||
4,332 | JC Decaux SA | 161,807 | ||||||
1,278 | Kabel Deutschland Holding AG | 187,165 | ||||||
7,055 | Lagardere S.C.A. | 229,751 | ||||||
51,175 | Pearson plc | 1,009,790 | ||||||
13,363 | ProSiebenSat.1 Media AG, Registered Shares^ | 595,398 | ||||||
11,327 | Publicis Groupe | 961,486 | ||||||
3,075 | REA Group, Ltd. | 123,947 | ||||||
42,814 | Reed Elsevier NV | 981,489 | ||||||
72,985 | Reed Elsevier plc | 1,172,876 | ||||||
2,665 | RTL Group | 296,245 | ||||||
18,575 | SES, Class A | 704,201 | ||||||
98,768 | Singapore Press Holdings, Ltd.^ | 330,530 | ||||||
25,726 | Sky Deutschland AG* | 237,013 | ||||||
7,400 | Toho Co., Ltd. | 173,535 | ||||||
18,945 | Wolters Kluwer NV | 560,379 | ||||||
83,562 | WPP plc | 1,819,332 | ||||||
|
| |||||||
12,721,795 | ||||||||
|
| |||||||
| Metals & Mining (3.6%): | |||||||
147,224 | Alumina, Ltd.* | 187,560 | ||||||
86,562 | Anglo American plc | 2,114,407 | ||||||
24,134 | Antofagasta plc | 316,532 | ||||||
63,722 | ArcelorMittal^ | 947,012 | ||||||
132,395 | BHP Billiton plc | 4,310,147 | ||||||
199,966 | BHP Billiton, Ltd. | 6,830,484 | ||||||
17,343 | Boliden AB | 251,741 | ||||||
15,000 | Daido Steel Co., Ltd. | 76,837 | ||||||
94,422 | Fortescue Metals Group, Ltd. | 387,820 | ||||||
14,577 | Fresnillo plc | 217,309 | ||||||
665,955 | Glencore International plc | 3,710,358 | ||||||
15,000 | Hitachi Metals, Ltd. | 227,544 | ||||||
27,328 | Iluka Resources, Ltd. | 209,680 | ||||||
29,800 | JFE Holdings, Inc. | 616,019 | ||||||
186,000 | Kobe Steel, Ltd. | 279,540 | ||||||
2,600 | Maruichi Steel Tube, Ltd. | 69,914 | ||||||
70,000 | Mitsubishi Materials Corp. | 245,780 | ||||||
47,975 | Newcrest Mining, Ltd.* | 485,172 | ||||||
468,480 | Nippon Steel Corp. | 1,500,965 | ||||||
85,150 | Norsk Hydro ASA | 455,336 | ||||||
5,355 | Randgold Resources, Ltd. | 450,477 | ||||||
79,693 | Rio Tinto plc | 4,299,589 | ||||||
26,930 | Rio Tinto, Ltd. | 1,507,459 | ||||||
33,000 | Sumitomo Metal & Mining Co., Ltd. | 536,864 | ||||||
28,299 | ThyssenKrupp AG* | 825,040 | ||||||
6,984 | Voestalpine AG^ | 332,164 | ||||||
2,900 | Yamato Kogyo Co., Ltd. | 85,142 | ||||||
|
| |||||||
31,476,892 | ||||||||
|
| |||||||
| Multiline Retail (0.4%): | |||||||
4,000 | Don Quijote Co., Ltd. | 223,380 | ||||||
37,408 | Harvey Norman Holdings, Ltd.^ | 109,421 | ||||||
22,200 | Isetan Mitsukoshi Holdings, Ltd. | 289,823 |
Continued
8
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Multiline Retail, continued | |||||||
28,000 | J. Front Retailing Co., Ltd. | $ | 196,925 | |||||
100,857 | Marks & Spencer Group plc | 733,022 | ||||||
14,500 | MARUI GROUP Co., Ltd. | 139,228 | ||||||
9,665 | Next plc | 1,070,185 | ||||||
4,666 | Pinault Printemps Redoute | 1,022,397 | ||||||
18,000 | Takashimaya Co., Ltd. | 175,025 | ||||||
|
| |||||||
3,959,406 | ||||||||
|
| |||||||
| Multi-Utilities (1.2%): | |||||||
34,311 | AGL Energy, Ltd. | 500,686 | ||||||
316,689 | Centrica plc | 1,692,859 | ||||||
90,467 | GDF Suez | 2,487,227 | ||||||
233,886 | National Grid plc | 3,359,787 | ||||||
30,083 | RWE AG | 1,291,852 | ||||||
17,869 | Suez Environnement Co. | 342,472 | ||||||
25,980 | Veolia Environnement | 494,379 | ||||||
|
| |||||||
10,169,262 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (6.6%): | |||||||
213,706 | BG Group plc | 4,517,459 | ||||||
1,151,806 | BP plc | 10,140,620 | ||||||
8,913 | Caltex Australia, Ltd. | 181,364 | ||||||
159,468 | Eni SpA | 4,358,616 | ||||||
4,512 | Fuchs Petrolub AG | 204,034 | ||||||
24,376 | Galp Energia SGPS SA, B Shares | 446,309 | ||||||
6,000 | Idemitsu Kosan Co., Ltd. | 130,519 | ||||||
56,600 | INPEX Corp. | 862,110 | ||||||
139,570 | JX Holdings, Inc. | 748,059 | ||||||
13,881 | Lundin Petroleum AB* | 280,761 | ||||||
8,464 | Neste Oil OYJ^ | 164,940 | ||||||
8,980 | OMV AG | 405,794 | ||||||
68,347 | Origin Energy, Ltd. | 942,735 | ||||||
53,826 | Repsol YPF SA | 1,422,002 | ||||||
243,163 | Royal Dutch Shell plc, A Shares | 10,057,825 | ||||||
152,554 | Royal Dutch Shell plc, B Shares | 6,633,482 | ||||||
60,558 | Santos, Ltd. | 814,754 | ||||||
11,800 | Showa Shell Sekiyu K.K. | 134,284 | ||||||
69,375 | Statoil ASA | 2,140,802 | ||||||
19,000 | TonenGeneral Sekiyu K.K.^ | 180,623 | ||||||
133,383 | Total SA | 9,636,317 | ||||||
56,776 | Tullow Oil plc | 828,312 | ||||||
40,616 | Woodside Petroleum, Ltd. | 1,573,534 | ||||||
|
| |||||||
56,805,255 | ||||||||
|
| |||||||
| Paper & Forest Products (0.2%): | |||||||
47,000 | Oji Paper Co., Ltd. | 193,912 | ||||||
33,306 | Stora Enso OYJ, R Shares | 323,742 | ||||||
35,934 | Svenska Cellulosa AB, B Shares | 936,111 | ||||||
32,208 | UPM-Kymmene OYJ | 549,513 | ||||||
|
| |||||||
2,003,278 | ||||||||
|
| |||||||
| Personal Products (0.6%): | |||||||
6,140 | Beiersdorf AG | 594,150 | ||||||
32,200 | Kao Corp. | 1,268,828 | ||||||
14,993 | L’Oreal SA | 2,585,100 | ||||||
22,300 | Shiseido Co., Ltd. | 407,051 | ||||||
|
| |||||||
4,855,129 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Pharmaceuticals (8.9%): | |||||||
134,400 | Astellas Pharma, Inc. | $ | 1,769,494 | |||||
78,678 | AstraZeneca plc | 5,853,789 | ||||||
51,503 | Bayer AG | 7,274,218 | ||||||
13,900 | Chugai Pharmaceutical Co., Ltd. | 392,707 | ||||||
36,400 | Daiichi Sankyo Co., Ltd. | 680,064 | ||||||
10,500 | Dainippon Sumitomo Pharma Co., Ltd. | 120,974 | ||||||
15,500 | Eisai Co., Ltd. | 650,273 | ||||||
302,971 | GlaxoSmithKline plc | 8,094,931 | ||||||
3,900 | Hisamitsu Pharmaceutical Co., Inc. | 174,689 | ||||||
17,000 | Kyowa Hakko Kogyo Co., Ltd.^ | 230,464 | ||||||
8,116 | Merck KGaA | 704,453 | ||||||
13,200 | Mitsubishi Tanabe Pharma Corp. | 197,915 | ||||||
142,750 | Novartis AG, Registered Shares | 12,933,522 | ||||||
124,789 | Novo Nordisk A/S, B Shares | 5,761,168 | ||||||
5,300 | Ono Pharmaceutical Co., Ltd. | 467,715 | ||||||
5,781 | Orion OYJ, Class B | 215,339 | ||||||
24,600 | Otsuka Holdings Co., Ltd. | 763,598 | ||||||
43,601 | Roche Holding AG | 13,013,540 | ||||||
73,750 | Sanofi-Aventis SA | 7,843,734 | ||||||
5,200 | Santen Pharmaceutical Co., Ltd. | 292,918 | ||||||
18,600 | Shionogi & Co., Ltd. | 388,970 | ||||||
36,507 | Shire plc | 2,862,191 | ||||||
2,100 | Taisho Pharmaceutical Holdings Co., Ltd. | 153,561 | ||||||
49,600 | Takeda Pharmacuetical Co., Ltd. | 2,303,915 | ||||||
53,495 | Teva Pharmaceutical Industries, Ltd. | 2,806,767 | ||||||
6,901 | UCB SA^ | 583,765 | ||||||
|
| |||||||
76,534,674 | ||||||||
|
| |||||||
| Professional Services (0.4%): | |||||||
10,692 | Adecco SA, Registered Shares | 879,422 | ||||||
27,668 | ALS, Ltd.^ | 231,244 | ||||||
13,542 | Bureau Veritas SA | 375,864 | ||||||
41,040 | Capita Group plc | 803,480 | ||||||
62,551 | Experian plc | 1,056,331 | ||||||
9,984 | Intertek Group plc | 469,483 | ||||||
7,676 | Randstad Holding NV | 415,671 | ||||||
333 | SGS SA, Registered Shares | 798,352 | ||||||
|
| |||||||
5,029,847 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.5%): | |||||||
133,000 | Ascendas Real Estate Investment Trust | 245,452 | ||||||
59,738 | British Land Co. plc | 717,500 | ||||||
135,000 | CapitaCommercial Trust^ | 184,143 | ||||||
157,000 | CapitaMall Trust | 248,814 | ||||||
131,863 | CFS Retail Property Trust | 253,564 | ||||||
4,842 | Corio NV | 247,316 | ||||||
337,132 | Dexus Property Group | 352,764 | ||||||
94,343 | Federation Centres | 221,436 | ||||||
1,715 | Fonciere des Regions SA | 185,850 | ||||||
1,273 | Gecina SA | 185,643 | ||||||
105,263 | GPT Group | 381,189 | ||||||
43,409 | Hammerson plc+ | 430,432 | ||||||
2,354 | ICADE | 252,236 | ||||||
52 | Japan Prime Realty Investment Corp. | 186,654 | ||||||
76 | Japan Real Estate Investment Corp. | 442,938 | ||||||
139 | Japan Retail Fund Investment Corp. | 312,772 |
Continued
9
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Real Estate Investment Trusts (REITs), continued | |||||||
6,408 | Klepierre | $ | 326,533 | |||||
48,805 | Land Securities Group plc | 864,266 | ||||||
55,204 | Liberty International plc | 293,934 | ||||||
145,000 | Link REIT (The) | 780,208 | ||||||
107,428 | Macquarie Goodman Group | 511,782 | ||||||
225,581 | Mirvac Group | 379,804 | ||||||
86 | Nippon Building Fund, Inc. | 502,947 | ||||||
90 | Nippon Prologis REIT, Inc. | 210,009 | ||||||
323,988 | Scentre Group* | 977,459 | ||||||
48,266 | SERGO plc | 285,149 | ||||||
143,327 | Stockland Trust Group | 524,494 | ||||||
6,007 | Unibail-Rodamco SE | 1,745,567 | ||||||
146 | United Urban Investment Corp. | 235,761 | ||||||
121,202 | Westfield Corp.* | 817,506 | ||||||
|
| |||||||
13,304,122 | ||||||||
|
| |||||||
| Real Estate Management & Development (1.8%): | |||||||
7,260 | AEON Mall Co., Ltd. | 191,533 | ||||||
74,028 | BGP Holdings plc*(c) | — | ||||||
— | BUWOG-Bauen Und Wohnen Gesellschaft mbH* | 7 | ||||||
157,000 | CapitaLand, Ltd. | 403,036 | ||||||
88,000 | Cheung Kong Holdings, Ltd. | 1,561,583 | ||||||
26,000 | City Developments, Ltd. | 212,804 | ||||||
4,500 | Daito Trust Construction Co., Ltd. | 529,671 | ||||||
36,000 | Daiwa House Industry Co., Ltd. | 747,682 | ||||||
17,460 | Deutsche Wohnen AG | 376,531 | ||||||
196,000 | Global Logistic Properties, Ltd. | 424,537 | ||||||
144,000 | Hang Lung Properties, Ltd. | 444,156 | ||||||
64,130 | Henderson Land Development Co., Ltd. | 375,300 | ||||||
14,200 | Hulic Co., Ltd. | 187,799 | ||||||
37,000 | Hysan Development Co., Ltd. | 173,403 | ||||||
60,788 | Immofinanz Immobilien Anlagen AG | 214,784 | ||||||
40,000 | Keppel Land, Ltd. | 108,491 | ||||||
37,000 | Kerry Properties, Ltd. | 129,504 | ||||||
33,642 | Lend Lease Group | 416,392 | ||||||
77,000 | Mitsubishi Estate Co., Ltd. | 1,905,342 | ||||||
51,000 | Mitsui Fudosan Co., Ltd. | 1,724,907 | ||||||
317,332 | New World Development Co., Ltd. | 361,565 | ||||||
8,100 | Nomura Real Estate Holdings, Inc. | 153,576 | ||||||
7,200 | NTT Urban Development Corp. | 81,312 | ||||||
191,600 | Sino Land Co., Ltd. | 315,823 | ||||||
22,000 | Sumitomo Realty & Development Co., Ltd. | 946,756 | ||||||
100,000 | Sun Hung Kai Properties, Ltd. | 1,371,916 | ||||||
41,000 | Swire Pacific, Ltd., Class A | 504,725 | ||||||
82,000 | Swire Properties, Ltd. | 239,674 | ||||||
3,478 | Swiss Prime Site AG | 288,394 | ||||||
24,000 | Tokyo Tatemono Co., Ltd. | 222,524 | ||||||
30,800 | Tokyu Fudosan Holdings Corp. | 243,595 | ||||||
31,996 | UOL Group, Ltd. | 167,413 | ||||||
92,300 | Wharf Holdings, Ltd. (The) | 664,976 | ||||||
60,000 | Wheelock & Co., Ltd. | 250,730 | ||||||
|
| |||||||
15,940,441 | ||||||||
|
| |||||||
| Road & Rail (0.8%): | |||||||
61,846 | Asciano, Ltd. | 328,536 | ||||||
134,637 | Aurizon Holdings, Ltd. | 632,543 |
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Road & Rail, continued | |||||||
9,000 | Central Japan Railway Co. | $ | 1,285,601 | |||||
142,000 | ComfortDelGro Corp., Ltd. | 284,198 | ||||||
10,676 | DSV A/S | 348,055 | ||||||
20,913 | East Japan Railway Co. | 1,649,651 | ||||||
31,000 | Keihin Electric Express Railway Co., Ltd. | 278,909 | ||||||
38,000 | Keio Corp. | 299,031 | ||||||
16,000 | Keisei Electric Railway Co., Ltd. | 159,631 | ||||||
113,000 | Kintetsu Corp. | 412,136 | ||||||
90,000 | MTR Corp., Ltd. | 346,658 | ||||||
54,000 | Nagoya Railroad Co., Ltd.^ | 215,516 | ||||||
52,000 | Nippon Express Co., Ltd. | 252,430 | ||||||
38,000 | Odakyu Electric Railway Co., Ltd. | 366,251 | ||||||
61,000 | Tobu Railway Co., Ltd. | 319,589 | ||||||
70,000 | Tokyu Corp. | 496,955 | ||||||
10,300 | West Japan Railway Co. | 453,997 | ||||||
|
| |||||||
8,129,687 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.7%): | |||||||
8,700 | Advantest Corp. | 107,753 | ||||||
88,746 | ARM Holdings plc | 1,339,453 | ||||||
17,400 | ASM Pacific Technology, Ltd. | 190,185 | ||||||
22,146 | ASML Holding NV | 2,060,850 | ||||||
70,988 | Infineon Technologies AG | 887,356 | ||||||
6,200 | ROHM Co., Ltd. | 356,336 | ||||||
38,926 | STMicroelectronics NV | 349,035 | ||||||
10,500 | Tokyo Electron, Ltd. | 711,917 | ||||||
|
| |||||||
6,002,885 | ||||||||
|
| |||||||
| Software (0.9%): | |||||||
3,795 | Dassault Systemes SA | 487,748 | ||||||
28,100 | Gungho Online Enetertainment, Inc.^ | 181,873 | ||||||
5,600 | Konami Corp. | 124,037 | ||||||
10,900 | Nexon Co., Ltd. | 104,353 | ||||||
3,460 | NICE Systems, Ltd. | 141,359 | ||||||
6,500 | Nintendo Co., Ltd. | 779,067 | ||||||
2,700 | Oracle Corp. | 118,247 | ||||||
68,312 | Sage Group plc | 448,496 | ||||||
57,750 | SAP AG | 4,460,191 | ||||||
6,100 | Trend Micro, Inc. | 201,263 | ||||||
4,192 | Xero, Ltd.* | 95,303 | ||||||
|
| |||||||
7,141,937 | ||||||||
|
| |||||||
| Specialty Retail (0.8%): | |||||||
1,400 | ABC-Mart, Inc. | 75,039 | ||||||
3,300 | Fast Retailing Co., Ltd. | 1,088,599 | ||||||
59,542 | Hennes & Mauritz AB, B Shares | 2,600,532 | ||||||
1,200 | Hikari Tsushin, Inc. | 90,739 | ||||||
13,687 | Industria de Diseno Textil SA | 2,110,361 | ||||||
147,082 | Kingfisher plc | 902,554 | ||||||
4,000 | Nitori Co., Ltd. | 218,967 | ||||||
2,700 | Sanrio Co., Ltd.^ | 78,520 | ||||||
1,700 | Shimamura Co., Ltd. | 167,360 | ||||||
17,232 | Sports Direct International* | 208,038 | ||||||
13,100 | USS Co., Ltd. | 223,863 | ||||||
59,900 | Yamada Denki Co., Ltd.^ | 213,815 | ||||||
|
| |||||||
7,978,387 | ||||||||
|
|
Continued
10
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Technology Hardware, Storage & Peripherals (0.8%): | |||||||
15,300 | Brother Industries, Ltd. | $ | 265,753 | |||||
71,400 | Canon, Inc. | 2,337,517 | ||||||
116,000 | Fujitsu, Ltd. | 871,557 | ||||||
4,821 | Gemalto NV | 499,438 | ||||||
29,500 | Konica Minolta Holdings, Inc. | 292,167 | ||||||
145,000 | NEC Corp. | 463,395 | ||||||
44,800 | Ricoh Co., Ltd. | 535,117 | ||||||
20,175 | Seek, Ltd. | 301,928 | ||||||
8,000 | Seiko Epson Corp. | 340,177 | ||||||
248,000 | Toshiba Corp. | 1,160,204 | ||||||
|
| |||||||
7,067,253 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.6%): | |||||||
13,246 | Adidas AG | 1,341,611 | ||||||
10,500 | ASICS Corp. | 245,398 | ||||||
27,123 | Burberry Group plc | 687,592 | ||||||
3,353 | Christian Dior SA | 666,580 | ||||||
32,730 | Compagnie Financiere Richemont SA, Registered Shares | 3,435,976 | ||||||
1,954 | Hugo Boss AG | 291,876 | ||||||
10,182 | Luxottica Group SpA | 589,261 | ||||||
17,438 | LVMH Moet Hennessy Louis Vuitton SA | 3,358,861 | ||||||
6,513 | Pandora A/S | 499,784 | ||||||
1,914 | Swatch Group AG (The) | 1,156,297 | ||||||
3,147 | Swatch Group AG (The), Registered Shares | 349,656 | ||||||
45,000 | Yue Yuen Industrial Holdings, Ltd. | 150,723 | ||||||
|
| |||||||
12,773,615 | ||||||||
|
| |||||||
| Tobacco (1.4%): | |||||||
117,615 | British American Tobacco plc | 6,998,057 | ||||||
59,791 | Imperial Tobacco Group plc | 2,688,375 | ||||||
68,300 | Japan Tobacco, Inc. | 2,494,760 | ||||||
12,386 | Swedish Match AB, Class B | 429,814 | ||||||
|
| |||||||
12,611,006 | ||||||||
|
| |||||||
| Trading Companies & Distributors (1.1%): | |||||||
3,203 | Brenntag AG | 572,065 | ||||||
20,730 | Bunzl plc | 574,842 | ||||||
94,000 | ITOCHU Corp. | 1,209,410 | ||||||
103,000 | Marubeni Corp. | 754,685 | ||||||
88,500 | Mitsubishi Corp. | 1,843,897 | ||||||
107,400 | Mitsui & Co., Ltd. | 1,725,000 | ||||||
268,090 | Noble Group, Ltd. | 294,818 | ||||||
69,900 | Sumitomo Corp. | 945,402 | ||||||
13,200 | Toyota Tsushu Corp. | 380,433 | ||||||
15,419 | Travis Perkins plc | 431,612 | ||||||
16,472 | Wolseley plc | 901,810 | ||||||
|
| |||||||
9,633,974 | ||||||||
|
| |||||||
| Transportation Infrastructure (0.4%): | |||||||
25,320 | Abertis Infraestructuras SA | 582,128 | ||||||
1,880 | Aeroports de Paris | 247,599 | ||||||
25,962 | Atlantia SpA | 740,025 | ||||||
61,151 | Auckland International Airport, Ltd. | 208,727 | ||||||
2,171 | Fraport AG | 153,308 | ||||||
24,623 | Groupe Eurotunnel SA | 333,315 | ||||||
343,000 | Hutchison Port Holdings Trust | 246,967 |
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Transportation Infrastructure, continued | |||||||
16,000 | Kamigumi Co., Ltd. | $ | 147,338 | |||||
4,545 | Koninklijke Vopak NV | 222,052 | ||||||
8,000 | Mitsubishi Logistics Corp. | 120,050 | ||||||
67,857 | Sydney Airport | 270,185 | ||||||
112,834 | Transurban Group | 786,421 | ||||||
|
| |||||||
4,058,115 | ||||||||
|
| |||||||
| Water Utilities (0.1%): | |||||||
15,051 | Severn Trent plc | 497,235 | ||||||
42,363 | United Utilities Group plc | 638,866 | ||||||
|
| |||||||
1,136,101 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (1.6%): | |||||||
36,500 | KDDI Corp. | 2,231,512 | ||||||
4,045 | Millicom International Cellular SA, SDR^ | 370,638 | ||||||
94,300 | NTT DoCoMo, Inc. | 1,614,518 | ||||||
60,200 | SoftBank Corp. | 4,479,693 | ||||||
41,202 | StarHub, Ltd. | 137,646 | ||||||
20,816 | Tele2 AB | 245,036 | ||||||
1,643,636 | Vodafone Group plc | 5,491,997 | ||||||
|
| |||||||
14,571,040 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $660,459,581) | 849,511,660 | ||||||
|
| |||||||
| Preferred Stocks (0.6%): | |||||||
| Automobiles (0.5%): | |||||||
3,235 | Bayerische Motoren Werke AG (BMW), Preferred Shares | 310,138 | ||||||
9,444 | Porsche Automobil Holding SE, Preferred Shares | 983,544 | ||||||
10,056 | Volkswagen AG, Preferred Shares | 2,641,109 | ||||||
|
| |||||||
3,934,791 | ||||||||
|
| |||||||
| Household Products (0.1%): | |||||||
11,032 | Henkel AG & Co. KGaA, Preferred Shares | 1,276,029 | ||||||
|
| |||||||
| Total Preferred Stocks (Cost $3,091,556) | 5,210,820 | ||||||
|
| |||||||
| Rights (0.0%): | |||||||
| Banks (0.0%): | |||||||
2,162 | Bank of Queensland* | 2,935 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.0%): | |||||||
26,820 | HKT Trust & HKT, Ltd.* | 7,925 | ||||||
|
| |||||||
| Household Durables (0.0%): | |||||||
19,441 | Persimmon plc ORD*(c) | 23,287 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.0%): | |||||||
53,826 | Repsol SA* | 36,628 | ||||||
|
| |||||||
| Transportation Infrastructure (0.0%): | |||||||
20,040 | Transurban Group* | 12,092 | ||||||
|
| |||||||
| Total Rights (Cost $—) | 82,867 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.1%): | |||||||
$ | 15,947,173 | Allianz Variable Insurance Products Securities Lending Collateral Trust(d) | 15,947,173 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 15,947,173 | ||||||
|
|
Continued
11
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Unaffiliated Investment Company (0.2%): | |||||||
1,742,626 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(e) | $ | 1,742,626 | |||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,742,626) | 1,742,626 | ||||||
|
| |||||||
| Total Investment Securities (Cost $681,240,936)(f) — 98.1% | 872,495,146 | ||||||
| Net other assets (liabilities) — 1.9% | 1,288,808 | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 873,783,954 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
SDR—Swedish Depository Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $15,160,815. |
+ | Affiliated Securities |
(a) | Security issued in connection with a pending litigation settlement. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(c) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.00% of the net assets of the fund. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(e) | The rate represents the effective yield at June 30, 2014. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as ”—” are either $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 7.7 | % | ||
Austria | 0.3 | % | ||
Belgium | 1.2 | % | ||
Bermuda | 0.1 | % | ||
Denmark | 1.5 | % | ||
Finland | 0.8 | % | ||
France | 9.6 | % | ||
Germany | 9.2 | % | ||
Guernsey | 0.1 | % | ||
Hong Kong | 2.9 | % | ||
Ireland (Republic of) | 0.7 | % | ||
Israel | 0.5 | % | ||
Italy | 2.4 | % | ||
Japan | 20.2 | % |
Country | Percentage | |||
Jersey | 0.5 | % | ||
Luxembourg | 0.3 | % | ||
Netherlands | 3.2 | % | ||
New Zealand | 0.1 | % | ||
Norway | 0.7 | % | ||
Portugal | 0.2 | % | ||
Singapore | 1.3 | % | ||
Spain | 3.6 | % | ||
Sweden | 3.0 | % | ||
Switzerland | 9.0 | % | ||
United Kingdom | 20.5 | % | ||
United States | 0.4 | % | ||
|
| |||
100.0 | % | |||
|
|
Futures Contracts
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
ASX SPI 200 Index September Futures (Australian Dollar) | Long | 9/18/14 | 15 | $ | 1,892,907 | $ | (2,917 | ) | ||||||||||||
FTSE 100 Index September Futures (British Pounds) | Long | 9/19/14 | 53 | 6,086,398 | (8,800 | ) | ||||||||||||||
SGX NIKKEI 225 Index September Futures (Japenese Yen) | Long | 9/11/14 | 54 | 4,035,739 | (1,091 | ) | ||||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | Long | 9/19/14 | 131 | 5,797,111 | (52,410 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | (65,218 | ) | |||||||||||||||||
|
|
See accompanying notes to the financial statements.
12
AZL International Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 677,523,588 | |||
Investments in affiliates, at cost | 3,717,348 | ||||
|
| ||||
Total Investment securities, at cost | $ | 681,240,936 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 867,300,235 | |||
Investments in affiliates, at value | 5,194,911 | ||||
|
| ||||
Total Investment securities, at value | 872,495,146 | ||||
Cash | 3,500 | ||||
Segregated cash for collateral | 892,256 | ||||
Interest and dividends receivable | 2,056,654 | ||||
Foreign currency, at value (cost $13,726,562) | 14,014,594 | ||||
Receivable for capital shares issued | 601,590 | ||||
Receivable for variation margin on futures contracts | 16,856 | ||||
Reclaims receivable | 411,907 | ||||
Prepaid expenses | 3,404 | ||||
|
| ||||
Total Assets | 890,495,907 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 30,123 | ||||
Payable for capital shares redeemed | 44,363 | ||||
Payable for collateral received on loaned securities | 15,947,173 | ||||
Payable for variation margin on futures contracts | 24,540 | ||||
Manager fees payable | 279,204 | ||||
Administration fees payable | 27,621 | ||||
Distribution fees payable | 178,748 | ||||
Custodian fees payable | 83,149 | ||||
Administrative and compliance services fees payable | 2,315 | ||||
Trustee fees payable | 5,212 | ||||
Other accrued liabilities | 89,505 | ||||
|
| ||||
Total Liabilities | 16,711,953 | ||||
|
| ||||
Net Assets | $ | 873,783,954 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 752,850,482 | |||
Accumulated net investment income/(loss) | 32,446,664 | ||||
Accumulated net realized gains/(losses) from investment transactions | (103,022,752 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 191,509,560 | ||||
|
| ||||
Net Assets | $ | 873,783,954 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 50,415,484 | ||||
Net Asset Value (offering and redemption price per share) | $ | 17.33 | |||
|
|
* | Includes securities on loan of $15,160,815. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 24,484,252 | |||
Dividends from affiliates | 218,179 | ||||
Income from securities lending | 541,721 | ||||
Foreign withholding tax | (2,377,529 | ) | |||
|
| ||||
Total Investment Income | 22,866,623 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,442,875 | ||||
Administration fees | 168,126 | ||||
Distribution fees | 1,030,627 | ||||
Custodian fees | 146,657 | ||||
Administrative and compliance services fees | 7,234 | ||||
Trustee fees | 22,563 | ||||
Professional fees | 23,056 | ||||
Shareholder reports | 9,743 | ||||
Recoupment of prior expenses reimbursed by the manager | 107,209 | ||||
Other expenses | 160,185 | ||||
|
| ||||
Total expenses | 3,118,275 | ||||
|
| ||||
Net Investment Income/(Loss) | 19,748,348 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 163,352 | ||||
Net realized gains/(losses) on futures contracts | 457,983 | ||||
Net realized gains/(losses) on forward currency contracts | 11,277 | ||||
Change in net unrealized appreciation/depreciation on investments | 18,261,333 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 18,893,945 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 38,642,293 | |||
|
|
See accompanying notes to the financial statements.
13
Statements of Changes in Net Assets
AZL International Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 19,748,348 | $ | 15,044,369 | ||||||
Net realized gains/(losses) on investment transactions | 632,612 | (237,865 | ) | |||||||
Change in unrealized appreciation/depreciation on investments | 18,261,333 | 117,539,416 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 38,642,293 | 132,345,920 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (13,742,662 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (13,742,662 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 54,366,353 | 148,440,908 | ||||||||
Proceeds from dividends reinvested | — | 13,742,662 | ||||||||
Value of shares redeemed | (27,420,260 | ) | (39,829,157 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 26,946,093 | 122,354,413 | ||||||||
|
|
|
| |||||||
Change in net assets | 65,588,386 | 240,957,671 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 808,195,568 | 567,237,897 | ||||||||
|
|
|
| |||||||
End of period | $ | 873,783,954 | $ | 808,195,568 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 32,446,664 | $ | 12,698,316 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 3,295,865 | 9,792,221 | ||||||||
Dividends reinvested | — | 892,961 | ||||||||
Shares redeemed | (1,640,304 | ) | (2,632,954 | ) | ||||||
|
|
|
| |||||||
Change in shares | 1,655,561 | 8,052,228 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
14
AZL International Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | May 1, 2009 to December 31, 2009 (a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.57 | $ | 13.93 | $ | 12.03 | $ | 13.99 | $ | 13.31 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.38 | 0.29 | 0.26 | 0.28 | 0.15 | 0.10 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.38 | 2.65 | 1.89 | (2.07 | ) | 0.77 | 3.21 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.76 | 2.94 | 2.15 | (1.79 | ) | 0.92 | 3.31 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.30 | ) | (0.25 | ) | (0.17 | ) | (0.07 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.17 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.30 | ) | (0.25 | ) | (0.17 | ) | (0.24 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 17.33 | $ | 16.57 | $ | 13.93 | $ | 12.03 | $ | 13.99 | $ | 13.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 4.52 | %(c) | 21.36 | % | 18.04 | % | (12.78 | )% | 7.12 | % | 33.10 | %(c) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 873,784 | $ | 808,196 | $ | 567,238 | $ | 380,763 | $ | 340,781 | $ | 161,184 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 4.79 | % | 2.23 | % | 2.66 | % | 2.70 | % | 2.07 | % | 1.79 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.76 | % | 0.76 | % | 0.80 | % | 0.83 | % | 0.83 | % | 0.91 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.76 | % | 0.76 | % | 0.77 | % | 0.74 | % | 0.70 | % | 0.70 | % | ||||||||||||||||||
Portfolio Turnover Rate | 2 | %(c) | 2 | % | 3 | % | 12 | % | 3 | % | 23 | %(c)(f) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 42%. |
See accompanying notes to the financial statements.
15
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL International Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
16
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $33.4 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $54,045 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $17.8 million as of June 30, 2014. The monthly average notional amount for these contracts was $13.2 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | — | Payable for variation margin on futures contracts | $ | 65,218 |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
17
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts / Change in unrealized appreciation/depreciation on investments | $ | 457,983 | $ | (518,446 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager.
The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL International Index Fund | 0.35 | % | 0.77 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2014, the contractual reimbursements that are subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2014 | Expires 12/31/2015 | Total | |||||||||||||
AZL International Index Fund | $ | 13,087 | $ | 126,982 | $ | 140,069 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $4,771 was paid from the Fund relating to these fees and expenses.
18
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Airlines | $ | 106,020 | $ | 1,777,731 | $ | — | $ | 1,883,751 | ||||||||||||
Insurance | 514,830 | 43,652,856 | — | 44,167,686 | ||||||||||||||||
Real Estate Investment Trusts (REITs) | 977,459 | 12,326,663 | — | 13,304,122 | ||||||||||||||||
Real Estate Management & Development | — | 15,940,441 | — | ^ | 15,940,441 | |||||||||||||||
All Other Common Stocks+ | — | 774,215,660 | — | 774,215,660 | ||||||||||||||||
Preferred Stocks+ | — | 5,210,820 | — | 5,210,820 | ||||||||||||||||
Rights | ||||||||||||||||||||
Household Durables | — | — | 23,287 | 23,287 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 36,628 | — | — | 36,628 | ||||||||||||||||
All Other Rights+ | — | 22,952 | — | 22,952 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 15,947,173 | — | 15,947,173 | ||||||||||||||||
Unaffiliated Investment Company | 1,742,626 | — | — | 1,742,626 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 3,377,563 | $ | 869,094,296 | $ | 23,287 | $ | 872,495,146 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (65,218 | ) | — | — | (65,218 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 3,312,345 | $ | 869,094,296 | $ | 23,287 | $ | 872,429,928 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
^ | Represents the interest in securities that were determined to have a value of zero at June 30, 2014. |
19
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL International Index Fund | $ | 57,155,413 | $ | 17,448,742 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $688,779,864. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 210,634,045 | ||
Unrealized depreciation | (26,918,763 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 183,715,282 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2015 | Expires 12/31/2016 | Total | |||||||||||||
AZL International Index Fund | $ | 42,234,498 | $ | 55,890,176 | $ | 98,124,674 |
CLCFs not subject to expiration:
Short Term Amount | Long Term Amount | Total Amount | |||||||||||||
AZL International Index Fund | $ | 686,764 | $ | — | $ | 686,764 |
20
AZL International Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL International Index Fund | $ | 13,742,662 | $ | — | $ | 13,742,662 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL International Index Fund | $ | 15,224,213 | $ | — | $ | (98,811,438 | ) | $ | 165,878,404 | $ | 82,291,179 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
21
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
22
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Invesco Equity and Income Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 11 |
Page 11 |
Statements of Changes in Net Assets Page 12 |
Page 13 |
Notes to the Financial Statements Page 14 |
Page 20 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Invesco Equity and Income Fund
(Unaudited)
As a shareholder of the AZL Invesco Equity and Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco Equity and Income Fund | $ | 1,000.00 | $ | 1,058.50 | $ | 4.90 | 0.96 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco Equity and Income Fund | $ | 1,000.00 | $ | 1,020.03 | $ | 4.81 | 0.96 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stock | 62.6 | % | |||
Convertible Bond | 10.4 | ||||
U.S. Treasury Obligation | 9.8 | ||||
Money Market | 8.8 | ||||
Corporate Bond | 5.7 | ||||
Securities Held as Collateral for Securities on Loan | 2.4 | ||||
Yankee Dollar | 1.8 | ||||
Convertible Preferred Stock | 0.5 | ||||
U.S. Government Agency Mortgages | 0.2 | ||||
|
| ||||
Total Investment Securities | 102.2 | ||||
Net other assets (liabilities) | (2.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (62.6%): |
| ||||||
| Aerospace & Defense (0.7%): |
| ||||||
73,538 | General Dynamics Corp. | $ | 8,570,854 | |||||
|
| |||||||
| Automobiles (0.9%): |
| ||||||
294,164 | General Motors Co. | 10,678,153 | ||||||
|
| |||||||
| Banks (7.2%): |
| ||||||
593,674 | Bank of America Corp. | 9,124,769 | ||||||
183,645 | BB&T Corp. | 7,241,122 | ||||||
152,726 | Comerica, Inc. | 7,660,736 | ||||||
328,361 | Fifth Third Bancorp | 7,010,507 | ||||||
583,952 | JPMorgan Chase & Co. | 33,647,315 | ||||||
160,953 | PNC Financial Services Group, Inc. | 14,332,866 | ||||||
191,817 | Wells Fargo & Co. | 10,081,902 | ||||||
|
| |||||||
89,099,217 | ||||||||
|
| |||||||
| Biotechnology (0.7%): |
| ||||||
71,025 | Amgen, Inc. | 8,407,229 | ||||||
|
| |||||||
| Capital Markets (4.3%): |
| ||||||
430,150 | Charles Schwab Corp. (The) | 11,583,940 | ||||||
47,334 | Goldman Sachs Group, Inc. (The) | 7,925,605 | ||||||
529,200 | Morgan Stanley | 17,109,035 | ||||||
121,041 | Northern Trust Corp. | 7,772,043 | ||||||
133,947 | State Street Corp. | 9,009,275 | ||||||
|
| |||||||
53,399,898 | ||||||||
|
| |||||||
| Chemicals (1.1%): |
| ||||||
187,766 | Dow Chemical Co. (The) | 9,662,439 | ||||||
18,509 | PPG Industries, Inc. | 3,889,666 | ||||||
|
| |||||||
13,552,105 | ||||||||
|
| |||||||
| Commercial Services & Supplies (1.1%): |
| ||||||
300,599 | Tyco International, Ltd. | 13,707,314 | ||||||
|
| |||||||
| Diversified Financial Services (3.6%): |
| ||||||
653,973 | Citigroup, Inc. | 30,802,128 | ||||||
87,166 | CME Group, Inc. | 6,184,428 | ||||||
204,655 | Voya Financial, Inc. | 7,437,163 | ||||||
|
| |||||||
44,423,719 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.0%): |
| ||||||
93,296 | France Telecom SA | 1,470,214 | ||||||
320,373 | Koninklijke (Royal) KPN NV* | 1,166,511 | ||||||
876,684 | Telecom Italia SpA | 1,109,055 | ||||||
85,420 | Telefonica SA | 1,464,399 | ||||||
155,365 | Verizon Communications, Inc. | 7,602,009 | ||||||
|
| |||||||
12,812,188 | ||||||||
|
| |||||||
| Electric Utilities (0.8%): |
| ||||||
67,433 | Edison International | 3,918,532 | ||||||
100,941 | Pinnacle West Capital Corp. | 5,838,427 | ||||||
|
| |||||||
9,756,959 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.8%): |
| ||||||
471,608 | Corning, Inc. | 10,351,796 | ||||||
|
| |||||||
| Energy Equipment & Services (1.0%): |
| ||||||
166,235 | Baker Hughes, Inc. | 12,376,196 | ||||||
|
| |||||||
| Food Products (2.0%): |
| ||||||
175,896 | Archer-Daniels-Midland Co. | 7,758,773 | ||||||
268,202 | Mondelez International, Inc., Class A | 10,087,077 | ||||||
129,619 | Unilever NV, ADR | 5,672,127 | ||||||
|
| |||||||
23,517,977 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Equipment & Supplies (0.5%): |
| ||||||
103,383 | Medtronic, Inc. | $ | 6,591,700 | |||||
|
| |||||||
| Health Care Providers & Services (2.0%): |
| ||||||
72,971 | CIGNA Corp. | 6,711,143 | ||||||
95,565 | UnitedHealth Group, Inc. | 7,812,439 | ||||||
94,061 | WellPoint, Inc. | 10,121,904 | ||||||
|
| |||||||
24,645,486 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.9%): |
| ||||||
290,782 | Carnival Corp. | 10,947,942 | ||||||
|
| |||||||
| Household Products (0.6%): |
| ||||||
92,098 | Procter & Gamble Co. (The) | 7,237,982 | ||||||
|
| |||||||
| Industrial Conglomerates (1.6%): |
| ||||||
759,733 | General Electric Co. | 19,965,783 | ||||||
|
| |||||||
| Insurance (2.2%): |
| ||||||
82,204 | Aon plc | 7,405,758 | ||||||
4,601 | Chubb Corp. (The) | 424,074 | ||||||
248,938 | Marsh & McLennan Cos., Inc. | 12,899,967 | ||||||
131,056 | Willis Group Holdings plc | 5,674,725 | ||||||
|
| |||||||
26,404,524 | ||||||||
|
| |||||||
| Internet Software & Services (1.2%): |
| ||||||
290,525 | eBay, Inc.* | 14,543,682 | ||||||
|
| |||||||
| IT Services (0.7%): |
| ||||||
181,129 | Amdocs, Ltd. | 8,391,707 | ||||||
|
| |||||||
| Machinery (1.8%): |
| ||||||
114,828 | Caterpillar, Inc. | 12,478,359 | ||||||
156,900 | Ingersoll-Rand plc | 9,807,819 | ||||||
|
| |||||||
22,286,178 | ||||||||
|
| |||||||
| Media (4.2%): |
| ||||||
239,297 | Comcast Corp., Class A | 12,845,463 | ||||||
177,381 | Thomson Reuters Corp.^ | 6,459,136 | ||||||
86,904 | Time Warner Cable, Inc. | 12,800,959 | ||||||
64,450 | Time Warner, Inc. | 4,527,613 | ||||||
174,795 | Viacom, Inc., Class B | 15,159,970 | ||||||
|
| |||||||
51,793,141 | ||||||||
|
| |||||||
| Metals & Mining (0.6%): |
| ||||||
200,453 | Freeport-McMoRan Copper & Gold, Inc. | 7,316,535 | ||||||
|
| |||||||
| Multi-Utilities (0.5%): |
| ||||||
118,954 | PG&E Corp. | 5,712,171 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (6.7%): |
| ||||||
78,897 | Anadarko Petroleum Corp. | 8,636,855 | ||||||
93,928 | Apache Corp. | 9,451,035 | ||||||
247,216 | Canadian Natural Resources, Ltd. | 11,360,952 | ||||||
78,878 | Exxon Mobil Corp. | 7,941,437 | ||||||
91,186 | Occidental Petroleum Corp. | 9,358,419 | ||||||
516,388 | Royal Dutch Shell plc, A Shares | 21,359,089 | ||||||
191,712 | Total SA | 13,850,324 | ||||||
|
| |||||||
81,958,111 | ||||||||
|
| |||||||
| Personal Products (1.1%): |
| ||||||
913,640 | Avon Products, Inc. | 13,348,280 | ||||||
|
| |||||||
| Pharmaceuticals (5.0%): |
| ||||||
86,525 | Bristol-Myers Squibb Co. | 4,197,328 | ||||||
161,123 | Eli Lilly & Co. | 10,017,017 | ||||||
29,701 | Hospira, Inc.* | 1,525,740 |
Continued
2
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Pharmaceuticals, continued |
| ||||||
215,895 | Merck & Co., Inc. | $ | 12,489,526 | |||||
6,182 | Novartis AG, ADR | 559,656 | ||||||
114,245 | Novartis AG, Registered Shares | 10,350,895 | ||||||
197,699 | Pfizer, Inc. | 5,867,706 | ||||||
61,877 | Sanofi-Aventis SA | 6,580,973 | ||||||
192,648 | Teva Pharmaceutical Industries, Ltd., ADR | 10,098,608 | ||||||
|
| |||||||
61,687,449 | ||||||||
|
| |||||||
| Road & Rail (0.7%): |
| ||||||
273,403 | CSX Corp. | 8,423,546 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.6%): |
| ||||||
735,136 | Applied Materials, Inc. | 16,577,317 | ||||||
182,309 | Broadcom Corp., Class A | 6,767,310 | ||||||
67,836 | Intel Corp. | 2,096,132 | ||||||
141,062 | Texas Instruments, Inc. | 6,741,353 | ||||||
|
| |||||||
32,182,112 | ||||||||
|
| |||||||
| Software (3.2%): |
| ||||||
207,865 | Adobe Systems, Inc.* | 15,041,111 | ||||||
85,814 | Citrix Systems, Inc.* | 5,367,666 | ||||||
210,987 | Microsoft Corp. | 8,798,158 | ||||||
435,660 | Symantec Corp. | 9,976,614 | ||||||
|
| |||||||
39,183,549 | ||||||||
|
| |||||||
| Specialty Retail (0.8%): |
| ||||||
216,737 | Abercrombie & Fitch Co., Class A | 9,373,875 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.5%): |
| ||||||
180,359 | Vodafone Group plc, ADR | 6,022,187 | ||||||
|
| |||||||
| Total Common Stocks (Cost $578,889,353) | 768,669,545 | ||||||
|
| |||||||
| Convertible Preferred Stocks (0.5%): |
| ||||||
| Banks (0.2%): |
| ||||||
13,608 | KeyCorp, Series A, 7.75% | 1,782,647 | ||||||
32,000 | Wells Fargo & Co., 5.85% | 830,080 | ||||||
|
| |||||||
2,612,727 | ||||||||
|
| |||||||
| Capital Markets (0.2%): |
| ||||||
23,000 | AMG Capital Trust II, 5.15% | 1,444,688 | ||||||
25,000 | State Street Corp., Series D, 5.90% | 655,000 | ||||||
|
| |||||||
2,099,688 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.1%): |
| ||||||
27,346 | El Paso Energy Capital Trust I, 4.75% | 1,497,194 | ||||||
|
| |||||||
| Total Convertible Preferred Stocks (Cost $5,104,320) | 6,209,609 | ||||||
|
| |||||||
| Convertible Bonds (10.4%): |
| ||||||
| Air Freight & Logistics (0.2%): |
| ||||||
$ | 2,153,000 | UTI Worldwide, Inc., 4.50%, 3/1/19^(a) | 2,290,254 | |||||
|
| |||||||
| Banks (0.0%): |
| ||||||
110,000 | Wells Fargo & Co., 1.50%, 1/16/18 | 109,812 | ||||||
|
| |||||||
| Beverages (0.0%): |
| ||||||
175,000 | Brown-Forman Corp., 2.25%, 1/15/23, Callable 10/15/22 @ 100 | 162,471 | ||||||
|
| |||||||
| Biotechnology (0.6%): |
| ||||||
1,819,000 | Cubist Pharmaceuticals, Inc., 1.13%, 9/1/18^(a) | 2,046,375 |
Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds, continued |
| ||||||
| Biotechnology, continued |
| ||||||
$ | 1,307,000 | Cubist Pharmaceuticals, Inc., 1.88%, 9/1/20^(a) | $ | 1,489,980 | ||||
893,000 | Gilead Sciences, Inc., 1.63%, 5/1/16 | 3,254,985 | ||||||
|
| |||||||
6,791,340 | ||||||||
|
| |||||||
| Capital Markets (0.6%): |
| ||||||
1,200,000 | Goldman Sachs Group, Inc. (The), 1.00%, 3/15/17, Callable 3/13/15 @ 100(a) | 1,548,360 | ||||||
4,530,000 | Goldman Sachs Group, Inc. (The), 1.00%, 9/28/20(a) | 4,830,928 | ||||||
1,138,000 | Jefferies Group, 3.88%, 11/1/29, Callable 11/1/17 @ 100 | 1,216,949 | ||||||
|
| |||||||
7,596,237 | ||||||||
|
| |||||||
| Chemicals (0.0%): |
| ||||||
200,000 | Dow Chemical Co. (The), 4.38%, 11/15/42, Callable 5/15/42 @ 100 | 190,927 | ||||||
|
| |||||||
| Communications Equipment (0.5%): |
| ||||||
2,644,000 | Ciena Corp., 4.00%, 12/15/20 | 3,663,592 | ||||||
2,333,000 | JDS Uniphase Corp., 0.63%, 8/15/33, Callable 8/20/18 @ 200^(a) | 2,338,833 | ||||||
|
| |||||||
6,002,425 | ||||||||
|
| |||||||
| Construction Materials (0.6%): |
| ||||||
5,432,000 | Cemex SAB de C.V., 4.88%, 3/15/15 | 6,800,185 | ||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
665,000 | Citigroup, Inc., 3.50%, 5/15/23 | 647,342 | ||||||
600,000 | General Electric Capital Corp., 5.25%, 12/31/99, Callable 6/15/23 @ 100, Perpetual Bond(b) | 606,000 | ||||||
|
| |||||||
1,253,342 | ||||||||
|
| |||||||
| Electric Utilities (0.0%): |
| ||||||
405,000 | Baltimore Gas And Electric Co., 3.35%, 7/1/23 | 411,110 | ||||||
|
| |||||||
| Energy Equipment & Services (0.2%): |
| ||||||
2,258,000 | Helix Energy Solutions Group, Inc., 3.25%, 3/15/32, Callable 3/20/18 @ 100^ | 3,045,478 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (0.4%): |
| ||||||
1,899,000 | NuVasive, Inc., 2.75%, 7/1/17 | 2,171,981 | ||||||
3,172,000 | Volcano Corp., 1.75%, 12/1/17^ | 3,062,963 | ||||||
|
| |||||||
5,234,944 | ||||||||
|
| |||||||
| Health Care Providers & Services (1.6%): |
| ||||||
2,281,000 | Brookdale Senior Living, Inc., 2.75%, 6/15/18 | 3,106,437 | ||||||
2,875,000 | HealthSouth Corp., 2.00%, 12/1/43, Callable 12/1/18 @ 100(a) | 3,149,921 | ||||||
1,642,000 | Omnicare, Inc., 3.25%, 12/15/35 | 1,746,677 | ||||||
1,415,000 | Omnicare, Inc., 3.75%, 4/1/42, Callable 4/1/16 @ 200 | 2,340,941 | ||||||
1,407,000 | Omnicare, Inc., 3.50%, 2/15/44, Callable 2/15/19 @ 93.09 | 1,593,428 | ||||||
3,354,000 | WellPoint, Inc., 2.75%, 10/15/42 | 5,137,908 | ||||||
1,043,000 | WellPoint, Inc., 2.75%, 10/15/42 | 1,597,746 | ||||||
|
| |||||||
18,673,058 | ||||||||
|
|
Continued
3
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds, continued |
| ||||||
| Hotels, Restaurants & Leisure (0.3%): |
| ||||||
$ | 2,752,000 | MGM Resorts International, 4.25%, 4/15/15 | $ | 4,040,280 | ||||
|
| |||||||
| Insurance (0.2%): |
| ||||||
165,000 | Old Republic International Corp., 3.75%, 3/15/18 | 205,322 | ||||||
1,295,000 | Radian Group, Inc., 3.00%, 11/15/17 | 1,872,894 | ||||||
|
| |||||||
2,078,216 | ||||||||
|
| |||||||
| Internet & Catalog Retail (0.3%): |
| ||||||
1,056,000 | Liberty Interactive LLC, 0.75%, 3/30/43, Callable 4/5/23 @ 200 | 1,415,040 | ||||||
281,000 | Liberty Interactive LLC, 0.75%, 3/30/43, Callable 4/5/23 @ 100 | 376,540 | ||||||
1,250,000 | QVC, Inc., 7.50%, 10/1/19, Callable 10/1/14 @ 104(a) | 1,313,836 | ||||||
|
| |||||||
3,105,416 | ||||||||
|
| |||||||
| Machinery (0.1%): |
| ||||||
426,000 | Greenbrier Cos., Inc., 3.50%, 4/1/18 | 714,083 | ||||||
|
| |||||||
| Media (0.5%): |
| ||||||
415,000 | Comcast Corp., 4.25%, 1/15/33 | 426,303 | ||||||
200,000 | Interpublic Group of Cos., Inc., 2.25%, 11/15/17 | 203,441 | ||||||
4,876,000 | Liberty Media Corp., 1.38%, 10/15/23(a) | 4,943,044 | ||||||
412,000 | Live National Entertainment, Inc., 2.50%, 5/15/19(a) | 428,995 | ||||||
|
| |||||||
6,001,783 | ||||||||
|
| |||||||
| Metals & Mining (0.3%): |
| ||||||
350,000 | Southern Copper Corp., 5.25%, 11/8/42 | 321,775 | ||||||
2,416,000 | United States Steel Corp., 2.75%, 4/1/19^ | 3,000,370 | ||||||
|
| |||||||
3,322,145 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.7%): |
| ||||||
335,000 | Chevron Corp., 1.72%, 6/24/18, Callable 5/24/18 @ 100 | 337,631 | ||||||
4,742,000 | Cobalt International Energy, Inc., 2.63%, 12/1/19 | 4,374,496 | ||||||
3,337,000 | Stone Energy Corp., 1.75%, 3/1/17^ | 4,223,390 | ||||||
|
| |||||||
8,935,517 | ||||||||
|
| |||||||
| Personal Products (0.0%): |
| ||||||
100,000 | Avon Products, Inc., 2.38%, 3/15/16 | 101,322 | ||||||
|
| |||||||
| Pharmaceuticals (0.5%): |
| ||||||
885,000 | Abbvie, Inc., 1.20%, 11/6/15 | 890,976 | ||||||
670,000 | Mylan, Inc., 6.00%, 11/15/18, Callable 11/15/14 @ 103(a) | 700,779 | ||||||
1,396,000 | Salix Pharmaceuticals, Ltd., 1.50%, 3/15/19 | 2,740,523 | ||||||
970,000 | Salix Pharmaceuticals, Ltd., 1.50%, 3/15/19 | 1,904,230 | ||||||
|
| |||||||
6,236,508 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.0%): |
| ||||||
515,000 | EPR Properties, 5.25%, 7/15/23, Callable 4/15/23 @ 100 | 535,734 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.2%): |
| ||||||
2,824,000 | Lam Research Corp., 1.25%, 5/15/18^ | 3,858,290 |
Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds, continued |
| ||||||
| Semiconductors & Semiconductor Equipment, continued |
| ||||||
$ | 2,730,000 | Micron Technology, Inc., Series G, 3.00%, 11/15/43, Callable 11/20/18 @ 83.04^ | $ | 3,516,581 | ||||
1,467,000 | Novellus Systems, Inc., 2.63%, 5/15/41 | 2,968,841 | ||||||
3,464,000 | NVIDIA Corp., 1.00%, 12/1/18(a) | 3,823,390 | ||||||
|
| |||||||
14,167,102 | ||||||||
|
| |||||||
| Software (0.3%): |
| ||||||
1,930,000 | Citrix Systems, Inc., 0.50%, 4/15/19(a) | 2,043,388 | ||||||
2,055,000 | NetSuite, Inc., 0.25%, 6/1/18^ | 2,107,659 | ||||||
|
| |||||||
4,151,047 | ||||||||
|
| |||||||
| Specialty Retail (0.1%): |
| ||||||
1,400,000 | O’Reilly Automotive, Inc., 4.88%, 1/14/21, Callable 10/14/20 @ 100 | 1,531,174 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.4%): |
| ||||||
4,379,000 | SanDisk Corp., 0.50%, 10/15/20(a) | 5,509,329 | ||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.7%): |
| ||||||
3,438,000 | MGIC Investment Corp., 5.00%, 5/1/17^ | 3,988,080 | ||||||
1,557,000 | MGIC Investment Corp., 2.00%, 4/1/20 | 2,317,984 | ||||||
1,141,000 | Radian Group, Inc., 2.25%, 3/1/19 | 1,710,074 | ||||||
|
| |||||||
8,016,138 | ||||||||
|
| |||||||
| Total Convertible Bonds (Cost $106,621,336) | 127,007,377 | ||||||
|
| |||||||
| Corporate Bonds (5.7%): |
| ||||||
| Aerospace & Defense (0.0%): |
| ||||||
380,000 | L-3 Communications Holdings Corp., 3.95%, 5/28/24, Callable 2/28/24 @ 100 | 382,594 | ||||||
200,000 | Precision Castparts Corp., 2.50%, 1/15/23, Callable 10/15/22 @ 100 | 191,556 | ||||||
|
| |||||||
574,150 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.1%): |
| ||||||
360,000 | FedEx Corp., 4.90%, 1/15/34 | 386,379 | ||||||
745,000 | FedEx Corp., 5.10%, 1/15/44 | 806,129 | ||||||
160,000 | United Parcel Service, Inc., 2.45%, 10/1/22 | 155,255 | ||||||
|
| |||||||
1,347,763 | ||||||||
|
| |||||||
| Airlines (0.0%): |
| ||||||
90,353 | Continental Airlines 2010-A, Series A, 4.75%, 1/12/21 | 97,807 | ||||||
285,234 | Continental Airlines 2012-A, Series A, 4.15%, 4/11/24 | 295,896 | ||||||
63,973 | Delta Air Lines, Inc., 6.20%, 7/2/18 | 71,810 | ||||||
|
| |||||||
465,513 | ||||||||
|
| |||||||
| Automobiles (0.0%): |
| ||||||
550,000 | Ford Motor Co., 4.75%, 1/15/43 | 556,044 | ||||||
|
| |||||||
| Banks (0.3%): |
| ||||||
330,000 | Bank of America Corp., 1.25%, 1/11/16, MTN | 332,475 | ||||||
295,000 | Bank of America Corp., 5.75%, 12/1/17 | 332,736 | ||||||
175,000 | Bank of America Corp., 5.65%, 5/1/18, MTN | 198,369 | ||||||
310,000 | Bank of America Corp., 4.13%, 1/22/24, MTN | 319,608 | ||||||
105,000 | HBOS plc, 6.75%, 5/21/18(a) | 120,963 | ||||||
570,000 | JPMorgan Chase & Co., Series V, 5.00%, 12/29/49, Callable 7/1/19 @ 100 | 567,888 |
Continued
4
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Banks, continued |
| ||||||
$ | 495,000 | JPMorgan Chase & Co., Series S, 6.75%, 12/31/49, Callable 2/1/24 @ 100, Perpetual Bond(b) | $ | 530,888 | ||||
130,000 | PNC Funding Corp., 5.13%, 2/8/20 | 148,495 | ||||||
250,000 | U.S. Bank NA, 3.78%, 4/29/20, Callable 4/29/15 @ 100(b) | 255,882 | ||||||
879,000 | Wells Fargo & Co., 4.13%, 8/15/23 | 913,109 | ||||||
405,000 | Wells Fargo & Co., 4.10%, 6/3/26, MTN | 410,103 | ||||||
|
| |||||||
4,130,516 | ||||||||
|
| |||||||
| Beverages (0.1%): |
| ||||||
20,000 | Anheuser-Busch InBev NV Worldwide, Inc., 5.38%, 11/15/14 | 20,360 | ||||||
135,000 | Anheuser-Busch InBev NV Worldwide, Inc., 3.63%, 4/15/15 | 138,470 | ||||||
175,000 | Anheuser-Busch InBev NV Worldwide, Inc., 0.80%, 7/15/15 | 175,788 | ||||||
80,000 | FBG Finance, Ltd., 5.13%, 6/15/15(a) | 83,305 | ||||||
990,000 | PepsiCo, Inc., 3.60%, 3/1/24, Callable 12/1/23 @ 100 | 1,019,840 | ||||||
|
| |||||||
1,437,763 | ||||||||
|
| |||||||
| Biotechnology (0.2%): |
| ||||||
335,000 | Celgene Corp., 4.00%, 8/15/23 | 348,871 | ||||||
1,220,000 | Celgene Corp., 4.63%, 5/15/44, Callable 11/15/43 @ 100 | 1,221,943 | ||||||
560,000 | Gilead Sciences, Inc., 2.05%, 4/1/19 | 560,376 | ||||||
|
| |||||||
2,131,190 | ||||||||
|
| |||||||
| Capital Markets (0.4%): |
| ||||||
380,000 | Apollo Management Holdings LP, 4.00%, 5/30/24(a) | 382,434 | ||||||
120,000 | Bear Stearns Co., Inc., 7.25%, 2/1/18 | 142,809 | ||||||
180,000 | Charles Schwab Corp. (The), 4.45%, 7/22/20 | 200,845 | ||||||
240,000 | Ford Motor Credit Co. LLC, 2.50%, 1/15/16 | 246,088 | ||||||
75,000 | General Electric Capital Corp., Series G, 6.00%, 8/7/19, MTN | 88,841 | ||||||
115,000 | Goldman Sachs Group, Inc. (The), 6.15%, 4/1/18 | 131,884 | ||||||
520,000 | Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19 | 527,068 | ||||||
175,000 | Goldman Sachs Group, Inc. (The), 5.25%, 7/27/21 | 196,513 | ||||||
500,000 | Goldman Sachs Group, Inc. (The), 5.75%, 1/24/22 | 578,592 | ||||||
140,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 168,425 | ||||||
650,000 | KKR Group Finance Co. III LLC, 5.13%, 6/1/44, Callable 12/1/43 @ 100(a) | 659,423 | ||||||
70,000 | Merrill Lynch & Co., 6.88%, 4/25/18, MTN | 82,469 | ||||||
235,000 | Morgan Stanley, 4.00%, 7/24/15 | 243,387 | ||||||
295,000 | Morgan Stanley, 3.45%, 11/2/15 | 305,237 | ||||||
120,000 | Morgan Stanley, 5.75%, 1/25/21 | 139,395 | ||||||
365,000 | Morgan Stanley, 6.38%, 7/24/42 | 463,128 |
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Capital Markets, continued |
| ||||||
$ | 90,000 | National Rural Utilities Cooperative Finance Corp., 3.05%, 2/15/22, Callable 11/15/21 @ 100 | $ | 91,557 | ||||
|
| |||||||
4,648,095 | ||||||||
|
| |||||||
| Chemicals (0.1%): |
| ||||||
275,000 | Monsanto Co., 2.13%, 7/15/19 | 275,680 | ||||||
190,000 | Monsanto Co., 3.38%, 7/15/24, Callable 4/15/24 @ 100 | 191,256 | ||||||
200,000 | Monsanto Co., 3.60%, 7/15/42, Callable 1/15/42 @ 100 | 176,286 | ||||||
|
| |||||||
643,222 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.0%): |
| ||||||
430,000 | Pitney Bowes, Inc., 4.63%, 3/15/24, Callable 12/15/23 @ 100 | 444,770 | ||||||
|
| |||||||
| Communications Equipment (0.0%): |
| ||||||
290,000 | Juniper Networks, Inc., 4.50%, 3/15/24 | 303,302 | ||||||
|
| |||||||
| Containers & Packaging (0.1%): |
| ||||||
905,000 | Packaging Corp. of America, 4.50%, 11/1/23, Callable 8/1/23 @ 100 | 969,327 | ||||||
|
| |||||||
| Diversified Financial Services (0.4%): |
| ||||||
135,000 | Citigroup, Inc., 6.13%, 11/21/17 | 154,406 | ||||||
220,000 | Citigroup, Inc., 8.50%, 5/22/19 | 281,202 | ||||||
595,000 | Citigroup, Inc., 6.68%, 9/13/43 | 740,724 | ||||||
220,000 | Citigroup, Inc., 5.30%, 5/6/44 | 229,471 | ||||||
925,000 | Glencore Funding LLC, 3.13%, 4/29/19(a) | 943,315 | ||||||
120,000 | JPMorgan Chase & Co., 6.00%, 1/15/18 | 137,414 | ||||||
65,000 | JPMorgan Chase & Co., 6.30%, 4/23/19 | 76,851 | ||||||
150,000 | JPMorgan Chase & Co., 4.40%, 7/22/20 | 163,895 | ||||||
215,000 | JPMorgan Chase & Co., 4.50%, 1/24/22 | 235,584 | ||||||
785,000 | Moody’s Corp., 4.50%, 9/1/22, Callable 6/1/22 @ 100 | 823,003 | ||||||
500,000 | Moody’s Corp., 4.88%, 2/15/24, Callable 11/15/23 @ 100 | 535,199 | ||||||
|
| |||||||
4,321,064 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.3%): |
| ||||||
1,000,000 | Verizon Communications, Inc., 5.15%, 9/15/23 | 1,119,093 | ||||||
1,375,000 | Verizon Communications, Inc., 6.40%, 9/15/33 | 1,684,290 | ||||||
890,000 | Verizon Communications, Inc., 6.55%, 9/15/43 | 1,120,012 | ||||||
|
| |||||||
3,923,395 | ||||||||
|
| |||||||
| Electrical Equipment (0.0%): |
| ||||||
405,000 | Eaton Corp., 0.95%, 11/2/15 | 406,785 | ||||||
|
| |||||||
| Energy Equipment & Services (0.1%): |
| ||||||
960,000 | Rowan Cos., Inc., 5.85%, 1/15/44, Callable 7/15/43 @ 100 | 1,036,327 | ||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
85,000 | Corn Products International, Inc., 6.63%, 4/15/37 | 104,585 |
Continued
5
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Food & Staples Retailing, continued |
| ||||||
$ | 1,085,000 | Kroger Co. (The), 3.30%, 1/15/21, Callable 12/15/20 @ 100 | $ | 1,110,716 | ||||
315,000 | Wal-Mart Stores, Inc., 3.30%, 4/22/24, Callable 1/22/24 @ 100 | 318,324 | ||||||
|
| |||||||
1,533,625 | ||||||||
|
| |||||||
| Food Products (0.0%): |
| ||||||
132,000 | Mondelez International, Inc., 6.50%, 2/9/40 | 169,030 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (0.2%): |
| ||||||
465,000 | CareFusion Corp., 3.88%, 5/15/24, Callable 2/15/24 @ 100 | 469,810 | ||||||
370,000 | CareFusion Corp., 4.88%, 5/15/44, Callable 11/15/43 @ 100 | 373,763 | ||||||
525,000 | Edwards Lifesciences Corp., 2.88%, 10/15/18 | 536,496 | ||||||
290,000 | Medtronic, Inc., 4.00%, 4/1/43, Callable 10/1/42 @ 100 | 276,181 | ||||||
465,000 | Medtronic, Inc., 4.63%, 3/15/44, Callable 9/15/43 @ 100 | 488,391 | ||||||
|
| |||||||
2,144,641 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.2%): |
| ||||||
220,000 | Aetna, Inc., 3.95%, 9/1/20 | 238,641 | ||||||
840,000 | Express Scripts Holding Co., 2.25%, 6/15/19 | 836,487 | ||||||
950,000 | McKesson Corp., 2.28%, 3/15/19 | 953,333 | ||||||
295,000 | UnitedHealth Group, Inc., 1.63%, 3/15/19 | 290,452 | ||||||
|
| |||||||
2,318,913 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.0%): |
| ||||||
305,000 | Wyndham Worldwide Corp., 2.95%, 3/1/17, Callable 2/1/17 @ 100 | 316,796 | ||||||
225,000 | Wyndham Worldwide Corp., 5.63%, 3/1/21 | 253,591 | ||||||
|
| |||||||
570,387 | ||||||||
|
| |||||||
| Household Durables (0.0%): |
| ||||||
635,000 | MDC Holdings, Inc., 6.00%, 1/15/43, Callable 10/15/42 @ 100 | 600,710 | ||||||
|
| |||||||
| Household Products (0.1%): |
| ||||||
695,000 | Tupperware Brands Corp., 4.75%, 6/1/21, Callable 6/1/21 @ 100 | 750,237 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.1%): |
| ||||||
175,000 | Louisville Gas & Electric Co., 1.63%, 11/15/15 | 177,648 | ||||||
520,000 | Oglethorpe Power Corp., 4.55%, 6/1/44 | 524,269 | ||||||
125,000 | Ohio Power Co., Series M, 5.38%, 10/1/21 | 145,914 | ||||||
|
| |||||||
847,831 | ||||||||
|
| |||||||
| Insurance (0.3%): |
| ||||||
1,000,000 | American Financial Group, Inc., 9.88%, 6/15/19 | 1,308,302 | ||||||
205,000 | Berkley (WR) Corp., 4.63%, 3/15/22 | 220,211 | ||||||
115,000 | CNA Financial Corp., 5.88%, 8/15/20 | 134,572 | ||||||
320,000 | Lincoln National Corp., 4.00%, 9/1/23 | 332,410 | ||||||
210,000 | Markel Corp., 5.00%, 3/30/43 | 218,179 | ||||||
295,000 | Marsh & McLennan Cos., Inc., 4.05%, 10/15/23, Callable 7/15/23 @ 100 | 310,484 | ||||||
75,000 | Pacific Life Corp., 6.00%, 2/10/20(a) | 85,655 |
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Insurance, continued |
| ||||||
$ | 80,000 | Prudential Financial, Inc., Series D, 4.75%, 9/17/15, MTN | $ | 83,961 | ||||
20,000 | Prudential Financial, Inc., 7.38%, 6/15/19, MTN | 24,768 | ||||||
35,000 | Prudential Financial, Inc., 6.63%, 12/1/37, MTN | 45,035 | ||||||
280,000 | Prudential Financial, Inc., 5.10%, 8/15/43, MTN | 302,337 | ||||||
560,000 | Reinsurance Group of America, Inc., 4.70%, 9/15/23 | 599,757 | ||||||
440,000 | Travelers Cos., Inc. (The), 4.60%, 8/1/43 | 464,059 | ||||||
|
| |||||||
4,129,730 | ||||||||
|
| |||||||
| IT Services (0.0%): |
| ||||||
315,000 | Computer Sciences Corp., 4.45%, 9/15/22 | 330,290 | ||||||
195,000 | Hewlett-Packard Co., 2.63%, 12/9/14 | 196,939 | ||||||
|
| |||||||
527,229 | ||||||||
|
| |||||||
| Machinery (0.1%): |
| ||||||
655,000 | Deere & Co., 2.60%, 6/8/22, Callable 3/8/22 @ 100 | 640,431 | ||||||
|
| |||||||
| Media (0.8%): |
| ||||||
135,000 | Comcast Corp., 5.70%, 5/15/18 | 155,522 | ||||||
245,000 | Comcast Corp., 6.45%, 3/15/37 | 312,496 | ||||||
70,000 | Cox Communications, Inc., 5.45%, 12/15/14 | 71,542 | ||||||
1,520,000 | Cox Communications, Inc., 8.38%, 3/1/39(a) | 2,129,608 | ||||||
240,000 | Cox Communications, Inc., 4.70%, 12/15/42(a) | 233,397 | ||||||
210,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 1.75%, 1/15/18 | 210,289 | ||||||
2,185,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.15%, 3/15/42 | 2,294,540 | ||||||
315,000 | Interpublic Group of Cos., Inc., 4.20%, 4/15/24 | 325,039 | ||||||
65,000 | NBCUniversal Media LLC, 5.15%, 4/30/20 | 74,590 | ||||||
75,000 | NBCUniversal Media LLC, 5.95%, 4/1/41 | 92,082 | ||||||
2,000,000 | Time Warner Cable, Inc., 5.00%, 2/1/20 | 2,241,218 | ||||||
160,000 | Time Warner Cable, Inc., 5.88%, 11/15/40, Callable 5/15/40 @ 100 | 186,634 | ||||||
40,000 | Time Warner, Inc., 5.88%, 11/15/16 | 44,540 | ||||||
|
| |||||||
8,371,497 | ||||||||
|
| |||||||
| Metals & Mining (0.1%): |
| ||||||
350,000 | Barrick NA Finance LLC, 5.70%, 5/30/41 | 360,764 | ||||||
215,000 | Freeport-McMoRan Copper & Gold, Inc., 1.40%, 2/13/15 | 215,851 | ||||||
215,000 | Newmont Mining Corp., 3.50%, 3/15/22, Callable 12/15/21 @ 100 | 207,291 | ||||||
|
| |||||||
783,906 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.5%): |
| ||||||
385,000 | Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100(a) | 385,355 | ||||||
55,000 | Enterprise Products Operating LP, 5.25%, 1/31/20 | 62,767 | ||||||
75,000 | Enterprise Products Partners LP, 6.50%, 1/31/19 | 88,971 |
Continued
6
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
$ | 640,000 | Noble Energy, Inc., 5.25%, 11/15/43, Callable 5/15/43 @ 100 | $ | 705,542 | ||||
190,000 | Phillips 66, 1.95%, 3/5/15 | 191,901 | ||||||
175,000 | Plains All American Pipeline LP, 3.65%, 6/1/22, Callable 3/1/22 @ 100 | 180,723 | ||||||
365,000 | Southwestern Energy Co., 4.10%, 3/15/22, Callable 12/15/21 @ 100 | 386,839 | ||||||
45,000 | Spectra Energy Capital Corp., 7.50%, 9/15/38 | 58,483 | ||||||
470,000 | Sunoco Logistics Partners LP, 5.50%, 2/15/20 | 532,809 | ||||||
710,000 | Sunoco Logistics Partners LP, 5.30%, 4/1/44, Callable 10/1/43 @ 100 | 747,032 | ||||||
45,000 | Texas East Transmission, 7.00%, 7/15/32 | 59,461 | ||||||
830,000 | Western Gas Partners LP, 5.45%, 4/1/44, Callable 10/1/43 @ 100 | 914,278 | ||||||
755,000 | Williams Partners LP, 5.40%, 3/4/44, Callable 9/4/43 @ 100 | 809,988 | ||||||
|
| |||||||
5,124,149 | ||||||||
|
| |||||||
| Paper & Forest Products (0.0%): |
| ||||||
125,000 | International Paper Co., 6.00%, 11/15/41, Callable 5/15/41 @ 100 | 147,298 | ||||||
|
| |||||||
| Pharmaceuticals (0.1%): |
| ||||||
110,000 | Express Scripts, Inc., 3.13%, 5/15/16 | 114,601 | ||||||
85,000 | GlaxoSmithKline plc, 5.65%, 5/15/18 | 97,487 | ||||||
75,000 | Medco Health Solutions, Inc., 2.75%, 9/15/15 | 76,793 | ||||||
95,000 | Merck & Co., Inc., 5.00%, 6/30/19 | 108,096 | ||||||
1,100,000 | Novartis Capital Corp., 4.40%, 5/6/44 | 1,144,888 | ||||||
213,000 | Zoetis, Inc., 4.70%, 2/1/43, Callable 8/1/42 @ 100 | 216,341 | ||||||
|
| |||||||
1,758,206 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.2%): |
| ||||||
55,000 | American Tower Corp., 4.63%, 4/1/15 | 56,649 | ||||||
443,000 | American Tower Corp., 4.50%, 1/15/18 | 482,689 | ||||||
510,000 | American Tower Corp., 3.40%, 2/15/19 | 533,540 | ||||||
460,000 | American Tower Corp., 5.00%, 2/15/24 | 499,619 | ||||||
115,000 | Digital Realty Trust LP, 4.50%, 7/15/15^ | 118,280 | ||||||
410,000 | HCP, Inc., 4.20%, 3/1/24, Callable 12/1/23 @ 100 | 422,671 | ||||||
460,000 | Health Care REIT, Inc., 4.50%, 1/15/24, Callable 10/15/23 @ 100 | 484,687 | ||||||
125,000 | Realty Income Corp., 2.00%, 1/31/18, Callable 12/31/17 @ 100 | 125,591 | ||||||
185,000 | Senior Housing Properties Trust, 4.30%, 1/15/16, Callable 10/15/15 @ 100 | 191,688 | ||||||
240,000 | Ventas Realty LP / Capital Corp., 2.70%, 4/1/20, Callable 1/1/20 @ 100 | 238,859 | ||||||
95,000 | Ventas Realty LP / Capital Corp., 4.25%, 3/1/22 | 100,916 | ||||||
155,000 | Ventas Realty LP / Capital Corp., 5.70%, 9/30/43, Callable 3/30/43 @ 100 | 179,766 | ||||||
|
| |||||||
3,434,955 | ||||||||
|
|
Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Real Estate Management & Development (0.0%): |
| ||||||
$ | 510,000 | Piedmont Operating Partnership LP, 4.45%, 3/15/24, Callable 12/15/23 @ 100 | $ | 522,409 | ||||
75,000 | WEA Finance LLC, 7.13%, 4/15/18(a) | 91,295 | ||||||
|
| |||||||
613,704 | ||||||||
|
| |||||||
| Road & Rail (0.3%): |
| ||||||
1,370,000 | Burlington Northern Santa Fe LLC, 5.15%, 9/1/43, Callable 3/1/43 @ 100 | 1,510,244 | ||||||
140,000 | CSX Corp., 5.50%, 4/15/41, Callable 10/15/40 @ 100 | 161,901 | ||||||
845,000 | ERAC USA Finance LLC, 2.35%, 10/15/19(a) | 843,758 | ||||||
105,000 | Ryder System, Inc., 3.15%, 3/2/15, MTN | 106,874 | ||||||
18,000 | Union Pacific Corp., 3.65%, 2/15/24, Callable 11/15/23 @ 100 | 18,740 | ||||||
465,000 | Union Pacific Corp., 4.85%, 6/15/44, Callable 12/15/43 @ 100 | 514,139 | ||||||
|
| |||||||
3,155,656 | ||||||||
|
| |||||||
| Software (0.1%): |
| ||||||
75,000 | Adobe Systems, Inc., 4.75%, 2/1/20 | 83,424 | ||||||
1,035,000 | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | 1,034,586 | ||||||
|
| |||||||
1,118,010 | ||||||||
|
| |||||||
| Specialty Retail (0.2%): |
| ||||||
520,000 | Advance Auto Parts, Inc., 4.50%, 12/1/23, Callable 9/1/23 @ 100 | 548,313 | ||||||
653,047 | CVS Pass-Through Trust, 6.04%, 12/10/28 | 751,761 | ||||||
365,000 | Penske Truck Leasing Co. LP, 2.50%, 3/15/16(a) | 375,193 | ||||||
355,000 | Target Corp., 2.90%, 1/15/22 | 356,289 | ||||||
15,000 | Wal-Mart Stores, Inc., 6.50%, 8/15/37 | 19,937 | ||||||
|
| |||||||
2,051,493 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.0%): |
| ||||||
270,000 | Apple, Inc., 3.45%, 5/6/24 | 273,009 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.0%): |
| ||||||
195,000 | Cintas Corp., 2.85%, 6/1/16 | 201,541 | ||||||
|
| |||||||
| Tobacco (0.1%): |
| ||||||
310,000 | Philip Morris International, Inc., 3.60%, 11/15/23^ | 320,314 | ||||||
925,000 | Philip Morris International, Inc., 4.88%, 11/15/43 | 996,239 | ||||||
|
| |||||||
1,316,553 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
1,000 | AT&T, Inc., 8.00%, 11/15/31 | 1,468 | ||||||
28,000 | AT&T, Inc., 5.35%, 9/1/40 | 30,456 | ||||||
730,000 | Crown Castle Towers LLC, 6.11%, 1/15/20(a) | 859,229 | ||||||
25,000 | SBC Communications, Inc., 6.15%, 9/15/34 | 29,840 | ||||||
65,000 | Verizon Communications, Inc., 3.00%, 4/1/16 | 67,390 | ||||||
120,000 | Verizon Communications, Inc., 6.40%, 2/15/38 | 146,561 | ||||||
|
| |||||||
1,134,944 | ||||||||
|
| |||||||
| Total Corporate Bonds (Cost $67,587,761) | 71,056,911 | ||||||
|
|
Continued
7
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars (1.8%): |
| ||||||
| Aerospace & Defense (0.0%): |
| ||||||
$ | 275,000 | Heathrow Funding, Ltd., 2.50%, 6/25/15(a) | $ | 279,490 | ||||
|
| |||||||
| Airlines (0.1%): |
| ||||||
574,461 | Virgin Australia Holdings, Ltd., 5.00%, 10/23/23(a) | 610,366 | ||||||
|
| |||||||
| Banks (0.9%): |
| ||||||
235,000 | Abbey National Treasury Services plc, 3.88%, 11/10/14(a) | 237,885 | ||||||
430,000 | Banco Inbursa SA, 4.13%, 6/6/24^(a) | 420,110 | ||||||
100,000 | Barclays Bank plc, 2.75%, 2/23/15 | 101,508 | ||||||
175,000 | Barclays Bank plc, 6.75%, 5/22/19 | 210,746 | ||||||
110,000 | Barclays Bank plc, 5.14%, 10/14/20 | 120,483 | ||||||
615,000 | BBVA Bancomer SA, 4.38%, 4/10/24(a) | 626,531 | ||||||
564,000 | Credit Suisse AG, 6.50%, 8/8/23(a) | 625,335 | ||||||
255,000 | HSBC Bank plc, 4.13%, 8/12/20(a) | 276,007 | ||||||
200,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 205,825 | ||||||
375,000 | ING Bank NV, 3.75%, 3/7/17(a) | 398,876 | ||||||
435,000 | Lloyds Bank plc, 2.30%, 11/27/18^ | 441,662 | ||||||
2,425,000 | Mizuho Finance Group (Cayman) 3, Ltd., 4.60%, 3/27/24(a) | 2,556,029 | ||||||
125,000 | National Australia Bank, 3.75%, 3/2/15(a) | 127,787 | ||||||
180,000 | Rabobank Nederland NV, 4.75%, 1/15/20(a) | 200,639 | ||||||
100,000 | Santander U.S. Debt SA, 3.72%, 1/20/15(a) | 101,480 | ||||||
995,000 | Societe Generale SA, 5.00%, 1/17/24(a) | 1,040,607 | ||||||
100,000 | Standard Chartered plc, 3.85%, 4/27/15(a) | 102,590 | ||||||
545,000 | Standard Chartered plc, 5.70%, 3/26/44(a) | 571,247 | ||||||
35,000 | UBS AG Stamford CT, Series BKNT, 5.88%, 12/20/17 | 39,976 | ||||||
120,000 | UBS AG Stamford CT, Series BKNT, 5.75%, 4/25/18 | 137,585 | ||||||
|
| |||||||
8,542,908 | ||||||||
|
| |||||||
| Chemicals (0.1%): |
| ||||||
650,000 | Montell Finance Co. BV, 8.10%, 3/15/27(a) | 873,223 | ||||||
|
| |||||||
| Diversified Financial Services (0.1%): |
| ||||||
830,000 | BP Capital Markets plc, 2.24%, 5/10/19 | 837,125 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.0%): |
| ||||||
465,000 | British Telecommunications plc, 1.25%, 2/14/17 | 465,419 | ||||||
320,000 | Telefonica Emisiones SAU, 7.05%, 6/20/36 | 408,157 | ||||||
|
| |||||||
873,576 | ||||||||
|
| |||||||
| Electric Utilities (0.1%): |
| ||||||
765,000 | Electricite de France SA, 4.88%, 1/22/44(a) | 815,561 | ||||||
785,000 | Electricite de France SA, 5.62%, 12/31/49, Callable 1/22/24 @ 100, Perpetual Bond(a)(b) | 820,560 | ||||||
|
| |||||||
1,636,121 | ||||||||
|
| |||||||
| Food Products (0.1%): |
| ||||||
685,000 | Grupo Bimbo SAB de C.V., 3.88%, 6/27/24^(a) | 683,644 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.0%): |
| ||||||
50,000 | Electricite de France, 4.60%, 1/27/20(a) | 55,593 |
Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Independent Power and Renewable Electricity Producers, continued |
| ||||||
$ | 100,000 | Iberdrola Finance Ireland, Ltd., 3.80%, 9/11/14(a) | $ | 100,606 | ||||
|
| |||||||
156,199 | ||||||||
|
| |||||||
| Industrial Conglomerates (0.0%): |
| ||||||
350,000 | Pentair Finance SA, 5.00%, 5/15/21, Callable 2/15/21 @ 100 | 386,882 | ||||||
|
| |||||||
| Insurance (0.0%): |
| ||||||
100,000 | AEGON NV, 4.63%, 12/1/15 | 105,382 | ||||||
|
| |||||||
| Internet Software & Services (0.2%): |
| ||||||
455,000 | Baidu, Inc., 3.25%, 8/6/18 | 470,090 | ||||||
845,000 | Tencent Holdings, Ltd., 3.38%, 5/2/19(a) | 863,903 | ||||||
|
| |||||||
1,333,993 | ||||||||
|
| |||||||
| Media (0.0%): |
| ||||||
400,000 | Grupo Televisa SAB, 5.00%, 5/13/45 | 400,796 | ||||||
|
| |||||||
| Metals & Mining (0.1%): |
| ||||||
100,000 | Anglo American Capital plc, 9.38%, 4/8/19(a) | 128,729 | ||||||
465,000 | Anglo American Capital plc, 4.13%, 4/15/21(a) | 475,970 | ||||||
205,000 | ArcelorMittal, 4.25%, 8/5/15 | 210,381 | ||||||
145,000 | ArcelorMittal, 9.85%, 6/1/19 | 185,600 | ||||||
30,000 | ArcelorMittal, 7.25%, 3/1/41 | 31,875 | ||||||
265,000 | Gold Fields Holdings Co., Ltd., 4.88%, 10/7/20(a) | 243,800 | ||||||
100,000 | Rio Tinto Finance (USA), Ltd., 9.00%, 5/1/19 | 131,105 | ||||||
110,000 | Rio Tinto Finance (USA), Ltd., 7.13%, 7/15/28 | 143,908 | ||||||
380,000 | Vale Overseas, Ltd., 5.63%, 9/15/19 | 427,388 | ||||||
65,000 | Vale SA, 5.63%, 9/11/42 | 63,681 | ||||||
230,000 | Xstrata Finance Canada, 1.80%, 10/23/15(a) | 232,605 | ||||||
230,000 | Xstrata Finance Canada, 2.70%, 10/25/17(a) | 236,087 | ||||||
|
| |||||||
2,511,129 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.0%): |
| ||||||
150,000 | Husky Energy, Inc., 3.95%, 4/15/22, Callable 1/15/22 @ 100 | 158,688 | ||||||
70,000 | Noble Holding International, Ltd., 2.50%, 3/15/17 | 71,612 | ||||||
390,000 | Petrobras Global Finance Co., 5.63%, 5/20/43 | 352,950 | ||||||
40,000 | Shell International Finance BV, 3.10%, 6/28/15 | 41,092 | ||||||
|
| |||||||
624,342 | ||||||||
|
| |||||||
| Pharmaceuticals (0.1%): |
| ||||||
850,000 | Actavis Funding SCS, 4.85%, 6/15/44, Callable 12/15/43 @ 100(a) | 858,032 | ||||||
310,000 | Perrigo Co. plc, 2.30%, 11/8/18(a) | 309,873 | ||||||
|
| |||||||
1,167,905 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
430,000 | Dexus Diversified Trust / Dexus Office Trust, 5.60%, 3/15/21(a) | 485,518 | ||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.0%): |
| ||||||
180,000 | Nationwide Building Society, 6.25%, 2/25/20(a) | 212,534 | ||||||
|
|
Continued
8
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Wireless Telecommunication Services (0.0%): |
| ||||||
$ | 200,000 | America Movil SAB de C.V., 2.38%, 9/8/16 | $ | 205,646 | ||||
335,000 | America Movil SAB de C.V., 4.38%, 7/16/42 | 316,405 | ||||||
75,000 | Deutsche Telekom International Finance BV, 6.00%, 7/8/19 | 88,012 | ||||||
355,000 | Rogers Communications, Inc., 4.50%, 3/15/43, Callable 9/15/42 @ 100 | 344,959 | ||||||
|
| |||||||
955,022 | ||||||||
|
| |||||||
| Total Yankee Dollars (Cost $21,866,267) | 22,676,155 | ||||||
|
| |||||||
| U.S. Treasury Obligations (9.8%): |
| ||||||
| U.S. Treasury Bonds (0.0%) |
| ||||||
475,000 | 3.63%, 2/15/44 | 501,273 | ||||||
|
| |||||||
| U.S. Treasury Notes (9.8%) |
| ||||||
11,470,000 | 2.25%, 1/31/15 | 11,615,164 | ||||||
17,879,000 | 0.50%, 6/30/16 | 17,894,358 | ||||||
200,000 | 0.63%, 5/31/17 | 198,672 | ||||||
43,495,000 | 0.88%, 6/15/17 | 43,512,006 | ||||||
8,000,000 | 0.75%, 6/30/17 | 7,967,504 | ||||||
13,200,000 | 0.75%, 2/28/18 | 12,992,720 | ||||||
6,200,000 | 1.25%, 1/31/19 | 6,130,250 | ||||||
17,068,000 | 1.63%, 6/30/19 | 17,068,000 | ||||||
6,000 | 3.63%, 2/15/20 | 6,600 | ||||||
400,000 | 2.63%, 11/15/20 | 415,500 | ||||||
900,000 | 2.50%, 5/15/24^ | 898,735 | ||||||
|
| |||||||
118,699,509 | ||||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $119,327,577) | 119,200,782 | ||||||
|
|
Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| U.S. Government Agency Mortgages (0.2%): |
| ||||||
$ | 1,200,000 | Federal Home Loan Mortgage Corporation, 4.88%, 6/13/18 | $ | 1,329,770 | ||||
725,000 | Federal National Mortgage Association, 6.63%, 11/15/30 | 831,138 | ||||||
|
| |||||||
2,160,908 | ||||||||
|
| |||||||
| Total U.S. Government Agency Mortgages (Cost $2,004,638) | 2,160,908 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (2.4%): |
| ||||||
30,050,448 | Allianz Variable Insurance Products Securities Lending Collateral Trust(c) | 30,050,448 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 30,050,448 | ||||||
|
| |||||||
| Unaffiliated Investment Company (8.8%): |
| ||||||
108,750,179 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d) | 108,750,179 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $108,750,179) | 108,750,179 | ||||||
|
| |||||||
| Total Investment Securities (Cost $1,040,201,879)(e) — 102.2% | 1,255,781,914 | ||||||
| Net other assets (liabilities) — (2.2)% | (26,747,657 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,229,034,257 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
MTN—Medium Term Note
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $29,383,896. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(d) | The rate represents the effective yield at June 30, 2014. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
9
AZL Invesco Equity and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 0.1 | % | ||
Brazil | — | %NM | ||
British Virgin Islands | 0.2 | % | ||
Canada | 1.5 | % | ||
Cayman Islands | 0.4 | % | ||
France | 2.0 | % | ||
Guernsey | 0.7 | % | ||
Ireland (Republic of) | 0.8 | % | ||
Israel | 0.8 | % | ||
Italy | 0.1 | % | ||
Jersey | — | %NM | ||
Luxembourg | 0.1 | % | ||
Mexico | 0.7 | % | ||
Netherlands | 0.6 | % | ||
Panama | 0.9 | % | ||
Spain | 0.1 | % | ||
Switzerland | 2.1 | % | ||
United Kingdom | 3.6 | % | ||
United States | 85.3 | % | ||
|
| |||
100.0 | % | |||
|
|
NM | Not meaningful, amount is less than 0.05%. |
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
British Pound | Bank of New York Mellon | 7/25/14 | 5,998,358 | $ | 10,181,673 | $ | 10,262,111 | $ | (80,438 | ) | ||||||||||
British Pound | State Street | 7/25/14 | 5,994,243 | 10,174,208 | 10,255,071 | (80,863 | ) | |||||||||||||
Canadian Dollar | Bank of New York Mellon | 7/25/14 | 7,106,815 | 6,612,528 | 6,656,763 | (44,235 | ) | |||||||||||||
Canadian Dollar | State Street | 7/25/14 | 7,114,925 | 6,619,508 | 6,664,359 | (44,851 | ) | |||||||||||||
European Euro | Bank of New York Mellon | 7/25/14 | 8,636,942 | 11,742,009 | 11,826,837 | (84,828 | ) | |||||||||||||
European Euro | State Street | 7/25/14 | 8,703,619 | 11,832,745 | 11,918,141 | (85,396 | ) | |||||||||||||
Israeli Shekel | Bank of New York Mellon | 7/25/14 | 3,805,975 | 1,107,373 | 1,109,102 | (1,729 | ) | |||||||||||||
Israeli Shekel | State Street | 7/25/14 | 22,316,591 | 6,491,155 | 6,503,293 | (12,138 | ) | |||||||||||||
Swiss Franc | Bank of New York Mellon | 7/25/14 | 3,656,208 | 4,086,062 | 4,124,822 | (38,760 | ) | |||||||||||||
Swiss Franc | State Street | 7/25/14 | 3,637,987 | 4,065,153 | 4,104,266 | (39,113 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 72,912,414 | $ | 73,424,765 | $ | (512,351 | ) | ||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements.
10
AZL Invesco Equity and Income Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,040,201,879 | |||
|
| ||||
Investment securities, at value* | $ | 1,255,781,914 | |||
Interest and dividends receivable | 3,062,879 | ||||
Foreign currency, at value (cost $208,629) | 208,633 | ||||
Receivable for capital shares issued | 1,489,045 | ||||
Receivable for investments sold | 40,601,379 | ||||
Reclaims receivable | 79,852 | ||||
Prepaid expenses | 4,690 | ||||
|
| ||||
Total Assets | 1,301,228,392 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 512,351 | ||||
Payable for investments purchased | 40,633,888 | ||||
Payable for collateral received on loaned securities | 30,050,448 | ||||
Manager fees payable | 656,188 | ||||
Administration fees payable | 36,736 | ||||
Distribution fees payable | 250,009 | ||||
Custodian fees payable | 15,783 | ||||
Administrative and compliance services fees payable | 2,795 | ||||
Trustee fees payable | 6,457 | ||||
Other accrued liabilities | 29,480 | ||||
|
| ||||
Total Liabilities | 72,194,135 | ||||
|
| ||||
Net Assets | $ | 1,229,034,257 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 932,344,579 | |||
Accumulated net investment income/(loss) | 20,870,832 | ||||
Accumulated net realized gains/(losses) from investment transactions | 60,750,264 | ||||
Net unrealized appreciation/(depreciation) on investments | 215,068,582 | ||||
|
| ||||
Net Assets | $ | 1,229,034,257 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 73,821,504 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.65 | |||
|
|
* | Includes securities on loan of $29,383,896. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 13,923,909 | |||
Interest | 3,615,409 | ||||
Income from securities lending | 164,087 | ||||
Foreign withholding tax | (216,831 | ) | |||
|
| ||||
Total Investment Income | 17,486,574 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 4,262,471 | ||||
Administration fees | 167,926 | ||||
Distribution fees | 1,420,823 | ||||
Custodian fees | 32,001 | ||||
Administrative and compliance services fees | 9,825 | ||||
Trustee fees | 30,477 | ||||
Professional fees | 29,005 | ||||
Shareholder reports | 22,148 | ||||
Other expenses | 11,122 | ||||
|
| ||||
Total expenses before reductions | 5,985,798 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (531,135 | ) | |||
Less expenses paid indirectly | (107 | ) | |||
|
| ||||
Net expenses | 5,454,556 | ||||
|
| ||||
Net Investment Income/(Loss) | 12,032,018 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 31,846,662 | ||||
Net realized gains/(losses) on forward currency contracts | (897,246 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 23,460,021 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 54,409,437 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 66,441,455 | |||
|
|
See accompanying notes to the financial statements.
11
Statements of Changes in Net Assets
AZL Invesco Equity and Income Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 12,032,018 | $ | 9,612,618 | ||||||
Net realized gains/(losses) on investment transactions | 30,949,416 | 36,588,914 | ||||||||
Change in unrealized appreciation/depreciation on investments | 23,460,021 | 120,836,618 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 66,441,455 | 167,038,150 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (7,820,810 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (7,820,810 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 128,977,166 | 381,039,836 | ||||||||
Proceeds from dividends reinvested | — | 7,820,810 | ||||||||
Value of shares redeemed | (38,397,947 | ) | (51,132,119 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 90,579,219 | 337,728,527 | ||||||||
|
|
|
| |||||||
Change in net assets | 157,020,674 | 496,945,867 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 1,072,013,583 | 575,067,716 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,229,034,257 | $ | 1,072,013,583 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 20,870,832 | $ | 8,838,814 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 8,097,850 | 25,992,523 | ||||||||
Dividends reinvested | — | 529,865 | ||||||||
Shares redeemed | (2,419,407 | ) | (3,554,718 | ) | ||||||
|
|
|
| |||||||
Change in shares | 5,678,443 | 22,967,670 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
12
AZL Invesco Equity and Income Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.73 | $ | 12.73 | $ | 11.54 | $ | 11.95 | $ | 10.83 | $ | 9.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | 0.11 | 0.15 | 0.14 | 0.12 | 0.07 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.77 | 3.02 | 1.22 | (0.41 | ) | 1.14 | 1.98 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.92 | 3.13 | 1.37 | (0.27 | ) | 1.26 | 2.05 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.22 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.13 | ) | (0.18 | ) | (0.14 | ) | (0.14 | ) | (0.22 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.65 | $ | 15.73 | $ | 12.73 | $ | 11.54 | $ | 11.95 | $ | 10.83 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 5.85 | %(b) | 24.67 | % | 11.91 | % | (2.18 | )%(c) | 11.74 | % | 22.85 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,229,034 | $ | 1,072,014 | $ | 575,068 | $ | 442,396 | $ | 351,159 | $ | 242,485 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.12 | % | 1.20 | % | 1.46 | % | 1.57 | % | 1.49 | % | 1.80 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.05 | % | 1.06 | % | 1.07 | % | 1.09 | % | 1.10 | % | 1.13 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.96 | % | 0.97 | % | 0.98 | % | 1.01 | % | 1.02 | % | 1.07 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d)(f) | 0.96 | % | 0.97 | % | 0.99 | % | 1.01 | % | 1.02 | % | 1.07 | % | ||||||||||||||||||
Portfolio Turnover Rate | 59 | %(b) | 52 | % | 29 | % | 28 | % | 37 | % | 69 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $1,491 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
13
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco Equity and Income Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, and reclassification of certain distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
14
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $49.5 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $16,305 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $72.9 million as of June 30, 2014. The monthly average amount for these contracts was $53.7 million for the period ended June 30, 2014.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Foreign Currency Contracts | Unrealized appreciation on forward currency contracts | $ | — | Unrealized depreciation on forward currency contracts | $ | 512,351 |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Foreign Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in unrealized appreciation/depreciation on investments | $ | (897,246 | ) | $ | (35,256 | ) |
15
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Invesco Equity and Income Fund | 0.75 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.70% on the first $100 million in assets, 0.675% on the next $100 million in assets, and 0.65% on assets above $200 million. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $6,495 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
16
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | |||||||||||||||
Diversified Telecommunication Services | $ | 7,602,009 | $ | 5,210,179 | $ | 12,812,188 | |||||||||
Oil, Gas & Consumable Fuels | 46,748,698 | 35,209,413 | 81,958,111 | ||||||||||||
Pharmaceuticals | 44,755,581 | 16,931,868 | 61,687,449 | ||||||||||||
All Other Common Stocks+ | 612,211,797 | — | 612,211,797 | ||||||||||||
Convertible Preferred Stocks | |||||||||||||||
Banks | 830,080 | 1,782,647 | 2,612,727 | ||||||||||||
Capital Markets | 655,000 | 1,444,688 | 2,099,688 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 1,497,194 | 1,497,194 | ||||||||||||
Convertible Bonds | — | 127,007,377 | 127,007,377 | ||||||||||||
Corporate Bonds+ | — | 71,056,911 | 71,056,911 | ||||||||||||
Yankee Dollars+ | — | 22,676,155 | 22,676,155 | ||||||||||||
U.S. Treasury Obligations | — | 119,200,782 | 119,200,782 | ||||||||||||
U.S. Government Agency Mortgages | — | 2,160,908 | 2,160,908 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 30,050,448 | 30,050,448 | ||||||||||||
Unaffiliated Investment Company | 108,750,179 | — | 108,750,179 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 821,553,344 | $ | 434,228,570 | $ | 1,255,781,914 | |||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Forward Currency Contracts | — | (512,351 | ) | (512,351 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 821,553,344 | $ | 433,716,219 | $ | 1,255,269,563 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Invesco Equity and Income Fund | $ | 715,875,214 | $ | 618,591,431 |
17
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
For the period ended June 30, 2014, purchases and sales on long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Invesco Equity and Income Fund | $ | 330,401,066 | $ | 316,523,864 |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $1,043,582,483. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 223,806,611 | ||
Unrealized depreciation | (11,607,180 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 212,199,431 | ||
|
|
During the year ended December 31, 2013, the Fund utilized $4,432,600 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Invesco Equity and Income Fund | $ | 7,820,810 | $ | — | $ | 7,820,810 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
18
AZL Invesco Equity and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Invesco Equity and Income Fund | $ | 9,539,132 | $ | 32,149,845 | $ | — | $ | 188,559,246 | $ | 230,248,223 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
19
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
20
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Invesco Growth and Income Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Invesco Growth and Income Fund
(Unaudited)
As a shareholder of the AZL Invesco Growth and Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco Growth and Income Fund | $ | 1,000.00 | $ | 1,066.40 | $ | 4.92 | 0.96 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco Growth and Income Fund | $ | 1,000.00 | $ | 1,020.03 | $ | 4.81 | 0.96 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 26.4 | % | |||
Information Technology | 13.0 | ||||
Health Care | 12.6 | ||||
Energy | 12.0 | ||||
Consumer Discretionary | 10.1 | ||||
Industrials | 8.7 | ||||
Consumer Staples | 5.3 | ||||
Materials | 2.5 | ||||
Telecommunication Services | 2.4 | ||||
Utilities | 2.1 | ||||
|
| ||||
Total Common Stock | 95.1 | ||||
Money Market | 4.8 | ||||
Securities Held as Collateral for Securities on Loan | 0.7 | ||||
|
| ||||
Total Investment Securities | 100.6 | ||||
Net other assets (liabilities) | (0.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Invesco Growth and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (95.1%): |
| ||||||
| Aerospace & Defense (1.0%): |
| ||||||
39,088 | General Dynamics Corp. | $ | 4,555,706 | |||||
|
| |||||||
| Automobiles (1.3%): |
| ||||||
156,307 | General Motors Co. | 5,673,944 | ||||||
|
| |||||||
| Banks (11.1%): |
| ||||||
312,402 | Bank of America Corp. | 4,801,619 | ||||||
96,318 | BB&T Corp. | 3,797,819 | ||||||
94,357 | Comerica, Inc. | 4,732,947 | ||||||
172,219 | Fifth Third Bancorp | 3,676,876 | ||||||
318,657 | JPMorgan Chase & Co. | 18,361,015 | ||||||
84,417 | PNC Financial Services Group, Inc. | 7,517,333 | ||||||
108,560 | Wells Fargo & Co. | 5,705,914 | ||||||
|
| |||||||
48,593,523 | ||||||||
|
| |||||||
| Biotechnology (1.0%): |
| ||||||
37,396 | Amgen, Inc. | 4,426,565 | ||||||
|
| |||||||
| Capital Markets (6.8%): |
| ||||||
236,781 | Charles Schwab Corp. (The) | 6,376,512 | ||||||
24,826 | Goldman Sachs Group, Inc. (The) | 4,156,865 | ||||||
315,745 | Morgan Stanley | 10,208,036 | ||||||
68,206 | Northern Trust Corp. | 4,379,507 | ||||||
70,252 | State Street Corp. | 4,725,150 | ||||||
|
| |||||||
29,846,070 | ||||||||
|
| |||||||
| Chemicals (1.6%): |
| ||||||
99,744 | Dow Chemical Co. (The) | 5,132,827 | ||||||
9,716 | PPG Industries, Inc. | 2,041,817 | ||||||
|
| |||||||
7,174,644 | ||||||||
|
| |||||||
| Commercial Services & Supplies (1.6%): |
| ||||||
160,675 | Tyco International, Ltd. | 7,326,780 | ||||||
|
| |||||||
| Diversified Financial Services (5.3%): |
| ||||||
344,132 | Citigroup, Inc. | 16,208,618 | ||||||
45,717 | CME Group, Inc. | 3,243,621 | ||||||
107,307 | Voya Financial, Inc. | 3,899,536 | ||||||
|
| |||||||
23,351,775 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.6%): |
| ||||||
50,892 | France Telecom SA | 801,987 | ||||||
175,328 | Koninklijke (Royal) KPN NV* | 638,387 | ||||||
483,626 | Telecom Italia SpA | 611,814 | ||||||
46,747 | Telefonica SA | 801,408 | ||||||
90,735 | Verizon Communications, Inc. | 4,439,664 | ||||||
|
| |||||||
7,293,260 | ||||||||
|
| |||||||
| Electric Utilities (1.4%): |
| ||||||
39,538 | Edison International | 2,297,553 | ||||||
63,946 | Pinnacle West Capital Corp. | 3,698,637 | ||||||
|
| |||||||
5,996,190 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (1.4%): |
| ||||||
271,146 | Corning, Inc. | 5,951,655 | ||||||
|
| |||||||
| Energy Equipment & Services (1.6%): |
| ||||||
97,527 | Baker Hughes, Inc. | 7,260,885 | ||||||
|
| |||||||
| Food Products (2.8%): |
| ||||||
93,438 | Archer-Daniels-Midland Co. | 4,121,550 | ||||||
141,849 | Mondelez International, Inc., Class A | 5,334,941 | ||||||
70,275 | Unilever NV, ADR | 3,075,234 | ||||||
|
| |||||||
12,531,725 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Equipment & Supplies (0.8%): |
| ||||||
54,179 | Medtronic, Inc. | $ | 3,454,453 | |||||
|
| |||||||
| Health Care Providers & Services (3.2%): |
| ||||||
41,297 | CIGNA Corp. | 3,798,085 | ||||||
54,083 | UnitedHealth Group, Inc. | 4,421,285 | ||||||
53,233 | WellPoint, Inc. | 5,728,403 | ||||||
|
| |||||||
13,947,773 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.4%): |
| ||||||
165,256 | Carnival Corp. | 6,221,888 | ||||||
|
| |||||||
| Household Products (0.9%): |
| ||||||
49,228 | Procter & Gamble Co. (The) | 3,868,829 | ||||||
|
| |||||||
| Industrial Conglomerates (2.4%): |
| ||||||
403,822 | General Electric Co. | 10,612,442 | ||||||
|
| |||||||
| Insurance (3.2%): |
| ||||||
46,778 | Aon plc | 4,214,230 | ||||||
2,406 | Chubb Corp. (The) | 221,761 | ||||||
130,749 | Marsh & McLennan Cos., Inc. | 6,775,413 | ||||||
69,220 | Willis Group Holdings plc | 2,997,226 | ||||||
|
| |||||||
14,208,630 | ||||||||
|
| |||||||
| Internet Software & Services (1.7%): |
| ||||||
153,161 | eBay, Inc.* | 7,667,240 | ||||||
|
| |||||||
| IT Services (1.2%): |
| ||||||
112,830 | Amdocs, Ltd. | 5,227,414 | ||||||
|
| |||||||
| Machinery (2.7%): |
| ||||||
61,034 | Caterpillar, Inc. | 6,632,565 | ||||||
83,039 | Ingersoll-Rand plc | 5,190,768 | ||||||
|
| |||||||
11,823,333 | ||||||||
|
| |||||||
| Media (6.3%): |
| ||||||
125,506 | Comcast Corp., Class A | 6,737,162 | ||||||
93,688 | Thomson Reuters Corp.^ | 3,411,546 | ||||||
46,493 | Time Warner Cable, Inc. | 6,848,419 | ||||||
38,358 | Time Warner, Inc. | 2,694,650 | ||||||
91,979 | Viacom, Inc., Class B | 7,977,338 | ||||||
|
| |||||||
27,669,115 | ||||||||
|
| |||||||
| Metals & Mining (0.9%): |
| ||||||
105,595 | Freeport-McMoRan Copper & Gold, Inc. | 3,854,218 | ||||||
|
| |||||||
| Multi-Utilities (0.7%): |
| ||||||
64,507 | PG&E Corp. | 3,097,626 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (10.4%): |
| ||||||
44,880 | Anadarko Petroleum Corp. | 4,913,014 | ||||||
51,542 | Apache Corp. | 5,186,156 | ||||||
149,014 | Canadian Natural Resources, Ltd. | 6,848,024 | ||||||
42,274 | Exxon Mobil Corp. | 4,256,146 | ||||||
51,946 | Occidental Petroleum Corp. | 5,331,218 | ||||||
284,636 | Royal Dutch Shell plc, A Shares | 11,773,251 | ||||||
105,548 | Total SA | 7,625,365 | ||||||
|
| |||||||
45,933,174 | ||||||||
|
| |||||||
| Personal Products (1.6%): |
| ||||||
486,035 | Avon Products, Inc. | 7,100,971 | ||||||
|
| |||||||
| Pharmaceuticals (7.6%): |
| ||||||
45,530 | Bristol-Myers Squibb Co. | 2,208,660 | ||||||
86,431 | Eli Lilly & Co. | 5,373,415 |
Continued
2
AZL Invesco Growth and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Pharmaceuticals, continued |
| ||||||
15,581 | Hospira, Inc.* | $ | 800,396 | |||||
114,379 | Merck & Co., Inc. | 6,616,825 | ||||||
4,845 | Novartis AG, ADR | 438,618 | ||||||
66,958 | Novartis AG, Registered Shares | 6,066,569 | ||||||
104,092 | Pfizer, Inc. | 3,089,451 | ||||||
32,560 | Sanofi-Aventis SA | 3,462,942 | ||||||
103,342 | Teva Pharmaceutical Industries, Ltd., ADR | 5,417,188 | ||||||
|
| |||||||
33,474,064 | ||||||||
|
| |||||||
| Road & Rail (1.0%): |
| ||||||
143,988 | CSX Corp. | 4,436,270 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (3.8%): |
| ||||||
386,837 | Applied Materials, Inc. | 8,723,174 | ||||||
95,933 | Broadcom Corp., Class A | 3,561,033 | ||||||
35,611 | Intel Corp. | 1,100,380 | ||||||
74,733 | Texas Instruments, Inc. | 3,571,490 | ||||||
|
| |||||||
16,956,077 | ||||||||
|
| |||||||
| Software (4.9%): |
| ||||||
109,381 | Adobe Systems, Inc.* | 7,914,809 | ||||||
45,363 | Citrix Systems, Inc.* | 2,837,456 | ||||||
121,305 | Microsoft Corp. | 5,058,419 | ||||||
246,416 | Symantec Corp. | 5,642,926 | ||||||
|
| |||||||
21,453,610 | ||||||||
|
| |||||||
| Specialty Retail (1.1%): |
| ||||||
115,294 | Abercrombie & Fitch Co., Class A | 4,986,466 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.8%): |
| ||||||
104,944 | Vodafone Group plc, ADR | 3,504,080 | ||||||
|
| |||||||
| Total Common Stocks (Cost $288,789,265) | 419,480,395 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (0.7%): |
| ||||||
$ | 3,048,000 | Allianz Variable Insurance Products Securities Lending Collateral Trust (a) | $ | 3,048,000 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 3,048,000 | ||||||
|
| |||||||
| Unaffiliated Investment Company (4.8%): |
| ||||||
20,994,348 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 20,994,348 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $20,994,348) | 20,994,348 | ||||||
|
| |||||||
| Total Investment Securities (Cost $312,831,613)(c) — 100.6% | 443,522,743 | ||||||
| Net other assets (liabilities) — (0.6)% | (2,802,151 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 440,720,592 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,904,673. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
3
AZL Invesco Growth and Income Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Canada | 2.3 | % | ||
France | 2.7 | % | ||
Guernsey | 1.2 | % | ||
Ireland (Republic of) | 1.2 | % | ||
Israel | 1.2 | % | ||
Italy | 0.1 | % | ||
Netherlands | 0.8 | % | ||
Panama | 1.4 | % | ||
Spain | 0.2 | % | ||
Switzerland | 3.1 | % | ||
United Kingdom | 5.1 | % | ||
United States | 80.7 | % | ||
|
| |||
100.0 | % | |||
|
|
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: | ||||||||||||||||||||
British Pound | Bank of New York Mellon | 7/25/14 | 3,345,941 | $ | 5,679,434 | $ | 5,724,303 | $ | (44,869 | ) | ||||||||||
British Pound | State Street | 7/25/14 | 3,343,645 | 5,675,269 | 5,720,375 | (45,106 | ) | |||||||||||||
Canadian Dollar | Bank of New York Mellon | 7/25/14 | 4,091,948 | 3,807,349 | 3,832,818 | (25,469 | ) | |||||||||||||
Canadian Dollar | State Street | 7/25/14 | 4,096,617 | 3,811,366 | 3,837,190 | (25,824 | ) | |||||||||||||
European Euro | Bank of New York Mellon | 7/25/14 | 4,690,503 | 6,376,786 | 6,422,854 | (46,068 | ) | |||||||||||||
European Euro | State Street | 7/25/14 | 4,726,714 | 6,426,062 | 6,472,438 | (46,376 | ) | |||||||||||||
Israeli Shekel | Bank of New York Mellon | 7/25/14 | 2,041,636 | 594,027 | 594,955 | (928 | ) | |||||||||||||
Israeli Shekel | State Street | 7/25/14 | 11,971,271 | 3,482,045 | 3,488,556 | (6,511 | ) | |||||||||||||
Swiss Franc | Bank of New York Mellon | 7/25/14 | 2,180,044 | 2,436,348 | 2,459,459 | (23,111 | ) | |||||||||||||
Swiss Franc | State Street | 7/25/14 | 2,169,179 | 2,423,880 | 2,447,202 | (23,322 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 40,712,566 | $ | 41,000,150 | $ | (287,584 | ) | ||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements.
4
AZL Invesco Growth and Income Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 312,831,613 | |||
|
| ||||
Investment securities, at value* | $ | 443,522,743 | |||
Interest and dividends receivable | 634,102 | ||||
Foreign currency, at value (cost $115,569) | 115,578 | ||||
Receivable for investments sold | 1,562,901 | ||||
Reclaims receivable | 49,780 | ||||
Prepaid expenses | 1,977 | ||||
|
| ||||
Total Assets | 445,887,081 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 287,584 | ||||
Payable for investments purchased | 1,108,965 | ||||
Payable for capital shares redeemed | 360,854 | ||||
Payable for collateral received on loaned securities | 3,048,000 | ||||
Manager fees payable | 237,021 | ||||
Administration fees payable | 14,851 | ||||
Distribution fees payable | 90,372 | ||||
Custodian fees payable | 5,938 | ||||
Administrative and compliance services fees payable | 906 | ||||
Trustee fees payable | 1,932 | ||||
Other accrued liabilities | 10,066 | ||||
|
| ||||
Total Liabilities | 5,166,489 | ||||
|
| ||||
Net Assets | $ | 440,720,592 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 266,357,407 | |||
Accumulated net investment income/(loss) | 10,452,943 | ||||
Accumulated net realized gains/(losses) from investment transactions | 33,506,135 | ||||
Net unrealized appreciation/(depreciation) on investments | 130,404,107 | ||||
|
| ||||
Net Assets | $ | 440,720,592 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 26,641,779 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.54 | |||
|
|
* | Includes securities on loan of $2,904,673. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 8,066,082 | |||
Interest | 646 | ||||
Income from securities lending | 38,156 | ||||
Foreign withholding tax | (124,097 | ) | |||
|
| ||||
Total Investment Income | 7,980,787 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,596,884 | ||||
Administration fees | 58,540 | ||||
Distribution fees | 535,686 | ||||
Custodian fees | 12,506 | ||||
Administrative and compliance services fees | 3,575 | ||||
Trustee fees | 11,243 | ||||
Professional fees | 10,904 | ||||
Shareholder reports | 10,449 | ||||
Other expenses | 4,175 | ||||
|
| ||||
Total expenses before reductions | 2,243,962 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (191,699 | ) | |||
Less expenses paid indirectly | (63 | ) | |||
|
| ||||
Net expenses | 2,052,200 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,928,587 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 21,287,286 | ||||
Net realized gains/(losses) on forward currency contracts | (509,494 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 1,212,144 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 21,989,936 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 27,918,523 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Invesco Growth and Income Fund | ||||||||||
For the 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,928,587 | $ | 4,581,674 | ||||||
Net realized gains/(losses) on investment transactions | 20,777,792 | 24,382,044 | ||||||||
Change in unrealized appreciation/depreciation on investments | 1,212,144 | 81,222,964 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 27,918,523 | 110,186,682 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (3,756,211 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (3,756,211 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 10,320,630 | 45,473,781 | ||||||||
Proceeds from dividends reinvested | — | 3,756,211 | ||||||||
Value of shares redeemed | (36,982,566 | ) | (44,881,583 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (26,661,936 | ) | 4,348,409 | |||||||
|
|
|
| |||||||
Change in net assets | 1,256,587 | 110,778,880 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 439,464,005 | 328,685,125 | ||||||||
|
|
|
| |||||||
End of period | $ | 440,720,592 | $ | 439,464,005 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 10,452,943 | $ | 4,524,356 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 654,869 | 3,283,999 | ||||||||
Dividends reinvested | — | 262,856 | ||||||||
Shares redeemed | (2,353,579 | ) | (3,280,232 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,698,710 | ) | 266,623 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Invesco Growth and Income Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.51 | $ | 11.71 | $ | 10.39 | $ | 10.70 | $ | 9.61 | $ | 7.95 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.23 | 0.16 | 0.14 | 0.15 | 0.07 | 0.12 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.80 | 3.77 | 1.35 | (0.36 | ) | 1.11 | 1.75 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.03 | 3.93 | 1.49 | (0.21 | ) | 1.18 | 1.87 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.17 | ) | (0.10 | ) | (0.09 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.13 | ) | (0.17 | ) | (0.10 | ) | (0.09 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.54 | $ | 15.51 | $ | 11.71 | $ | 10.39 | $ | 10.70 | $ | 9.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 6.64 | %(b) | 33.69 | % | 14.33 | % | (1.94 | )%(c) | 12.37 | % | 23.64 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 440,721 | $ | 439,464 | $ | 328,685 | $ | 251,302 | $ | 267,458 | $ | 183,359 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.77 | % | 1.17 | % | 1.43 | % | 1.32 | % | 1.03 | % | 1.32 | % | ||||||||||||||||||
Expenses Before Reductions(d) (e) | 1.05 | % | 1.05 | % | 1.07 | % | 1.09 | % | 1.10 | % | 1.13 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.96 | % | 0.96 | % | 0.97 | % | 0.98 | % | 0.99 | % | 1.00 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d) (f) | 0.96 | % | 0.96 | % | 0.98 | % | 0.99 | % | 1.00 | % | 1.03 | % | ||||||||||||||||||
Portfolio Turnover Rate | 14 | %(b) | 31 | % | 32 | % | 22 | % | 34 | % | 54 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $1,687 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL Invesco Growth and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco Growth and Income Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign
8
AZL Invesco Growth and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $6.3 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $3,774 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $40.7 million as of June 30, 2014. The monthly average amount for these contracts was $31.7million for the period ended June 30, 2014.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Foreign Currency Contracts | Unrealized appreciation on forward currency contracts | $ | — | Unrealized depreciation on forward currency contracts | $ | 287,584 |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains /(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Foreign Currency Contracts | Net realized gains/(losses) on forward currency contracts / Change in unrealized appreciation/depreciation on investments | $ | (509,494 | ) | $ | (358 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment
9
AZL Invesco Growth and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Invesco Growth and Income Fund | 0.78 | % | 1.20 | % |
* | The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.775%, the next $150 million at 0.75%, the next $250 million at 0.725% and above $500 million at 0.675%.The Manager voluntarily reduced the management fees as follows: the first $100 million at 0.675% and above $100 million at 0.65%. The Manager reserves the right to stop reducing the manager fee at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for
each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,533 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
10
AZL Invesco Growth and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Diversified Telecommunication Services | $ | 4,439,664 | $ | 2,853,596 | $ | 7,293,260 | |||||||||
Oil, Gas & Consumable Fuels | 26,534,558 | 19,398,616 | 45,933,174 | ||||||||||||
Pharmaceuticals | 23,944,553 | 9,529,511 | 33,474,064 | ||||||||||||
All Other Common Stocks+ | 332,779,897 | — | 332,779,897 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 3,048,000 | 3,048,000 | ||||||||||||
Unaffiliated Investment Company | 20,994,348 | — | 20,994,348 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 408,693,020 | $ | 34,829,723 | $ | 443,522,743 | |||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Forward Currency Contracts | — | (287,584 | ) | (287,584 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 408,693,020 | $ | 34,542,139 | $ | 443,235,159 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Invesco Growth and Income Fund | $ | 58,280,124 | $ | 79,652,901 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
11
AZL Invesco Growth and Income Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $313,595,314. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 134,436,541 | ||
Unrealized depreciation | (4,509,112 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 129,927,429 | ||
|
|
During the year ended December 31, 2013, the Fund utilized $10,799,255 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Invesco Growth and Income Fund | $ | 3,756,211 | $ | — | $ | 3,756,211 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Invesco Growth and Income Fund | $ | 4,237,131 | $ | 13,527,274 | $ | — | $ | 128,680,257 | $ | 146,444,662 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Invesco International Equity Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Invesco International Equity Fund
(Unaudited) |
As a shareholder of the AZL Invesco International Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco International Equity Fund | $ | 1,000.00 | $ | 1,064.40 | $ | 6.04 | 1.18 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Invesco International Equity Fund | $ | 1,000.00 | $ | 1,018.89 | $ | 5.91 | 1.18 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
United Kingdom | 18.3 | % | |||
Canada | 8.7 | ||||
Switzerland | 8.5 | ||||
Japan | 6.6 | ||||
Germany | 5.2 | ||||
France | 5.1 | ||||
Hong Kong | 4.9 | ||||
Singapore | 4.5 | ||||
Brazil | 3.9 | ||||
Australia | 3.3 | ||||
All other countries | 24.5 | ||||
|
| ||||
Total Common Stock | 93.5 | ||||
Money Market | 7.2 | ||||
Securities Held as Collateral for Securities on Loan | 1.9 | ||||
|
| ||||
Total Investment Securities | 102.6 | ||||
Net other assets (liabilities) | (2.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Invesco International Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (93.5%): |
| ||||||
| Air Freight & Logistics (0.9%): |
| ||||||
157,565 | Deutsche Post AG | $ | 5,698,414 | |||||
|
| |||||||
| Auto Components (2.1%): |
| ||||||
87,200 | DENSO Corp. | 4,170,462 | ||||||
30,555 | Hyundai Mobis Co., Ltd. | 8,575,611 | ||||||
|
| |||||||
12,746,073 | ||||||||
|
| |||||||
| Automobiles (2.5%): |
| ||||||
1,353,000 | Great Wall Motor Co. | 5,035,616 | ||||||
172,400 | Toyota Motor Corp. | 10,372,113 | ||||||
|
| |||||||
15,407,729 | ||||||||
|
| |||||||
| Banks (6.3%): |
| ||||||
1,886,763 | Akbank T.A.S. | 6,939,291 | ||||||
561,156 | Banco Bradesco SA, ADR | 8,147,985 | ||||||
8,577,000 | Industrial & Commercial Bank of China | 5,426,208 | ||||||
1,030,800 | Kasikornbank Public Co., Ltd. | 6,482,816 | ||||||
546,352 | United Overseas Bank, Ltd. | 9,876,566 | ||||||
|
| |||||||
36,872,866 | ||||||||
|
| |||||||
| Beverages (3.5%): |
| ||||||
81,313 | Anheuser-Busch InBev NV | 9,345,562 | ||||||
78,447 | Carlsberg A/S, Class B | 8,450,270 | ||||||
31,194 | Fomento Economico Mexicano SAB de C.V., ADR | 2,921,318 | ||||||
|
| |||||||
20,717,150 | ||||||||
|
| |||||||
| Biotechnology (0.7%): |
| ||||||
62,878 | CSL, Ltd. | 3,947,035 | ||||||
|
| |||||||
| Capital Markets (3.3%): |
| ||||||
819,322 | Aberdeen Asset Management plc | 6,365,440 | ||||||
128,163 | Julius Baer Group, Ltd. | 5,285,814 | ||||||
418,819 | UBS AG, Registered Shares | 7,676,211 | ||||||
|
| |||||||
19,327,465 | ||||||||
|
| |||||||
| Chemicals (2.1%): |
| ||||||
53,072 | Agrium, Inc. | 4,862,488 | ||||||
21,033 | Syngenta AG, Registered Shares | 7,860,115 | ||||||
|
| |||||||
12,722,603 | ||||||||
|
| |||||||
| Commercial Services & Supplies (1.1%): |
| ||||||
745,338 | Brambles, Ltd. | 6,462,540 | ||||||
|
| |||||||
| Communications Equipment (1.0%): |
| ||||||
507,430 | Telefonaktiebolaget LM Ericsson, B Shares | 6,137,443 | ||||||
|
| |||||||
| Containers & Packaging (1.5%): |
| ||||||
950,248 | Amcor, Ltd. | 9,349,539 | ||||||
|
| |||||||
| Diversified Financial Services (4.3%): |
| ||||||
2,003,000 | Bm&f Bovespa SA | 10,545,446 | ||||||
104,423 | Deutsche Boerse AG | 8,103,390 | ||||||
198,029 | Investor AB, B Shares | 7,424,866 | ||||||
|
| |||||||
26,073,702 | ||||||||
|
| |||||||
| Electrical Equipment (2.5%): |
| ||||||
315,800 | ABB, Ltd. | 7,289,301 | ||||||
81,978 | Schneider Electric SA | 7,731,161 | ||||||
|
| |||||||
15,020,462 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.9%): |
| ||||||
12,685 | Keyence Corp. | 5,549,366 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food Products (2.0%): |
| ||||||
206,248 | BRF-Brasil Foods SA | $ | 5,005,412 | |||||
159,453 | Unilever NV | 6,974,230 | ||||||
|
| |||||||
11,979,642 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (1.4%): |
| ||||||
475,094 | Smith & Nephew plc | 8,447,140 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (4.5%): |
| ||||||
818,965 | Compass Group plc | 14,294,739 | ||||||
1,529,000 | Galaxy Entertainment Group, Ltd. | 12,230,766 | ||||||
|
| |||||||
26,525,505 | ||||||||
|
| |||||||
| Industrial Conglomerates (2.6%): |
| ||||||
627,000 | Hutchison Whampoa, Ltd. | 8,577,236 | ||||||
851,841 | Keppel Corp., Ltd. | 7,375,432 | ||||||
|
| |||||||
15,952,668 | ||||||||
|
| |||||||
| Insurance (1.0%): |
| ||||||
12,304 | Fairfax Financial Holdings, Ltd. | 5,837,971 | ||||||
|
| |||||||
| Internet Software & Services (1.7%): |
| ||||||
54,499 | Baidu, Inc., ADR* | 10,180,958 | ||||||
|
| |||||||
| IT Services (1.1%): |
| ||||||
157,021 | Amadeus IT Holding SA, A Shares | 6,468,696 | ||||||
|
| |||||||
| Life Sciences Tools & Services (0.0%): |
| ||||||
160,422 | Art Advanced Research Technologies, Inc.*(a) | — | ||||||
165,100 | Art Advanced Research Technologies, Inc.*(a) | — | ||||||
50,591 | Art Advanced Research Technologies, Inc.*(a) | — | ||||||
|
| |||||||
— | ||||||||
|
| |||||||
| Machinery (2.1%): |
| ||||||
35,300 | Fanuc, Ltd. | 6,101,046 | ||||||
254,200 | Komatsu, Ltd. | 5,911,931 | ||||||
|
| |||||||
12,012,977 | ||||||||
|
| |||||||
| Media (10.6%): |
| ||||||
798,864 | British Sky Broadcasting Group plc | 12,346,059 | ||||||
233,907 | Grupo Televisa SA, ADR | 8,025,349 | ||||||
529,823 | Informa plc | 4,360,143 | ||||||
129,385 | Publicis Groupe | 10,982,766 | ||||||
1,042,434 | Reed Elsevier plc | 16,752,028 | ||||||
587,001 | WPP plc | 12,780,324 | ||||||
|
| |||||||
65,246,669 | ||||||||
|
| |||||||
| Multiline Retail (0.9%): |
| ||||||
48,835 | Next plc | 5,407,399 | ||||||
|
| |||||||
| Multi-Utilities (0.8%): |
| ||||||
918,542 | Centrica plc | 4,910,059 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (8.5%): |
| ||||||
163,759 | Cenovus Energy, Inc. | 5,309,236 | ||||||
1,767,000 | CNOOC, Ltd. | 3,171,368 | ||||||
306,187 | EnCana Corp.^ | 7,255,045 | ||||||
225,302 | Royal Dutch Shell plc, B Shares | 9,796,772 | ||||||
345,638 | Suncor Energy, Inc. | 14,740,396 | ||||||
161,669 | Total SA | 11,679,854 | ||||||
|
| |||||||
51,952,671 | ||||||||
|
|
Continued
2
AZL Invesco International Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Pharmaceuticals (8.6%): |
| ||||||
75,015 | Novartis AG, Registered Shares | $ | 6,796,554 | |||||
145,547 | Novo Nordisk A/S, B Shares | 6,719,510 | ||||||
40,302 | Roche Holding AG | 12,028,891 | ||||||
179,721 | Shire plc | 14,090,335 | ||||||
236,886 | Teva Pharmaceutical Industries, Ltd., ADR | 12,417,564 | ||||||
|
| |||||||
52,052,854 | ||||||||
|
| |||||||
| Road & Rail (0.9%): |
| ||||||
82,874 | Canadian National Railway Co. | 5,390,810 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (5.2%): |
| ||||||
134,656 | Avago Technologies, Ltd. | 9,704,658 | ||||||
7,673 | Samsung Electronics Co., Ltd. | 10,033,686 | ||||||
531,910 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 11,377,555 | ||||||
|
| |||||||
31,115,899 | ||||||||
|
| |||||||
| Software (3.6%): |
| ||||||
267,936 | CGI Group, Inc., Class A * | 9,497,928 | ||||||
152,037 | SAP AG | 11,742,236 | ||||||
|
| |||||||
21,240,164 | ||||||||
|
| |||||||
| Specialty Retail (0.8%): |
| ||||||
823,494 | Kingfisher plc | 5,053,289 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.0%): |
| ||||||
59,113 | Adidas AG | 5,987,216 | ||||||
|
| |||||||
| Tobacco (3.5%): |
| ||||||
227,635 | British American Tobacco plc | 13,544,213 | ||||||
204,500 | Japan Tobacco, Inc. | 7,469,669 | ||||||
|
| |||||||
21,013,882 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $387,771,186) | 562,808,856 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (1.9%): |
| ||||||
$ | 11,223,320 | Allianz Variable Insurance Products Securities Lending Collateral Trust(b) | $ | 11,223,320 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 11,223,320 | ||||||
|
| |||||||
| Unaffiliated Investment Company (7.2%): |
| ||||||
43,154,561 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c) | 43,154,561 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $43,154,561) | 43,154,561 | ||||||
|
| |||||||
| Total Investment Securities (Cost $442,149,067)(d) — 102.6% | 617,186,737 | ||||||
| Net other assets (liabilities) — (2.6)% | (15,389,841 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 601,796,896 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American | Depositary Receipt |
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $7,135,103. |
(a) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.00% of the net assets of the fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts | shown as ”—” are either $0 or round to less than $1. |
Continued
3
AZL Invesco International Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 3.2 | % | ||
Belgium | 1.5 | % | ||
Brazil | 3.8 | % | ||
Canada | 8.6 | % | ||
Cayman Islands | 1.6 | % | ||
China | 0.8 | % | ||
Denmark | 2.5 | % | ||
France | 4.9 | % | ||
Germany | 5.1 | % | ||
Hong Kong | 4.8 | % | ||
Ireland (Republic of) | 2.1 | % | ||
Israel | 2.0 | % | ||
Japan | 6.4 | % | ||
Mexico | 1.8 | % | ||
Netherlands | 1.1 | % | ||
Republic of Korea (South) | 3.0 | % | ||
Singapore | 4.4 | % | ||
Spain | 1.0 | % | ||
Sweden | 2.2 | % | ||
Switzerland | 8.3 | % | ||
Taiwan | 1.8 | % | ||
Thailand | 1.1 | % | ||
Turkey | 1.1 | % | ||
United Kingdom | 18.1 | % | ||
United States | 8.8 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
4
AZL Invesco International Equity Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 442,149,067 | |||
|
| ||||
Investment securities, at value* | $ | 617,186,737 | |||
Interest and dividends receivable | 1,080,625 | ||||
Foreign currency, at value (cost $2,737,652) | 2,711,377 | ||||
Receivable for investments sold | 168,615 | ||||
Reclaims receivable | 271,139 | ||||
Prepaid expenses | 2,710 | ||||
|
| ||||
Total Assets | 621,421,203 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 7,450,979 | ||||
Payable for capital shares redeemed | 314,647 | ||||
Payable for collateral received on loaned securities | 11,223,320 | ||||
Manager fees payable | 418,393 | ||||
Administration fees payable | 20,068 | ||||
Distribution fees payable | 123,055 | ||||
Custodian fees payable | 52,714 | ||||
Administrative and compliance services fees payable | 1,476 | ||||
Trustee fees payable | 3,184 | ||||
Other accrued liabilities | 16,471 | ||||
|
| ||||
Total Liabilities | 19,624,307 | ||||
|
| ||||
Net Assets | $ | 601,796,896 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 407,897,437 | |||
Accumulated net investment income/(loss) | 12,182,207 | ||||
Accumulated net realized gains/(losses) from investment transactions | 6,695,367 | ||||
Net unrealized appreciation/(depreciation) on investments | 175,021,885 | ||||
|
| ||||
Net Assets | $ | 601,796,896 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 30,361,150 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.82 | |||
|
|
* | Includes securities on loan of $7,135,103. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 10,962,033 | |||
Income from securities lending | 188,215 | ||||
Foreign withholding tax | (1,039,828 | ) | |||
|
| ||||
Total Investment Income | 10,110,420 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,611,765 | ||||
Administration fees | 89,444 | ||||
Distribution fees | 725,490 | ||||
Custodian fees | 102,449 | ||||
Administrative and compliance services fees | 5,142 | ||||
Trustee fees | 16,173 | ||||
Professional fees | 16,724 | ||||
Shareholder reports | 15,783 | ||||
Other expenses | 8,863 | ||||
|
| ||||
Total expenses before reductions | 3,591,833 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (145,102 | ) | |||
Less expenses paid indirectly | (9,105 | ) | |||
|
| ||||
Net expenses | 3,437,626 | ||||
|
| ||||
Net Investment Income/(Loss) | 6,672,794 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 25,056,809 | ||||
Change in net unrealized appreciation/depreciation on investments | 5,064,236 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 30,121,045 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 36,793,839 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Invesco International Equity Fund | ||||||||||
For the 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 6,672,794 | $ | 6,897,535 | ||||||
Net realized gains/(losses) on investment transactions | 25,056,809 | 19,529,354 | ||||||||
Change in unrealized appreciation/depreciation on investments | 5,064,236 | 68,272,980 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 36,793,839 | 94,699,869 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (6,852,326 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (6,852,326 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 8,329,126 | 32,525,953 | ||||||||
Proceeds from dividends reinvested | — | 6,852,326 | ||||||||
Value of shares redeemed | (35,671,403 | ) | (44,765,774 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (27,342,277 | ) | (5,387,495 | ) | ||||||
|
|
|
| |||||||
Change in net assets | 9,451,562 | 82,460,048 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 592,345,334 | 509,885,286 | ||||||||
|
|
|
| |||||||
End of period | $ | 601,796,896 | $ | 592,345,334 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 12,182,207 | $ | 5,509,413 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 447,678 | 1,914,600 | ||||||||
Dividends reinvested | — | 395,631 | ||||||||
Shares redeemed | (1,901,945 | ) | (2,630,848 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,454,267 | ) | (320,617 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Invesco International Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.62 | $ | 15.87 | $ | 13.97 | $ | 15.24 | $ | 13.61 | $ | 10.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.23 | 0.22 | 0.16 | 0.28 | 0.12 | 0.08 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.97 | 2.74 | 2.00 | (1.40 | ) | 1.58 | 3.45 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.20 | 2.96 | 2.16 | (1.12 | ) | 1.70 | 3.53 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.21 | ) | (0.26 | ) | (0.15 | ) | (0.07 | ) | (0.23 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.21 | ) | (0.26 | ) | (0.15 | ) | (0.07 | ) | (0.23 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 19.82 | $ | 18.62 | $ | 15.87 | $ | 13.97 | $ | 15.24 | $ | 13.61 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 6.44 | %(b) | 18.78 | % | 15.56 | % | (7.32 | )%(c) | 12.52 | %(d) | 34.33 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 601,797 | $ | 592,345 | $ | 509,885 | $ | 459,529 | $ | 556,045 | $ | 405,230 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 2.30 | % | 1.26 | % | 1.12 | % | 1.72 | % | 1.04 | % | 1.09 | % | ||||||||||||||||||
Expenses Before Reductions(e) (f) | 1.24 | % | 1.24 | % | 1.25 | % | 1.27 | % | 1.28 | % | 1.32 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 1.18 | % | 1.19 | % | 1.20 | % | 1.19 | % | 1.15 | % | 1.28 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e) (g) | 1.19 | % | 1.19 | % | 1.20 | % | 1.19 | % | 1.15 | % | 1.28 | % | ||||||||||||||||||
Portfolio Turnover Rate | 13 | %(b) | 28 | % | 27 | % | 30 | % | 39 | % | 35 | %(h) |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $13,257 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%. |
(d) | During the year ended December 31, 2010, Invesco Advisers, Inc. reimbursed $45,566 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was 0.01%. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(h) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 77%. |
See accompanying notes to the financial statements.
7
AZL Invesco International Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco International Equity Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign
8
AZL Invesco International Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $13.5 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $18,931 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Invesco International Equity Fund | 0.90 | % | 1.45 | % |
* | The Manager voluntarily reduced the management fee to 0.85% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
9
AZL Invesco International Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,410 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
10
AZL Invesco International Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Banks | $ | 8,147,985 | $ | 28,724,881 | $ | — | $ | 36,872,866 | ||||||||||||
Beverages | 2,921,318 | 17,795,832 | — | 20,717,150 | ||||||||||||||||
Chemicals | 4,862,488 | 7,860,115 | — | 12,722,603 | ||||||||||||||||
Diversified Financial Services | 10,545,446 | 15,528,256 | — | 26,073,702 | ||||||||||||||||
Food Products | 5,005,412 | 6,974,230 | — | 11,979,642 | ||||||||||||||||
Insurance | 5,837,971 | — | — | 5,837,971 | ||||||||||||||||
Internet Software & Services | 10,180,958 | — | — | 10,180,958 | ||||||||||||||||
Life Sciences Tools & Services | — | — | —^ | —^ | ||||||||||||||||
Media | 8,025,349 | 57,221,320 | — | 65,246,669 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 27,304,677 | 24,647,994 | — | 51,952,671 | ||||||||||||||||
Pharmaceuticals | 12,417,564 | 39,635,290 | — | 52,052,854 | ||||||||||||||||
Road & Rail | 5,390,810 | — | — | 5,390,810 | ||||||||||||||||
Semiconductors & Semiconductor Equipment | 21,082,213 | 10,033,686 | — | 31,115,899 | ||||||||||||||||
Software | 9,497,928 | 11,742,236 | — | 21,240,164 | ||||||||||||||||
All Other Common Stocks+ | — | 211,424,897 | — | 211,424,897 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 11,223,320 | — | 11,223,320 | ||||||||||||||||
Unaffiliated Investment Company | 43,154,561 | — | — | 43,154,561 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 174,374,680 | $ | 442,812,057 | $ | —^ | $ | 617,186,737 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Represents the interest in securities that were determined to have a value of zero at June 30, 2014. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Invesco International Equity Fund | $ | 73,728,642 | $ | 99,948,471 |
6. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $448,855,757. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 177,796,250 | ||
Unrealized depreciation | (9,465,270 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 168,330,980 | ||
|
|
11
AZL Invesco International Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2016 | Expires 12/31/2017 | Total | |||||||||||||
AZL Invesco International Equity Fund | $ | 49,811 | $ | 14,096,888 | $ | 14,146,699 |
During the year ended December 31, 2013, the Fund utilized $18,167,077 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Invesco International Equity Fund | $ | 6,852,326 | $ | — | $ | 6,852,326 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Invesco International Equity Fund | $ | 8,563,203 | $ | — | $ | (14,146,699 | ) | $ | 162,689,116 | $ | 157,105,620 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® JPMorgan International Opportunities Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 14 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL JPMorgan International Opportunities Fund
(Unaudited)
As a shareholder of the AZL JPMorgan International Opportunities Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 1,000.00 | $ | 1,031.50 | $ | 5.94 | 1.18 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 1,000.00 | $ | 1,018.94 | $ | 5.91 | 1.18 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Japan | 21.9 | % | |||
United Kingdom | 21.6 | ||||
France | 12.4 | ||||
Switzerland | 9.5 | ||||
Germany | 8.9 | ||||
Netherlands | 5.0 | ||||
Denmark | 2.7 | ||||
Australia | 1.9 | ||||
Sweden | 1.8 | ||||
Norway | 1.7 | ||||
All other countries | 9.2 | ||||
|
| ||||
Total Common Stock and Preferred Stock | 96.6 | ||||
Money Market | 2.1 | ||||
Securities Held as Collateral for Securities on Loan | 0.4 | ||||
|
| ||||
Total Investment Securities | 99.1 | ||||
Net other assets (liabilities) | 0.9 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL JPMorgan International Opportunities Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (95.2%): | |||||||
| Air Freight & Logistics (1.0%): | |||||||
329,500 | Yamato Holdings Co., Ltd. | $ | 6,825,712 | |||||
|
| |||||||
| Airlines (1.0%): | |||||||
114,700 | Japan Airlines Co., Ltd. | 6,348,955 | ||||||
|
| |||||||
| Auto Components (2.1%): | |||||||
26,792 | Continental AG | 6,206,030 | ||||||
60,406 | Valeo SA | 8,099,989 | ||||||
|
| |||||||
14,306,019 | ||||||||
|
| |||||||
| Automobiles (2.8%): |
| ||||||
105,211 | Daimler AG, Registered Shares | 9,852,338 | ||||||
97,244 | Renault SA | 8,808,567 | ||||||
|
| |||||||
18,660,905 | ||||||||
|
| |||||||
| Banks (11.1%): |
| ||||||
395,602 | Australia & New Zealand Banking Group, Ltd. | 12,443,908 | ||||||
126,345 | BNP Paribas SA | 8,571,834 | ||||||
345,012 | Danske Bank A/S | 9,757,426 | ||||||
1,464,753 | HSBC Holdings plc | 14,868,454 | ||||||
2,216,900 | Mitsubishi UFJ Financial Group, Inc. | 13,620,376 | ||||||
432,261 | Nordea Bank AB | 6,095,896 | ||||||
220,972 | Sumitomo Mitsui Financial Group, Inc. | 9,280,031 | ||||||
|
| |||||||
74,637,925 | ||||||||
|
| |||||||
| Beverages (1.8%): |
| ||||||
208,304 | SABMiller plc | 12,067,098 | ||||||
|
| |||||||
| Building Products (2.2%): | |||||||
88,398 | Compagnie de Saint-Gobain SA | 4,979,647 | ||||||
157,800 | Daikin Industries, Ltd.(a) | 9,982,613 | ||||||
|
| |||||||
14,962,260 | ||||||||
|
| |||||||
| Capital Markets (2.2%): |
| ||||||
790,700 | Nomura Holdings, Inc. | 5,589,124 | ||||||
502,814 | UBS AG, Registered Shares | 9,215,691 | ||||||
|
| |||||||
14,804,815 | ||||||||
|
| |||||||
| Chemicals (3.2%): |
| ||||||
72,038 | BASF SE | 8,387,379 | ||||||
13,149 | LG Chem, Ltd. | 3,854,426 | ||||||
51,136 | Solvay SA | 8,815,026 | ||||||
|
| |||||||
21,056,831 | ||||||||
|
| |||||||
| Diversified Financial Services (2.3%): |
| ||||||
511,162 | ING Groep NV* | 7,171,686 | ||||||
501,400 | ORIX Corp. | 8,305,539 | ||||||
|
| |||||||
15,477,225 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.1%): |
| ||||||
1,942,560 | Koninklijke (Royal) KPN NV* | 7,073,058 | ||||||
|
| |||||||
| Electrical Equipment (2.6%): | |||||||
128,272 | Schneider Electric SA | 12,097,044 | ||||||
309,100 | Sumitomo Electric Industries, Ltd. | 4,359,663 | ||||||
|
| |||||||
16,456,707 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (2.1%): |
| ||||||
947,000 | Hitachi, Ltd. | 6,950,756 | ||||||
16,000 | Keyence Corp. | 6,999,595 | ||||||
|
| |||||||
13,950,351 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Energy Equipment & Services (0.5%): |
| ||||||
147,439 | Petrofac, Ltd. | $ | 3,029,795 | |||||
|
| |||||||
| Food & Staples Retailing (1.1%): | |||||||
109,100 | Seven & I Holdings Co., Ltd. | 4,604,731 | ||||||
2,447,500 | Sun Art Retail Group, Ltd. ^ | 2,801,198 | ||||||
|
| |||||||
7,405,929 | ||||||||
|
| |||||||
| Food Products (1.7%): |
| ||||||
266,976 | Unilever NV | 11,677,121 | ||||||
|
| |||||||
| Gas Utilities (1.1%): | |||||||
966,000 | Enn Energy Holdings, Ltd. | 6,947,548 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (4.0%): | |||||||
244,762 | InterContinental Hotels Group plc | 10,126,053 | ||||||
754,800 | Sands China, Ltd. | 5,701,823 | ||||||
97,566 | Sodexo, Inc. | 10,499,686 | ||||||
|
| |||||||
26,327,562 | ||||||||
|
| |||||||
| Household Durables (0.9%): |
| ||||||
226,677 | Electrolux AB, Series B | 5,729,171 | ||||||
|
| |||||||
| Insurance (3.7%): | |||||||
311,217 | AXA SA | 7,426,618 | ||||||
504,839 | Prudential plc(a) | 11,578,948 | ||||||
67,574 | Swiss Re AG | 6,015,290 | ||||||
|
| |||||||
25,020,856 | ||||||||
|
| |||||||
| IT Services (0.7%): |
| ||||||
137,800 | Nomura Research Institute, Ltd. | 4,347,735 | ||||||
|
| |||||||
| Machinery (1.6%): | |||||||
398,600 | DMG Mori Seiki Co., Ltd. | 5,797,814 | ||||||
1,199,000 | Kawasaki Heavy Industries, Ltd. | 4,577,372 | ||||||
|
| |||||||
10,375,186 | ||||||||
|
| |||||||
| Media (2.4%): |
| ||||||
171,200 | Dentsu, Inc. | 6,988,089 | ||||||
104,149 | Publicis Groupe | 8,840,624 | ||||||
|
| |||||||
15,828,713 | ||||||||
|
| |||||||
| Metals & Mining (3.6%): |
| ||||||
366,356 | First Quantum Minerals, Ltd. | 7,836,015 | ||||||
906,410 | Norsk Hydro ASA | 4,846,985 | ||||||
209,317 | Rio Tinto plc | 11,293,052 | ||||||
|
| |||||||
23,976,052 | ||||||||
|
| |||||||
| Multi-Utilities (2.0%): |
| ||||||
302,281 | GDF Suez | 8,310,668 | ||||||
239,995 | Suez Environnement Co. | 4,599,677 | ||||||
|
| |||||||
12,910,345 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (6.4%): |
| ||||||
535,017 | BG Group plc | 11,309,544 | ||||||
491,062 | Royal Dutch Shell plc, A Shares | 20,321,326 | ||||||
207,608 | Statoil ASA | 6,406,452 | ||||||
281,225 | Tullow Oil plc | 4,102,827 | ||||||
|
| |||||||
42,140,149 | ||||||||
|
| |||||||
| Paper & Forest Products (1.1%): |
| ||||||
418,943 | Stora Enso OYJ, R Shares | 4,072,224 | ||||||
179,196 | UPM-Kymmene OYJ | 3,057,328 | ||||||
|
| |||||||
7,129,552 | ||||||||
|
|
Continued
2
AZL JPMorgan International Opportunities Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Pharmaceuticals (11.6%): |
| ||||||
107,028 | AstraZeneca plc | $ | 7,963,082 | |||||
106,477 | Bayer AG | 15,038,676 | ||||||
194,004 | Novartis AG, Registered Shares | 17,577,267 | ||||||
179,689 | Novo Nordisk A/S, B Shares | 8,295,753 | ||||||
66,028 | Roche Holding AG | 19,707,299 | ||||||
118,315 | Shire plc | 9,276,033 | ||||||
|
| |||||||
77,858,110 | ||||||||
|
| |||||||
| Real Estate Management & Development (3.9%): |
| ||||||
2,438,000 | China Overseas Land & Investment, Ltd. | 5,913,745 | ||||||
406,000 | Daiwa House Industry Co., Ltd. | 8,432,195 | ||||||
333,000 | Mitsubishi Estate Co., Ltd. | 8,239,982 | ||||||
135,000 | Mitsui Fudosan Co., Ltd. | 4,565,930 | ||||||
|
| |||||||
27,151,852 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.7%): |
| ||||||
79,965 | ASML Holding NV | 7,441,338 | ||||||
3,043 | Samsung Electronics Co., Ltd. | 3,979,213 | ||||||
|
| |||||||
11,420,551 | ||||||||
|
| |||||||
| Software (1.6%): |
| ||||||
133,676 | SAP AG^ | 10,324,165 | ||||||
|
| |||||||
| Specialty Retail (1.0%): | |||||||
1,062,644 | Kingfisher plc | 6,520,809 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.5%): | |||||||
273,200 | Ricoh Co., Ltd. | 3,263,260 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.6%): | |||||||
102,369 | Compagnie Financiere Richemont SA, Registered Shares | 10,746,638 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued | |||||||
| Tobacco (3.2%): | |||||||
199,458 | British American Tobacco plc | $ | 11,867,690 | |||||
251,800 | Japan Tobacco, Inc.(a) | 9,197,373 | ||||||
|
| |||||||
21,065,063 | ||||||||
|
| |||||||
| Trading Companies & Distributors (1.2%): |
| ||||||
145,274 | Wolseley plc | 7,953,471 | ||||||
|
| |||||||
| Wireless Telecommunication Services (2.6%): | |||||||
130,800 | KDDI Corp. | 7,996,763 | ||||||
2,759,276 | Vodafone Group plc | 9,219,764 | ||||||
|
| |||||||
17,216,527 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $522,597,666) | 632,994,021 | ||||||
|
| |||||||
| Preferred Stock (1.4%): | |||||||
| Household Products (1.4%): | |||||||
78,005 | Henkel AG & Co. KGaA, Preferred Shares | 9,022,538 | ||||||
|
| |||||||
| Total Preferred Stock (Cost $5,646,367) | 9,022,538 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.4%): | |||||||
$ | 2,408,489 | Allianz Variable Insurance Products Securities Lending Collateral Trust(b) | 2,408,489 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 2,408,489 | ||||||
|
| |||||||
| Unaffiliated Investment Company (2.1%): | |||||||
14,131,124 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c) | 14,131,124 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $14,131,124) | 14,131,124 | ||||||
|
| |||||||
| Total Investment Securities (Cost $544,783,646)(d) — 99.1% | 658,556,172 | ||||||
| Net other assets (liabilities) — 0.9% | 6,099,915 | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 664,656,087 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,276,235. |
(a) | All or a portion of this security has been marked as collateral for open derivative positions as of June 30, 2014. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 1.9 | % | ||
Belgium | 1.3 | % | ||
Canada | 1.2 | % | ||
China | 1.5 | % | ||
Denmark | 2.7 | % | ||
Finland | 1.1 | % | ||
France | 12.5 | % | ||
Germany | 9.0 | % | ||
Hong Kong | 1.8 | % |
Country | Percentage | |||
Japan | 22.1 | % | ||
Jersey | 1.2 | % | ||
Netherlands | 5.1 | % | ||
Norway | 1.7 | % | ||
Republic of Korea (South) | 1.2 | % | ||
Sweden | 1.8 | % | ||
Switzerland | 9.6 | % | ||
United Kingdom | 21.8 | % | ||
United States | 2.5 | % | ||
|
| |||
100.0 | % | |||
|
|
Continued
3
AZL JPMorgan International Opportunities Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Futures Contracts
Cash of $680,264 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014.
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
FTSE 100 Index September Futures (British Pounds) | Long | 9/19/14 | 35 | $ | 4,019,319 | $ | (22,204 | ) | ||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | Long | 9/19/14 | 88 | 3,894,242 | (66,035 | ) | ||||||||||||||
Tokyo Price Index September Futures (Japaneses Yen) | Long | 9/11/14 | 21 | 2,617,484 | (3,269 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | (91,508 | ) | |||||||||||||||||
|
|
Forward Currency Contracts
At June 30, 2014, the Fund’s open forward currency contracts were as follows:
Type of Contract | Counterparty | Delivery Date | Contract Amount (Local Currency) | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
Short Contracts: |
| |||||||||||||||||||
Australian Dollar | Goldman Sachs | 9/12/14 | 3,663,392 | $ | 3,438,254 | $ | 3,435,290 | $ | 2,964 | |||||||||||
British Pound | Citibank | 9/12/14 | 1,612,031 | 2,742,194 | 2,756,765 | (14,571 | ) | |||||||||||||
British Pound | JPMorgan Chase | 9/12/14 | 793,979 | 1,332,085 | 1,357,799 | (25,714 | ) | |||||||||||||
Canadian Dollar | State Street | 9/12/14 | 7,303,566 | 6,676,508 | 6,832,924 | (156,416 | ) | |||||||||||||
Danish Krone | UBS Warburg | 9/12/14 | 21,334,065 | 3,874,363 | 3,920,416 | (46,053 | ) | |||||||||||||
European Euro | Goldman Sachs | 9/12/14 | 3,274,283 | 4,462,884 | 4,484,381 | (21,497 | ) | |||||||||||||
European Euro | JPMorgan Chase | 9/12/14 | 977,324 | 1,328,277 | 1,338,520 | (10,243 | ) | |||||||||||||
European Euro | State Street | 9/12/14 | 15,450,142 | 20,919,182 | 21,160,153 | (240,971 | ) | |||||||||||||
Hong Kong Dollar | State Street | 9/12/14 | 30,959,050 | 3,994,366 | 3,993,174 | 1,192 | ||||||||||||||
Japanese Yen | Credit Suisse First Boston | 9/12/14 | 329,907,758 | 3,230,371 | 3,258,861 | (28,490 | ) | |||||||||||||
Japanese Yen | Goldman Sachs | 9/12/14 | 224,403,869 | 2,202,396 | 2,216,683 | (14,287 | ) | |||||||||||||
Japanese Yen | UBS Warburg | 9/12/14 | 2,015,216,594 | 19,701,976 | 19,906,503 | (204,527 | ) | |||||||||||||
Norwegian Krone | Goldman Sachs | 9/12/14 | 10,062,948 | 1,643,189 | 1,636,409 | 6,780 | ||||||||||||||
Norwegian Krone | State Street | 9/12/14 | 20,412,063 | 3,404,008 | 3,319,353 | 84,655 | ||||||||||||||
Swiss Franc | State Street | 9/12/14 | 6,888,537 | 7,657,844 | 7,774,755 | (116,911 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 86,607,897 | $ | 87,391,986 | $ | (784,089 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
Long Contracts: | ||||||||||||||||||||
Australian Dollar | State Street | 9/12/14 | 45,926,932 | $ | 42,734,550 | $ | 43,067,287 | $ | 332,737 | |||||||||||
British Pound | Goldman Sachs | 9/12/14 | 786,665 | 1,338,744 | 1,345,291 | 6,547 | ||||||||||||||
British Pound | Royal Bank of Canada | 9/12/14 | 2,444,332 | 4,145,881 | 4,180,099 | 34,218 | ||||||||||||||
British Pound | UBS Warburg | 9/12/14 | 5,730,900 | 9,604,244 | 9,800,521 | 196,277 | ||||||||||||||
European Euro | HSBC Bank | 9/12/14 | 1,320,520 | 1,791,735 | 1,808,553 | 16,818 | ||||||||||||||
European Euro | Royal Bank of Canada | 9/12/14 | 4,664,506 | 6,345,497 | 6,388,399 | 42,902 | ||||||||||||||
European Euro | State Street | 9/12/14 | 994,609 | 1,355,314 | 1,362,193 | 6,879 | ||||||||||||||
European Euro | UBS Warburg | 9/12/14 | 1,306,279 | 1,782,475 | 1,789,049 | 6,574 | ||||||||||||||
Japanese Yen | Barclays Bank | 9/12/14 | 771,799,120 | �� | 7,576,392 | 7,623,906 | 47,514 | |||||||||||||
Japanese Yen | Goldman Sachs | 9/12/14 | 243,050,173 | 2,387,306 | 2,400,873 | 13,567 | ||||||||||||||
Japanese Yen | Westpac Banking Corp. | 9/12/14 | 367,277,941 | 3,623,786 | 3,628,007 | 4,221 | ||||||||||||||
Singapore Dollar | State Street | 9/12/14 | 12,439,280 | 9,950,787 | 9,978,918 | 28,131 | ||||||||||||||
Swedish Krona | UBS Warburg | 9/12/14 | 52,965,932 | 7,902,202 | 7,923,527 | 21,325 | ||||||||||||||
Swiss Franc | Royal Bank of Canada | 9/12/14 | 1,903,610 | 2,128,182 | 2,148,511 | 20,329 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 102,667,095 | $ | 103,445,134 | $ | 778,039 | |||||||||||||||
|
|
|
|
|
|
At June 30, 2014, the Fund’s open forward cross currency contracts were as follows:
Purchase/Sale | Counterparty | Amount Purchased | Amount Sold | Contract Value | Value | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||
European Euro/Japanese Yen | Credit Suisse First Boston | 2,428,149 EUR | 338,476,258 JPY | $ | 3,316,088 | $ | 3,298,124 | $ | (17,964 | ) | ||||||||||
Swiss Franc/British Pound | Westpac Banking Corp. | 2,181,299 CHF | 1,440,096 GBP | 2,461,926 | 2,461,116 | (810 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
$ | 5,778,014 | $ | 5,759,240 | $ | (18,774 | ) | ||||||||||||||
|
|
|
|
|
|
See accompanying notes to the financial statements.
4
AZL JPMorgan International Opportunities Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 544,783,646 | |||
|
| ||||
Investment securities, at value* | $ | 658,556,172 | |||
Cash | 637,736 | ||||
Segregated cash for collateral | 680,264 | ||||
Interest and dividends receivable | 1,221,170 | ||||
Foreign currency, at value (cost $1,548,321) | 1,551,754 | ||||
Unrealized appreciation on forward currency contracts | 894,192 | ||||
Receivable for investments sold | 5,523,715 | ||||
Reclaims receivable | 634,035 | ||||
Prepaid expenses | 3,003 | ||||
|
| ||||
Total Assets | 669,702,041 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 919,016 | ||||
Payable for capital shares redeemed | 401,130 | ||||
Payable for collateral received on loaned securities | 2,408,489 | ||||
Payable for variation margin on futures contracts | 636,675 | ||||
Manager fees payable | 464,804 | ||||
Administration fees payable | 21,898 | ||||
Distribution fees payable | 136,708 | ||||
Custodian fees payable | 38,996 | ||||
Administrative and compliance services fees payable | 1,272 | ||||
Trustee fees payable | 2,701 | ||||
Other accrued liabilities | 14,265 | ||||
|
| ||||
Total Liabilities | 5,045,954 | ||||
|
| ||||
Net Assets | $ | 664,656,087 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 528,861,881 | |||
Accumulated net investment income/(loss) | 19,985,589 | ||||
Accumulated net realized gains/(losses) from investment transactions | 2,114,320 | ||||
Net unrealized appreciation/(depreciation) on investments | 113,694,297 | ||||
|
| ||||
Net Assets | $ | 664,656,087 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 34,432,082 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.30 | |||
|
|
* | Includes securities on loan of $2,276,235. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 19,826,259 | |||
Income from securities lending | 423,551 | ||||
Foreign withholding tax | (1,592,350 | ) | |||
|
| ||||
Total Investment Income | 18,657,460 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 3,079,220 | ||||
Administration fees | 99,684 | ||||
Distribution fees | 810,319 | ||||
Custodian fees | 98,101 | ||||
Administrative and compliance services fees | 5,826 | ||||
Trustee fees | 18,374 | ||||
Professional fees | 19,038 | ||||
Shareholder reports | 19,128 | ||||
Other expenses | 8,938 | ||||
|
| ||||
Total expenses before reductions | 4,158,628 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (324,125 | ) | |||
Less expenses paid indirectly | (1,008 | ) | |||
|
| ||||
Net expenses | 3,833,495 | ||||
|
| ||||
Net Investment Income/(Loss) | 14,823,965 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 25,836,404 | ||||
Net realized gains/(losses) on forward currency contracts | 2,151,059 | ||||
Change in net unrealized appreciation/depreciation on investments | (22,644,603 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 5,342,860 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 20,166,825 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL JPMorgan International Opportunities Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 14,823,965 | $ | 9,219,841 | ||||||
Net realized gains/(losses) on investment transactions | 27,987,463 | 6,067,184 | ||||||||
Change in unrealized appreciation/depreciation on investments | (22,644,603 | ) | 101,600,441 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 20,166,825 | 116,887,466 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (13,943,101 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (13,943,101 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 7,075,095 | 42,931,802 | ||||||||
Proceeds from dividends reinvested | — | 13,943,101 | ||||||||
Value of shares redeemed | (34,158,126 | ) | (67,038,138 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (27,083,031 | ) | (10,163,235 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (6,916,206 | ) | 92,781,130 | |||||||
Net Assets: | ||||||||||
Beginning of period | 671,572,293 | 578,791,163 | ||||||||
|
|
|
| |||||||
End of period | $ | 664,656,087 | $ | 671,572,293 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 19,985,589 | $ | 5,161,624 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 389,408 | 2,524,365 | ||||||||
Dividends reinvested | — | 798,574 | ||||||||
Shares redeemed | (1,849,164 | ) | (3,943,254 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,459,756 | ) | (620,315 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL JPMorgan International Opportunities Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.71 | $ | 15.85 | $ | 13.42 | $ | 15.62 | $ | 14.90 | $ | 12.77 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.44 | 0.27 | 0.26 | 0.21 | 0.27 | 0.26 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.15 | 2.98 | 2.44 | (2.31 | ) | 0.61 | 3.06 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.59 | 3.25 | 2.70 | (2.10 | ) | 0.88 | 3.32 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.39 | ) | (0.27 | ) | (0.10 | ) | (0.07 | ) | (1.19 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.09 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.39 | ) | (0.27 | ) | (0.10 | ) | (0.16 | ) | (1.19 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 19.30 | $ | 18.71 | $ | 15.85 | $ | 13.42 | $ | 15.62 | $ | 14.90 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 3.15 | %(b) | 20.69 | % | 20.26 | % | (13.41 | )% | 5.95 | % | 26.32 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 664,656 | $ | 671,572 | $ | 578,791 | $ | 398,683 | $ | 331,815 | $ | 362,547 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 4.57 | % | 1.49 | % | 2.08 | % | 1.88 | % | 1.68 | % | 1.51 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.28 | % | 1.29 | % | 1.30 | % | 1.32 | % | 1.33 | % | 1.33 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.18 | % | 1.19 | % | 1.20 | % | 1.21 | % | 1.18 | % | 1.26 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c)(e) | 1.18 | % | 1.19 | % | 1.20 | % | 1.21 | % | 1.18 | % | 1.26 | % | ||||||||||||||||||
Portfolio Turnover Rate | 29 | %(b) | 42 | % | 37 | % | 128 | %(f) | 35 | % | 30 | %(g) |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(f) | Effective May 1, 2001, the Subadviser changed from Morgan Stanley Management, Inc. to J.P. Morgan Investment Management, Inc. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2011 as compared to prior years. |
(g) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 153%. |
See accompanying notes to the financial statements.
7
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL JPMorgan International Opportunities Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $20.3 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $40,890 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Forward Currency Contracts
During the period ended June 30, 2014, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $195.1 million as of June 30, 2014. The monthly average amount for these contracts was $193.8 million for the period ended June 30, 2014.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $10.5 million as of June 30, 2014. The monthly average notional amount for these contracts was $1.8 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
9
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts* | $ | — | Payable for variation margin on futures contracts* | $ | 91,508 | ||||||
Foreign Currency Contracts | Unrealized appreciation on forward currency contracts | 894,192 | Unrealized depreciation on forward currency contracts | 919,016 |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Change in unrealized appreciation/depreciation on investments | $ | — | $ | (91,508 | ) | ||||
Foreign Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in unrealized appreciation/depreciation on investments | 2,151,059 | 1,035,136 |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with J.P. Morgan Investment Management Inc. (“JPMIM”), JPMIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL JPMorgan International Opportunities Fund | 0.95 | % | 1.39 | % |
* | The Manager voluntarily reduced the management fee to 0.85% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
10
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,838 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy. For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
11
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Metals & Mining | $ | 7,836,015 | $ | 16,140,037 | $ | 23,976,052 | |||||||||
All Other Common Stocks+ | — | 609,017,969 | 609,017,969 | ||||||||||||
Preferred Stock | — | 9,022,538 | 9,022,538 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 2,408,489 | 2,408,489 | ||||||||||||
Unaffiliated Investment Company | 14,131,124 | — | 14,131,124 | ||||||||||||
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| ||||||||||
Total Investment Securities | $ | 21,967,139 | $ | 636,589,033 | $ | 658,556,172 | |||||||||
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| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | (91,508 | ) | — | (91,508 | ) | ||||||||||
Forward Currency Contracts | — | (24,824 | ) | (24,824 | ) | ||||||||||
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|
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| ||||||||||
Total Investments | $ | 21,875,631 | $ | 636,564,209 | $ | 658,439,840 | |||||||||
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|
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL JPMorgan International Opportunities Fund | $ | 185,074,289 | $ | 207,978,075 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $550,407,807. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 124,579,628 | ||
Unrealized depreciation | (16,431,263 | ) | ||
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| |||
Net unrealized appreciation depreciation | $ | 108,148,365 | ||
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12
AZL JPMorgan International Opportunities Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2015 | Expires 12/31/2016 | Expires 12/31/2018 | Total | |||||||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 4,478,674 | $ | 6,813,930 | $ | 3,127,390 | $ | 14,419,994 |
CLCFs not subject to expiration:
Short Term Amount | Long Term Amount | Total Amount | |||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 8,860,092 | $ | 1,244,973 | $ | 10,105,065 |
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 13,943,101 | $ | — | $ | 13,943,101 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL JPMorgan International Opportunities Fund | $ | 8,522,557 | $ | — | $ | (24,525,059 | ) | $ | 131,629,883 | $ | 115,627,381 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
13
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
14
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® JPMorgan U.S. Equity Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL JPMorgan U.S. Equity Fund
(Unaudited)
As a shareholder of the AZL JPMorgan U.S. Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL JPMorgan U.S. Equity Fund | $ | 1,000.00 | $ | 1,069.50 | $ | 5.18 | 1.01 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL JPMorgan U.S. Equity Fund | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 20.3 | % | |||
Financials | 16.1 | ||||
Health Care | 15.0 | ||||
Consumer Discretionary | 14.1 | ||||
Energy | 10.8 | ||||
Industrials | 10.7 | ||||
Consumer Staples | 5.7 | ||||
Materials | 3.7 | ||||
Telecommunication Services | 1.7 | ||||
Utilities | 1.2 | ||||
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Total Common Stock | 99.3 | ||||
Money Market | 1.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.4 | ||||
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| ||||
Total Investment Securities | 100.7 | ||||
Net other assets (liabilities) | (0.7 | ) | |||
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| ||||
Net Assets | 100.0 | % | |||
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1
AZL JPMorgan U.S. Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (99.3%): |
| ||||||
| Aerospace & Defense (3.6%): |
| ||||||
116,807 | Honeywell International, Inc.(a) | $ | 10,857,211 | |||||
65,793 | United Technologies Corp. | 7,595,802 | ||||||
|
| |||||||
18,453,013 | ||||||||
|
| |||||||
| Airlines (1.5%): |
| ||||||
87,002 | Delta Air Lines, Inc. | 3,368,717 | ||||||
102,358 | United Continental Holdings, Inc.* | 4,203,844 | ||||||
|
| |||||||
7,572,561 | ||||||||
|
| |||||||
| Auto Components (0.5%): |
| ||||||
29,953 | TRW Automotive Holdings Corp.* | 2,681,393 | ||||||
|
| |||||||
| Automobiles (2.2%): |
| ||||||
315,234 | General Motors Co. | 11,442,994 | ||||||
|
| |||||||
| Banks (5.0%): |
| ||||||
624,881 | Bank of America Corp. | 9,604,421 | ||||||
3,000 | BB&T Corp. | 118,290 | ||||||
3,140 | SVB Financial Group* | 366,187 | ||||||
297,602 | Wells Fargo & Co. | 15,641,961 | ||||||
|
| |||||||
25,730,859 | ||||||||
|
| |||||||
| Beverages (1.7%): |
| ||||||
145,985 | Coca-Cola Co. (The) | 6,183,925 | ||||||
13,947 | Constellation Brands, Inc., Class A* | 1,229,149 | ||||||
18,693 | Dr Pepper Snapple Group, Inc. | 1,095,036 | ||||||
|
| |||||||
8,508,110 | ||||||||
|
| |||||||
| Biotechnology (3.3%): |
| ||||||
10,012 | Alexion Pharmaceuticals, Inc.* | 1,564,375 | ||||||
20,294 | Biogen Idec, Inc.* | 6,398,900 | ||||||
67,154 | Celgene Corp.* | 5,767,186 | ||||||
33,829 | Vertex Pharmaceuticals, Inc.* | 3,202,930 | ||||||
|
| |||||||
16,933,391 | ||||||||
|
| |||||||
| Building Products (0.6%): |
| ||||||
25,603 | Fortune Brands Home & Security, Inc. | 1,022,328 | ||||||
81,531 | Masco Corp. | 1,809,988 | ||||||
|
| |||||||
2,832,316 | ||||||||
|
| |||||||
| Capital Markets (3.6%): |
| ||||||
24,210 | Ameriprise Financial, Inc. | 2,905,200 | ||||||
36,479 | Charles Schwab Corp. (The) | 982,379 | ||||||
14,970 | Goldman Sachs Group, Inc. (The) | 2,506,577 | ||||||
86,044 | Invesco, Ltd. | 3,248,161 | ||||||
183,592 | Morgan Stanley | 5,935,530 | ||||||
36,190 | State Street Corp. | 2,434,139 | ||||||
15,626 | TD Ameritrade Holding Corp. | 489,875 | ||||||
|
| |||||||
18,501,861 | ||||||||
|
| |||||||
| Chemicals (1.8%): |
| ||||||
28,107 | Axiall Corp. | 1,328,618 | ||||||
40,395 | Dow Chemical Co. (The) | 2,078,727 | ||||||
16,667 | Methanex Corp. | 1,029,687 | ||||||
25,059 | Monsanto Co. | 3,125,859 | ||||||
29,457 | Mosaic Co. (The) | 1,456,649 | ||||||
|
| |||||||
9,019,540 | ||||||||
|
| |||||||
| Communications Equipment (2.8%): |
| ||||||
178,018 | Cisco Systems, Inc. | 4,423,747 | ||||||
124,223 | QUALCOMM, Inc. | 9,838,462 | ||||||
|
| |||||||
14,262,209 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction & Engineering (1.1%): |
| ||||||
70,177 | Fluor Corp. | $ | 5,396,611 | |||||
|
| |||||||
| Consumer Finance (0.6%): |
| ||||||
11,048 | American Express Co.(a) | 1,048,124 | ||||||
21,437 | Capital One Financial Corp. | 1,770,696 | ||||||
|
| |||||||
2,818,820 | ||||||||
|
| |||||||
| Diversified Financial Services (2.3%): |
| ||||||
133,303 | Citigroup, Inc. | 6,278,571 | ||||||
20,468 | CME Group, Inc. | 1,452,205 | ||||||
21,509 | IntercontinentalExchange Group, Inc. | 4,063,050 | ||||||
|
| |||||||
11,793,826 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (1.7%): |
| ||||||
180,719 | Verizon Communications, Inc.(a) | 8,842,581 | ||||||
|
| |||||||
| Electric Utilities (1.0%): |
| ||||||
10,012 | Entergy Corp. | 821,885 | ||||||
42,093 | Exelon Corp. | 1,535,553 | ||||||
26,564 | NextEra Energy, Inc. | 2,722,278 | ||||||
|
| |||||||
5,079,716 | ||||||||
|
| |||||||
| Electrical Equipment (1.2%): |
| ||||||
46,066 | Eaton Corp. plc | 3,555,374 | ||||||
34,975 | Emerson Electric Co. | 2,320,941 | ||||||
|
| |||||||
5,876,315 | ||||||||
|
| |||||||
| Energy Equipment & Services (3.7%): |
| ||||||
6,520 | Ensco plc, Class A, ADR | 362,316 | ||||||
154,595 | Schlumberger, Ltd. | 18,234,480 | ||||||
|
| |||||||
18,596,796 | ||||||||
|
| |||||||
| Food & Staples Retailing (0.9%): |
| ||||||
12,636 | Costco Wholesale Corp. | 1,455,162 | ||||||
41,707 | CVS Caremark Corp. | 3,143,456 | ||||||
|
| |||||||
4,598,618 | ||||||||
|
| |||||||
| Food Products (0.8%): |
| ||||||
30,036 | General Mills, Inc. | 1,578,091 | ||||||
69,044 | Mondelez International, Inc., Class A | 2,596,745 | ||||||
|
| |||||||
4,174,836 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (1.5%): |
| ||||||
24,692 | Abbott Laboratories(a) | 1,009,903 | ||||||
237,105 | Boston Scientific Corp.* | 3,027,831 | ||||||
772 | CareFusion Corp.* | 34,238 | ||||||
41,495 | Stryker Corp. | 3,498,858 | ||||||
|
| |||||||
7,570,830 | ||||||||
|
| |||||||
| Health Care Providers & Services (3.9%): |
| ||||||
15,491 | Aetna, Inc. | 1,256,010 | ||||||
31,058 | Humana, Inc. | 3,966,728 | ||||||
9,260 | McKesson, Inc. | 1,724,305 | ||||||
156,836 | UnitedHealth Group, Inc. | 12,821,343 | ||||||
|
| |||||||
19,768,386 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.2%): |
| ||||||
14,792 | Royal Caribbean Cruises, Ltd. | 822,435 | ||||||
30,325 | Starbucks Corp. | 2,346,549 | ||||||
31,830 | Yum! Brands, Inc. | 2,584,596 | ||||||
|
| |||||||
5,753,580 | ||||||||
|
|
Continued
2
AZL JPMorgan U.S. Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Household Durables (0.5%): |
| ||||||
11,459 | Harman International Industries, Inc. | $ | 1,231,040 | |||||
44,967 | PulteGroup, Inc. | 906,535 | ||||||
13,986 | Toll Brothers, Inc.* | 516,083 | ||||||
|
| |||||||
2,653,658 | ||||||||
|
| |||||||
| Household Products (1.5%): |
| ||||||
14,295 | Colgate-Palmolive Co. | 974,633 | ||||||
86,346 | Procter & Gamble Co. (The) | 6,785,932 | ||||||
|
| |||||||
7,760,565 | ||||||||
|
| |||||||
| Insurance (4.6%): |
| ||||||
95,201 | ACE, Ltd. | 9,872,344 | ||||||
9,993 | Axis Capital Holdings, Ltd. | 442,490 | ||||||
30,576 | Hartford Financial Services Group, Inc. (The) | 1,094,927 | ||||||
149,897 | Marsh & McLennan Cos., Inc. | 7,767,662 | ||||||
55,056 | MetLife, Inc. | 3,058,911 | ||||||
14,680 | Prudential Financial, Inc. | 1,303,144 | ||||||
|
| |||||||
23,539,478 | ||||||||
|
| |||||||
| Internet & Catalog Retail (1.3%): |
| ||||||
10,571 | Amazon.com, Inc.* | 3,433,249 | ||||||
2,874 | Priceline.com, Inc.* | 3,457,422 | ||||||
|
| |||||||
6,890,671 | ||||||||
|
| |||||||
| Internet Software & Services (3.8%): |
| ||||||
4,236 | eBay, Inc.* | 212,054 | ||||||
19,042 | Google, Inc., Class C* | 10,954,482 | ||||||
13,814 | Google, Inc., Class A* | 8,076,631 | ||||||
|
| |||||||
19,243,167 | ||||||||
|
| |||||||
| IT Services (2.6%): |
| ||||||
48,532 | Accenture plc, Class A | 3,923,327 | ||||||
6,424 | Alliance Data Systems Corp.* | 1,806,750 | ||||||
29,361 | Cognizant Technology Solutions Corp., Class A* | 1,436,047 | ||||||
26,600 | Fidelity National Information Services, Inc. | 1,456,084 | ||||||
24,249 | Visa, Inc., Class A | 5,109,506 | ||||||
|
| |||||||
13,731,714 | ||||||||
|
| |||||||
| Machinery (1.5%): |
| ||||||
20,302 | Flowserve Corp. | 1,509,454 | ||||||
32,312 | Ingersoll-Rand plc | 2,019,823 | ||||||
55,103 | PACCAR, Inc. | 3,462,121 | ||||||
6,499 | SPX Corp. | 703,257 | ||||||
|
| |||||||
7,694,655 | ||||||||
|
| |||||||
| Media (6.3%): |
| ||||||
14,958 | CBS Corp., Class B | 929,490 | ||||||
177,207 | Comcast Corp., Class A | 9,512,472 | ||||||
25,561 | �� | DISH Network Corp., Class A* | 1,663,510 | |||||
8,006 | Time Warner Cable, Inc. | 1,179,284 | ||||||
222,431 | Time Warner, Inc. | 15,625,779 | ||||||
4,602 | Time, Inc.* | 111,460 | ||||||
71,043 | Twenty-First Century Fox, Inc. | 2,497,161 | ||||||
14,861 | Walt Disney Co. (The) | 1,274,182 | ||||||
|
| |||||||
32,793,338 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Metals & Mining (1.9%): |
| ||||||
254,371 | Alcoa, Inc.(a) | $ | 3,787,584 | |||||
77,802 | Freeport-McMoRan Copper & Gold, Inc. | 2,839,773 | ||||||
121,919 | United States Steel Corp.^ | 3,174,771 | ||||||
|
| |||||||
9,802,128 | ||||||||
|
| |||||||
| Multi-Utilities (0.2%): |
| ||||||
16,764 | Dominion Resources, Inc. | 1,198,961 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (7.1%): |
| ||||||
16,571 | Anadarko Petroleum Corp. | 1,814,027 | ||||||
68,650 | Chevron Corp. | 8,962,258 | ||||||
23,323 | EOG Resources, Inc. | 2,725,526 | ||||||
9,580 | EQT Corp. | 1,024,102 | ||||||
90,968 | Exxon Mobil Corp. | 9,158,659 | ||||||
1,000 | Hess Corp.(a) | 98,890 | ||||||
47,425 | Marathon Oil Corp. | 1,893,206 | ||||||
5,479 | Marathon Petroleum Corp. | 427,746 | ||||||
74,192 | Occidental Petroleum Corp. | 7,614,325 | ||||||
6,019 | Phillips 66 | 484,108 | ||||||
10,629 | Southwestern Energy Co.* | 483,513 | ||||||
39,640 | Valero Energy Corp. | 1,985,964 | ||||||
|
| |||||||
36,672,324 | ||||||||
|
| |||||||
| Pharmaceuticals (6.3%): |
| ||||||
5,575 | Allergan, Inc. | 943,402 | ||||||
120,541 | Bristol-Myers Squibb Co. | 5,847,444 | ||||||
203,713 | Johnson & Johnson Co. | 21,312,453 | ||||||
59,795 | Merck & Co., Inc. | 3,459,141 | ||||||
5,672 | Perrigo Co. plc | 826,751 | ||||||
|
| |||||||
32,389,191 | ||||||||
|
| |||||||
| Road & Rail (1.2%): |
| ||||||
147,171 | CSX Corp.(a) | 4,534,339 | ||||||
18,172 | Union Pacific Corp. | 1,812,657 | ||||||
|
| |||||||
6,346,996 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (4.3%): |
| ||||||
98,519 | Avago Technologies, Ltd. | 7,100,264 | ||||||
48,220 | Broadcom Corp., Class A | 1,789,926 | ||||||
58,394 | Freescale Semiconductor Holdings I, Ltd.*^ | 1,372,259 | ||||||
87,226 | KLA-Tencor Corp. | 6,336,097 | ||||||
62,566 | Lam Research Corp. | 4,228,210 | ||||||
41,591 | Teradyne, Inc.^ | 815,184 | ||||||
1,927 | Xilinx, Inc. | 91,166 | ||||||
|
| |||||||
21,733,106 | ||||||||
|
| |||||||
| Software (3.5%): |
| ||||||
38,312 | Adobe Systems, Inc.* | 2,772,256 | ||||||
25,155 | Citrix Systems, Inc.* | 1,573,445 | ||||||
265,868 | Microsoft Corp. | 11,086,696 | ||||||
60,436 | Oracle Corp. | 2,449,471 | ||||||
|
| |||||||
17,881,868 | ||||||||
|
| |||||||
| Specialty Retail (1.9%): |
| ||||||
58,066 | Home Depot, Inc. (The) | 4,701,023 | ||||||
60,400 | Lowe’s Cos., Inc. | 2,898,596 | ||||||
36,884 | TJX Cos., Inc. (The) | 1,960,385 | ||||||
|
| |||||||
9,560,004 | ||||||||
|
|
Continued
3
AZL JPMorgan U.S. Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Technology Hardware, Storage & Peripherals (3.3%): |
| ||||||
183,833 | Apple, Inc.(a) | $ | 17,083,601 | |||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.2%): |
| ||||||
18,344 | V.F. Corp. | 1,155,672 | ||||||
|
| |||||||
| Tobacco (0.8%): |
| ||||||
45,739 | Philip Morris International, Inc. | 3,856,255 | ||||||
|
| |||||||
| Total Common Stocks (Cost $382,701,734) | 508,196,514 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.4%): | |||||||
$ | 2,186,874 | Allianz Variable Insurance Products Securities Lending Collateral Trust(b) | 2,186,874 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 2,186,874 | ||||||
|
|
Shares | Fair Value | |||||||
| Unaffiliated Investment Company (1.0%): | |||||||
4,956,398 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c) | $ | 4,956,398 | |||||
|
| |||||||
| Total Unaffiliated Investment Company | 4,956,398 | ||||||
|
| |||||||
| Total Investment Securities | 515,339,786 | ||||||
| Net other assets (liabilities) — (0.7)% | (3,460,661 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 511,879,125 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,149,737. |
(a) | All or a portion of this security has been segregated as collateral for open derivative positions as of June 30, 2014. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $225,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
S&P 500 Index E-Mini September Futures | Long | 9/19/14 | 5 | $ | 488,100 | $ | 5,950 |
See accompanying notes to the financial statements.
4
AZL JPMorgan U.S. Equity Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 389,845,006 | |||
|
| ||||
Investment securities, at value* | $ | 515,339,786 | |||
Cash | 32,486 | ||||
Segregated cash for collateral | 225,000 | ||||
Interest and dividends receivable | 387,409 | ||||
Receivable for investments sold | 1,863,684 | ||||
Receivable for variation margin on futures contracts | 100 | ||||
Prepaid expenses | 2,247 | ||||
|
| ||||
Total Assets | 517,850,712 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 3,179,697 | ||||
Payable for capital shares redeemed | 148,326 | ||||
Payable for collateral received on loaned securities | 2,186,874 | ||||
Manager fees payable | 297,144 | ||||
Administration fees payable | 17,324 | ||||
Distribution fees payable | 104,655 | ||||
Custodian fees payable | 15,974 | ||||
Administrative and compliance services fees payable | 1,516 | ||||
Trustee fees payable | 3,241 | ||||
Other accrued liabilities | 16,836 | ||||
|
| ||||
Total Liabilities | 5,971,587 | ||||
|
| ||||
Net Assets | $ | 511,879,125 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 446,182,572 | |||
Accumulated net investment income/(loss) | 5,811,206 | ||||
Accumulated net realized gains/(losses) from investment transactions | (65,615,383 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 125,500,730 | ||||
|
| ||||
Net Assets | $ | 511,879,125 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 32,926,500 | ||||
Net Asset Value (offering and redemption price per share) | $ | 15.55 | |||
|
|
* | Includes securities on loan of $2,149,737. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 4,548,967 | |||
Income from securities lending | 10,174 | ||||
Foreign withholding tax | (1,055 | ) | |||
|
| ||||
Total Investment Income | 4,558,086 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,985,066 | ||||
Administration fees | 67,310 | ||||
Distribution fees | 620,332 | ||||
Custodian fees | 22,862 | ||||
Administrative and compliance services fees | 3,949 | ||||
Trustee fees | 12,413 | ||||
Professional fees | 12,025 | ||||
Shareholder reports | 10,792 | ||||
Other expenses | 5,012 | ||||
|
| ||||
Total expenses before reductions | 2,739,761 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (223,338 | ) | |||
Less expenses paid indirectly | (13,020 | ) | |||
|
| ||||
Net expenses | 2,503,403 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,054,683 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 37,833,845 | ||||
Net realized gains/(losses) on futures contracts | 114,149 | ||||
Change in net unrealized appreciation/depreciation on investments | (6,347,788 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 31,600,206 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 33,654,889 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL JPMorgan U.S. Equity Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,054,683 | $ | 3,759,460 | ||||||
Net realized gains/(losses) on investment transactions | 37,947,994 | 65,723,424 | ||||||||
Change in unrealized appreciation/depreciation on investments | (6,347,788 | ) | 71,200,773 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 33,654,889 | 140,683,657 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (4,265,547 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (4,265,547 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 7,449,460 | 37,012,375 | ||||||||
Proceeds from dividends reinvested | — | 4,265,547 | ||||||||
Value of shares redeemed | (37,035,186 | ) | (63,611,318 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (29,585,726 | ) | (22,333,396 | ) | ||||||
|
|
|
| |||||||
Change in net assets | 4,069,163 | 114,084,714 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 507,809,962 | 393,725,248 | ||||||||
|
|
|
| |||||||
End of period | $ | 511,879,125 | $ | 507,809,962 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 5,811,206 | $ | 3,756,523 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 507,998 | 2,983,087 | ||||||||
Dividends reinvested | — | 327,615 | ||||||||
Shares redeemed | (2,514,559 | ) | (5,089,833 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,006,561 | ) | (1,779,131 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL JPMorgan U.S. Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.54 | $ | 10.72 | $ | 9.22 | $ | 9.50 | $ | 8.46 | $ | 6.35 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.11 | 0.11 | 0.09 | 0.07 | — | (a) | |||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.94 | 3.83 | 1.47 | (0.30 | ) | 1.02 | 2.14 | |||||||||||||||||||||||
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Total from Investment Activities | 1.01 | 3.94 | 1.58 | (0.21 | ) | 1.09 | 2.14 | |||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | (0.08 | ) | (0.07 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||
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Total Dividends | — | (0.12 | ) | (0.08 | ) | (0.07 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 15.55 | $ | 14.54 | $ | 10.72 | $ | 9.22 | $ | 9.50 | $ | 8.46 | ||||||||||||||||||
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Total Return(b) | 6.95 | %(c) | 36.90 | %(d) | 17.13 | % | (2.20 | )% | 12.97 | % | 33.71 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 511,879 | $ | 507,810 | $ | 393,725 | $ | 312,277 | $ | 325,037 | $ | 301,111 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 0.83 | % | 0.83 | % | 1.16 | % | 0.90 | % | 0.79 | % | 0.97 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 1.10 | % | 1.11 | % | 1.12 | % | 1.13 | % | 1.13 | % | 1.20 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 1.01 | % | 1.01 | % | 1.03 | % | 1.08 | % | 1.08 | % | 1.15 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e)(g) | 1.01 | % | 1.02 | % | 1.04 | % | 1.08 | % | 1.08 | % | 1.15 | % | ||||||||||||||||||
Portfolio Turnover Rate | 38 | %(c) | 81 | % | 71 | % | 81 | % | 86 | % | 103 | % |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | During the year ended December 31, 2013, the Fund received monies related to certain nonrecurring litigation settlements. The corresponding impact to the total return was 0.09%. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL JPMorgan U.S. Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL JPMorgan U.S. Equity Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL JPMorgan U.S. Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $4.3 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,005 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $0.5 million as of June 30, 2014. The monthly average notional amount for these contracts was $0.8 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 5,950 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
9
AZL JPMorgan U.S. Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/ (Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments | $ | 114,149 | $ | 5,950 |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with J.P. Morgan Investment Management Inc. (“JPMIM”), JPMIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL JPMorgan U.S. Equity Fund | 0.80 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.75% on the first $100 million of assets and 0.70% on assets above $100 million. The Manager reserves the right to increase the management fee to the amount shown in the table. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,933 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings.
10
AZL JPMorgan U.S. Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 508,196,514 | $ | — | $ | 508,196,514 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 2,186,874 | 2,186,874 | ||||||||||||
Unaffiliated Investment Company | 4,956,398 | — | 4,956,398 | ||||||||||||
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Total Investment Securities | 513,152,912 | 2,186,874 | 515,339,786 | ||||||||||||
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Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 5,950 | — | 5,950 | ||||||||||||
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Total Investments | $ | 513,158,862 | $ | 2,186,874 | $ | 515,345,736 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL JPMorgan U.S. Equity Fund | $ | 187,662,113 | $ | 214,742,391 |
11
AZL JPMorgan U.S. Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $393,287,229. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 126,146,018 | ||
Unrealized depreciation | (4,093,461 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 122,052,557 | ||
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As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2016 | Expires 12/31/2017 | Total | |||||||||||||
AZL JPMorgan U.S. Equity Fund | $ | 85,268,431 | $ | 13,967,218 | $ | 99,235,649 |
During the year ended December 31, 2013, the Fund utilized $63,108,021 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL JPMorgan U.S. Equity Fund | $ | 4,265,547 | $ | — | $ | 4,265,547 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL JPMorgan U.S. Equity Fund | $ | 3,756,524 | $ | — | $ | (99,235,649 | ) | $ | 127,520,789 | $ | 32,041,664 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® MFS Investors Trust Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MFS Investors Trust Fund
(Unaudited)
As a shareholder of the AZL MFS Investors Trust Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Investors Trust Fund | $ | 1,000.00 | $ | 1,049.30 | $ | 5.13 | 1.01 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Investors Trust Fund | $ | 1,000.00 | $ | 1,019.74 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 19.7 | % | |||
Financials | 16.6 | ||||
Consumer Discretionary | 15.2 | ||||
Health Care | 13.4 | ||||
Industrials | 11.6 | ||||
Energy | 8.5 | ||||
Consumer Staples | 7.6 | ||||
Materials | 5.0 | ||||
Utilities | 2.0 | ||||
|
| ||||
Total Common and Preferred Stock | 99.6 | ||||
Securities Held as Collateral for Securities on Loan | 1.2 | ||||
Money Market | 0.5 | ||||
|
| ||||
Total Investment Securities | 101.3 | ||||
Net other assets (liabilities) | (1.3 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL MFS Investors Trust Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (99.3%): |
| ||||||
| Aerospace & Defense (4.9%): |
| ||||||
66,935 | Honeywell International, Inc. | $ | 6,221,608 | |||||
22,604 | Precision Castparts Corp. | 5,705,250 | ||||||
57,281 | United Technologies Corp. | 6,613,091 | ||||||
|
| |||||||
18,539,949 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.8%): |
| ||||||
30,544 | United Parcel Service, Inc., Class B | 3,135,647 | ||||||
|
| |||||||
| Auto Components (0.5%): |
| ||||||
26,302 | Delphi Automotive plc | 1,807,999 | ||||||
|
| |||||||
| Automobiles (0.4%): |
| ||||||
11,029 | Bayerische Motoren Werke AG (BMW) | 1,398,857 | ||||||
|
| |||||||
| Banks (6.3%): |
| ||||||
301,472 | Bank of America Corp. | 4,633,625 | ||||||
192,083 | JPMorgan Chase & Co. | 11,067,822 | ||||||
156,497 | Wells Fargo & Co. | 8,225,482 | ||||||
|
| |||||||
23,926,929 | ||||||||
|
| |||||||
| Beverages (2.0%): |
| ||||||
98,235 | Diageo plc | 3,126,754 | ||||||
37,649 | Pernod Ricard SA^ | 4,521,001 | ||||||
|
| |||||||
7,647,755 | ||||||||
|
| |||||||
| Capital Markets (5.2%): |
| ||||||
19,119 | BlackRock, Inc., Class A | 6,110,432 | ||||||
25,530 | Franklin Resources, Inc. | 1,476,655 | ||||||
41,930 | Goldman Sachs Group, Inc. (The) | 7,020,759 | ||||||
96,735 | Morgan Stanley | 3,127,443 | ||||||
31,785 | State Street Corp. | 2,137,859 | ||||||
|
| |||||||
19,873,148 | ||||||||
|
| |||||||
| Chemicals (4.2%): |
| ||||||
27,881 | FMC Corp. | 1,984,848 | ||||||
15,634 | Linde AG | 3,324,482 | ||||||
25,007 | Praxair, Inc. | 3,321,930 | ||||||
17,638 | Sherwin Williams Co. | 3,649,479 | ||||||
40,936 | W.R. Grace & Co.* | 3,869,680 | ||||||
|
| |||||||
16,150,419 | ||||||||
|
| |||||||
| Construction & Engineering (0.8%): |
| ||||||
40,890 | Fluor Corp. | 3,144,441 | ||||||
|
| |||||||
| Consumer Finance (1.9%): |
| ||||||
74,377 | American Express Co. | 7,056,146 | ||||||
|
| |||||||
| Containers & Packaging (0.8%): |
| ||||||
58,144 | Crown Holdings, Inc.* | 2,893,245 | ||||||
|
| |||||||
| Diversified Financial Services (0.7%): |
| ||||||
72,889 | NASDAQ OMX Group, Inc. (The) | 2,814,973 | ||||||
|
| |||||||
| Electric Utilities (0.7%): |
| ||||||
49,511 | American Electric Power Co., Inc. | 2,761,228 | ||||||
|
| |||||||
| Energy Equipment & Services (4.4%): |
| ||||||
63,763 | Cameron International Corp.* | 4,317,393 | ||||||
45,895 | Dresser-Rand Group, Inc.* | 2,924,888 | ||||||
41,575 | National-Oilwell Varco, Inc. | 3,423,701 | ||||||
53,103 | Schlumberger, Ltd. | 6,263,499 | ||||||
|
| |||||||
16,929,481 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food Products (2.8%): |
| ||||||
61,636 | Danone SA | $ | 4,574,167 | |||||
29,678 | General Mills, Inc. | 1,559,282 | ||||||
125,099 | Mondelez International, Inc., Class A | 4,704,974 | ||||||
|
| |||||||
10,838,423 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (4.4%): |
| ||||||
82,251 | Abbott Laboratories | 3,364,065 | ||||||
84,765 | Covidien plc | 7,644,108 | ||||||
37,315 | St. Jude Medical, Inc. | 2,584,064 | ||||||
39,333 | Stryker Corp. | 3,316,559 | ||||||
|
| |||||||
16,908,796 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.2%): |
| ||||||
46,736 | McDonald’s Corp. | 4,708,185 | ||||||
|
| |||||||
| Household Durables (0.5%): |
| ||||||
62,455 | Newell Rubbermaid, Inc. | 1,935,480 | ||||||
|
| |||||||
| Household Products (2.8%): |
| ||||||
48,130 | Colgate-Palmolive Co. | 3,281,503 | ||||||
92,579 | Procter & Gamble Co. (The) | 7,275,784 | ||||||
|
| |||||||
10,557,287 | ||||||||
|
| |||||||
| Industrial Conglomerates (2.7%): |
| ||||||
129,804 | Danaher Corp. | 10,219,469 | ||||||
|
| |||||||
| Insurance (0.8%): |
| ||||||
29,995 | ACE, Ltd. | 3,110,482 | ||||||
|
| |||||||
| Internet Software & Services (3.1%): |
| ||||||
9,594 | Google, Inc., Class C* | 5,519,236 | ||||||
10,636 | Google, Inc., Class A | 6,218,550 | ||||||
|
| |||||||
11,737,786 | ||||||||
|
| |||||||
| IT Services (7.5%): |
| ||||||
69,519 | Accenture plc, Class A | 5,619,916 | ||||||
99,272 | Cognizant Technology Solutions Corp., Class A* | 4,855,394 | ||||||
89,614 | Fidelity National Information Services, Inc. | 4,905,470 | ||||||
71,173 | MasterCard, Inc., Class A | 5,229,080 | ||||||
37,512 | Visa, Inc., Class A | 7,904,154 | ||||||
|
| |||||||
28,514,014 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (1.6%): |
| ||||||
52,738 | Thermo Fisher Scientific, Inc. | 6,223,084 | ||||||
|
| |||||||
| Media (6.4%): |
| ||||||
119,941 | Comcast Corp., Class A | 6,438,433 | ||||||
72,660 | Time Warner, Inc. | 5,104,365 | ||||||
132,532 | Twenty-First Century Fox, Inc. | 4,658,500 | ||||||
95,712 | Walt Disney Co. (The) | 8,206,347 | ||||||
|
| |||||||
24,407,645 | ||||||||
|
| |||||||
| Multiline Retail (1.9%): |
| ||||||
65,693 | Kohl’s Corp. | 3,460,707 | ||||||
66,477 | Target Corp. | 3,852,342 | ||||||
|
| |||||||
7,313,049 | ||||||||
|
| |||||||
| Multi-Utilities (1.0%): |
| ||||||
117,626 | CMS Energy Corp. | 3,664,050 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (4.1%): |
| ||||||
16,503 | Chevron Corp. | 2,154,467 | ||||||
39,095 | EOG Resources, Inc. | 4,568,642 |
Continued
2
AZL MFS Investors Trust Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
13,766 | Exxon Mobil Corp. | $ | 1,385,961 | |||||
45,418 | Noble Energy, Inc. | 3,518,078 | ||||||
38,662 | Occidental Petroleum Corp. | 3,967,881 | ||||||
|
| |||||||
15,595,029 | ||||||||
|
| |||||||
| Pharmaceuticals (7.4%): |
| ||||||
62,694 | Bristol-Myers Squibb Co. | 3,041,286 | ||||||
48,006 | Endo International plc* | 3,361,380 | ||||||
80,825 | Johnson & Johnson Co. | 8,455,911 | ||||||
269,097 | Pfizer, Inc. | 7,986,799 | ||||||
42,525 | Valeant Pharmaceuticals International, Inc.* | 5,363,253 | ||||||
|
| |||||||
28,208,629 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.7%): |
| ||||||
72,350 | American Tower Corp. | 6,510,053 | ||||||
|
| |||||||
| Road & Rail (1.3%): |
| ||||||
77,579 | Canadian National Railway Co. | 5,044,187 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.8%): |
| ||||||
124,901 | Altera Corp. | 4,341,559 | ||||||
131,353 | Microchip Technology, Inc. | 6,411,340 | ||||||
|
| |||||||
10,752,899 | ||||||||
|
| |||||||
| Software (1.8%): |
| ||||||
43,298 | Citrix Systems, Inc.* | 2,708,290 | ||||||
98,443 | Oracle Corp. | 3,989,895 | ||||||
|
| |||||||
6,698,185 | ||||||||
|
| |||||||
| Specialty Retail (1.7%): |
| ||||||
62,498 | Bed Bath & Beyond, Inc.* | 3,586,136 | ||||||
43,634 | Ross Stores, Inc. | 2,885,516 | ||||||
|
| |||||||
6,471,652 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (4.5%): |
| ||||||
62,804 | Apple, Inc. | 5,836,376 | ||||||
293,822 | EMC Corp. | 7,739,271 |
Shares or Principal | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Technology Hardware, Storage & Peripherals, continued |
| ||||||
101,013 | Hewlett-Packard Co. | $ | 3,402,118 | |||||
|
| |||||||
16,977,765 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (2.6%): |
| ||||||
19,996 | LVMH Moet Hennessy Louis Vuitton SA | 3,851,576 | ||||||
34,910 | Nike, Inc., Class B | 2,707,271 | ||||||
51,790 | V.F. Corp. | 3,262,770 | ||||||
|
| |||||||
9,821,617 | ||||||||
|
| |||||||
| Trading Companies & Distributors (1.1%): |
| ||||||
16,787 | W.W. Grainger, Inc. | 4,268,430 | ||||||
|
| |||||||
| Total Common Stocks (Cost $247,541,832) | 378,566,413 | ||||||
|
| |||||||
| Preferred Stock (0.3%): | |||||||
| Electric Utilities (0.3%): | |||||||
20,030 | Exelon Corp., Preferred Shares* | 1,080,550 | ||||||
|
| |||||||
| Total Preferred Stock (Cost $1,013,350) | 1,080,550 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (1.2%): | |||||||
$ | 4,713,464 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 4,713,464 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 4,713,464 | ||||||
|
| |||||||
| Unaffiliated Investment Company (0.5%): | |||||||
1,718,281 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 1,718,281 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,718,281) | 1,718,281 | ||||||
|
| |||||||
| Total Investment Securities (Cost $254,986,927)(c) — 101.3% | 386,078,708 | ||||||
| Net other assets (liabilities) — (1.3)% | (4,920,807 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 381,157,901 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,795,068. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Canada | 2.7 | % | ||
France | 3.4 | % | ||
Germany | 1.2 | % | ||
Ireland (Republic of) | 4.3 | % | ||
Netherlands | 1.6 | % | ||
Switzerland | 0.8 | % | ||
United Kingdom | 1.3 | % | ||
United States | 84.7 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
3
AZL MFS Investors Trust Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 254,986,927 | |||
|
| ||||
Investment securities, at value* | $ | 386,078,708 | |||
Cash | 13,123 | ||||
Interest and dividends receivable | 246,332 | ||||
Foreign currency, at value (cost $36) | 36 | ||||
Reclaims receivable | 441 | ||||
Prepaid expenses | 1,904 | ||||
|
| ||||
Total Assets | 386,340,544 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 131,961 | ||||
Payable for collateral received on loaned securities | 4,713,464 | ||||
Manager fees payable | 222,900 | ||||
Administration fees payable | 13,855 | ||||
Distribution fees payable | 78,140 | ||||
Custodian fees payable | 8,125 | ||||
Administrative and compliance services fees payable | 960 | ||||
Trustee fees payable | 1,948 | ||||
Other accrued liabilities | 11,290 | ||||
|
| ||||
Total Liabilities | 5,182,643 | ||||
|
| ||||
Net Assets | $ | 381,157,901 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 212,438,935 | |||
Accumulated net investment income/(loss) | 4,174,049 | ||||
Accumulated net realized gains/(losses) from investment transactions | 33,453,120 | ||||
Net unrealized appreciation/(depreciation) on investments | 131,091,797 | ||||
|
| ||||
Net Assets | $ | 381,157,901 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 17,054,067 | ||||
Net Asset Value (offering and redemption price per share) | $ | 22.35 | |||
|
|
* | Includes securities on loan of $2,795,068. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,290,170 | |||
Interest | 87 | ||||
Income from securities lending | 25,287 | ||||
Foreign withholding tax | (52,662 | ) | |||
|
| ||||
Total Investment Income | 3,262,882 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,451,107 | ||||
Administration fees | 52,825 | ||||
Distribution fees | 483,702 | ||||
Custodian fees | 12,978 | ||||
Administrative and compliance services fees | 3,040 | ||||
Trustee fees | 9,592 | ||||
Professional fees | 9,349 | ||||
Shareholder reports | 10,080 | ||||
Other expenses | 3,690 | ||||
|
| ||||
Total expenses before reductions | 2,036,363 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (71,948 | ) | |||
Less expenses paid indirectly | (808 | ) | |||
|
| ||||
Net expenses | 1,963,607 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,299,275 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 27,224,929 | ||||
Change in net unrealized appreciation/depreciation on investments | (10,501,211 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 16,723,718 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 18,022,993 | |||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL MFS Investors Trust Fund | ||||||||||
For the 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,299,275 | $ | 2,875,276 | ||||||
Net realized gains/(losses) on investment transactions | 27,224,929 | 23,945,686 | ||||||||
Change in unrealized appreciation/depreciation on investments | (10,501,211 | ) | 74,525,722 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 18,022,993 | 101,346,684 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (2,913,024 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (2,913,024 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 2,318,890 | 26,030,545 | ||||||||
Proceeds from dividends reinvested | — | 2,913,024 | ||||||||
Value of shares redeemed | (46,036,562 | ) | (47,016,565 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (43,717,672 | ) | (18,072,996 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (25,694,679 | ) | 80,360,664 | |||||||
Net Assets: | ||||||||||
Beginning of period | 406,852,580 | 326,491,916 | ||||||||
|
|
|
| |||||||
End of period | $ | 381,157,901 | $ | 406,852,580 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 4,174,049 | $ | 2,874,774 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 108,433 | 1,415,289 | ||||||||
Dividends reinvested | — | 151,169 | ||||||||
Shares redeemed | (2,156,201 | ) | (2,501,123 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,047,768 | ) | (934,665 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL MFS Investors Trust Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 21.30 | $ | 16.29 | $ | 13.79 | $ | 14.20 | $ | 12.81 | $ | 8.44 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.16 | 0.15 | 0.12 | 0.10 | 0.02 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.96 | 5.00 | 2.46 | (0.44 | ) | 1.31 | 4.35 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.05 | 5.16 | 2.61 | (0.32 | ) | 1.41 | 4.37 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.15 | ) | (0.11 | ) | (0.09 | ) | (0.02 | ) | — | (a) | |||||||||||||||||||
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Total Dividends | — | (0.15 | ) | (0.11 | ) | (0.09 | ) | (0.02 | ) | — | (a) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 22.35 | $ | 21.30 | $ | 16.29 | $ | 13.79 | $ | 14.20 | $ | 12.81 | ||||||||||||||||||
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Total Return(b) | 4.93 | %(c) | 31.77 | % | 18.95 | % | (2.22 | )% | 11.01 | % | 51.80 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 381,158 | $ | 406,853 | $ | 326,492 | $ | 272,336 | $ | 314,596 | $ | 354,622 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.67 | % | 0.77 | % | 1.01 | % | 0.79 | % | 0.62 | % | 0.15 | % | ||||||||||||||||||
Expenses Before Reductions(d) (e) | 1.05 | % | 1.06 | % | 1.07 | % | 1.09 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.01 | % | 1.02 | % | 1.03 | % | 1.05 | % | 1.06 | % | 1.04 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d) (f) | 1.02 | % | 1.02 | % | 1.03 | % | 1.05 | % | 1.06 | % | 1.07 | % | ||||||||||||||||||
Portfolio Turnover Rate | 13 | %(c) | 21 | % | 31 | % | 22 | % | 21 | %(g) | 193 | % |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(g) | Effective October 26, 2009, the Subadviser changed from Jennison Associates LLC to Massachusetts Financial Services Company (“MFS”). Implementation of MFS’ investment strategy has contributed to a lower portfolio turnover rate for the year ended December 31, 2010 as compared to prior years. |
See accompanying notes to the financial statements.
6
AZL MFS Investors Trust Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Investors Trust Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL MFS Investors Trust Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2.1 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $2,500 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Massachusetts Financial Services Company (“MFS”), MFS provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MFS Investors Trust Fund | 0.75 | % | 1.20 | % |
* | The Manager voluntarily reduced the management fee to 0.70% on assets above $100 million. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and
8
AZL MFS Investors Trust Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,328 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
9
AZL MFS Investors Trust Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Automobiles | $ | — | $ | 1,398,857 | $ | 1,398,857 | |||||||||
Beverages | — | 7,647,755 | 7,647,755 | ||||||||||||
Chemicals | 12,825,937 | 3,324,482 | 16,150,419 | ||||||||||||
Food Products | 6,264,256 | 4,574,167 | 10,838,423 | ||||||||||||
Textiles, Apparel & Luxury Goods | 5,970,041 | 3,851,576 | 9,821,617 | ||||||||||||
All Other Commons Stocks+ | 332,709,342 | — | 332,709,342 | ||||||||||||
Preferred Stock | 1,080,550 | — | 1,080,550 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 4,713,464 | 4,713,464 | ||||||||||||
Unaffiliated Investment Company | 1,718,281 | — | 1,718,281 | ||||||||||||
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Total Investment Securities | $ | 360,568,407 | $ | 25,510,301 | $ | 386,078,708 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MFS Investors Trust Fund | $ | 50,431,136 | $ | 90,149,591 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $255,990,465. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 132,290,774 | ||
Unrealized depreciation | (2,202,531 | ) | ||
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Net unrealized appreciation depreciation | $ | 130,088,243 | ||
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During the year ended December 31, 2013, the Fund utilized $16,620,137 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL MFS Investors Trust Fund | $ | 2,913,024 | $ | — | $ | 2,913,024 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
10
AZL MFS Investors Trust Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MFS Investors Trust Fund | $ | 2,874,772 | $ | 7,424,571 | $ | — | $ | 140,396,630 | $ | 150,695,973 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® MFS Mid Cap Value Fund
(formerly AZL Columbia Mid Cap Value Fund)
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MFS Mid Cap Value Fund
(Unaudited)
As a shareholder of the AZL MFS Mid Cap Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Mid Cap Value Fund | $ | 1,000.00 | $ | 1,095.40 | $ | 5.46 | 1.05 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Mid Cap Value Fund | $ | 1,000.00 | $ | 1,019.59 | $ | 5.26 | 1.05 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 22.1 | % | |||
Consumer Discretionary | 15.0 | ||||
Industrials | 11.5 | ||||
Energy | 9.1 | ||||
Health Care | 8.9 | ||||
Utilities | 8.4 | ||||
Information Technology | 8.2 | ||||
Materials | 7.4 | ||||
Consumer Staples | 6.5 | ||||
Telecommunication Services | 1.4 | ||||
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Total Common Stock | 98.5 | ||||
Securities Held as Collateral for Securities on Loan | 1.3 | ||||
Money Market | 0.4 | ||||
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Total Investment Securities | 100.2 | ||||
Net other assets (liabilities) | (0.2 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL MFS Mid Cap Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (98.5%): |
| ||||||
| Aerospace & Defense (1.1%): |
| ||||||
12,779 | Mtu Aero Engines AG | $ | 1,175,742 | |||||
20,301 | Triumph Group, Inc. | 1,417,416 | ||||||
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2,593,158 | ||||||||
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| Airlines (1.5%): |
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12,525 | Alaska Air Group, Inc. | 1,190,501 | ||||||
41,463 | Delta Air Lines, Inc. | 1,605,448 | ||||||
21,689 | United Continental Holdings, Inc.* | 890,767 | ||||||
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| |||||||
3,686,716 | ||||||||
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| |||||||
| Auto Components (2.4%): |
| ||||||
57,944 | Allison Transmission Holdings, Inc. | 1,802,058 | ||||||
29,534 | Delphi Automotive plc | 2,030,167 | ||||||
23,545 | TRW Automotive Holdings Corp.* | 2,107,749 | ||||||
|
| |||||||
5,939,974 | ||||||||
|
| |||||||
| Banks (6.8%): |
| ||||||
60,894 | BB&T Corp. | 2,401,050 | ||||||
31,380 | Comerica, Inc. | 1,574,021 | ||||||
82,271 | Fifth Third Bancorp | 1,756,486 | ||||||
205,896 | Huntington Bancshares, Inc. | 1,964,248 | ||||||
137,655 | KeyCorp | 1,972,596 | ||||||
10,738 | M&T Bank Corp. | 1,332,049 | ||||||
30,149 | PrivateBancorp, Inc. | 876,130 | ||||||
109,587 | Regions Financial Corp. | 1,163,814 | ||||||
34,761 | SunTrust Banks, Inc. | 1,392,526 | ||||||
126,615 | TCF Financial Corp. | 2,072,688 | ||||||
|
| |||||||
16,505,608 | ||||||||
|
| |||||||
| Beverages (2.2%): |
| ||||||
31,634 | Coca-Cola Enterprises, Inc. | 1,511,473 | ||||||
22,421 | Dr Pepper Snapple Group, Inc. | 1,313,422 | ||||||
33,715 | Molson Coors Brewing Co., Class B | 2,500,304 | ||||||
|
| |||||||
5,325,199 | ||||||||
|
| |||||||
| Building Products (0.2%): |
| ||||||
10,453 | Armstrong World Industries, Inc.* | 600,316 | ||||||
|
| |||||||
| Capital Markets (1.8%): |
| ||||||
7,340 | Affiliated Managers Group, Inc.* | 1,507,635 | ||||||
12,017 | Evercore Partners, Inc., Class A | 692,660 | ||||||
15,211 | State Street Corp. | 1,023,092 | ||||||
37,945 | TD Ameritrade Holding Corp. | 1,189,576 | ||||||
|
| |||||||
4,412,963 | ||||||||
|
| |||||||
| Chemicals (4.4%): |
| ||||||
23,398 | Akzo Nobel NV | 1,754,195 | ||||||
18,201 | Albemarle Corp. | 1,301,372 | ||||||
28,420 | Celanese Corp., Series A | 1,826,837 | ||||||
23,104 | FMC Corp. | 1,644,774 | ||||||
16,481 | Rockwood Holdings, Inc. | 1,252,391 | ||||||
19,100 | Sensient Technologies Corp. | 1,064,252 | ||||||
23,115 | Valspar Corp. (The) | 1,761,132 | ||||||
|
| |||||||
10,604,953 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.8%): |
| ||||||
42,254 | Tyco International, Ltd. | 1,926,782 | ||||||
|
| |||||||
| Consumer Finance (0.9%): |
| ||||||
34,516 | Discover Financial Services | 2,139,302 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Containers & Packaging (2.7%): |
| ||||||
56,557 | Crown Holdings, Inc.* | $ | 2,814,277 | |||||
18,631 | Greif, Inc., Class A | 1,016,507 | ||||||
48,399 | Owens-Illinois, Inc.* | 1,676,541 | ||||||
19,852 | Silgan Holdings, Inc. | 1,008,879 | ||||||
|
| |||||||
6,516,204 | ||||||||
|
| |||||||
| Diversified Consumer Services (1.0%): |
| ||||||
27,376 | DeVry, Inc. | 1,159,100 | ||||||
21,464 | ITT Educational Services, Inc.*^ | 358,234 | ||||||
48,460 | ServiceMaster Global Holdings, Inc.* | 883,426 | ||||||
|
| |||||||
2,400,760 | ||||||||
|
| |||||||
| Diversified Financial Services (1.0%): |
| ||||||
61,454 | NASDAQ OMX Group, Inc. (The) | 2,373,353 | ||||||
|
| |||||||
| Diversified Telecommunication Services (1.4%): |
| ||||||
290,163 | Colt Group SA* | 682,861 | ||||||
240,217 | Frontier Communications Corp. ^ | 1,402,867 | ||||||
121,896 | Windstream Holdings, Inc. ^ | 1,214,084 | ||||||
|
| |||||||
3,299,812 | ||||||||
|
| |||||||
| Electric Utilities (1.8%): |
| ||||||
50,587 | Great Plains Energy, Inc. | 1,359,273 | ||||||
45,673 | Northeast Utilities | 2,158,963 | ||||||
12,360 | Pinnacle West Capital Corp. | 714,902 | ||||||
|
| |||||||
4,233,138 | ||||||||
|
| |||||||
| Electrical Equipment (2.0%): |
| ||||||
22,861 | Eaton Corp. plc | 1,764,411 | ||||||
69,042 | GrafTech International, Ltd.* | 722,179 | ||||||
18,523 | Regal-Beloit Corp. | 1,455,167 | ||||||
25,509 | Sensata Technologies Holding NV* | 1,193,311 | ||||||
|
| |||||||
5,135,068 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.7%): |
| ||||||
54,649 | Ingram Micro, Inc., Class A* | 1,596,297 | ||||||
|
| |||||||
| Energy Equipment & Services (2.5%): |
| ||||||
27,316 | Cameron International Corp.* | 1,849,566 | ||||||
20,057 | Dresser-Rand Group, Inc.* | 1,278,233 | ||||||
26,525 | Ensco plc, Class A, ADR | 1,473,994 | ||||||
58,335 | Pacific Drilling SA* | 583,350 | ||||||
18,054 | Tidewater, Inc. | 1,013,732 | ||||||
|
| |||||||
6,198,875 | ||||||||
|
| |||||||
| Food & Staples Retailing (0.5%): |
| ||||||
16,394 | Empire Co., Ltd., Class A | 1,114,958 | ||||||
|
| |||||||
| Food Products (3.1%): |
| ||||||
21,278 | Bunge, Ltd. | 1,609,468 | ||||||
78,805 | Flowers Foods, Inc. | 1,661,209 | ||||||
25,548 | Ingredion, Inc. | 1,917,122 | ||||||
20,575 | J.M. Smucker Co. (The) | 2,192,678 | ||||||
|
| |||||||
7,380,477 | ||||||||
|
| |||||||
| Gas Utilities (0.6%): |
| ||||||
24,649 | AGL Resources, Inc. | 1,356,434 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (3.2%): |
| ||||||
37,320 | CareFusion Corp.* | 1,655,142 | ||||||
11,025 | Cooper Cos., Inc. (The) | 1,494,218 | ||||||
29,915 | DENTSPLY International, Inc. | 1,416,475 |
Continued
2
AZL MFS Mid Cap Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Equipment & Supplies, continued |
| ||||||
21,103 | St. Jude Medical, Inc. | $ | 1,461,383 | |||||
14,938 | Teleflex, Inc. | 1,577,453 | ||||||
|
| |||||||
7,604,671 | ||||||||
|
| |||||||
| Health Care Providers & Services (2.0%): |
| ||||||
27,785 | AmerisourceBergen Corp. | 2,018,858 | ||||||
26,964 | Quest Diagnostics, Inc. | 1,582,517 | ||||||
13,297 | Universal Health Services, Inc., Class B | 1,273,321 | ||||||
|
| |||||||
4,874,696 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.5%): |
| ||||||
5,659 | Wynn Resorts, Ltd. | 1,174,582 | ||||||
|
| |||||||
| Household Durables (1.1%): |
| ||||||
88,377 | Newell Rubbermaid, Inc. | 2,738,803 | ||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (2.7%): |
| ||||||
115,742 | AES Corp. (The) | 1,799,789 | ||||||
44,716 | Calpine Corp.* | 1,064,688 | ||||||
53,240 | NextEra Energy Partners LP* | 1,784,072 | ||||||
47,832 | NRG Energy, Inc. | 1,779,350 | ||||||
|
| |||||||
6,427,899 | ||||||||
|
| |||||||
| Insurance (6.9%): |
| ||||||
40,857 | Allied World Assurance Co. Holdings AG | 1,553,383 | ||||||
40,290 | Arthur J. Gallagher & Co. | 1,877,514 | ||||||
9,990 | Everest Re Group, Ltd. | 1,603,295 | ||||||
41,746 | Genworth Financial, Inc., Class A* | 726,380 | ||||||
16,423 | Hanover Insurance Group, Inc. (The) | 1,037,112 | ||||||
21,542 | Hartford Financial Services Group, Inc. (The) | 771,419 | ||||||
33,236 | HCC Insurance Holdings, Inc. | 1,626,570 | ||||||
39,616 | Lincoln National Corp. | 2,037,848 | ||||||
48,174 | Symetra Financial Corp. | 1,095,477 | ||||||
72,950 | Third Point Reinsurance, Ltd.* | 1,113,217 | ||||||
50,001 | UnumProvident Corp. | 1,738,035 | ||||||
41,785 | Validus Holdings, Ltd. | 1,597,858 | ||||||
|
| |||||||
16,778,108 | ||||||||
|
| |||||||
| IT Services (1.4%): |
| ||||||
31,302 | Fidelity National Information Services, Inc. | 1,713,471 | ||||||
80,434 | Sabre Corp.* | 1,612,702 | ||||||
|
| |||||||
3,326,173 | ||||||||
|
| |||||||
| Leisure Products (0.9%): |
| ||||||
54,269 | Mattel, Inc. | 2,114,863 | ||||||
|
| |||||||
| Life Sciences Tools & Services (1.1%): |
| ||||||
55,707 | PerkinElmer, Inc. | 2,609,316 | ||||||
|
| |||||||
| Machinery (3.8%): |
| ||||||
9,834 | Cummins, Inc. | 1,517,288 | ||||||
17,761 | Joy Global, Inc. | 1,093,722 | ||||||
22,763 | Kennametal, Inc. | 1,053,472 | ||||||
18,780 | Pentair plc | 1,354,414 | ||||||
14,996 | SPX Corp. | 1,622,717 | ||||||
26,349 | Stanley Black & Decker, Inc. | 2,313,969 | ||||||
|
| |||||||
8,955,582 | ||||||||
|
| |||||||
| Media (2.3%): |
| ||||||
19,315 | AMC Networks, Inc., Class A* | 1,187,679 | ||||||
46,201 | Cinemark Holdings, Inc. | 1,633,667 | ||||||
87,214 | Interpublic Group of Cos., Inc. (The) | 1,701,546 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Media, continued |
| ||||||
40,749 | Quebecor, Inc., Class B | $ | 986,165 | |||||
|
| |||||||
5,509,057 | ||||||||
|
| |||||||
| Metals & Mining (0.3%): |
| ||||||
88,490 | Iluka Resources, Ltd. | 678,960 | ||||||
|
| |||||||
| Multiline Retail (1.0%): |
| ||||||
36,187 | Burlington Stores, Inc.* | 1,152,918 | ||||||
25,851 | Kohl’s Corp. | 1,361,831 | ||||||
|
| |||||||
2,514,749 | ||||||||
|
| |||||||
| Multi-Utilities (3.3%): |
| ||||||
65,887 | CMS Energy Corp. | 2,052,380 | ||||||
19,657 | DTE Energy Co. | 1,530,691 | ||||||
31,351 | NiSource, Inc. | 1,233,348 | ||||||
19,070 | NorthWestern Corp. | 995,263 | ||||||
53,333 | Public Service Enterprise Group, Inc. | 2,175,453 | ||||||
|
| |||||||
7,987,135 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (6.6%): |
| ||||||
38,502 | Cabot Oil & Gas Corp. | 1,314,458 | ||||||
8,548 | Cimarex Energy Co. | 1,226,296 | ||||||
36,548 | CONSOL Energy, Inc. | 1,683,767 | ||||||
16,289 | Energen Corp. | 1,447,766 | ||||||
15,338 | EQT Corp. | 1,639,632 | ||||||
23,506 | Memorial Resource Development Corp.* | 572,606 | ||||||
22,930 | Noble Energy, Inc. | 1,776,159 | ||||||
21,816 | PDC Energy, Inc.* | 1,377,680 | ||||||
53,206 | Peabody Energy Corp. | 869,918 | ||||||
39,733 | QEP Midstream Partners LP | 1,023,125 | ||||||
16,423 | SM Energy Co. | 1,381,174 | ||||||
36,773 | Spectra Energy Corp. | 1,562,117 | ||||||
|
| |||||||
15,874,698 | ||||||||
|
| |||||||
| Pharmaceuticals (2.6%): |
| ||||||
22,431 | Endo International plc* | 1,570,619 | ||||||
33,862 | Hospira, Inc.* | 1,739,491 | ||||||
43,905 | Impax Laboratories, Inc.* | 1,316,711 | ||||||
11,645 | Valeant Pharmaceuticals International, Inc.* | 1,468,667 | ||||||
|
| |||||||
6,095,488 | ||||||||
|
| |||||||
| Professional Services (0.5%): |
| ||||||
16,224 | Equifax, Inc. | 1,176,889 | ||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (4.2%): |
| ||||||
76,301 | Annaly Capital Management, Inc. | 872,120 | ||||||
63,308 | Corporate Office Properties Trust | 1,760,595 | ||||||
75,139 | DDR Corp. | 1,324,701 | ||||||
30,804 | EPR Properties | 1,721,019 | ||||||
23,047 | Equity Lifestyle Properties, Inc. | 1,017,756 | ||||||
22,089 | Mid-America Apartment Communities, Inc. | 1,613,601 | ||||||
37,555 | Plum Creek Timber Co., Inc. | 1,693,731 | ||||||
|
| |||||||
10,003,523 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.5%): |
| ||||||
30,980 | Realogy Holdings Corp.* | 1,168,256 | ||||||
|
| |||||||
| Road & Rail (0.5%): |
| ||||||
50,675 | Swift Transportation Co.* | 1,278,530 | ||||||
|
|
Continued
3
AZL MFS Mid Cap Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Semiconductors & Semiconductor Equipment (3.2%): |
| ||||||
44,012 | Altera Corp. | $ | 1,529,857 | |||||
30,188 | Analog Devices, Inc. | 1,632,265 | ||||||
13,267 | Avago Technologies, Ltd. | 956,153 | ||||||
36,333 | Microchip Technology, Inc. | 1,773,414 | ||||||
27,521 | Nxp Semiconductors NV* | 1,821,340 | ||||||
|
| |||||||
7,713,029 | ||||||||
|
| |||||||
| Software (1.2%): |
| ||||||
43,241 | NICE Systems, Ltd., ADR | 1,764,665 | ||||||
57,162 | Symantec Corp. | 1,309,010 | ||||||
|
| |||||||
3,073,675 | ||||||||
|
| |||||||
| Specialty Retail (4.3%): |
| ||||||
2,452 | AutoZone, Inc.* | 1,314,860 | ||||||
23,936 | Bed Bath & Beyond, Inc.* | 1,373,448 | ||||||
53,792 | Best Buy Co., Inc. | 1,668,090 | ||||||
16,560 | Children’s Place Retail Stores, Inc. (The) | 821,873 | ||||||
61,333 | Express, Inc.* | 1,044,501 | ||||||
22,734 | Guess?, Inc. | 613,818 | ||||||
376,485 | Office Depot, Inc.* | 2,142,199 | ||||||
52,512 | Sally Beauty Holdings, Inc.* | 1,317,001 | ||||||
|
| |||||||
10,295,790 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (1.7%): |
| ||||||
50,578 | NCR Corp.* | 1,774,782 | ||||||
192,561 | Xerox Corp. | 2,395,459 | ||||||
|
| |||||||
4,170,241 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.5%): |
| ||||||
10,644 | PVH Corp. | 1,241,090 | ||||||
9,104 | Ralph Lauren Corp. | 1,462,922 |
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Textiles, Apparel & Luxury Goods, continued |
| ||||||
16,276 | V.F. Corp. | $ | 1,025,388 | |||||
|
| |||||||
3,729,400 | ||||||||
|
| |||||||
| Tobacco (0.7%): |
| ||||||
26,515 | Lorillard, Inc. | 1,616,620 | ||||||
|
| |||||||
| Trading Companies & Distributors (1.1%): |
| ||||||
6,687 | Brenntag AG | 1,194,318 | ||||||
15,788 | WESCO International, Inc.* | 1,363,767 | ||||||
|
| |||||||
2,558,085 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $211,382,543) | 237,389,165 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (1.3%): |
| ||||||
$ | 3,023,206 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 3,023,206 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 3,023,206 | ||||||
|
| |||||||
| Unaffiliated Investment Company (0.4%): |
| ||||||
1,050,730 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 1,050,730 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,050,730) | 1,050,730 | ||||||
|
| |||||||
| Total Investment Securities (Cost $215,456,479)(c) —100.2% | 241,463,101 | ||||||
| Net other assets (liabilities) — (0.2)% | (432,701 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 241,030,400 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,943,713. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | ||||
Australia | 0.3 | % | |||
Bermuda | 2.4 | % | |||
Canada | 1.5 | % | |||
Germany | 1.0 | % | |||
Ireland (Republic of) | 1.9 | % | |||
Israel | 0.7 | % | |||
Luxembourg | 0.2 | % | |||
Netherlands | 2.0 | % | |||
Singapore | 0.4 | % | |||
Switzerland | 0.8 | % | |||
United Kingdom | 1.7 | % | |||
United States | 87.1 | % | |||
|
| ||||
100.0 | % | ||||
|
|
See accompanying notes to the financial statements.
4
AZL MFS Mid Cap Value Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 215,456,479 | |||
|
| ||||
Investment securities, at value* | $ | 241,463,101 | |||
Cash | 16,769 | ||||
Interest and dividends receivable | 258,002 | ||||
Receivable for investments sold | 6,497,199 | ||||
Reclaims receivable | 4,820 | ||||
Prepaid expenses | 1,014 | ||||
|
| ||||
Total Assets | 248,240,905 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 3,310,546 | ||||
Payable for capital shares redeemed | 664,223 | ||||
Payable for collateral received on loaned securities | 3,023,206 | ||||
Manager fees payable | 147,371 | ||||
Administration fees payable | 8,002 | ||||
Distribution fees payable | 49,124 | ||||
Custodian fees payable | 3,464 | ||||
Administrative and compliance services fees payable | 324 | ||||
Trustee fees payable | 708 | ||||
Other accrued liabilities | 3,537 | ||||
|
| ||||
Total Liabilities | 7,210,505 | ||||
|
| ||||
Net Assets | $ | 241,030,400 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 150,714,009 | |||
Accumulated net investment income/(loss) | 1,669,392 | ||||
Accumulated net realized gains/(losses) from investment transactions | 62,640,483 | ||||
Net unrealized appreciation/(depreciation) on investments | 26,006,516 | ||||
|
| ||||
Net Assets | $ | 241,030,400 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 18,573,461 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.98 | |||
|
|
* | Includes securities on loan of $2,943,713. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,118,824 | |||
Interest | 2,776 | ||||
Income from securities lending | 16,220 | ||||
Foreign withholding tax | (20,273 | ) | |||
|
| ||||
Total Investment Income | 2,117,547 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 861,057 | ||||
Administration fees | 31,866 | ||||
Distribution fees | 287,019 | ||||
Custodian fees | 9,307 | ||||
Administrative and compliance services fees | 1,502 | ||||
Trustee fees | 4,706 | ||||
Professional fees | 4,548 | ||||
Shareholder reports | 4,788 | ||||
Other expenses | 1,993 | ||||
|
| ||||
Total expenses | 1,206,786 | ||||
|
| ||||
Net Investment Income/(Loss) | 910,761 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 53,293,441 | ||||
Change in net unrealized appreciation/depreciation on investments | (33,085,539 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 20,207,902 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 21,118,663 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL MFS Mid Cap Value Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 910,761 | $ | 769,884 | ||||||
Net realized gains/(losses) on investment transactions | 53,293,441 | 24,239,007 | ||||||||
Change in unrealized appreciation/depreciation on investments | (33,085,539 | ) | 34,739,768 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 21,118,663 | 59,748,659 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (1,337,872 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (1,337,872 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 11,904,475 | 28,141,862 | ||||||||
Proceeds from dividends reinvested | — | 1,337,872 | ||||||||
Value of shares redeemed | (23,126,061 | ) | (25,888,263 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (11,221,586 | ) | 3,591,471 | |||||||
|
|
|
| |||||||
Change in net assets | 9,897,077 | 62,002,258 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 231,133,323 | 169,131,065 | ||||||||
|
|
|
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End of period | $ | 241,030,400 | $ | 231,133,323 | ||||||
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Accumulated net investment income/(loss) | $ | 1,669,392 | $ | 758,631 | ||||||
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Share Transactions: | ||||||||||
Shares issued | 972,601 | 2,749,328 | ||||||||
Dividends reinvested | — | 125,152 | ||||||||
Shares redeemed | (1,906,175 | ) | (2,494,993 | ) | ||||||
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Change in shares | (933,574 | ) | 379,487 | |||||||
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See accompanying notes to the financial statements.
6
AZL MFS Mid Cap Value Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.85 | $ | 8.84 | $ | 7.66 | $ | 8.02 | $ | 6.58 | $ | 5.01 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.05 | 0.04 | 0.07 | 0.05 | 0.07 | 0.03 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.08 | 3.04 | 1.16 | (0.34 | ) | 1.41 | 1.59 | |||||||||||||||||||||||
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Total from Investment Activities | 1.13 | 3.08 | 1.23 | (0.29 | ) | 1.48 | 1.62 | |||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.07 | ) | (0.05 | ) | (0.07 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
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Total Dividends | — | (0.07 | ) | (0.05 | ) | (0.07 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 12.98 | $ | 11.85 | $ | 8.84 | $ | 7.66 | $ | 8.02 | $ | 6.58 | ||||||||||||||||||
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Total Return(a) | 9.54 | %(b) | 34.91 | % | 16.03 | % | (3.57 | )% | 22.66 | % | 32.30 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 241,030 | $ | 231,133 | $ | 169,131 | $ | 132,790 | $ | 133,340 | $ | 100,908 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.79 | % | 0.38 | % | 0.88 | % | 0.62 | % | 1.12 | % | 0.98 | % | ||||||||||||||||||
Expenses Before Reductions(c) (d) | 1.05 | % | 1.06 | % | 1.07 | % | 1.08 | % | 1.10 | % | 1.13 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.05 | % | 1.05 | % | 1.05 | % | 1.06 | % | 1.04 | % | 1.07 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e) | 1.05 | % | 1.06 | % | 1.07 | % | 1.08 | % | 1.10 | % | 1.13 | % | ||||||||||||||||||
Portfolio Turnover Rate | 110 | %(b) | 59 | % | 50 | % | 53 | % | 71 | % | 67 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL MFS Mid Cap Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Mid Cap Value Fund (formerly AZL Columbia Mid Cap Value Fund) (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL MFS Mid Cap Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $6.0 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,603 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement effective January 24, 2014 with Massachusetts Financial Services Company (“MFS”), MFS provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. Prior to January 24, 2014, the Fund was subadvised by Columbia Management Investment Advisers, LLC. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MFS Mid Cap Value Fund | 0.75 | % | 1.30 | % |
* | The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $1 billion at 0.75% and above $1 billion at 0.70%. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
9
AZL MFS Mid Cap Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $1,345 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Aerospace & Defense | $ | 1,417,416 | $ | 1,175,742 | $ | 2,593,158 | |||||||||
Chemicals | 8,850,758 | 1,754,195 | 10,604,953 | ||||||||||||
Diversified Telecommunication Services | 2,616,951 | 682,861 | 3,299,812 | ||||||||||||
Metals & Mining | — | 678,960 | 678,960 | ||||||||||||
Trading Companies & Distributors | 1,363,767 | 1,194,318 | 2,558,085 | ||||||||||||
All Other Common Stocks+ | 217,654,197 | — | 217,654,197 |
10
AZL MFS Mid Cap Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Securities Held as Collateral for Securities on Loan | $ | — | $ | 3,023,206 | $ | 3,023,206 | |||||||||
Unaffiliated Investment Company | 1,050,730 | — | 1,050,730 | ||||||||||||
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|
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| ||||||||||
Total Investment Securities | $ | 232,953,819 | $ | 8,509,282 | $ | 241,463,101 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MFS Mid Cap Value Fund | $ | 252,161,572 | $ | 254,055,456 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $215,704,216. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 27,394,567 | ||
Unrealized depreciation | (1,635,682 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 25,758,885 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL MFS Mid Cap Value Fund | $ | 1,337,872 | $ | — | $ | 1,337,872 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ | Total Earnings/ | |||||||||||||||||||||
AZL MFS Mid Cap Value Fund | $ | 758,631 | $ | 9,784,879 | $ | — | $ | 58,654,218 | $ | 69,197,728 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® MFS Value Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MFS Value Fund
(Unaudited)
As a shareholder of the AZL MFS Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Value Fund | $ | 1,000.00 | $ | 1,046.70 | $ | 5.13 | 1.01 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL MFS Value Fund | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 25.0 | % | |||
Industrials | 15.7 | ||||
Consumer Staples | 14.2 | ||||
Health Care | 14.1 | ||||
Consumer Discretionary | 11.8 | ||||
Energy | 6.5 | ||||
Information Technology | 6.5 | ||||
Telecommunication Services | 2.9 | ||||
Materials | 2.0 | ||||
Utilities | 0.3 | ||||
|
| ||||
Total Common and Convertible Preferred Stock | 99.0 | ||||
Money Market | 1.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.3 | ||||
|
| ||||
Total Investment Securities | 100.3 | ||||
Net other assets (liabilities) | (0.3 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL MFS Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (98.9%): |
| ||||||
| Aerospace & Defense (6.8%): |
| ||||||
105,519 | Honeywell International, Inc. | $ | 9,807,991 | |||||
72,482 | Lockheed Martin Corp. | 11,650,032 | ||||||
35,946 | Northrop Grumman Corp. | 4,300,220 | ||||||
91,343 | United Technologies Corp. | 10,545,549 | ||||||
|
| |||||||
36,303,792 | ||||||||
|
| |||||||
| Air Freight & Logistics (1.6%): |
| ||||||
82,688 | United Parcel Service, Inc., Class B | 8,488,750 | ||||||
|
| |||||||
| Auto Components (1.7%): |
| ||||||
53,880 | Delphi Automotive plc | 3,703,711 | ||||||
112,151 | Johnson Controls, Inc. | 5,599,700 | ||||||
|
| |||||||
9,303,411 | ||||||||
|
| |||||||
| Automobiles (0.2%): |
| ||||||
29,304 | General Motors Co. | 1,063,735 | ||||||
|
| |||||||
| Banks (10.0%): |
| ||||||
385,686 | JPMorgan Chase & Co. | 22,223,227 | ||||||
45,087 | PNC Financial Services Group, Inc. | 4,014,997 | ||||||
213,007 | U.S. Bancorp | 9,227,463 | ||||||
339,874 | Wells Fargo & Co. | 17,863,777 | ||||||
|
| |||||||
53,329,464 | ||||||||
|
| |||||||
| Beverages (2.1%): |
| ||||||
261,921 | Diageo plc | 8,336,767 | ||||||
48,120 | Dr Pepper Snapple Group, Inc. | 2,818,870 | ||||||
|
| |||||||
11,155,637 | ||||||||
|
| |||||||
| Capital Markets (6.4%): |
| ||||||
221,566 | Bank of New York Mellon Corp. (The) | 8,304,294 | ||||||
15,544 | BlackRock, Inc., Class A | 4,967,862 | ||||||
127,114 | Franklin Resources, Inc. | 7,352,274 | ||||||
56,327 | Goldman Sachs Group, Inc. (The) | 9,431,393 | ||||||
69,315 | State Street Corp. | 4,662,127 | ||||||
|
| |||||||
34,717,950 | ||||||||
|
| |||||||
| Chemicals (1.5%): |
| ||||||
36,053 | PPG Industries, Inc. | 7,576,538 | ||||||
6,731 | Valspar Corp. (The) | 512,835 | ||||||
|
| |||||||
8,089,373 | ||||||||
|
| |||||||
| Commercial Services & Supplies (1.0%): |
| ||||||
123,225 | Tyco International, Ltd. | 5,619,060 | ||||||
|
| |||||||
| Containers & Packaging (0.5%): |
| ||||||
55,704 | Crown Holdings, Inc.* | 2,771,831 | ||||||
|
| |||||||
| Diversified Financial Services (1.1%): |
| ||||||
26,885 | Citigroup, Inc. | 1,266,284 | ||||||
19,411 | Moody’s Corp. | 1,701,568 | ||||||
79,161 | NASDAQ OMX Group, Inc. (The) | 3,057,198 | ||||||
|
| |||||||
6,025,050 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (2.3%): |
| ||||||
87,824 | AT&T, Inc. | 3,105,457 | ||||||
199,443 | Verizon Communications, Inc. | 9,758,112 | ||||||
|
| |||||||
12,863,569 | ||||||||
|
| |||||||
| Electric Utilities (0.3%): |
| ||||||
24,387 | Duke Energy Corp. | 1,809,272 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electrical Equipment (0.9%): |
| ||||||
61,930 | Eaton Corp. plc | $ | 4,779,757 | |||||
|
| |||||||
| Food & Staples Retailing (1.8%): |
| ||||||
128,300 | CVS Caremark Corp. | 9,669,971 | ||||||
|
| |||||||
| Food Products (4.4%): |
| ||||||
60,307 | Danone SA | 4,475,539 | ||||||
154,958 | General Mills, Inc. | 8,141,493 | ||||||
24,615 | Kellogg Co. | 1,617,206 | ||||||
124,434 | Nestle SA, Registered Shares | 9,643,688 | ||||||
|
| |||||||
23,877,926 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (4.0%): |
| ||||||
152,935 | Abbott Laboratories | 6,255,042 | ||||||
51,441 | Covidien plc | 4,638,949 | ||||||
101,207 | Medtronic, Inc. | 6,452,958 | ||||||
58,985 | St. Jude Medical, Inc. | 4,084,711 | ||||||
|
| |||||||
21,431,660 | ||||||||
|
| |||||||
| Health Care Providers & Services (1.0%): |
| ||||||
70,178 | Express Scripts Holding Co.* | 4,865,441 | ||||||
11,278 | Quest Diagnostics, Inc. | 661,906 | ||||||
|
| |||||||
5,527,347 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.1%): |
| ||||||
57,120 | McDonald’s Corp. | 5,754,269 | ||||||
|
| |||||||
| Household Products (0.5%): |
| ||||||
33,755 | Procter & Gamble Co. (The) | 2,652,805 | ||||||
|
| |||||||
| Industrial Conglomerates (3.3%): |
| ||||||
76,783 | 3M Co. | 10,998,397 | ||||||
85,018 | Danaher Corp. | 6,693,467 | ||||||
|
| |||||||
17,691,864 | ||||||||
|
| |||||||
| Insurance (7.5%): |
| ||||||
55,010 | ACE, Ltd. | 5,704,537 | ||||||
58,757 | Aon plc | 5,293,418 | ||||||
42,142 | Chubb Corp. (The) | 3,884,228 | ||||||
197,308 | MetLife, Inc. | 10,962,432 | ||||||
63,436 | Prudential Financial, Inc. | 5,631,214 | ||||||
99,482 | Travelers Cos., Inc. (The) | 9,358,272 | ||||||
|
| |||||||
40,834,101 | ||||||||
|
| |||||||
| IT Services (5.0%): |
| ||||||
141,287 | Accenture plc, Class A | 11,421,641 | ||||||
39,545 | Fidelity National Information Services, Inc. | 2,164,693 | ||||||
49,587 | Fiserv, Inc.* | 2,991,088 | ||||||
52,489 | International Business Machines Corp. | 9,514,681 | ||||||
87,744 | Western Union Co.^ | 1,521,481 | ||||||
|
| |||||||
27,613,584 | ||||||||
|
| |||||||
| Leisure Products (0.8%): |
| ||||||
46,266 | Hasbro, Inc. | 2,454,411 | ||||||
41,379 | Mattel, Inc. | 1,612,540 | ||||||
|
| |||||||
4,066,951 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.9%): |
| ||||||
42,164 | Thermo Fisher Scientific, Inc. | 4,975,352 | ||||||
|
|
Continued
2
AZL MFS Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Machinery (1.3%): |
| ||||||
27,302 | Illinois Tool Works, Inc. | $ | 2,390,563 | |||||
19,960 | Pentair plc | 1,439,515 | ||||||
39,337 | Stanley Black & Decker, Inc. | 3,454,576 | ||||||
|
| |||||||
7,284,654 | ||||||||
|
| |||||||
| Media (5.3%): |
| ||||||
114,338 | Comcast Corp., Special Class A | 6,097,646 | ||||||
27,579 | McGraw-Hill Cos., Inc. (The) | 2,289,884 | ||||||
85,524 | Omnicom Group, Inc. | 6,091,019 | ||||||
48,517 | Time Warner, Inc. | 3,408,319 | ||||||
6,064 | Time, Inc.* | 146,870 | ||||||
51,401 | Viacom, Inc., Class B | 4,458,009 | ||||||
77,008 | Walt Disney Co. (The) | 6,602,666 | ||||||
|
| |||||||
29,094,413 | ||||||||
|
| |||||||
| Multiline Retail (1.5%): |
| ||||||
22,712 | Kohl’s Corp. | 1,196,468 | ||||||
121,599 | Target Corp. | 7,046,662 | ||||||
|
| |||||||
8,243,130 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (6.5%): |
| ||||||
27,728 | Apache Corp. | 2,789,991 | ||||||
74,092 | Chevron Corp. | 9,672,711 | ||||||
21,703 | EOG Resources, Inc. | 2,536,213 | ||||||
122,742 | Exxon Mobil Corp. | 12,357,664 | ||||||
74,371 | Occidental Petroleum Corp. | 7,632,696 | ||||||
|
| |||||||
34,989,275 | ||||||||
|
| |||||||
| Pharmaceuticals (8.2%): |
| ||||||
189,068 | Johnson & Johnson Co. | 19,780,294 | ||||||
96,062 | Merck & Co., Inc. | 5,557,187 | ||||||
19,232 | Novartis AG, Registered Shares | 1,742,469 | ||||||
529,341 | Pfizer, Inc. | 15,710,841 | ||||||
5,518 | Roche Holding AG | 1,646,951 | ||||||
4,560 | Zoetis, Inc. | 147,151 | ||||||
|
| |||||||
44,584,893 | ||||||||
|
| |||||||
| Road & Rail (0.7%): |
| ||||||
57,419 | Canadian National Railway Co. | 3,733,383 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.2%): |
| ||||||
17,078 | Texas Instruments, Inc. | 816,158 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software (1.3%): |
| ||||||
171,232 | Oracle Corp. | $ | 6,940,033 | |||||
|
| |||||||
| Specialty Retail (1.2%): | |||||||
24,151 | Advance Auto Parts, Inc. | 3,258,453 | ||||||
19,797 | Bed Bath & Beyond, Inc.* | 1,135,952 | ||||||
174,081 | Staples, Inc.^ | 1,887,038 | ||||||
|
| |||||||
6,281,443 | ||||||||
|
| |||||||
| Tobacco (5.4%): |
| ||||||
64,289 | Altria Group, Inc. | 2,696,281 | ||||||
25,822 | Imperial Tobacco Group plc | 1,161,031 | ||||||
100,473 | Lorillard, Inc. | 6,125,839 | ||||||
230,617 | Philip Morris International, Inc. | 19,443,320 | ||||||
|
| |||||||
29,426,471 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.6%): | |||||||
916,888 | Vodafone Group plc | 3,063,663 | ||||||
|
| |||||||
| Total Common Stocks | 534,873,997 | ||||||
|
| |||||||
| Convertible Preferred Stock (0.1%): |
| ||||||
| Aerospace & Defense (0.1%): |
| ||||||
7,000 | United Technologies Corp., 0.46%^ | 456,330 | ||||||
|
| |||||||
| Total Convertible Preferred Stock | 456,330 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.3%): |
| ||||||
$ | 1,817,603 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 1,817,603 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,817,603 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.0%): |
| ||||||
5,568,747 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 5,568,747 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 5,568,747 | ||||||
|
| |||||||
| Total Investment Securities | 542,716,677 | ||||||
| Net other assets (liabilities) — (0.3)% | (1,692,412 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 541,024,265 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,783,574. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Continued
3
AZL MFS Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Canada | 0.7 | % | ||
France | 0.8 | % | ||
Ireland (Republic of) | 4.1 | % | ||
Switzerland | 4.5 | % | ||
United Kingdom | 4.1 | % | ||
United States | 85.8 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
4
AZL MFS Value Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 391,184,322 | |||
|
| ||||
Investment securities, at value* | $ | 542,716,677 | |||
Cash | 11,520 | ||||
Interest and dividends receivable | 770,693 | ||||
Foreign currency, at value (cost $68) | 67 | ||||
Reclaims receivable | 83,620 | ||||
Prepaid expenses | 2,573 | ||||
|
| ||||
Total Assets | 543,585,150 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 269,918 | ||||
Payable for collateral received on loaned securities | 1,817,603 | ||||
Manager fees payable | 314,756 | ||||
Administration fees payable | 18,833 | ||||
Distribution fees payable | 111,576 | ||||
Custodian fees payable | 8,807 | ||||
Administrative and compliance services fees payable | 1,356 | ||||
Trustee fees payable | 2,871 | ||||
Other accrued liabilities | 15,165 | ||||
|
| ||||
Total Liabilities | 2,560,885 | ||||
|
| ||||
Net Assets | $ | 541,024,265 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 424,381,245 | |||
Accumulated net investment income/(loss) | 14,320,810 | ||||
Accumulated net realized gains/(losses) from investment transactions | (49,212,047 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 151,534,257 | ||||
|
| ||||
Net Assets | $ | 541,024,265 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 43,154,214 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.54 | |||
|
|
* | Includes securities on loan of $1,783,574. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 9,878,847 | |||
Interest | 50 | ||||
Income from securities lending | 14,271 | ||||
Foreign withholding tax | (111,973 | ) | |||
|
| ||||
Total Investment Income | 9,781,195 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,966,349 | ||||
Administration fees | 72,308 | ||||
Distribution fees | 666,290 | ||||
Custodian fees | 15,118 | ||||
Administrative and compliance services fees | 4,251 | ||||
Trustee fees | 13,382 | ||||
Professional fees | 12,991 | ||||
Shareholder reports | 14,299 | ||||
Other expenses | 5,149 | ||||
|
| ||||
Total expenses before reductions | 2,770,137 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (85,226 | ) | |||
|
| ||||
Net expenses | 2,684,911 | ||||
|
| ||||
Net Investment Income/(Loss) | 7,096,284 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 15,785,516 | ||||
Change in net unrealized appreciation/depreciation on investments | 1,169,482 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 16,954,998 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 24,051,282 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL MFS Value Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 7,096,284 | $ | 7,183,079 | ||||||
Net realized gains/(losses) on investment transactions | 15,785,516 | 17,240,418 | ||||||||
Change in unrealized appreciation/depreciation on investments | 1,169,482 | 122,989,459 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 24,051,282 | 147,412,956 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (7,468,004 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (7,468,004 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 6,940,969 | 41,951,702 | ||||||||
Proceeds from dividends reinvested | — | 7,468,004 | ||||||||
Value of shares redeemed | (39,667,701 | ) | (63,453,634 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (32,726,732 | ) | (14,033,928 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (8,675,450 | ) | 125,911,024 | |||||||
Net Assets: | ||||||||||
Beginning of period | 549,699,715 | 423,788,691 | ||||||||
|
|
|
| |||||||
End of period | $ | 541,024,265 | $ | 549,699,715 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 14,320,810 | $ | 7,224,526 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 586,470 | 3,999,588 | ||||||||
Dividends reinvested | — | 688,930 | ||||||||
Shares redeemed | (3,298,666 | ) | (6,034,797 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,712,196 | ) | (1,346,279 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL MFS Value Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.98 | $ | 8.98 | $ | 7.79 | $ | 8.24 | $ | 7.59 | $ | 6.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.17 | 0.16 | 0.15 | 0.13 | 0.07 | 0.10 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.39 | 3.00 | 1.15 | (0.50 | ) | 0.67 | 1.53 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.56 | 3.16 | 1.30 | (0.37 | ) | 0.74 | 1.63 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.11 | ) | (0.08 | ) | (0.09 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.16 | ) | (0.11 | ) | (0.08 | ) | (0.09 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 12.54 | $ | 11.98 | $ | 8.98 | $ | 7.79 | $ | 8.24 | $ | 7.59 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 4.67 | %(b) | 35.42 | % | 16.67 | % | (4.45 | )% | 9.83 | % | 26.53 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 541,024 | $ | 549,700 | $ | 423,789 | $ | 436,251 | $ | 484,333 | $ | 408,379 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 2.66 | % | 1.46 | % | 1.59 | % | 1.40 | % | 1.02 | % | 1.36 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.04 | % | 1.05 | % | 1.06 | % | 1.07 | % | 1.08 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.01 | % | 1.01 | % | 1.02 | % | 1.04 | % | 1.05 | % | 1.05 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c)(e) | 1.01 | % | 1.02 | % | 1.02 | % | 1.04 | % | 1.05 | % | 1.07 | % | ||||||||||||||||||
Portfolio Turnover Rate | 7 | %(b) | 17 | % | 95 | %(f) | 49 | % | 34 | % | 118 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(f) | Effective September 15, 2012, the Subadviser changed from Eaton Vance Management to Massachusetts Financial Services Company. Costs of purchases and proceeds from sales of portfolio securities associates with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2012 as compared to prior years. |
See accompanying notes to the financial statements.
7
AZL MFS Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Value Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL MFS Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1.5 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,413 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Massachusetts Financial Services Company (“MFS”), MFS provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MFS Value Fund | 0.78 | % | 1.20 | % |
* | The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.775%, the next $150 million at 0.75%, the next $250 million at 0.725% and above $500 million at 0.675%. The Manager voluntarily reduced the management fees as follows: the first $100 million at 0.75%, the next $400 million at 0.70% and above $500 million at 0.65%. The Manager reserves the right to stop reducing the manager fee at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02%
9
AZL MFS Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,157 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
10
AZL MFS Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Beverages | $ | 2,818,870 | $ | 8,336,767 | $ | 11,155,637 | |||||||||
Diversified Telecommunication Services | 10,607,894 | 2,255,675 | 12,863,569 | ||||||||||||
Food Products | 9,758,699 | 14,119,227 | 23,877,926 | ||||||||||||
Pharmaceuticals | 41,195,473 | 3,389,420 | 44,584,893 | ||||||||||||
Tobacco | 28,265,440 | 1,161,031 | 29,426,471 | ||||||||||||
Wireless Telecommunication Services | — | 3,063,663 | 3,063,663 | ||||||||||||
All Other Common Stocks+ | 409,901,838 | — | 409,901,838 | ||||||||||||
Convertible Preferred Stock+ | 456,330 | — | 456,330 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 1,817,603 | 1,817,603 | ||||||||||||
Unaffiliated Investment Company | 5,568,747 | — | 5,568,747 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 508,573,291 | $ | 34,143,386 | $ | 542,716,677 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MFS Value Fund | $ | 35,511,445 | $ | 60,264,255 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $394,093,982. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 154,264,215 | ||
Unrealized depreciation | (5,641,520 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 148,622,695 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
11
AZL MFS Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
CLCFs subject to expiration:
Expires 12/31/2017 | Expires 12/31/2018 | Total | |||||||||||||
AZL MFS Value Fund | $ | 56,512,198 | $ | 5,491,128 | $ | 62,003,326 |
During the year ended December 31, 2013, the Fund utilized $17,184,462 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL MFS Value Fund | $ | 7,468,004 | $ | — | $ | 7,468,004 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MFS Value Fund | $ | 7,231,024 | $ | — | $ | (62,003,326 | ) | $ | 147,364,040 | $ | 92,591,738 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Mid Cap Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 8 |
Page 8 |
Statements of Changes in Net Assets Page 9 |
Page 10 |
Notes to the Financial Statements Page 11 |
Page 16 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Mid Cap Index Fund
(Unaudited)
As a shareholder of the AZL Mid Cap Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Mid Cap Index Fund | $ | 1,000.00 | $ | 1,072.20 | $ | 2.93 | 0.57 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Mid Cap Index Fund | $ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 21.0 | % | |||
Industrials | 17.1 | ||||
Information Technology | 15.7 | ||||
Consumer Discretionary | 12.8 | ||||
Health Care | 9.3 | ||||
Materials | 7.3 | ||||
Energy | 5.1 | ||||
Utilities | 4.8 | ||||
Consumer Staples | 3.4 | ||||
Telecommunication Services | 0.5 | ||||
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| ||||
Total Common Stock | 97.0 | ||||
Securities Held as Collateral for Securities on Loan | 2.3 | ||||
Money Market | 1.9 | ||||
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| ||||
Total Investment Securities | 101.2 | ||||
Net other assets (liabilities) | (1.2 | ) | |||
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| ||||
Net Assets | 100.0 | % | |||
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1
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (97.0%): |
| ||||||
| Aerospace & Defense (1.7%): |
| ||||||
10,262 | Alliant Techsystems, Inc. | $ | 1,374,287 | |||||
31,856 | BE Aerospace, Inc.* | 2,946,362 | ||||||
10,298 | Esterline Technologies Corp.* | 1,185,506 | ||||||
61,068 | Exelis, Inc. | 1,036,935 | ||||||
15,816 | Huntington Ingalls Industries, Inc. | 1,496,035 | ||||||
16,787 | Triumph Group, Inc. | 1,172,068 | ||||||
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9,211,193 | ||||||||
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| |||||||
| Airlines (0.5%): |
| ||||||
22,129 | Alaska Air Group, Inc. | 2,103,361 | ||||||
73,642 | JetBlue Airways Corp.* | 799,016 | ||||||
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| |||||||
2,902,377 | ||||||||
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| |||||||
| Auto Components (0.3%): |
| ||||||
46,997 | Gentex Corp. | 1,367,143 | ||||||
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| Automobiles (0.2%): |
| ||||||
14,428 | Thor Industries, Inc. | 820,520 | ||||||
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| |||||||
| Banks (4.7%): |
| ||||||
51,328 | Associated Banc-Corp. | 928,010 | ||||||
27,237 | BancorpSouth, Inc. | 669,213 | ||||||
14,300 | Bank of Hawaii Corp. | 839,267 | ||||||
23,867 | Cathay General Bancorp | 610,041 | ||||||
15,403 | City National Corp. | 1,166,931 | ||||||
26,044 | Commerce Bancshares, Inc. | 1,211,046 | ||||||
17,069 | Cullen/Frost Bankers, Inc. | 1,355,620 | ||||||
46,180 | East West Bancorp, Inc. | 1,615,838 | ||||||
76,225 | First Horizon National Corp. | 904,029 | ||||||
114,027 | First Niagara Financial Group, Inc. | 996,596 | ||||||
53,269 | FirstMerit Corp. | 1,052,063 | ||||||
60,828 | Fulton Financial Corp. | 753,659 | ||||||
26,511 | Hancock Holding Co. | 936,369 | ||||||
18,323 | International Bancshares Corp. | 494,721 | ||||||
30,693 | PacWest Bancorp | 1,325,017 | ||||||
19,317 | Prosperity Bancshares, Inc. | 1,209,244 | ||||||
16,103 | Signature Bank* | 2,031,876 | ||||||
16,049 | SVB Financial Group* | 1,871,634 | ||||||
44,771 | Synovus Financial Corp. | 1,091,517 | ||||||
53,688 | TCF Financial Corp. | 878,873 | ||||||
21,743 | Trustmark Corp. | 536,835 | ||||||
55,213 | Umpqua Holdings Corp. | 989,417 | ||||||
64,614 | Valley National Bancorp | 640,325 | ||||||
29,099 | Webster Financial Corp. | 917,782 | ||||||
8,469 | Westamerica Bancorp | 442,759 | ||||||
|
| |||||||
25,468,682 | ||||||||
|
| |||||||
| Biotechnology (0.5%): |
| ||||||
24,252 | Cubist Pharmaceuticals, Inc.* | 1,693,275 | ||||||
14,206 | United Therapeutics Corp.* | 1,257,089 | ||||||
|
| |||||||
2,950,364 | ||||||||
|
| |||||||
| Building Products (0.9%): |
| ||||||
24,499 | A.O. Smith Corp. | 1,214,660 | ||||||
53,472 | Fortune Brands Home & Security, Inc. | 2,135,138 | ||||||
14,564 | Lennox International, Inc. | 1,304,497 | ||||||
|
| |||||||
4,654,295 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Capital Markets (1.5%): |
| ||||||
38,860 | Eaton Vance Corp. | $ | 1,468,519 | |||||
30,477 | Federated Investors, Inc., Class B | 942,349 | ||||||
48,333 | Janus Capital Group, Inc. | 603,196 | ||||||
39,978 | Raymond James Financial, Inc. | 2,028,084 | ||||||
45,749 | SEI Investments Co. | 1,499,195 | ||||||
27,448 | Waddell & Reed Financial, Inc., Class A | 1,717,970 | ||||||
|
| |||||||
8,259,313 | ||||||||
|
| |||||||
| Chemicals (3.1%): |
| ||||||
25,617 | Albemarle Corp. | 1,831,616 | ||||||
23,338 | Ashland, Inc. | 2,537,773 | ||||||
19,318 | Cabot Corp. | 1,120,251 | ||||||
11,550 | Cytec Industries, Inc. | 1,217,601 | ||||||
11,113 | Minerals Technologies, Inc. | 728,791 | ||||||
3,562 | NewMarket Corp. | 1,396,696 | ||||||
25,433 | Olin Corp. | 684,656 | ||||||
30,298 | PolyOne Corp. | 1,276,758 | ||||||
13,575 | Rayonier Advanced Materials, Inc.* | 526,044 | ||||||
42,910 | RPM International, Inc. | 1,981,584 | ||||||
14,006 | Scotts Miracle-Gro Co. (The) | 796,381 | ||||||
15,921 | Sensient Technologies Corp. | 887,118 | ||||||
24,999 | Valspar Corp. (The) | 1,904,674 | ||||||
|
| |||||||
16,889,943 | ||||||||
|
| |||||||
| Commercial Services & Supplies (2.0%): |
| ||||||
34,157 | Civeo Corp.* | 854,950 | ||||||
17,813 | Clean Harbors, Inc.* | 1,144,485 | ||||||
36,134 | Copart, Inc.* | 1,299,379 | ||||||
37,483 | Corrections Corp. of America | 1,231,317 | ||||||
16,112 | Deluxe Corp. | 943,841 | ||||||
19,096 | Herman Miller, Inc. | 577,463 | ||||||
14,539 | HNI Corp. | 568,620 | ||||||
10,233 | MSA Safety, Inc. | 588,193 | ||||||
64,301 | R.R. Donnelley & Sons Co. | 1,090,545 | ||||||
20,709 | Rollins, Inc. | 621,270 | ||||||
39,916 | Waste Connections, Inc. | 1,937,921 | ||||||
|
| |||||||
10,857,984 | ||||||||
|
| |||||||
| Communications Equipment (1.2%): |
| ||||||
18,161 | ADTRAN, Inc. | 409,712 | ||||||
38,406 | Arris Group, Inc.* | 1,249,346 | ||||||
33,845 | Ciena Corp.* | 733,083 | ||||||
13,041 | InterDigital, Inc. | 623,360 | ||||||
75,623 | JDS Uniphase Corp.* | 943,019 | ||||||
13,696 | Plantronics, Inc. | 658,093 | ||||||
44,535 | Polycom, Inc.* | 558,024 | ||||||
51,719 | Riverbed Technology, Inc.* | 1,066,963 | ||||||
|
| |||||||
6,241,600 | ||||||||
|
| |||||||
| Construction & Engineering (0.7%): |
| ||||||
31,974 | Aecom Technology Corp.* | 1,029,563 | ||||||
11,729 | Granite Construction, Inc. | 422,009 | ||||||
47,380 | KBR, Inc. | 1,130,013 | ||||||
22,222 | URS Corp. | 1,018,879 | ||||||
|
| |||||||
3,600,464 | ||||||||
|
|
Continued
2
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction Materials (0.6%): |
| ||||||
16,119 | Eagle Materials, Inc. | $ | 1,519,699 | |||||
14,891 | Martin Marietta Materials, Inc. | 1,966,357 | ||||||
|
| |||||||
3,486,056 | ||||||||
|
| |||||||
| Consumer Finance (0.2%): |
| ||||||
136,091 | SLM Corp. | 1,130,916 | ||||||
|
| |||||||
| Containers & Packaging (1.6%): |
| ||||||
21,082 | AptarGroup, Inc. | 1,412,705 | ||||||
9,837 | Greif, Inc., Class A | 536,707 | ||||||
31,660 | Packaging Corp. of America | 2,263,373 | ||||||
23,111 | Rock-Tenn Co., Class A | 2,440,290 | ||||||
14,133 | Silgan Holdings, Inc. | 718,239 | ||||||
32,845 | Sonoco Products Co. | 1,442,881 | ||||||
|
| |||||||
8,814,195 | ||||||||
|
| |||||||
| Distributors (0.5%): |
| ||||||
97,199 | LKQ Corp.* | 2,594,241 | ||||||
|
| |||||||
| Diversified Consumer Services (0.8%): |
| ||||||
31,949 | Apollo Group, Inc., Class A* | 998,406 | ||||||
18,414 | DeVry, Inc. | 779,649 | ||||||
68,777 | Service Corp. International | 1,425,060 | ||||||
22,191 | Sotheby’s | 931,800 | ||||||
|
| |||||||
4,134,915 | ||||||||
|
| |||||||
| Diversified Financial Services (0.6%): |
| ||||||
27,677 | CBOE Holdings, Inc. | 1,361,985 | ||||||
37,585 | MSCI, Inc., Class A* | 1,723,272 | ||||||
|
| |||||||
3,085,257 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.3%): |
| ||||||
44,398 | TW Telecom, Inc.* | 1,789,683 | ||||||
|
| |||||||
| Electric Utilities (1.7%): |
| ||||||
19,419 | Cleco Corp. | 1,144,750 | ||||||
49,520 | Great Plains Energy, Inc. | 1,330,602 | ||||||
32,699 | Hawaiian Electric Industries, Inc.^ | 827,939 | ||||||
16,208 | IDACORP, Inc. | 937,309 | ||||||
64,124 | OGE Energy Corp. | 2,505,965 | ||||||
25,670 | PNM Resources, Inc. | 752,901 | ||||||
41,514 | Westar Energy, Inc. | 1,585,420 | ||||||
|
| |||||||
9,084,886 | ||||||||
|
| |||||||
| Electrical Equipment (1.2%): |
| ||||||
13,915 | Acuity Brands, Inc. | 1,923,749 | ||||||
14,140 | Belden CDT, Inc. | 1,105,182 | ||||||
17,341 | Hubbell, Inc., Class B | 2,135,544 | ||||||
14,537 | Regal-Beloit Corp. | 1,142,027 | ||||||
|
| |||||||
6,306,502 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (2.5%): |
| ||||||
32,072 | Arrow Electronics, Inc.* | 1,937,470 | ||||||
44,569 | Avnet, Inc. | 1,974,852 | ||||||
13,612 | FEI Co. | 1,235,017 | ||||||
49,989 | Ingram Micro, Inc., Class A* | 1,460,179 | ||||||
12,678 | Itron, Inc.* | 514,093 | ||||||
27,398 | Knowles Corp.* | 842,215 | ||||||
31,696 | National Instruments Corp. | 1,026,633 | ||||||
12,322 | Tech Data Corp.* | 770,371 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electronic Equipment, Instruments & Components, continued |
| ||||||
83,997 | Trimble Navigation, Ltd.* | $ | 3,103,689 | |||||
43,720 | Vishay Intertechnology, Inc. | 677,223 | ||||||
|
| |||||||
13,541,742 | ||||||||
|
| |||||||
| Energy Equipment & Services (2.8%): |
| ||||||
18,640 | Atwood Oceanics, Inc.* | 978,227 | ||||||
6,402 | CARBO Ceramics, Inc. | 986,676 | ||||||
24,630 | Dresser-Rand Group, Inc.* | 1,569,670 | ||||||
13,103 | Dril-Quip, Inc.* | 1,431,372 | ||||||
31,579 | Helix Energy Solutions Group, Inc.* | 830,843 | ||||||
34,776 | Oceaneering International, Inc. | 2,717,049 | ||||||
17,078 | Oil States International, Inc.* | 1,094,529 | ||||||
46,537 | Patterson-UTI Energy, Inc. | 1,626,003 | ||||||
50,408 | Superior Energy Services, Inc. | 1,821,745 | ||||||
15,964 | Tidewater, Inc. | 896,379 | ||||||
14,215 | Unit Corp.* | 978,418 | ||||||
|
| |||||||
14,930,911 | ||||||||
|
| |||||||
| Food & Staples Retailing (0.3%): |
| ||||||
63,762 | Supervalu, Inc.* | 524,124 | ||||||
15,987 | United Natural Foods, Inc.* | 1,040,753 | ||||||
|
| |||||||
1,564,877 | ||||||||
|
| |||||||
| Food Products (2.0%): |
| ||||||
30,089 | Dean Foods Co. | 529,266 | ||||||
56,618 | Flowers Foods, Inc. | 1,193,507 | ||||||
16,141 | Hain Celestial Group, Inc.* | 1,432,352 | ||||||
39,505 | Hillshire Brands Co. | 2,461,162 | ||||||
24,019 | Ingredion, Inc. | 1,802,386 | ||||||
6,257 | Lancaster Colony Corp. | 595,416 | ||||||
14,165 | Post Holdings, Inc.* | 721,140 | ||||||
6,635 | Tootsie Roll Industries, Inc. | 195,334 | ||||||
55,996 | WhiteWave Foods Co., Class A* | 1,812,591 | ||||||
|
| |||||||
10,743,154 | ||||||||
|
| |||||||
| Gas Utilities (1.6%): |
| ||||||
32,265 | Atmos Energy Corp. | 1,722,951 | ||||||
27,053 | National Fuel Gas Co. | 2,118,249 | ||||||
16,753 | One Gas, Inc. | 632,426 | ||||||
56,237 | Questar Corp.+ | 1,394,678 | ||||||
37,061 | UGI Corp. | 1,871,580 | ||||||
16,727 | WGL Holdings, Inc. | 720,934 | ||||||
|
| |||||||
8,460,818 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (2.9%): |
| ||||||
23,141 | Align Technology, Inc.* | 1,296,822 | ||||||
15,437 | Cooper Cos., Inc. (The) | 2,092,177 | ||||||
18,419 | Hill-Rom Holdings, Inc. | 764,573 | ||||||
88,978 | Hologic, Inc.* | 2,255,592 | ||||||
16,515 | IDEXX Laboratories, Inc.* | 2,205,909 | ||||||
45,172 | ResMed, Inc.^ | 2,287,058 | ||||||
17,827 | Sirona Dental Systems, Inc.* | 1,470,014 | ||||||
19,036 | STERIS Corp. | 1,018,045 | ||||||
13,324 | Teleflex, Inc. | 1,407,014 | ||||||
18,336 | Thoratec Corp.* | 639,193 | ||||||
|
| |||||||
15,436,397 | ||||||||
|
|
Continued
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Providers & Services (3.2%): |
| ||||||
37,121 | Community Health Systems, Inc.* | $ | 1,684,180 | |||||
25,838 | Health Net, Inc.* | 1,073,311 | ||||||
27,485 | Henry Schein, Inc.* | 3,261,645 | ||||||
28,262 | HMS Holdings Corp.* | 576,827 | ||||||
14,331 | LifePoint Hospitals, Inc.* | 889,955 | ||||||
31,992 | MEDNAX, Inc. * | 1,860,335 | ||||||
31,876 | Omnicare, Inc. | 2,121,985 | ||||||
20,333 | Owens & Minor, Inc. | 690,915 | ||||||
28,945 | Universal Health Services, Inc., Class B | 2,771,773 | ||||||
28,448 | VCA Antech, Inc.* | 998,240 | ||||||
14,072 | WellCare Health Plans, Inc.* | 1,050,616 | ||||||
|
| |||||||
16,979,782 | ||||||||
|
| |||||||
| Health Care Technology (0.2%): |
| ||||||
51,475 | Allscripts Healthcare Solutions, Inc.* | 826,174 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.5%): |
| ||||||
12,655 | Bally Technologies, Inc.* | 831,687 | ||||||
20,908 | Brinker International, Inc. | 1,017,174 | ||||||
14,791 | Cheesecake Factory, Inc. (The) | 686,598 | ||||||
17,910 | Domino’s Pizza, Inc. | 1,309,042 | ||||||
79,570 | International Game Technology | 1,265,959 | ||||||
8,990 | International Speedway Corp., Class A | 299,187 | ||||||
12,104 | Life Time Fitness, Inc.* | 589,949 | ||||||
8,400 | Panera Bread Co., Class A* | 1,258,572 | ||||||
85,114 | Wendy’s Co. (The) | 726,022 | ||||||
|
| |||||||
7,984,190 | ||||||||
|
| |||||||
| Household Durables (1.7%): |
| ||||||
38,640 | Jarden Corp.* | 2,293,283 | ||||||
29,008 | KB Home^ | 541,869 | ||||||
12,602 | M.D.C. Holdings, Inc. | 381,715 | ||||||
1,309 | NVR, Inc.* | 1,506,135 | ||||||
19,585 | Tempur-Pedic International, Inc.* | 1,169,225 | ||||||
51,525 | Toll Brothers, Inc.* | 1,901,273 | ||||||
16,251 | Tupperware Brands Corp. | 1,360,209 | ||||||
|
| |||||||
9,153,709 | ||||||||
|
| |||||||
| Household Products (1.0%): |
| ||||||
43,749 | Church & Dwight Co., Inc. | 3,060,242 | ||||||
19,860 | Energizer Holdings, Inc. | 2,423,516 | ||||||
|
| |||||||
5,483,758 | ||||||||
|
| |||||||
| Industrial Conglomerates (0.3%): |
| ||||||
20,639 | Carlisle Cos., Inc. | 1,787,750 | ||||||
|
| |||||||
| Insurance (4.6%): |
| ||||||
5,300 | Alleghany Corp.* | 2,322,036 | ||||||
23,067 | American Financial Group, Inc. | 1,373,871 | ||||||
50,586 | Arthur J. Gallagher & Co. | 2,357,307 | ||||||
21,079 | Aspen Insurance Holdings, Ltd. | 957,408 | ||||||
38,267 | Brown & Brown, Inc. | 1,175,180 | ||||||
14,848 | Everest Re Group, Ltd. | 2,382,956 | ||||||
34,419 | First American Financial Corp. | 956,504 | ||||||
14,195 | Hanover Insurance Group, Inc. (The) | 896,414 | ||||||
32,175 | HCC Insurance Holdings, Inc. | 1,574,645 | ||||||
16,388 | Kemper Corp. | 604,062 | ||||||
9,257 | Mercury General Corp. | 435,449 | ||||||
78,046 | Old Republic International Corp. | 1,290,881 | ||||||
17,516 | Primerica, Inc. | 838,141 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Insurance, continued |
| ||||||
25,392 | Protective Life Corp. | $ | 1,760,427 | |||||
22,236 | Reinsurance Group of America, Inc. | 1,754,420 | ||||||
13,052 | RenaissanceRe Holdings, Ltd. | 1,396,564 | ||||||
14,092 | StanCorp Financial Group, Inc. | 901,888 | ||||||
33,287 | W.R. Berkley Corp. | 1,541,521 | ||||||
|
| |||||||
24,519,674 | ||||||||
|
| |||||||
| Internet & Catalog Retail (0.1%): |
| ||||||
10,807 | HSN, Inc. | 640,207 | ||||||
|
| |||||||
| Internet Software & Services (1.1%): |
| ||||||
25,754 | AOL, Inc.* | 1,024,752 | ||||||
20,273 | Conversant, Inc.*^ | 514,934 | ||||||
16,042 | Equinix, Inc.* | 3,370,264 | ||||||
37,523 | Rackspace Hosting, Inc.* | 1,263,024 | ||||||
|
| |||||||
6,172,974 | ||||||||
|
| |||||||
| IT Services (2.7%): |
| ||||||
24,810 | Acxiom Corp.* | 538,129 | ||||||
38,863 | Broadridge Financial Solutions, Inc. | 1,618,255 | ||||||
32,703 | Convergys Corp. | 701,152 | ||||||
29,591 | CoreLogic, Inc.* | 898,383 | ||||||
11,253 | DST Systems, Inc. | 1,037,189 | ||||||
29,043 | Gartner, Inc.* | 2,048,112 | ||||||
23,129 | Global Payments, Inc. | 1,684,948 | ||||||
27,217 | Jack Henry & Associates, Inc. | 1,617,506 | ||||||
20,484 | Leidos Holdings, Inc. | 785,357 | ||||||
17,152 | NeuStar, Inc., Class A*^ | 446,295 | ||||||
13,130 | Science Applications International Corp. | 579,821 | ||||||
35,985 | VeriFone Systems, Inc.* | 1,322,449 | ||||||
12,473 | Wex, Inc.* | 1,309,291 | ||||||
|
| |||||||
14,586,887 | ||||||||
|
| |||||||
| Leisure Products (0.7%): |
| ||||||
29,867 | Brunswick Corp. | 1,258,297 | ||||||
21,216 | Polaris Industries, Inc. | 2,763,172 | ||||||
|
| |||||||
4,021,469 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (1.2%): |
| ||||||
6,501 | Bio-Rad Laboratories, Inc., Class A* | 778,235 | ||||||
15,585 | Charles River Laboratories International, Inc.* | 834,109 | ||||||
18,491 | Covance, Inc.* | 1,582,460 | ||||||
9,406 | Mettler-Toledo International, Inc.* | 2,381,411 | ||||||
10,727 | Techne Corp. | 992,998 | ||||||
|
| |||||||
6,569,213 | ||||||||
|
| |||||||
| Machinery (5.4%): |
| ||||||
28,133 | AGCO Corp. | 1,581,637 | ||||||
16,243 | CLARCOR, Inc. | 1,004,630 | ||||||
15,921 | Crane Co. | 1,183,886 | ||||||
42,335 | Donaldson Co., Inc. | 1,791,617 | ||||||
19,512 | Graco, Inc. | 1,523,497 | ||||||
26,021 | Harsco Corp. | 692,939 | ||||||
25,951 | IDEX Corp. | 2,095,284 | ||||||
29,536 | ITT Corp. | 1,420,682 | ||||||
25,307 | Kennametal, Inc. | 1,171,208 | ||||||
25,888 | Lincoln Electric Holdings, Inc. | 1,809,053 | ||||||
19,263 | Nordson Corp. | 1,544,700 |
Continued
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Machinery, continued |
| ||||||
27,357 | Oshkosh Corp. | $ | 1,519,134 | |||||
14,104 | SPX Corp. | 1,526,194 | ||||||
35,505 | Terex Corp. | 1,459,256 | ||||||
24,673 | Timken Co. | 1,673,816 | ||||||
49,794 | Trinity Industries, Inc. | 2,176,994 | ||||||
8,659 | Valmont Industries, Inc.^ | 1,315,735 | ||||||
31,056 | Wabtec Corp. | 2,564,914 | ||||||
18,995 | Woodward, Inc. | 953,169 | ||||||
|
| |||||||
29,008,345 | ||||||||
|
| |||||||
| Marine (0.5%): |
| ||||||
13,823 | Alexander & Baldwin, Inc. | 572,963 | ||||||
18,350 | Kirby Corp.* | 2,149,519 | ||||||
|
| |||||||
2,722,482 | ||||||||
|
| |||||||
| Media (1.5%): |
| ||||||
19,025 | AMC Networks, Inc., Class A* | 1,169,847 | ||||||
33,541 | Cinemark Holdings, Inc. | 1,186,009 | ||||||
23,191 | DreamWorks Animation SKG, Inc., Class A* | 539,423 | ||||||
15,088 | John Wiley & Sons, Inc., Class A | 914,182 | ||||||
21,148 | Lamar Advertising Co. | 1,120,844 | ||||||
45,810 | Live Nation, Inc.* | 1,131,049 | ||||||
11,908 | Meredith Corp. | 575,871 | ||||||
40,685 | New York Times Co. (The), Class A | 618,819 | ||||||
35,955 | Time, Inc.* | 870,830 | ||||||
|
| |||||||
8,126,874 | ||||||||
|
| |||||||
| Metals & Mining (1.7%): |
| ||||||
17,103 | Carpenter Technology Corp. | 1,081,765 | ||||||
49,367 | Cliffs Natural Resources, Inc.^ | 742,973 | ||||||
37,947 | Commercial Metals Co. | 656,863 | ||||||
10,803 | Compass Minerals International, Inc. | 1,034,279 | ||||||
25,027 | Reliance Steel & Aluminum Co. | 1,844,740 | ||||||
20,911 | Royal Gold, Inc. | 1,591,745 | ||||||
71,950 | Steel Dynamics, Inc. | 1,291,503 | ||||||
16,754 | Worthington Industries, Inc. | 721,092 | ||||||
|
| |||||||
8,964,960 | ||||||||
|
| |||||||
| Multiline Retail (0.3%): |
| ||||||
17,857 | Big Lots, Inc.* | 816,065 | ||||||
94,930 | J.C. Penney Co., Inc.*^ | 859,116 | ||||||
|
| |||||||
1,675,181 | ||||||||
|
| |||||||
| Multi-Utilities (1.2%): |
| ||||||
35,724 | Alliant Energy Corp. | 2,174,163 | ||||||
14,380 | Black Hills Corp. | 882,788 | ||||||
61,701 | MDU Resources Group, Inc. | 2,165,705 | ||||||
26,566 | Vectren Corp. | 1,129,055 | ||||||
|
| |||||||
6,351,711 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (2.3%): |
| ||||||
16,028 | Bill Barrett Corp.* | 429,230 | ||||||
23,437 | Energen Corp. | 2,083,081 | ||||||
27,511 | Gulfport Energy Corp.* | 1,727,691 | ||||||
63,971 | HollyFrontier Corp. | 2,794,892 | ||||||
19,792 | Rosetta Resources, Inc.* | 1,085,591 | ||||||
21,596 | SM Energy Co. | 1,816,224 | ||||||
23,187 | World Fuel Services Corp. | 1,141,496 | ||||||
65,108 | WPX Energy, Inc.* | 1,556,732 | ||||||
|
| |||||||
12,634,937 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Paper & Forest Products (0.3%): |
| ||||||
20,933 | Domtar Corp. | $ | 896,979 | |||||
45,485 | Louisiana-Pacific Corp.* | 683,185 | ||||||
|
| |||||||
1,580,164 | ||||||||
|
| |||||||
| Pharmaceuticals (1.3%): |
| ||||||
45,104 | Endo International plc* | 3,158,182 | ||||||
16,649 | Mallinckrodt plc* | 1,332,253 | ||||||
2,185 | Mallinckrodt plc* | 174,844 | ||||||
20,418 | Salix Pharmaceuticals, Ltd.* | 2,518,560 | ||||||
|
| |||||||
7,183,839 | ||||||||
|
| |||||||
| Professional Services (1.0%): |
| ||||||
10,892 | Corporate Executive Board Co. (The) | 743,052 | ||||||
13,173 | FTI Consulting, Inc.* | 498,203 | ||||||
25,640 | Manpower, Inc. | 2,175,554 | ||||||
20,592 | Towers Watson & Co., Class A | 2,146,304 | ||||||
|
| |||||||
5,563,113 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (8.5%): |
| ||||||
23,074 | Alexandria Real Estate Equities, Inc. | 1,791,465 | ||||||
33,791 | American Campus Communities, Inc. | 1,292,168 | ||||||
62,005 | BioMed Realty Trust, Inc. | 1,353,569 | ||||||
27,555 | Camden Property Trust | 1,960,538 | ||||||
28,230 | Corporate Office Properties Trust | 785,076 | ||||||
106,108 | Duke Realty Corp. | 1,926,921 | ||||||
20,419 | Equity One, Inc. | 481,684 | ||||||
35,471 | Extra Space Storage, Inc. | 1,888,831 | ||||||
21,661 | Federal Realty Investment Trust | 2,619,248 | ||||||
29,030 | Highwoods Properties, Inc. | 1,217,809 | ||||||
18,404 | Home Properties, Inc. | 1,177,120 | ||||||
48,200 | Hospitality Properties Trust | 1,465,280 | ||||||
26,479 | Kilroy Realty Corp. | 1,649,112 | ||||||
33,747 | LaSalle Hotel Properties | 1,190,932 | ||||||
47,565 | Liberty Property Trust | 1,804,140 | ||||||
28,577 | Mack-Cali Realty Corp. | 613,834 | ||||||
24,157 | Mid-America Apartment Communities, Inc. | 1,764,669 | ||||||
39,677 | National Retail Properties, Inc. | 1,475,588 | ||||||
40,595 | OMEGA Healthcare Investors, Inc.^ | 1,496,332 | ||||||
13,087 | Potlatch Corp. | 541,802 | ||||||
40,726 | Rayonier, Inc. | 1,447,809 | ||||||
71,300 | Realty Income Corp.^ | 3,167,146 | ||||||
29,739 | Regency Centers Corp. | 1,655,868 | ||||||
65,577 | Senior Housing Properties Trust | 1,592,865 | ||||||
30,526 | SL Green Realty Corp. | 3,339,851 | ||||||
20,364 | Taubman Centers, Inc. | 1,543,795 | ||||||
80,964 | UDR, Inc. | 2,317,999 | ||||||
50,000 | Washington Prime Group, Inc.* | 937,000 | ||||||
36,204 | Weingarten Realty Investors | 1,188,939 | ||||||
|
| |||||||
45,687,390 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.3%): |
| ||||||
14,352 | Jones Lang LaSalle, Inc. | 1,813,949 | ||||||
|
| |||||||
| Road & Rail (1.4%): |
| ||||||
18,383 | Con-way, Inc. | 926,687 | ||||||
16,427 | Genesee & Wyoming, Inc., Class A* | 1,724,835 | ||||||
29,452 | J.B. Hunt Transport Services, Inc. | 2,172,969 | ||||||
14,470 | Landstar System, Inc. | 926,080 |
Continued
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Road & Rail, continued |
| ||||||
22,479 | Old Dominion Freight Line, Inc.* | $ | 1,431,463 | |||||
14,644 | Werner Enterprises, Inc. | 388,212 | ||||||
|
| |||||||
7,570,246 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.8%): |
| ||||||
208,689 | Advanced Micro Devices, Inc.*^ | 874,407 | ||||||
135,504 | Atmel Corp.* | 1,269,672 | ||||||
39,268 | Cree, Inc.* | 1,961,437 | ||||||
46,784 | Cypress Semiconductor Corp.^ | 510,413 | ||||||
40,265 | Fairchild Semiconductor International, Inc.* | 628,134 | ||||||
43,732 | Integrated Device Technology, Inc.* | 676,097 | ||||||
22,971 | International Rectifier Corp.* | 640,891 | ||||||
41,506 | Intersil Corp., Class A | 620,515 | ||||||
92,193 | RF Micro Devices, Inc.* | 884,131 | ||||||
21,657 | Semtech Corp.* | 566,331 | ||||||
12,885 | Silicon Laboratories, Inc.* | 634,586 | ||||||
61,046 | Skyworks Solutions, Inc. | 2,866,720 | ||||||
79,257 | SunEdison, Inc.* | 1,791,208 | ||||||
62,573 | Teradyne, Inc. | 1,226,431 | ||||||
|
| |||||||
15,150,973 | ||||||||
|
| |||||||
| Software (4.1%): |
| ||||||
12,208 | ACI Worldwide, Inc.* | 681,573 | ||||||
13,114 | Advent Software, Inc. | 427,123 | ||||||
29,839 | Ansys, Inc.* | 2,262,393 | ||||||
93,241 | Cadence Design Systems, Inc.* | 1,630,785 | ||||||
14,278 | CommVault Systems, Inc.* | 702,049 | ||||||
70,797 | Compuware Corp. | 707,262 | ||||||
15,389 | Concur Technologies, Inc.* | 1,436,409 | ||||||
12,675 | FactSet Research Systems, Inc.^ | 1,524,549 | ||||||
11,032 | Fair Isaac Corp. | 703,400 | ||||||
44,127 | Fortinet, Inc.* | 1,108,912 | ||||||
35,364 | Informatica Corp.* | 1,260,727 | ||||||
31,169 | Mentor Graphics Corp. | 672,315 | ||||||
24,084 | Micros Systems, Inc.* | 1,635,304 | ||||||
38,205 | PTC, Inc.* | 1,482,354 | ||||||
30,493 | Rovi Corp.* | 730,612 | ||||||
21,134 | Solarwinds, Inc.* | 817,040 | ||||||
22,146 | Solera Holdings, Inc. | 1,487,104 | ||||||
49,829 | Synopsys, Inc.* | 1,934,362 | ||||||
49,279 | TIBCO Software, Inc.* | 993,957 | ||||||
|
| |||||||
22,198,230 | ||||||||
|
| |||||||
| Specialty Retail (3.9%): |
| ||||||
23,275 | Aaron’s, Inc. | 829,521 | ||||||
23,451 | Abercrombie & Fitch Co., Class A | 1,014,256 | ||||||
23,490 | Advance Auto Parts, Inc. | 3,169,271 | ||||||
55,142 | American Eagle Outfitters, Inc. | 618,693 | ||||||
15,094 | Ann, Inc.* | 620,967 | ||||||
41,679 | Ascena Retail Group, Inc.* | 712,711 | ||||||
15,102 | Cabela’s, Inc., Class A* | 942,365 | ||||||
49,328 | Chico’s FAS, Inc. | 836,603 | ||||||
24,366 | CST Brands, Inc. | 840,627 | ||||||
31,977 | Dick’s Sporting Goods, Inc. | 1,488,849 | ||||||
46,938 | Foot Locker, Inc. | 2,380,695 | ||||||
19,240 | Guess?, Inc. | 519,480 |
Shares or Principal | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Specialty Retail, continued |
| ||||||
14,315 | Murphy USA, Inc.* | $ | 699,860 | |||||
156,788 | Office Depot, Inc.* | 892,124 | ||||||
17,024 | Rent-A-Center, Inc. | 488,248 | ||||||
25,824 | Signet Jewelers, Ltd. | 2,855,876 | ||||||
28,192 | Williams-Sonoma, Inc. | 2,023,622 | ||||||
|
| |||||||
20,933,768 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (1.3%): |
| ||||||
32,921 | 3D Systems Corp.*^ | 1,968,676 | ||||||
20,814 | Diebold, Inc. | 836,098 | ||||||
20,061 | Lexmark International, Inc., Class A | 966,138 | ||||||
54,071 | NCR Corp.* | 1,897,351 | ||||||
16,262 | Zebra Technologies Corp., Class A* | 1,338,688 | ||||||
|
| |||||||
7,006,951 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.3%): |
| ||||||
17,295 | Carter’s, Inc. | 1,192,144 | ||||||
11,156 | Deckers Outdoor Corp.* | 963,097 | ||||||
32,063 | Hanesbrands, Inc. | 3,156,283 | ||||||
40,757 | Kate Spade & Co.* | 1,554,472 | ||||||
|
| |||||||
6,865,996 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.6%): |
| ||||||
27,264 | Astoria Financial Corp. | 366,701 | ||||||
142,540 | New York Community Bancorp, Inc. | 2,277,789 | ||||||
32,618 | Washington Federal, Inc. | 731,622 | ||||||
|
| |||||||
3,376,112 | ||||||||
|
| |||||||
| Tobacco (0.1%): |
| ||||||
7,230 | Universal Corp. | 400,181 | ||||||
|
| |||||||
| Trading Companies & Distributors (1.5%): |
| ||||||
14,833 | GATX Corp. | 992,921 | ||||||
15,255 | MSC Industrial Direct Co., Inc., Class A | 1,458,988 | ||||||
34,560 | NOW, Inc.* | 1,251,418 | ||||||
31,311 | United Rentals, Inc.* | 3,279,201 | ||||||
8,788 | Watsco, Inc. | 903,055 | ||||||
|
| |||||||
7,885,583 | ||||||||
|
| |||||||
| Water Utilities (0.3%): |
| ||||||
57,028 | Aqua America, Inc. | 1,495,274 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.2%): |
| ||||||
31,888 | Telephone & Data Systems, Inc. | 832,596 | ||||||
|
| |||||||
| Total Common Stocks (Cost $369,335,585) | 522,083,070 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (2.3%): |
| ||||||
$ | 12,125,769 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 12,125,769 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 12,125,769 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.9%): |
| ||||||
10,329,982 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 10,329,982 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $10,329,982) | 10,329,982 | ||||||
|
| |||||||
| Total Investment Securities (Cost $391,791,336)(c) — 101.2% | 544,538,821 | ||||||
| Net other assets (liabilities) — (1.2)% | (6,563,546 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 537,975,275 | |||||
|
|
Continued
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $11,829,548. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $607,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
S&P 400 Index E-Mini September Futures | Long | 9/19/14 | 113 | $ | 16,151,090 | $ | 197,005 |
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited) |
Assets: | |||||
Investments in non-affiliates, at cost | $ | 390,733,162 | |||
Investments in affiliates, at cost | 1,058,174 | ||||
|
| ||||
Total Investment securities, at cost | $ | 391,791,336 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 543,144,143 | |||
Investments in affiliates, at value | 1,394,678 | ||||
|
| ||||
Total Investment securities, at value | 544,538,821 | ||||
Cash | 3,883 | ||||
Segregated cash for collateral | 607,000 | ||||
Interest and dividends receivable | 446,736 | ||||
Receivable for investments sold | 7,303,946 | ||||
Receivable for variation margin on futures contracts | 52,781 | ||||
Prepaid expenses | 2,206 | ||||
|
| ||||
Total Assets | 552,955,373 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 2,296,234 | ||||
Payable for capital shares redeemed | 222,462 | ||||
Payable for collateral received on loaned securities | 12,125,769 | ||||
Manager fees payable | 108,866 | ||||
Administration fees payable | 16,783 | ||||
Distribution fees payable | 108,865 | ||||
Custodian fees payable | 6,981 | ||||
Administrative and compliance services fees payable | 1,376 | ||||
Trustee fees payable | 3,091 | ||||
Other accrued liabilities | 89,671 | ||||
|
| ||||
Total Liabilities | 14,980,098 | ||||
|
| ||||
Net Assets | $ | 537,975,275 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 347,092,615 | |||
Accumulated net investment income/(loss) | 5,761,588 | ||||
Accumulated net realized gains/(losses) from investment transactions | 32,176,582 | ||||
Net unrealized appreciation/(depreciation) on investments | 152,944,490 | ||||
|
| ||||
Net Assets | $ | 537,975,275 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 22,369,182 | ||||
Net Asset Value (offering and redemption price per share) | $ | 24.05 | |||
|
|
* | Includes securities on loan of $11,829,548. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,586,063 | |||
Dividends from affiliates | 19,073 | ||||
Income from securities lending | 121,799 | ||||
|
| ||||
Total Investment Income | 3,726,935 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 630,331 | ||||
Administration fees | 70,494 | ||||
Distribution fees | 630,331 | ||||
Custodian fees | 11,220 | ||||
Administrative and compliance services fees | 4,265 | ||||
Trustee fees | 13,282 | ||||
Professional fees | 12,744 | ||||
Shareholder reports | 8,105 | ||||
Other expenses | 58,113 | ||||
|
| ||||
Total expenses | 1,438,885 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,288,050 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 13,504,627 | ||||
Net realized gains/(losses) on futures contracts | 1,538,659 | ||||
Change in net unrealized appreciation/depreciation on investments | 19,023,312 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 34,066,598 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 36,354,648 | |||
|
|
See accompanying notes to the financial statements.
8
Statements of Changes in Net Assets
AZL Mid Cap Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,288,050 | $ | 3,489,829 | ||||||
Net realized gains/(losses) on investment transactions | 15,043,286 | 18,046,913 | ||||||||
Change in unrealized appreciation/depreciation on investments | 19,023,312 | 89,611,391 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 36,354,648 | 111,148,133 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (2,749,544 | ) | |||||||
From net realized gains | — | (6,424,726 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (9,174,270 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 29,625,621 | 95,250,096 | ||||||||
Proceeds from dividends reinvested | — | 9,174,270 | ||||||||
Value of shares redeemed | (20,998,643 | ) | (25,383,256 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 8,626,978 | 79,041,110 | ||||||||
|
|
|
| |||||||
Change in net assets | 44,981,626 | 181,014,973 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 492,993,649 | 311,978,676 | ||||||||
End of period | $ | 537,975,275 | $ | 492,993,649 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 5,761,588 | $ | 3,473,538 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 1,312,828 | 4,734,634 | ||||||||
Dividends reinvested | — | 448,839 | ||||||||
Shares redeemed | (919,787 | ) | (1,276,597 | ) | ||||||
|
|
|
| |||||||
Change in shares | 393,041 | 3,906,876 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
9
AZL Mid Cap Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months June 30, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | May 1, 2009 December 31, | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 22.43 | $ | 17.27 | $ | 15.10 | $ | 16.17 | $ | 13.09 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.10 | 0.14 | 0.14 | 0.07 | 0.05 | 0.06 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.52 | 5.47 | 2.45 | (0.47 | ) | 3.16 | 3.03 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.62 | 5.61 | 2.59 | (0.40 | ) | 3.21 | 3.09 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.07 | ) | (0.06 | ) | (0.04 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.31 | ) | (0.35 | ) | (0.61 | ) | (0.09 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.45 | ) | (0.42 | ) | (0.67 | ) | (0.13 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 24.05 | $ | 22.43 | $ | 17.27 | $ | 15.10 | $ | 16.17 | $ | 13.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 7.22 | %(c) | 32.71 | % | 17.22 | % | (2.32 | )% | 24.67 | % | 30.90 | %(c) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 537,975 | $ | 492,994 | $ | 311,979 | $ | 209,586 | $ | 154,995 | $ | 65,210 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.91 | % | 0.86 | % | 1.04 | % | 0.66 | % | 0.71 | % | 1.12 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.57 | % | 0.58 | % | 0.60 | % | 0.63 | % | 0.61 | % | 0.66 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.57 | % | 0.58 | % | 0.60 | % | 0.61 | % | 0.60 | % | 0.60 | % | ||||||||||||||||||
Portfolio Turnover Rate | 8 | %(c) | 12 | % | 9 | % | 15 | % | 34 | % | 27 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
10
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Mid Cap Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
11
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $11.4 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $12,116 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $16.2 million as of June 30, 2014. The monthly average notional amount for these contracts was $17.9 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 197,005 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments | $ | 1,538,659 | $ | (259,428 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Mid Cap Index Fund | 0.25 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,932 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 522,083,070 | $ | — | $ | 522,083,070 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 12,125,769 | 12,125,769 | ||||||||||||
Unaffiliated Investment Company | 10,329,982 | — | 10,329,982 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 532,413,052 | $ | 12,125,769 | $ | 544,538,821 | |||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 197,005 | — | 197,005 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 532,610,057 | $ | 12,125,769 | $ | 544,735,826 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Mid Cap Index Fund | $ | 49,674,083 | $ | 38,267,646 |
14
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $392,623,735. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 157,983,343 | ||
Unrealized depreciation | (6,068,257 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 151,915,086 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Mid Cap Index Fund | $ | 4,058,929 | $ | 5,115,341 | $ | 9,174,270 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Mid Cap Index Fund | $ | 6,675,896 | $ | 15,432,826 | $ | — | $ | 132,419,290 | $ | 154,528,012 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
15
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
16
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Money Market Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 11 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Money Market Fund
(Unaudited)
As a shareholder of the AZL Money Market Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.99 | 0.20 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Money Market Fund | $ | 1,000.00 | $ | 1,023.80 | $ | 1.00 | 0.20 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Certificates of Deposit | 44.6 | % | |||
Commercial Paper | 40.2 | ||||
Municipal Bond | 9.6 | ||||
Treasury Obligations | 3.4 | ||||
Corporate Bond | 1.1 | ||||
Yankee Dollar | 1.1 | ||||
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| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | ^ | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
1
AZL Money Market Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Certificates of Deposit (44.6%): |
| ||||||
| Banks (42.3%) |
| ||||||
$ | 11,000,000 | Bank of Montreal Chicago, 0.22%, 9/5/14(a) | $ | 11,000,000 | ||||
7,000,000 | Bank of Montreal Chicago, 0.23%, 4/9/15(a) | 7,000,000 | ||||||
8,500,000 | Bank of Nova Scotia, 0.22%, 12/1/14(a) | 8,500,000 | ||||||
8,000,000 | Bank of Nova Scotia, 0.23%, 6/24/15(a) | 8,000,000 | ||||||
5,000,000 | Bank of Nova Scotia, 0.38%, 10/6/14(a) | 5,001,714 | ||||||
16,000,000 | Bank of Tokyo-Mitsubishi UFJ, NY, 0.24%, 11/13/14 | 16,000,000 | ||||||
7,000,000 | Bank of Tokyo-Mitsubishi UFJ, NY, 0.25%, 8/19/14 | 7,000,000 | ||||||
5,000,000 | Bank of Tokyo-Mitsubishi UFJ, NY, 0.25%, 8/27/14 | 4,999,960 | ||||||
7,000,000 | BNP Paribas, NY, 0.30%, 8/4/14 | 7,000,000 | ||||||
6,750,000 | Canadian Imperial Bank of Commerce, 0.31%, 8/1/14, Callable 9/2/14 @ 100.00(a) | 6,750,000 | ||||||
8,000,000 | Canadian Imperial Bank of Commerce, 0.21%, 8/8/14(a) | 8,000,000 | ||||||
5,000,000 | Canadian Imperial Bank of Commerce, 0.22%, 6/17/15(a) | 5,000,000 | ||||||
14,000,000 | Citibank NA, 0.23%, 11/7/14 | 14,000,000 | ||||||
10,000,000 | Credit Agricole CIB, NY, 0.25%, 9/4/14 | 10,000,000 | ||||||
6,000,000 | Deutsche Bank, NY, Series yCd1, 0.32%, 8/22/14(a) | 6,000,000 | ||||||
8,000,000 | HSBC Bank plc, 0.23%, 10/30/14(a)(b) | 8,000,000 | ||||||
12,000,000 | National Australia Bank, NY, 0.22%, 8/8/14(a) | 12,000,146 | ||||||
10,000,000 | National Australia Bank, NY, 0.23%, 8/14/14(a) | 10,000,000 | ||||||
5,000,000 | National Bank of Canada, NY, 0.22%, 12/20/14(a) | 5,000,000 | ||||||
8,000,000 | National Bank of Canada, NY, 0.26%, 12/24/14(a) | 8,000,000 | ||||||
10,000,000 | Natixis, NY, 0.27%, 9/8/14(a) | 9,999,812 | ||||||
15,500,000 | Norinchukin Bank, NY, 0.10%, 7/2/14 | 15,500,000 | ||||||
7,000,000 | Rabobank Nederland NV, NY, 0.35%, 1/12/15 | 7,000,000 | ||||||
14,000,000 | Rabobank Nederland NV, NY, 0.27%, 9/16/14(a) | 14,000,000 | ||||||
8,000,000 | Rabobank Nederland NV, NY, 0.27%, 5/6/15(a) | 8,000,000 | ||||||
5,000,000 | Royal Bank of Canada, NY, 0.27%, 12/5/14(a) | 5,000,000 | ||||||
5,500,000 | Royal Bank of Canada, NY, 0.29%, 10/10/14(a) | 5,500,000 | ||||||
8,000,000 | Skandinav Enskilda Bank, NY, 0.25%, 10/20/14 | 8,000,000 | ||||||
5,000,000 | Societe Generale, NY, 0.33%, 9/19/14, Callable 9/14/14 @ 100.00(a) | 5,000,000 | ||||||
13,000,000 | Sumitomo Mitsui Bank, NY, 0.25%, 10/2/14 | 13,000,000 | ||||||
4,500,000 | Sumitomo Mitsui Bank, NY, 0.25%, 12/3/14 | 4,500,000 | ||||||
6,100,000 | Svenska Handelsbanken AB, 0.28%, 8/15/14(a) | 6,100,000 | ||||||
5,000,000 | Toronto Dominion Bank, NY, 0.24%, 9/4/14 | 5,000,000 | ||||||
9,000,000 | Toronto Dominion Bank, NY, 0.25%, 8/12/14 | 9,000,000 | ||||||
5,000,000 | Toronto Dominion Bank, NY, 0.22%, 7/24/14(a) | 5,000,000 | ||||||
11,000,000 | Westpac Banking Corp., NY, 0.22%, 10/8/14(a) | 11,000,000 | ||||||
8,000,000 | Westpac Banking Corp., NY, 0.26%, 7/18/14(a) | 8,000,000 | ||||||
|
| |||||||
306,851,632 | ||||||||
|
| |||||||
| Diversified Financial Services (2.3%) |
| ||||||
1,000,000 | Credit Industriel Et Commercial, NY, 0.32%, 11/17/14 | 1,000,000 | ||||||
2,000,000 | Credit Industriel Et Commercial, NY, 0.32%, 11/3/14 | 2,000,000 |
Principal Amount | Fair Value | |||||||
| Certificates of Deposit, continued |
| ||||||
| Diversified Financial Services, continued |
| ||||||
$ | 4,000,000 | Credit Industriel Et Commercial, NY, 0.32%, 10/14/14 | $ | 4,000,000 | ||||
10,000,000 | Credit Suisse, NY, 0.30%, 11/14/14 | 10,000,000 | ||||||
|
| |||||||
17,000,000 | ||||||||
|
| |||||||
| Total Certificates of Deposit (Cost $323,851,632) | 323,851,632 | ||||||
|
| |||||||
| Commercial Paper (40.2%): |
| ||||||
| Banks (8.8%) |
| ||||||
10,000,000 | Commonwealth Bank of Australia, 0.24%, 5/18/15(a)(b) | 10,000,000 | ||||||
7,000,000 | Commonwealth Bank of Australia, 0.23%, 5/15/15(a)(b) | 7,000,000 | ||||||
10,000,000 | HSBC Bank plc, 0.24%, 10/22/14(a)(b) | 10,000,000 | ||||||
12,000,000 | ING (US) Funding LLC, 0.25%, 9/2/14(c) | 11,994,750 | ||||||
1,000,000 | Nederlandse Waterschapsbank NV, 0.27%, 7/28/14(a)(b) | 1,000,015 | ||||||
1,000,000 | Nederlandse Waterschapsbank NV, 0.26%, 7/30/14(a)(b) | 1,000,016 | ||||||
10,000,000 | Skandinaviska Enskilda Banken AB, 0.25%, 9/26/14(b)(c) | 9,993,958 | ||||||
3,000,000 | Sumitomo Mitsui Bank, NY, 0.07%, 7/7/14(b)(c) | 2,999,965 | ||||||
10,000,000 | Westpac Banking Corp., NY, 0.24%, 4/17/15(a)(b) | 10,000,000 | ||||||
|
| |||||||
63,988,704 | ||||||||
|
| |||||||
| Diversified Financial Services (31.4%) |
| ||||||
8,000,000 | Antalis US Funding Corp., 0.25%, 9/19/14(b)(c) | 7,995,556 | ||||||
8,000,000 | Antalis US Funding Corp., 0.23%, 8/8/14(b)(c) | 7,998,058 | ||||||
5,000,000 | Bedford Row Funding Corp., 0.24%, 1/26/15(a)(b) | 5,000,000 | ||||||
10,000,000 | Bedford Row Funding Corp., 0.28%, 1/28/15(b)(c) | 9,983,589 | ||||||
5,000,000 | Charta LLC, 0.24%, 11/19/14(b)(c) | 4,995,300 | ||||||
12,000,000 | Charta LLC, 0.23%, 11/10/14(b)(c) | 11,989,880 | ||||||
8,000,000 | Collateralized CP Co. LLC, 0.25%, 9/25/14(c) | 7,995,222 | ||||||
10,000,000 | Collateralized CP Co. LLC, 0.28%, 9/24/14(c) | 9,993,389 | ||||||
7,000,000 | Collateralized CP Co. LLC, 0.30%, 8/12/14(c) | 6,997,550 | ||||||
14,000,000 | Gemini Securitization Corp. LLC, Class B, 0.12%, 7/7/14(b)(c) | 13,999,720 | ||||||
15,000,000 | Gemini Securitization Corp. LLC, Class B, 0.11%, 7/1/14(b)(c) | 15,000,000 | ||||||
10,000,000 | Kells Funding LLC, 0.23%, 2/13/15(a)(b) | 10,000,351 | ||||||
12,000,000 | Kells Funding LLC, 0.23%, 12/9/14(a)(b) | 11,999,298 | ||||||
10,000,000 | Kells Funding LLC, 0.23%, 10/15/14(a)(b) | 9,999,705 | ||||||
25,000,000 | LMA Americas LLC, 0.10%, 7/1/14(b)(c) | 25,000,000 | ||||||
15,000,000 | Matchpoint Master Trust, Series A, 0.12%, 7/7/14(b)(c) | 14,999,700 | ||||||
5,029,000 | Matchpoint Master Trust, Series A, 0.09%, 7/1/14(b)(c) | 5,029,000 | ||||||
13,433,000 | Natixis US Finance Co., 0.05%, 7/1/14(c) | 13,433,000 | ||||||
10,000,000 | Old Line Funding LLC, 0.22%, 8/13/14(b)(c) | 9,997,372 | ||||||
26,000,000 | Starbird Funding Corp., 0.12%, 7/1/14(b)(c) | 26,000,000 | ||||||
|
| |||||||
228,406,690 | ||||||||
|
| |||||||
| Total Commercial Paper (Cost $292,395,394) | 292,395,394 | ||||||
|
|
Continued
2
AZL Money Market Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bond (1.1%): |
| ||||||
| Hotels, Restaurants & Leisure (1.1%) |
| ||||||
$ | 8,000,000 | Jets Stadium Development LLC, Series A-4C, 0.12%, 4/1/47, Callable 9/4/14 @ 100.00(a) | $ | 8,000,000 | ||||
|
| |||||||
| Total Corporate Bond (Cost $8,000,000) | 8,000,000 | ||||||
|
| |||||||
| Municipal Bonds (9.6%): |
| ||||||
| California (5.0%): |
| ||||||
16,500,000 | California Health Facilities Financing Authority Revenue, Series B, 0.03%, 10/1/40, LOC: JPMorgan Chase Bank(a) | 16,500,000 | ||||||
1,900,000 | California Housing Finance Agency Revenue, Series E-1, 0.04%, 2/1/23, LOC: Freddie Mac, Fannie Mae, AMT(a) | 1,900,000 | ||||||
8,500,000 | Los Angeles Community Redevelopment Agency Multi-Family Housing Revenue, Series A, 0.07%, 4/15/42, LIQ FAC: Fannie Mae, AMT(a) | 8,500,000 | ||||||
9,500,000 | San Francisco City & County Redevelopment Agency Multi-Family Housing Revenue, Series A, 0.06%, 6/15/35, LIQ FAC: Fannie Mae(a) | 9,500,000 | ||||||
|
| |||||||
36,400,000 | ||||||||
|
| |||||||
| New York (3.1%): |
| ||||||
15,000,000 | New York City Housing Development Corp. Multi-Family Rent Revenue, Series A, 0.04%, 3/15/36, LIQ FAC: Fannie Mae(a) | 15,000,000 | ||||||
7,900,000 | New York State Dormitory Authority Revenue State Supported Debt, Series D, 0.05%, 7/1/31, LOC: Toronto Dominion Bank(a) | 7,900,000 | ||||||
|
| |||||||
22,900,000 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
| Municipal Bonds continued |
| ||||||
| Pennsylvania (1.5%): |
| ||||||
$ | 10,900,000 | Pennsylvania Housing Finance Agency Single Family Mortgage Revenue, Series 83C, 0.08%, 10/1/35, SPA: Bank of Tokyo-Mitsubishi UFJ, AMT(a) | $ | 10,900,000 | ||||
|
| |||||||
| Total Municipal Bonds (Cost $70,200,000) | 70,200,000 | ||||||
|
| |||||||
| U.S. Treasury Obligation (3.4%): |
| ||||||
| U.S. Treasury Note (3.4%) |
| ||||||
25,000,000 | 0.25%, 10/31/14 | 25,016,075 | ||||||
|
| |||||||
| Total U.S. Treasury Obligation (Cost $25,016,075) | 25,016,075 | ||||||
|
| |||||||
| Yankee Dollar (1.1%): |
| ||||||
| Banks (1.1%) |
| ||||||
8,000,000 | Nederlandse Waterschapsbank NV, 0.28%, 10/27/14(a) | 8,001,339 | ||||||
|
| |||||||
| Total Yankee Dollar (Cost $8,001,339) | 8,001,339 | ||||||
|
| |||||||
| Total Investment Securities (Cost $727,464,440)(d) — 100.0% | 727,464,440 | ||||||
| Net other assets (liabilities) — 0.0% | 101,663 | ||||||
|
| |||||||
| Net Assets — 100.0% | $ | 727,566,103 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
AMT—Subject to alternative minimum tax
LIQ FAC—Liquidation facility
LOC—Line of credit
SPA—Securities purchase agreement
(a) | Variable Rate Security. The rate represents the rate in effect at June 30, 2014. These securities are deemed to have a maturity remaining until the next adjustment of the interest rate or the longer of the demand period or time to the next readjustment. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | Aggregate cost for federal income tax and financial reporting purposes is substantially the same. |
Continued
3
AZL Money Market Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 9.3 | % | ||
Canada | 14.1 | % | ||
France | 10.6 | % | ||
Germany | 0.8 | % | ||
Japan | 8.8 | % | ||
Netherlands | 4.2 | % | ||
Sweden | 3.3 | % | ||
Switzerland | 1.4 | % | ||
United Kingdom | 2.5 | % | ||
United States | 45.0 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
4
AZL Money Market Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 727,464,440 | |||
|
| ||||
Investment securities, at value | $ | 727,464,440 | |||
Cash | 2,527 | ||||
Interest receivable | 177,782 | ||||
Receivable from Manager | 141,902 | ||||
Prepaid expenses | 4,434 | ||||
|
| ||||
Total Assets | 727,791,085 | ||||
|
| ||||
Liabilities: | |||||
Administration fees payable | 26,738 | ||||
Distribution fees payable | 148,916 | ||||
Custodian fees payable | 11,872 | ||||
Administrative and compliance services fees payable | 2,599 | ||||
Trustee fees payable | 4,284 | ||||
Other accrued liabilities | 30,573 | ||||
|
| ||||
Total Liabilities | 224,982 | ||||
|
| ||||
Net Assets | $ | 727,566,103 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 727,478,274 | |||
Accumulated net realized gains/(losses) from investment transactions | 87,829 | ||||
|
| ||||
Net Assets | $ | 727,566,103 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 727,478,916 | ||||
Net Asset Value (offering and redemption price per share) | $ | 1.00 | |||
|
|
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Interest | $ | 747,183 | |||
|
| ||||
Total Investment Income | 747,183 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,300,687 | ||||
Administration fees | 102,205 | ||||
Distribution fees | 929,064 | ||||
Custodian fees | 13,480 | ||||
Administrative and compliance services fees | 5,840 | ||||
Trustee fees | 18,735 | ||||
Professional fees | 18,921 | ||||
Shareholder reports | 18,626 | ||||
Other expenses | 8,057 | ||||
|
| ||||
Total expenses before reductions | 2,415,615 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (1,668,432 | ) | |||
|
| ||||
Net expenses | 747,183 | ||||
|
| ||||
Net Investment Income/(Loss) | — | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 31,365 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 31,365 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 31,365 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Money Market Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net realized gains/(losses) on investment transactions | $ | 31,365 | $ | 56,931 | ||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 31,365 | 56,931 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net realized gains | — | (17,239 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (17,239 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 120,804,680 | 486,550,509 | ||||||||
Proceeds from dividends reinvested | — | 17,239 | ||||||||
Value of shares redeemed | (199,911,666 | ) | (552,027,334 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (79,106,986 | ) | (65,459,586 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (79,075,621 | ) | (65,419,894 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 806,641,724 | 872,061,618 | ||||||||
|
|
|
| |||||||
End of period | $ | 727,566,103 | $ | 806,641,724 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 120,804,680 | 486,550,510 | ||||||||
Dividends reinvested | — | 17,239 | ||||||||
Shares redeemed | (199,911,666 | ) | (552,027,334 | ) | ||||||
|
|
|
| |||||||
Change in shares | (79,106,986 | ) | (65,459,585 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Money Market Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | — | — | — | — | (a) | — | (a) | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | — | — | — | — | (a) | — | (a) | ||||||||||||||||||||||
Net Realized Gains | — | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | — | (c) | — | — | — | — | 0.22 | % | ||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 727,566 | $ | 806,642 | $ | 872,062 | $ | 865,626 | $ | 861,070 | $ | 901,771 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | — | — | — | — | — | 0.22 | % | |||||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.65 | % | 0.65 | % | 0.66 | % | 0.66 | % | 0.70 | % | 0.69 | % | ||||||||||||||||||
Expenses Net of Reductions(d)(f) | 0.20 | % | 0.22 | % | 0.29 | % | 0.28 | % | 0.33 | % | 0.59 | % |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | The expense ratio for the period reflects the reduction of certain expenses to maintain a certain minimum yield. |
See accompanying notes to the financial statements.
7
AZL Money Market Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Money Market Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below. Investments of the Fund are valued, in accordance with Rule 2a-7 of the 1940 Act, at amortized cost, which approximates fair value. Under the amortized cost method, discounts or premiums are amortized on a constant basis to the maturity of the security.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.
Dividends to Shareholders
Dividends from net investment income are declared daily and paid monthly from the Fund. The net realized gains, if any, are declared and paid at least annually by the Fund. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Advisors, LLC (“BlackRock Advisors”), BlackRock Advisors provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
8
AZL Money Market Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Money Market Fund | 0.35 | % | 0.87 | % |
The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily net investment income for the Fund of 0.00%. The Distributor may waive its Rule 12b-1 fees. The amount waived, reimbursed, or paid by the Manager and/or the Distributor will be repaid to the Manager and/or the Distributor subject to the following limitations:
1. | The repayments will not cause the Fund’s net investment income to fall below 0.00%. |
2. | The repayments must be made no later than three years after the end of the fiscal year in which the waiver, reimbursement, or payment took place. |
3. | Any expense recovery paid by the Fund will not cause its expense ratio to exceed 0.87% |
The ability of the Manager and/or Distributor to receive such payments could negatively affect the Fund’s future yield. Amounts waived under this agreement during the period ended June 30, 2014 are reflected on the Statement of Operations as “Expenses voluntarily waived/reimbursed by the Manager.”
Any amounts waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2014, the reimbursements that are subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2014 | Expires 12/31/2015 | Expires 12/31/2016 | Expires 12/31/2017 | Total | |||||||||||||||||||||
AZL Money Market Fund | $ | 3,319,064 | $ | 3,224,807 | $ | 3,766,211 | $ | 1,668,432 | $ | 11,978,514 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2014, there were no voluntary waivers in addition to the amounts disclosed above.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $4,577 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
9
AZL Money Market Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Investments of the Fund are valued, in accordance with Rule 2a-7 of the 1940 Act, at amortized cost, which approximates fair value, and are typically categorized as Level 2 in the fair value hierarchy.
Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Certificates of Deposit | $ | — | $ | 323,851,632 | $ | 323,851,632 | |||||||||
Commercial Paper | — | 292,395,394 | 292,395,394 | ||||||||||||
Corporate Bond+ | — | 8,000,000 | 8,000,000 | ||||||||||||
Municipal Bonds | — | 70,200,000 | 70,200,000 | ||||||||||||
Treasury Note | — | 25,016,075 | 25,016,075 | ||||||||||||
Yankee Dollar+ | — | 8,001,339 | 8,001,339 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | — | $ | 727,464,440 | $ | 727,464,440 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Money Market Fund | $ | 17,239 | $ | — | $ | 17,239 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | ||||||||||||||||||
AZL Money Market Fund | $53,307 | $ | 3,157 | $ | — | $ | — | $ | 56,464 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
6. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
10
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
11
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Morgan Stanley Global Real Estate Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Morgan Stanley Global Real Estate Fund
(Unaudited)
As a shareholder of the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 1,000.00 | $ | 1,110.50 | $ | 6.70 | 1.28 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 1,000.00 | $ | 1,018.40 | $ | 6.41 | 1.28 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
United States | 46.1 | % | |||
Japan | 14.8 | ||||
Hong Kong | 10.4 | ||||
United Kingdom | 6.7 | ||||
Australia | 5.9 | ||||
France | 3.1 | ||||
Singapore | 2.5 | ||||
Canada | 2.3 | ||||
Bermuda | 1.6 | ||||
Germany | 1.5 | ||||
All other countries | 4.1 | ||||
|
| ||||
Total Common Stock | 99.0 | ||||
Rights | — | ^ | |||
Warrant | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 1.1 | ||||
Money Market | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.5 | ||||
Net other assets (liabilities) | (0.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05%. |
1
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (99.0%): |
| ||||||
| Diversified Real Estate Activities (18.6%): |
| ||||||
569,000 | CapitaLand, Ltd. | $ | 1,460,684 | |||||
57,000 | City Developments, Ltd. | 466,532 | ||||||
174,000 | Hang Lung Properties, Ltd. | 536,688 | ||||||
113,185 | Henderson Land Development Co., Ltd. | 662,378 | ||||||
120,303 | Kerry Properties, Ltd. | 421,075 | ||||||
293,000 | Mitsubishi Estate Co., Ltd. | 7,250,194 | ||||||
225,000 | Mitsui Fudosan Co., Ltd. | 7,609,884 | ||||||
244 | Mobimo Holding AG, Registered Shares | 51,713 | ||||||
1,284,981 | New World Development Co., Ltd. | 1,464,094 | ||||||
9,200 | Nomura Real Estate Holdings, Inc. | 174,431 | ||||||
114,000 | Sumitomo Realty & Development Co., Ltd. | 4,905,917 | ||||||
538,340 | Sun Hung Kai Properties, Ltd. | 7,385,575 | ||||||
89,000 | Tokyo Tatemono Co., Ltd. | 825,194 | ||||||
140,340 | UOL Group, Ltd. | 734,301 | ||||||
350,035 | Wharf Holdings, Ltd. (The) | 2,521,831 | ||||||
|
| |||||||
36,470,491 | ||||||||
|
| |||||||
| Diversified REITs (11.1%): | |||||||
66 | Activia Properties, Inc. | 580,594 | ||||||
207,308 | British Land Co. plc | 2,489,931 | ||||||
1,600 | Cofinimmo SA | 199,290 | ||||||
38,699 | Cousins Properties, Inc. | 481,803 | ||||||
22,360 | Crombie REIT | 281,674 | ||||||
24 | Daiwa House REIT Investment Corp. | 106,141 | ||||||
574,034 | Dexus Property Group | 600,650 | ||||||
70,990 | Duke Realty Corp. | 1,289,178 | ||||||
4,865 | Fonciere des Regions SA | 527,207 | ||||||
2,495 | Gecina SA | 363,848 | ||||||
286,947 | GPT Group | 1,039,122 | ||||||
5,065 | ICADE | 542,726 | ||||||
11 | Kenedix Office Investment Corp. | 59,863 | ||||||
150,328 | Land Securities Group plc | 2,662,090 | ||||||
793 | Lexington Realty Trust^ | 8,731 | ||||||
8,100 | Liberty Property Trust | 307,233 | ||||||
631,144 | Mirvac Group | 1,062,638 | ||||||
4,331 | PS Business Parks, Inc. | 361,595 | ||||||
35,360 | Shaftesbury plc | 396,991 | ||||||
319,734 | Stockland Trust Group | 1,170,042 | ||||||
294 | United Urban Investment Corp. | 474,751 | ||||||
61,321 | Vornado Realty Trust | 6,544,790 | ||||||
3,967 | Wereldhave NV | 368,819 | ||||||
|
| |||||||
21,919,707 | ||||||||
|
| |||||||
| Health Care Facilities (0.1%): | |||||||
25,410 | Extendicare, Inc.^ | 163,382 | ||||||
|
| |||||||
| Health Care REITs (4.0%): | |||||||
37,806 | HCP, Inc. | 1,564,412 | ||||||
10,230 | Health Care REIT, Inc. | 641,114 | ||||||
30,395 | Healthcare Realty Trust, Inc. | 772,641 | ||||||
92,815 | Senior Housing Properties Trust | 2,254,476 | ||||||
40,082 | Ventas, Inc. | 2,569,256 | ||||||
|
| |||||||
7,801,899 | ||||||||
|
| |||||||
| Hotel & Resort REITs (4.3%): | |||||||
9,537 | Chesapeake Lodging Trust | 288,304 | ||||||
349,360 | Host Hotels & Resorts, Inc. | 7,689,414 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Hotel & Resort REITs, continued | |||||||
38,608 | Summit Hotel Properties, Inc. | $ | 409,245 | |||||
|
| |||||||
8,386,963 | ||||||||
|
| |||||||
| Hotels, Resorts & Cruise Lines (1.9%): |
| ||||||
32,650 | Hilton Worldwide Holdings, Inc.* | 760,745 | ||||||
35,317 | Starwood Hotels & Resorts Worldwide, Inc. | 2,854,320 | ||||||
|
| |||||||
3,615,065 | ||||||||
|
| |||||||
| Industrial REITs (3.3%): | |||||||
163,000 | Ascendas Real Estate Investment Trust | 300,817 | ||||||
83,942 | DCT Industrial Trust, Inc. | 689,164 | ||||||
170 | GLP J-REIT | 190,427 | ||||||
12 | Industrial & Infrastructure Fund Investment Corp. | 107,476 | ||||||
314,276 | Macquarie Goodman Group | 1,497,197 | ||||||
204 | Nippon Prologis REIT, Inc. | 476,021 | ||||||
58,179 | ProLogis, Inc. | 2,390,575 | ||||||
8,600 | Rexford Industrial Realty, Inc. | 122,464 | ||||||
51,301 | SERGO plc | 303,079 | ||||||
|
| |||||||
6,077,220 | ||||||||
|
| |||||||
| Office REITs (6.4%): | |||||||
10,920 | Alexandria Real Estate Equities, Inc. | 847,829 | ||||||
12,946 | Alstria Office AG | 171,445 | ||||||
312,726 | Beni Stabili SpA | 286,855 | ||||||
26,977 | Boston Properties, Inc. | 3,188,142 | ||||||
16,506 | Brookfield Canada Office Properties^ | 426,226 | ||||||
104,000 | CapitaCommercial Trust | 141,859 | ||||||
111,000 | Champion REIT | 51,567 | ||||||
17,836 | Derwent Valley Holdings plc | 816,636 | ||||||
67,729 | Great Portland Estates plc | 749,044 | ||||||
32,998 | Hudson Pacific Properties, Inc. | 836,169 | ||||||
276 | Japan Real Estate Investment Corp. | 1,608,565 | ||||||
74,000 | Keppel REIT | 75,978 | ||||||
61,158 | Mack-Cali Realty Corp. | 1,313,674 | ||||||
330 | Nippon Building Fund, Inc. | 1,929,910 | ||||||
404 | ORIX JREIT, Inc. | 566,742 | ||||||
|
| |||||||
13,010,641 | ||||||||
|
| |||||||
| Real Estate Development (1.2%): | |||||||
2,485,087 | BGP Holdings plc*(a)(b) | — | ||||||
132,000 | China Overseas Land & Investment, Ltd. | 320,186 | ||||||
643,000 | China Resources Land, Ltd. | 1,177,827 | ||||||
231,418 | Sino Land Co., Ltd. | 381,456 | ||||||
41,946 | ST Modwen Properties plc | 257,916 | ||||||
51,094 | Urban & Civic plc* | 211,141 | ||||||
|
| |||||||
2,348,526 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.0%): | |||||||
132,000 | China Overseas Grand Oceans Group, Ltd. | 81,776 | ||||||
|
| |||||||
| Real Estate Operating Companies (11.0%): | |||||||
53,049 | Atrium European Real Estate, Ltd. | 316,987 | ||||||
21,035 | Atrium Ljungberg AB, B Shares | 343,304 | ||||||
47,508 | BR Malls Participacoes SA | 404,323 | ||||||
70,400 | BR Properties SA | 424,185 | ||||||
3,853 | BUWOG-Bauen Und Wohnen Gesellschaft mbH* | 74,351 | ||||||
67,292 | Capital & Counties Properties plc | 375,095 | ||||||
352,373 | Capital & Regional plc | 278,692 | ||||||
10,451 | Castellum AB | 185,287 |
Continued
2
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Real Estate Operating Companies, continued |
| ||||||
28,730 | Citycon Oyj | $ | 105,322 | |||||
17,002 | Deutsche Annington Immobilien SE | 500,274 | ||||||
8,448 | Deutsche Euroshop AG | 417,446 | ||||||
32,211 | Deutsche Wohnen AG | 694,641 | ||||||
9,381 | Fabege AB | 132,713 | ||||||
35,954 | First Capital Realty, Inc.^ | 627,485 | ||||||
54,976 | Forest City Enterprises, Inc., Class A* | 1,092,373 | ||||||
7,417 | GAGFAH SA* | 135,026 | ||||||
416,000 | Global Logistic Properties, Ltd. | 901,059 | ||||||
90,473 | Grainger Trust plc | 325,462 | ||||||
10,800 | Hispania Activos Inmobiliarios SA* | 149,311 | ||||||
474,500 | Hongkong Land Holdings, Ltd. | 3,165,304 | ||||||
53,040 | Hufvudstaden AB | 744,158 | ||||||
67,400 | Hulic Co., Ltd. | 891,383 | ||||||
395,346 | Hysan Development Co., Ltd. | 1,852,813 | ||||||
51,738 | Iguatemi Empresa de Shopping Centers SA | 519,488 | ||||||
13,983 | LEG Immobilien AG | 941,907 | ||||||
329,899 | LXB Retail Properties plc* | 704,507 | ||||||
257,600 | Norwegian Property ASA* | 317,222 | ||||||
11,500 | NTT Urban Development Corp. | 129,873 | ||||||
44,166 | Prime Office AG* | 205,732 | ||||||
12,046 | PSP Swiss Property AG | 1,133,994 | ||||||
266,661 | Quintain Estates & Development plc* | 403,828 | ||||||
80,501 | Sponda Oyj | 429,456 | ||||||
399,850 | Swire Properties, Ltd. | 1,168,705 | ||||||
4,766 | Swiss Prime Site AG | 395,195 | ||||||
44,953 | Unite Group plc | 302,816 | ||||||
|
| |||||||
20,789,717 | ||||||||
|
| |||||||
| Residential REITs (9.4%): | |||||||
47 | Advance Residence Investment | 118,817 | ||||||
37,286 | AvalonBay Communities, Inc. | 5,301,696 | ||||||
13,667 | Boardwalk REIT | 835,981 | ||||||
25,951 | Camden Property Trust | 1,846,414 | ||||||
3,811 | Canadian Apartment Properties REIT | 81,657 | ||||||
24,234 | Equity Lifestyle Properties, Inc. | 1,070,173 | ||||||
115,718 | Equity Residential Property Trust | 7,290,234 | ||||||
6,358 | Essex Property Trust, Inc. | 1,175,658 | ||||||
14,375 | Mid-America Apartment Communities, Inc. | 1,050,094 | ||||||
|
| |||||||
18,770,724 | ||||||||
|
| |||||||
| Retail REITs (24.8%): | |||||||
14,324 | Acadia Realty Trust | 402,361 | ||||||
429 | Altarea SCA | 81,942 | ||||||
7,486 | Calloway REIT | 186,361 | ||||||
319,000 | CapitaMall Trust | 505,551 | ||||||
11,325 | Corio NV | 578,450 | ||||||
7,350 | DDR Corp. | 129,581 | ||||||
10,801 | Eurocommercial Properties NV | 532,523 | ||||||
6,307 | Federal Realty Investment Trust | 762,642 | ||||||
267,932 | Federation Centres | 628,874 | ||||||
161,791 | General Growth Properties, Inc. | 3,811,796 | ||||||
167,640 | Hammerson plc | 1,662,274 | ||||||
307 | Japan Retail Fund Investment Corp. | 690,798 | ||||||
11,684 | Klepierre | 595,382 | ||||||
128,807 | Liberty International plc | 685,833 |
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Retail REITs, continued |
| ||||||
412,215 | Link REIT (The) | $ | 2,218,023 | |||||
46,985 | Macerich Co. (The) | 3,136,249 | ||||||
5,751 | Mercialys SA | 134,022 | ||||||
46,250 | National Retail Properties, Inc.^ | 1,720,038 | ||||||
8,828 | Realty Income Corp.^ | 392,140 | ||||||
61,883 | Regency Centers Corp. | 3,445,645 | ||||||
75,796 | RioCan REIT | 1,940,190 | ||||||
993,314 | Scentre Group* | 2,996,790 | ||||||
68,392 | Simon Property Group, Inc. | 11,372,222 | ||||||
377,000 | SPH REIT | 310,012 | ||||||
35,087 | Tanger Factory Outlet Centers, Inc. | 1,226,992 | ||||||
10,483 | Taubman Centers, Inc. | 794,716 | ||||||
13,384 | Unibail-Rodamco SE | 3,889,242 | ||||||
1,665 | Vastned Retail NV | 84,783 | ||||||
17,457 | Washington Prime Group, Inc.* | 327,144 | ||||||
370,004 | Westfield Corp.* | 2,495,672 | ||||||
|
| |||||||
47,738,248 | ||||||||
|
| |||||||
| Specialized REITs (2.9%): | |||||||
26,287 | Public Storage, Inc. | 4,504,277 | ||||||
134,239 | Safestore Holdings, Ltd. | 501,243 | ||||||
3,070 | Sovran Self Storage, Inc. | 237,158 | ||||||
24,759 | Sunstone Hotel Investors, Inc. | 369,652 | ||||||
|
| |||||||
5,612,330 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $132,271,797) | 192,786,689 | ||||||
|
| |||||||
| Warrant (0.0%): | |||||||
| Diversified Real Estate Activies (0.0%): | |||||||
47,204 | Sun Hung Kai Properties, Ltd.* | 61,638 | ||||||
|
| |||||||
| Total Warrant (Cost $—) | 61,638 | ||||||
|
| |||||||
| Rights (0.0%): | |||||||
| Real Estate Operating Companies (0.0%): | |||||||
7,841 | Citycon OYJ* | 46 | ||||||
|
| |||||||
| Retail REITs (0.0%): | |||||||
282,966 | Capital & Regional plc*(b) | — | ||||||
|
| |||||||
| Total Rights (Cost $—) | 46 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (1.1%): |
| ||||||
$ | 2,056,881 | Allianz Variable Insurance Products Securities Lending Collateral Trust(c) | 2,056,881 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 2,056,881 | ||||||
|
| |||||||
| Unaffiliated Investment Company (0.4%): | |||||||
867,389 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d) | 867,389 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $867,389) | 867,389 | ||||||
|
| |||||||
| Total Investment Securities (Cost $135,196,067)(e) — 100.5% | 195,772,643 | ||||||
| Net other assets (liabilities) — (0.5%) | (986,749 | ) | |||||
|
| �� | ||||||
| Net Assets — 100.0% | $ | 194,785,894 | |||||
|
|
Continued
3
AZL Morgan Stanley Global Real Estate Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,985,493. |
(a) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.00% of the net assets of the fund. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 0.00% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(d) | The rate represents the effective yield at June 30, 2014. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as ”—” are either $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 5.9 | % | ||
Austria | — | %NM | ||
Belgium | 0.1 | % | ||
Belize | 0.2 | % | ||
Bermuda | 1.6 | % | ||
Brazil | 0.5 | % | ||
Canada | 2.3 | % | ||
Finland | 0.3 | % | ||
France | 3.1 | % | ||
Germany | 1.5 | % | ||
Hong Kong | 10.3 | % | ||
Italy | 0.1 | % | ||
Japan | 14.7 | % | ||
Jersey | 0.2 | % | ||
Luxembourg | 0.1 | % | ||
Netherlands | 0.8 | % | ||
Norway | 0.2 | % | ||
Singapore | 2.5 | % | ||
Spain | 0.1 | % | ||
Sweden | 0.7 | % | ||
Switzerland | 0.8 | % | ||
United Kingdom | 6.7 | % | ||
United States | 47.3 | % | ||
|
| |||
100.0 | % | |||
|
|
NM | Not meaningful, amount is less than 0.05%. |
See accompanying notes to the financial statements.
4
AZL Morgan Stanley Global Real Estate Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 135,196,067 | |||
|
| ||||
Investment securities, at value* | $ | 195,772,643 | |||
Interest and dividends receivable | 842,147 | ||||
Foreign currency, at value (cost $533,125) | 541,839 | ||||
Receivable for investments sold | 281,180 | ||||
Reclaims receivable | 21,636 | ||||
Prepaid expenses | 870 | ||||
|
| ||||
Total Assets | 197,460,315 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 315,347 | ||||
Payable for capital shares redeemed | 52,795 | ||||
Payable for collateral received on loaned securities | 2,056,881 | ||||
Manager fees payable | 144,211 | ||||
Administration fees payable | 6,735 | ||||
Distribution fees payable | 40,059 | ||||
Custodian fees payable | 48,658 | ||||
Administrative and compliance services fees payable | 664 | ||||
Trustee fees payable | 1,470 | ||||
Other accrued liabilities | 7,601 | ||||
|
| ||||
Total Liabilities | 2,674,421 | ||||
|
| ||||
Net Assets | $ | 194,785,894 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 169,811,836 | |||
Accumulated net investment income/(loss) | 3,193,332 | ||||
Accumulated net realized gains/(losses) from investment transactions | (38,810,665 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 60,591,391 | ||||
|
| ||||
Net Assets | $ | 194,785,894 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 17,785,574 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.95 | |||
|
|
* | Includes securities on loan of $1,985,493. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 5,237,012 | |||
Interest | 2,410 | ||||
Income from securities lending | 15,587 | ||||
Foreign withholding tax | (216,077 | ) | |||
|
| ||||
Total Investment Income | 5,038,932 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 834,743 | ||||
Administration fees | 39,337 | ||||
Distribution fees | 231,873 | ||||
Custodian fees | 67,061 | ||||
Administrative and compliance services fees | 1,614 | ||||
Trustee fees | 5,058 | ||||
Professional fees | 4,965 | ||||
Shareholder reports | 6,769 | ||||
Other expenses | 2,296 | ||||
|
| ||||
Total expenses before reductions | 1,193,716 | ||||
Less expenses paid indirectly | (89 | ) | |||
|
| ||||
Net expenses | 1,193,627 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,845,305 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 2,517,017 | ||||
Change in net unrealized appreciation/depreciation on investments | 13,472,207 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 15,989,224 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 19,834,529 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Morgan Stanley Global Real Estate Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,845,305 | $ | 2,644,977 | ||||||
Net realized gains/(losses) on investment transactions | 2,517,017 | 10,780,862 | ||||||||
Change in unrealized appreciation/depreciation on investments | 13,472,207 | (7,756,047 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 19,834,529 | 5,669,792 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (7,518,721 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (7,518,721 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 6,167,244 | 16,327,346 | ||||||||
Proceeds from dividends reinvested | — | 7,518,721 | ||||||||
Value of shares redeemed | (13,011,207 | ) | (24,042,571 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (6,843,963 | ) | (196,504 | ) | ||||||
|
|
|
| |||||||
Change in net assets | 12,990,566 | (2,045,433 | ) | |||||||
Net Assets: | ||||||||||
Beginning of period | 181,795,328 | 183,840,761 | ||||||||
|
|
|
| |||||||
End of period | $ | 194,785,894 | $ | 181,795,328 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 3,193,332 | $ | (651,973 | ) | |||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 597,387 | 1,604,545 | ||||||||
Dividends reinvested | — | 772,736 | ||||||||
Shares redeemed | (1,257,718 | ) | (2,328,893 | ) | ||||||
|
|
|
| |||||||
Change in shares | (660,331 | ) | 48,388 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Morgan Stanley Global Real Estate Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited | ) | |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.86 | $ | 9.99 | $ | 7.82 | $ | 8.99 | $ | 7.57 | $ | 5.46 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.21 | 0.16 | 0.16 | 0.13 | 0.23 | 0.11 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.88 | 0.14 | 2.16 | (1.02 | ) | 1.34 | 2.08 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.09 | 0.30 | 2.32 | (0.89 | ) | 1.57 | 2.19 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.43 | ) | (0.15 | ) | (0.28 | ) | (0.15 | ) | (0.08 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.43 | ) | (0.15 | ) | (0.28 | ) | (0.15 | ) | (0.08 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 10.95 | $ | 9.86 | $ | 9.99 | $ | 7.82 | $ | 8.99 | $ | 7.57 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 11.05 | %(b) | 3.02 | % | 29.86 | % | (9.94 | )% | 20.86 | % | 40.19 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 194,786 | $ | 181,795 | $ | 183,841 | $ | 168,465 | $ | 185,485 | $ | 144,909 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 4.14 | % | 1.43 | % | 1.69 | % | 1.44 | % | 2.91 | % | 2.08 | % | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.29 | % | 1.29 | % | 1.34 | % | 1.35 | % | 1.35 | % | 1.40 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.29 | % | 1.29 | % | 1.34 | % | 1.35 | % | 1.34 | % | 1.34 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c)(e) | 1.29 | % | 1.28 | % | 1.34 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||||||||||||
Portfolio Turnover Rate | 18 | %(b) | 29 | % | 34 | % | 23 | % | 27 | % | 48 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
7
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
8
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1.8 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,555 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Morgan Stanley Investment Management Inc. (“MSIM”), MSIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Morgan Stanley Global Real Estate Fund | 0.90 | % | 1.35 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
9
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $1,086 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
During the period ended June 30, 2014, the Fund paid approximately $76 to affiliated broker/dealers of the Subadvisor on the execution of purchases and sales of the Fund’s portfolio investments.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy. The valuation of these international equity securities may represent a transfer between input levels.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Diversified Real Estate Activities | $ | — | $ | 36,470,491 | $ | — | $ | 36,470,491 | ||||||||||||
Diversified REITs | 9,275,004 | 12,644,703 | — | 21,919,707 | ||||||||||||||||
Industrial REITs | 3,202,203 | 2,875,017 | — | 6,077,220 | ||||||||||||||||
Office REITs | 6,612,040 | 6,398,601 | — | 13,010,641 | ||||||||||||||||
Real Estate Development | — | 2,348,526 | — | ^ | 2,348,526 |
10
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Real Estate Management & Development | $ | — | $ | 81,776 | $ | — | $ | 81,776 | ||||||||||||
Real Estate Operating Companies | 3,067,854 | 17,721,863 | — | 20,789,717 | ||||||||||||||||
Residential REITs | 18,651,907 | 118,817 | — | 18,770,724 | ||||||||||||||||
Retail REITs | 32,644,867 | 15,093,381 | — | 47,738,248 | ||||||||||||||||
Specialized REITs | 5,111,087 | 501,243 | — | 5,612,330 | ||||||||||||||||
All Other Common Stocks+ | 19,967,309 | — | — | 19,967,309 | ||||||||||||||||
Rights | — | 46 | — | 46 | ||||||||||||||||
Warrant | — | 61,638 | — | 61,638 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 2,056,881 | — | 2,056,881 | ||||||||||||||||
Unaffiliated Investment Company | 867,389 | — | — | 867,389 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 99,399,660 | $ | 96,372,983 | $ | — | ^ | $ | 195,772,643 | |||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
^ | Represents the interest in securities that were determined to have a value of zero at June 30, 2014. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures are presented when there are significant Level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 32,515,109 | $ | 32,776,090 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
BGP Holdings plc | 8/21/09 | $ | — | 2,485,087 | $ | — | — | % | |||||||||||||||||
Capital & Regional plc | 6/23/14 | — | 282,966 | — | — | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
11
AZL Morgan Stanley Global Real Estate Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Cost for federal income tax purposes at June 30, 2014 is $147,486,556. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 62,228,652 | ||
Unrealized depreciation | (13,942,565 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 48,286,087 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2016 | Expires 12/31/2017 | Total | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 4,782,989 | $ | 26,029,940 | $ | 30,812,929 |
CLCFs not subject to expiration:
Short Term Amount | Short Term Amount | Total Amount | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | — | $ | 879 | $ | 879 |
During the year ended December 31, 2013, the Fund utilized $8,082,781 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 7,518,721 | $ | — | $ | 7,518,721 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Morgan Stanley Global Real Estate Fund | $ | 1,794,506 | $ | — | $ | (30,813,808 | ) | $ | 34,158,831 | $ | 5,139,529 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling
800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Morgan Stanley Mid Cap Growth Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Morgan Stanley Mid Cap Growth Fund
(Unaudited)
As a shareholder of the AZL Morgan Stanley Mid Cap Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Morgan Stanley Mid Cap Growth Fund | $ | 1,000.00 | $ | 1,003.20 | $ | 5.46 | 1.10 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Morgan Stanley Mid Cap Growth Fund | $ | 1,000.00 | $ | 1,019.34 | $ | 5.51 | 1.10 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 31.7 | % | |||
Consumer Discretionary | 18.6 | ||||
Health Care | 16.5 | ||||
Industrials | 14.7 | ||||
Financials | 6.4 | ||||
Consumer Staples | 6.3 | ||||
Private Placements | 2.2 | ||||
Energy | 1.0 | ||||
|
| ||||
Total Common Stock and Private Placements | 97.4 | ||||
Securities Held as Collateral for Securities on Loan | 6.0 | ||||
Money Market | 2.8 | ||||
|
| ||||
Total Investment Securities | 106.2 | ||||
Net other assets (liabilities) | (6.2 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Morgan Stanley Mid Cap Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (95.2%): | |||||||
| Aerospace & Defense (2.1%): | |||||||
63,996 | TransDigm Group, Inc. | $ | 10,703,971 | |||||
|
| |||||||
| Auto Components (3.6%): | |||||||
76,571 | Tesla Motors, Inc.*^ | 18,381,634 | ||||||
|
| |||||||
| Biotechnology (1.3%): | |||||||
23,794 | Alnylam Pharmaceuticals, Inc.* | 1,503,067 | ||||||
2,136 | Intercept Pharmaceuticals, Inc.* | 505,442 | ||||||
226,756 | Ironwood Pharmaceuticals, Inc.* | 3,476,169 | ||||||
28,596 | Seattle Genetics, Inc.* | 1,093,797 | ||||||
|
| |||||||
6,578,475 | ||||||||
|
| |||||||
| Commercial Services & Supplies (3.7%): | |||||||
434,391 | Edenred | 13,161,562 | ||||||
46,331 | Stericycle, Inc.* | 5,486,517 | ||||||
|
| |||||||
18,648,079 | ||||||||
|
| |||||||
| Communications Equipment (2.9%): | |||||||
173,369 | Motorola Solutions, Inc. | 11,541,174 | ||||||
39,148 | Palo Alto Networks, Inc.* | 3,282,560 | ||||||
|
| |||||||
14,823,734 | ||||||||
|
| |||||||
| Diversified Financial Services (2.5%): | |||||||
276,262 | MSCI, Inc., Class A* | 12,666,613 | ||||||
|
| |||||||
| Electrical Equipment (0.5%): | |||||||
32,720 | Solarcity Corp.*^ | 2,310,032 | ||||||
|
| |||||||
| Food Products (6.3%): | |||||||
42,467 | Keurig Green Mountain, Inc. | 5,291,813 | ||||||
141,901 | McCormick & Co. | 10,158,693 | ||||||
176,788 | Mead Johnson Nutrition Co. | 16,471,337 | ||||||
|
| |||||||
31,921,843 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (3.6%): | |||||||
45,020 | Intuitive Surgical, Inc.* | 18,539,236 | ||||||
|
| |||||||
| Health Care Technology (2.9%): | |||||||
116,496 | athenahealth, Inc.*^ | 14,577,144 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (3.9%): | |||||||
85,545 | Ctrip.com International, ADR* | 5,478,302 | ||||||
104,674 | Dunkin’ Brands Group, Inc. | 4,795,116 | ||||||
62,501 | Panera Bread Co., Class A* | 9,364,525 | ||||||
|
| |||||||
19,637,943 | ||||||||
|
| |||||||
| Insurance (3.9%): | |||||||
176,630 | Arch Capital Group, Ltd.* | 10,145,627 | ||||||
386,311 | Progressive Corp. (The) | 9,796,847 | ||||||
|
| |||||||
19,942,474 | ||||||||
|
| |||||||
| Internet & Catalog Retail (2.9%): | |||||||
31,011 | Asos plc* | 1,567,173 | ||||||
398,397 | Groupon, Inc.*^ | 2,637,388 | ||||||
47,107 | TripAdvisor, Inc.* | 5,118,647 | ||||||
136,258 | zulily, Inc., Class A*^ | 5,579,765 | ||||||
|
| |||||||
14,902,973 | ||||||||
|
| |||||||
| Internet Software & Services (9.9%): | |||||||
105,199 | LinkedIn Corp., Class A* | 18,038,473 | ||||||
27,560 | MercadoLibre, Inc.^ | 2,629,224 | ||||||
56,025 | Qihoo 360 Technology Co., Ltd., ADR* | 5,156,541 | ||||||
484,378 | Twitter, Inc.* | 19,844,966 | ||||||
226,179 | Youku.com, Inc., ADR* | 5,396,631 | ||||||
|
| |||||||
51,065,835 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued | |||||||
| IT Services (4.7%): | |||||||
94,412 | FleetCor Technologies, Inc.* | $ | 12,443,502 | |||||
163,774 | Gartner, Inc.* | 11,549,342 | ||||||
|
| |||||||
23,992,844 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (6.0%): | |||||||
171,720 | Illumina, Inc.* | 30,658,889 | ||||||
|
| |||||||
| Machinery (2.3%): | |||||||
159,474 | Colfax Corp.* | 11,887,192 | ||||||
|
| |||||||
| Media (2.1%): | |||||||
270,583 | Aimia, Inc. | 4,737,548 | ||||||
201,285 | Pandora Media, Inc.* | 5,937,908 | ||||||
|
| |||||||
10,675,456 | ||||||||
|
| |||||||
| Multiline Retail (2.1%): | |||||||
200,234 | Dollar Tree, Inc.* | 10,904,744 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (1.0%): | |||||||
57,732 | Range Resources Corp. | 5,019,797 | ||||||
|
| |||||||
| Pharmaceuticals (2.7%): | |||||||
50 | Endo Health Solutions, Inc.* | 3,501 | ||||||
182,349 | Endo International plc* | 12,768,077 | ||||||
12,198 | Pharmacyclics, Inc.* | 1,094,283 | ||||||
|
| |||||||
13,865,861 | ||||||||
|
| |||||||
| Professional Services (6.1%): | |||||||
98,878 | IHS, Inc., Class A* | 13,414,778 | ||||||
393,406 | Qualicorp SA* | 4,651,772 | ||||||
220,526 | Verisk Analytics, Inc., Class A* | 13,235,971 | ||||||
|
| |||||||
31,302,521 | ||||||||
|
| |||||||
| Software (13.2%): | |||||||
261,620 | FireEye, Inc.*^ | 10,608,691 | ||||||
43,535 | NetSuite, Inc.* | 3,782,321 | ||||||
97,964 | ServiceNow, Inc.* | 6,069,849 | ||||||
226,134 | Solera Holdings, Inc. | 15,184,898 | ||||||
243,858 | Splunk, Inc.* | 13,492,663 | ||||||
13,454 | Tableau Software, Inc., Class A* | 959,674 | ||||||
165,427 | Workday, Inc., Class A* | 14,865,270 | ||||||
618,353 | Zynga, Inc.* | 1,984,913 | ||||||
|
| |||||||
66,948,279 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (1.0%): | |||||||
43,752 | 3D Systems Corp.*^ | 2,616,370 | ||||||
23,744 | Stratasys, Ltd.*^ | 2,698,031 | ||||||
|
| |||||||
5,314,401 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (4.0%): | |||||||
156,533 | Carter’s, Inc. | 10,789,820 | ||||||
51,699 | Michael Kors Holdings, Ltd.* | 4,583,116 | ||||||
302,538 | Moncler SpA | 5,011,023 | ||||||
|
| |||||||
20,383,959 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $373,872,552) | 485,653,929 | ||||||
|
| |||||||
| Private Placements (2.2%): | |||||||
| Internet & Catalog Retail (0.3%): | |||||||
37,815 | Flipkart, Preferred(a)(b) | 1,482,008 | ||||||
33,446 | Peixe Urbano, Inc.*(a)(b) | 669 | ||||||
|
| |||||||
1,482,677 | ||||||||
|
|
Continued
2
AZL Morgan Stanley Mid Cap Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Private Placements, continued | |||||||
| Internet Software & Services (1.9%): | |||||||
25,638 | Airbnb, Inc., Series D Preferred(a)(b) | $ | 3,131,402 | |||||
245,606 | Dropbox, Inc.*(a)(b) | 4,521,607 | ||||||
67,672 | Palantir Technologies, Inc., Series H-1 Preferred(a)(b) | 414,829 | ||||||
67,672 | Palantir Technologies, Inc., Series H Preferred(a)(b) | 414,829 | ||||||
229,712 | Palantir Technologies, Inc., Series G*(a)(b) | 1,408,135 | ||||||
|
| |||||||
9,890,802 | ||||||||
|
| |||||||
| Transportation Infrastructure (0.0%): | |||||||
818,433 | Better Place LLC, Preferred(a)(b) | — | ||||||
|
| |||||||
| Total Private Placements (Cost $10,546,786) | 11,373,479 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (6.0%): | |||||||
$ | 30,603,495 | Allianz Variable Insurance Products Securities Lending Collateral Trust(c) | $ | 30,603,495 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 30,603,495 | ||||||
|
| |||||||
| Unaffiliated Investment Company (2.8%): | |||||||
14,287,276 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d) | 14,287,276 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $14,287,276) | 14,287,276 | ||||||
|
| |||||||
| Total Investment Securities (Cost $429,310,109)(e) — 106.2% | 541,918,179 | ||||||
| Net other assets (liabilities) — (6.2)% | (31,709,163 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 510,209,016 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $30,636,969. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 2.23% of the net assets of the fund. |
(b) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 2.23% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(d) | The rate represents the effective yield at June 30, 2014. |
(e) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as ”—” are either $0 or round to less than $1.
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Argentina | 0.5 | % | ||
Bermuda | 1.9 | % | ||
Brazil | 0.9 | % | ||
Canada | 0.9 | % | ||
Cayman Islands | 3.0 | % | ||
France | 2.4 | % | ||
Hong Kong | 0.8 | % | ||
Ireland (Republic of) | 2.4 | % | ||
Israel | 0.5 | % | ||
Italy | 0.9 | % | ||
United Kingdom | 0.3 | % | ||
United States | 85.5 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
3
AZL Morgan Stanley Mid Cap Growth Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 429,310,109 | |||
|
| ||||
Investment securities, at value* | $ | 541,918,179 | |||
Interest and dividends receivable | 159,778 | ||||
Foreign currency, at value (cost $36) | 36 | ||||
Prepaid expenses | 2,500 | ||||
|
| ||||
Total Assets | 542,080,493 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 787,425 | ||||
Payable for collateral received on loaned securities | 30,603,495 | ||||
Manager fees payable | 323,504 | ||||
Administration fees payable | 17,144 | ||||
Distribution fees payable | 101,383 | ||||
Custodian fees payable | 15,304 | ||||
Administrative and compliance services fees payable | 1,522 | ||||
Trustee fees payable | 3,063 | ||||
Other accrued liabilities | 18,637 | ||||
|
| ||||
Total Liabilities | 31,871,477 | ||||
|
| ||||
Net Assets | $ | 510,209,016 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 306,661,152 | |||
Accumulated net investment income/(loss) | 1,198,882 | ||||
Accumulated net realized gains/(losses) from investment transactions | 89,740,912 | ||||
Net unrealized appreciation/(depreciation) on investments | 112,608,070 | ||||
|
| ||||
Net Assets | $ | 510,209,016 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 27,515,248 | ||||
Net Asset Value (offering and redemption price per share) | $ | 18.54 | |||
|
|
* | Includes securities on loan of $30,636,969. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,705,896 | |||
Interest | 309 | ||||
Income from securities lending | 375,051 | ||||
Foreign withholding tax | (91,482 | ) | |||
|
| ||||
Total Investment Income | 3,989,774 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,019,495 | ||||
Administration fees | 68,644 | ||||
Distribution fees | 634,245 | ||||
Custodian fees | 18,222 | ||||
Administrative and compliance services fees | 3,989 | ||||
Trustee fees | 12,545 | ||||
Professional fees | 12,174 | ||||
Shareholder reports | 16,448 | ||||
Other expenses | 4,819 | ||||
|
| ||||
Total expenses | 2,790,581 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,199,193 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 44,175,941 | ||||
Change in net unrealized appreciation/depreciation on investments | (43,405,208 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 770,733 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 1,969,926 | |||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL Morgan Stanley Mid Cap Growth Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,199,193 | $ | (1,529,697 | ) | |||||
Net realized gains/(losses) on investment transactions | 44,175,941 | 47,723,542 | ||||||||
Change in unrealized appreciation/depreciation on investments | (43,405,208 | ) | 108,417,382 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 1,969,926 | 154,611,227 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (2,302,379 | ) | |||||||
From net realized gains | — | (12,984,446 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (15,286,825 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 15,458,773 | 36,881,920 | ||||||||
Proceeds from dividends reinvested | — | 15,286,825 | ||||||||
Value of shares redeemed | (40,973,651 | ) | (71,515,789 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (25,514,878 | ) | (19,347,044 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (23,544,952 | ) | 119,977,358 | |||||||
Net Assets: | ||||||||||
Beginning of period | 533,753,968 | 413,776,610 | ||||||||
|
|
|
| |||||||
End of period | $ | 510,209,016 | $ | 533,753,968 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 1,198,882 | $ | (311 | ) | |||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 857,052 | 2,267,067 | ||||||||
Dividends reinvested | — | 912,102 | ||||||||
Shares redeemed | (2,228,538 | ) | (4,434,151 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,371,486 | ) | (1,254,982 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL Morgan Stanley Mid Cap Growth Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited | ) | |||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.48 | $ | 13.73 | $ | 13.32 | $ | 14.31 | $ | 10.80 | $ | 6.85 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.04 | (0.05 | ) | 0.08 | (0.04 | ) | 0.01 | (0.02 | ) | |||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.02 | 5.34 | 1.02 | (0.90 | ) | 3.50 | 3.97 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.06 | 5.29 | 1.10 | (0.94 | ) | 3.51 | 3.95 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.08 | ) | — | (0.05 | ) | — | — | ||||||||||||||||||||||
Net Realized Gains | — | (0.46 | ) | (0.69 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.54 | ) | (0.69 | ) | (0.05 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 18.54 | $ | 18.48 | $ | 13.73 | $ | 13.32 | $ | 14.31 | $ | 10.80 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 0.32 | %(b) | 38.94 | % | 8.36 | % | (6.57 | )% | 32.50 | % | 57.66 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 510,209 | $ | 533,754 | $ | 413,777 | $ | 375,663 | $ | 456,423 | $ | 354,846 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.47 | % | (0.32 | )% | 0.62 | % | (0.20 | )% | 0.07 | % | (0.18 | )% | ||||||||||||||||||
Expenses Before Reductions(c)(d) | 1.10 | % | 1.11 | % | 1.13 | % | 1.14 | % | 1.15 | % | 1.17 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.10 | % | 1.10 | % | 1.12 | % | 1.12 | % | 1.09 | % | 1.11 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid | 1.10 | % | 1.11 | % | 1.13 | % | 1.13 | % | 1.10 | % | 1.13 | % | ||||||||||||||||||
Portfolio Turnover Rate | 27 | %(b) | 49 | % | 32 | % | 32 | % | 42 | % | 40 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
6
AZL Morgan Stanley Mid Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Morgan Stanley Mid Cap Growth Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should
7
AZL Morgan Stanley Mid Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $42.2 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $37,098 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Morgan Stanley Investment Management Inc. (“MSIM”), MSIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Morgan Stanley Mid Cap Growth Fund | 0.85 | % | 1.30 | % |
* | The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.85%, the next $150 million at 0.80%, the next $250 million at 0.775% and above $500 million at 0.75%. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
8
AZL Morgan Stanley Mid Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,107 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy. Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Commercial Services & Supplies | $ | 5,486,517 | $ | 13,161,562 | $ | — | $ | 18,648,079 | ||||||||||||
Internet & Catalog Retail | 13,335,800 | 1,567,173 | — | 14,902,973 | ||||||||||||||||
Textiles, Apparel & Luxury Goods | 15,372,936 | 5,011,023 | — | 20,383,959 | ||||||||||||||||
All Other Common Stocks+ | 431,718,918 | — | — | 431,718,918 | ||||||||||||||||
Private Placements+ | — | — | 11,373,479 | 11,373,479 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 30,603,495 | — | 30,603,495 | ||||||||||||||||
Unaffiliated Investment Company | 14,287,276 | — | — | 14,287,276 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 480,201,447 | $ | 50,343,253 | $ | 11,373,479 | $ | 541,918,179 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
9
AZL Morgan Stanley Mid Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Quantitative Information about Level 3 Fair Value Measurements | |||||||||||||||||||||||||
Type of Assets | Fair Value at June 30, 2014 | Valuation Basis at June 30, 2014 | Valuation Technique(s) | Unobservable input(s) | Range | Weighted Average | |||||||||||||||||||
Investment Securities: | |||||||||||||||||||||||||
Private Placements: | |||||||||||||||||||||||||
Internet & Catalog Retail | |||||||||||||||||||||||||
Flipkart, Preferred | $ | 1,482,008 | Market Approach | Market Transaction Method | Precedent Transaction of Preferred Stock | $ | 39.1910 | $ | 39.1910 | ||||||||||||||||
Discounted Cash Flow | Weighted Average Cost of Capital | 16.5%-18.5% | 17.5% | ||||||||||||||||||||||
Perpetual Growth Rate | 3.5%-4.5% | 4% | |||||||||||||||||||||||
Market Comparable Companies | Enterprise Value/Revenue | 1.7x-2.5x | 2.1x | ||||||||||||||||||||||
Discount for Lack of Marketability | 15% | 15% | |||||||||||||||||||||||
Peixe Urbano, Inc. | 669 | Market Approach | Asset Approach | Net Tangible Assets | $ | — | $ | — | |||||||||||||||||
Discounted Cash Flow | Weighted Average Cost of Capital | 31.5%-33.5% | 32.5% | ||||||||||||||||||||||
Perpetual Growth Rate | 5%-6% | 5.5% | |||||||||||||||||||||||
Market Comparable Companies | Enterprise Value/Revenue | 0.9x-1.7x | 0.9x | ||||||||||||||||||||||
Discount for Lack of Marketability | 15% | 15% | |||||||||||||||||||||||
Merger & Acquisition Transaction | Sale/Merger Scenario | $ | 0.17 | $ | 0.17 | ||||||||||||||||||||
Internet Software & Services | |||||||||||||||||||||||||
Airbnb, Inc., Series D Preferred | 3,131,402 | Original Cost | Market Transaction Method | Purchase Price | $ | 3,131,042 | $ | 3,131,042 | |||||||||||||||||
Dropbox, Inc. | 4,521,607 | Market Approach | Market Transaction Method | Precedent Transaction of Preferred Stock | $ | 19.1012 | $ | 19.1012 | |||||||||||||||||
Discounted Cash Flow | Weighted Average Cost of Capital | 16%-18% | 17% | ||||||||||||||||||||||
Perpetual Growth Rate | 2.5%-3.5% | 3% | |||||||||||||||||||||||
Market Comparable Companies | Enterprise Value/Revenue | 6.7x-16.7x | 12.3x | ||||||||||||||||||||||
Discount for Lack of Marketability | 15% | 15% | |||||||||||||||||||||||
Palantir Technologies, Inc., Series H-1 Preferred | 414,829 | Market Approach | Market Transaction Method | Precedent Transaction of Preferred Stock | $ | 6.13 | $ | 6.13 | |||||||||||||||||
Palantir Technologies, Inc., Series H Preferred | 414,829 | Market Approach | Market Transaction Method | Precedent Transaction of Preferred Stock | $ | 6.13 | $ | 6.13 | |||||||||||||||||
Palantir Technologies, Inc., Series G | 1,408,135 | Market Approach | Market Transaction Method | Precedent Transaction of Preferred Stock | $ | 6.13 | $ | 6.13 | |||||||||||||||||
Transportation Infrastructure | |||||||||||||||||||||||||
Better Place LLC, Preferred | — | Valued at Zero | Asset Approach | Net Tangible Assets | $ | (0.08 | ) | $ | (0.08 | ) | |||||||||||||||
External Valuation | Third Party Valuation | $ | (0.13)-$0.29 | $ | (0.09 | ) | |||||||||||||||||||
Market Transaction Method | Weighted Average Cost of Capital | 25%-40% | 35% | ||||||||||||||||||||||
Discounted Cash Flow | Perpetual Growth Rate | 3.5%-4.5% | 4% | ||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Investment Securities | $ | 11,373,479 | |||||||||||||||||||||||
|
|
Private Placements | |||||
Balance as of December 31, 2013 | $ | 5,592,280 | |||
Change in Unrealized Appreciation/Depreciation* | 2,649,797 | ||||
Net Realized Gain (Loss) | — | ||||
Gross Purchases | 3,131,402 | ||||
Gross Sales | — | ||||
|
| ||||
Balance as of June 30, 2014 | $ | 11,373,479 | |||
|
|
* | The noted amounts of change in unrealized appreciation/depreciation relate to the fair value of Level 3 assets held on June 30, 2014. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Morgan Stanley Mid Cap Growth Fund | $ | 135,830,652 | $ | 159,449,098 |
10
AZL Morgan Stanley Mid Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Airbnb, Inc., Series D Preferred | 4/16/14 | $ | 3,131,402 | 25,638 | $ | 3,131,402 | 0.61 | % | |||||||||||||||||
Better Place LLC* | 1/25/10 | 2,046,081 | 818,433 | — | — | % | |||||||||||||||||||
Dropbox, Inc.* | 5/1/12 | 2,222,513 | 245,606 | 3,374,627 | 0.89 | % | |||||||||||||||||||
Flipkart, Preferred | 10/4/13 | 867,741 | 37,815 | 1,482,008 | 0.29 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series G* | 7/19/12 | 702,919 | 229,712 | 1,408,135 | 0.28 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series H Preferred | 10/25/13 | 237,529 | 67,672 | 414,829 | 0.08 | % | |||||||||||||||||||
Palantir Technologies, Inc., Series H-1 Preferred | 10/25/13 | 237,529 | 67,672 | 414,829 | 0.08 | % | |||||||||||||||||||
Peixe Urbano, Inc.* | 12/2/11 | 1,101,072 | 33,446 | 669 | — | % |
7. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $429,402,937. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 137,202,423 | ||
Unrealized depreciation | (24,687,181 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 112,515,242 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Morgan Stanley Mid Cap Growth Fund | $ | 2,302,379 | $ | 12,984,446 | $ | 15,286,825 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Morgan Stanley Mid Cap Growth Fund | $ | 7,558,615 | $ | 38,008,562 | $ | 156,010,761 | $ | — | $ | 201,577,938 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® NFJ International Value Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL NFJ International Value Fund
(Unaudited)
As a shareholder of the AZL NFJ International Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL NFJ International Value Fund | $ | 1,000.00 | $ | 1,045.80 | $ | 6.29 | 1.24 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL NFJ International Value Fund | $ | 1,000.00 | $ | 1,018.65 | $ | 6.21 | 1.24 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 27.3 | % | |||
Energy | 13.4 | ||||
Consumer Discretionary | 10.1 | ||||
Consumer Staples | 9.5 | ||||
Industrials | 9.0 | ||||
Materials | 8.8 | ||||
Information Technology | 5.6 | ||||
Utilities | 5.5 | ||||
Telecommunication Services | 4.8 | ||||
Health Care | 4.3 | ||||
|
| ||||
Total Common Stock and Preferred Stock | 98.3 | ||||
Right | 0.1 | ||||
Securities Held as Collateral for Securities on Loan | 9.9 | ||||
Money Market | 1.6 | ||||
|
| ||||
Total Investment Securities | 109.9 | ||||
Net other assets (liabilities) | (9.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL NFJ International Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (96.1%): |
| ||||||
| Aerospace & Defense (2.2%): |
| ||||||
119,950 | BAE Systems plc, ADR | $ | 3,581,707 | |||||
|
| |||||||
| Auto Components (1.4%): |
| ||||||
21,600 | Magna International, Inc. | 2,327,400 | ||||||
|
| |||||||
| Automobiles (3.3%): |
| ||||||
486,900 | Isuzu Motors, Ltd. | 3,226,442 | ||||||
55,000 | Tata Motors, Ltd., ADR | 2,148,300 | ||||||
|
| |||||||
5,374,742 | ||||||||
|
| |||||||
| Banks (18.0%): |
| ||||||
101,400 | Australia & New Zealand Banking Group, Ltd., ADR^ | 3,189,030 | ||||||
213,170 | Banco Bradesco SA, ADR | 3,095,228 | ||||||
494,500 | Barclays plc | 1,801,079 | ||||||
951,100 | BOC Hong Kong Holdings, Ltd. | 2,756,770 | ||||||
4,022,000 | China Construction Bank | 3,043,198 | ||||||
463,839 | HSBC Holdings plc | 4,708,350 | ||||||
1,526,000 | Mizuho Financial Group, Inc. | 3,137,350 | ||||||
136,500 | Sberbank of Russia, ADR | 1,388,205 | ||||||
61,100 | Toronto-Dominion Bank (The) | 3,141,151 | ||||||
84,800 | United Overseas Bank, Ltd., ADR | 3,068,912 | ||||||
|
| |||||||
29,329,273 | ||||||||
|
| |||||||
| Beverages (3.0%): |
| ||||||
30,400 | Carlsberg A/S, Class B | 3,274,672 | ||||||
12,300 | Diageo plc, ADR | 1,565,421 | ||||||
|
| |||||||
4,840,093 | ||||||||
|
| |||||||
| Chemicals (2.1%): |
| ||||||
141,400 | Israel Chemicals, Ltd. | 1,213,765 | ||||||
10,400 | Methanex Corp. | 642,512 | ||||||
72,800 | Nitto Denko Corp., ADR | 1,698,424 | ||||||
|
| |||||||
3,554,701 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.8%): |
| ||||||
206,000 | Serco Group plc | 1,289,848 | ||||||
|
| |||||||
| Construction Materials (1.8%): |
| ||||||
870,000 | Anhui Conch Cement Co., Ltd.^ | 2,987,173 | ||||||
|
| |||||||
| Containers & Packaging (0.8%): |
| ||||||
59,227 | Smurfit Kappa Group plc | 1,353,031 | ||||||
|
| |||||||
| Diversified Financial Services (1.0%): |
| ||||||
20,800 | Deutsche Boerse AG | 1,614,113 | ||||||
|
| |||||||
| Diversified Telecommunication Services (2.2%): |
| ||||||
138,800 | Orange SA, ADR | 2,193,040 | ||||||
66,200 | Telenor ASA | 1,506,655 | ||||||
|
| |||||||
3,699,695 | ||||||||
|
| |||||||
| Electric Utilities (1.6%): |
| ||||||
174,700 | Companhia Paranaense de Energia, ADR^ | 2,674,657 | ||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (2.1%): |
| ||||||
439,800 | Hitachi, Ltd. | 3,228,028 | ||||||
|
| |||||||
| Energy Equipment & Services (0.9%): |
| ||||||
25,200 | Ensco plc, Class A, ADR | 1,400,364 | ||||||
|
| |||||||
| Food & Staples Retailing (1.6%): |
| ||||||
522,200 | Tesco plc | 2,536,287 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food Products (1.8%): |
| ||||||
6,447,500 | Golden Agri-Resources, Ltd. | $ | 2,870,610 | |||||
|
| |||||||
| Household Durables (1.9%): |
| ||||||
141,115 | Persimmon plc* | 3,068,394 | ||||||
|
| |||||||
| Household Products (1.0%): |
| ||||||
61,300 | Svenska Cellulosa AB, ADR^ | 1,593,187 | ||||||
|
| |||||||
| Industrial Conglomerates (3.1%): |
| ||||||
62,460 | Koc Holding AS, ADR | 1,514,655 | ||||||
27,300 | Siemens AG, Registered Shares | 3,605,389 | ||||||
|
| |||||||
5,120,044 | ||||||||
|
| |||||||
| Insurance (8.3%): |
| ||||||
70,900 | Axis Capital Holdings, Ltd. | 3,139,452 | ||||||
181,800 | Manulife Financial Corp. | 3,612,366 | ||||||
17,700 | RenaissanceRe Holdings, Ltd. | 1,893,900 | ||||||
157,100 | Zurich Insurance Group AG, ADR | 4,728,710 | ||||||
|
| |||||||
13,374,428 | ||||||||
|
| |||||||
| IT Services (1.2%): |
| ||||||
27,100 | Cap Gemini SA | 1,935,350 | ||||||
|
| |||||||
| Leisure Products (0.3%): |
| ||||||
28,200 | Sega Sammy Holdings, Inc. | 555,930 | ||||||
|
| |||||||
| Machinery (1.0%): |
| ||||||
67,600 | Komatsu, Ltd. | 1,572,174 | ||||||
|
| |||||||
| Metals & Mining (4.1%): |
| ||||||
54,400 | Rio Tinto plc, Registered Shares, ADR^ | 2,952,832 | ||||||
171,900 | Vale SA, ADR^ | 2,274,237 | ||||||
173,700 | Yamana Gold, Inc. | 1,427,814 | ||||||
|
| |||||||
6,654,883 | ||||||||
|
| |||||||
| Multiline Retail (1.0%): |
| ||||||
111,550 | Marks & Spencer Group plc, ADR^ | 1,619,706 | ||||||
|
| |||||||
| Multi-Utilities (1.8%): |
| ||||||
555,900 | Centrica plc | 2,971,559 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (12.5%): |
| ||||||
3,668,695 | China Petroleum & Chemical Corp. (Sinopec), H Shares | 3,501,623 | ||||||
49,700 | LUKOIL, ADR | 2,973,054 | ||||||
61,000 | Royal Dutch Shell plc, ADR | 5,024,570 | ||||||
88,400 | Sasol, Ltd., ADR^ | 5,226,208 | ||||||
114,900 | Statoil ASA, ADR^ | 3,542,367 | ||||||
|
| |||||||
20,267,822 | ||||||||
|
| |||||||
| Pharmaceuticals (4.3%): |
| ||||||
31,000 | Sanofi-Aventis SA | 3,297,027 | ||||||
67,900 | Teva Pharmaceutical Industries, Ltd., ADR | 3,559,318 | ||||||
|
| |||||||
6,856,345 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.3%): |
| ||||||
97,900 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 2,094,081 | ||||||
|
| |||||||
| Software (1.0%): |
| ||||||
62,469 | Sage Group plc (The), ADR^ | 1,637,312 | ||||||
|
| |||||||
| Tobacco (2.1%): |
| ||||||
74,700 | Imperial Tobacco Group plc | 3,358,727 | ||||||
|
|
Continued
2
AZL NFJ International Value Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Trading Companies & Distributors (1.9%): |
| ||||||
9,600 | Mitsui & Co., Ltd., ADR | $ | 3,076,800 | |||||
|
| |||||||
| Water Utilities (2.1%): |
| ||||||
313,000 | Companhia de Saneamento Basico do Estado de Sao Paulo, ADR | 3,355,360 | ||||||
|
| |||||||
| Wireless Telecommunication Services (2.6%): |
| ||||||
292,800 | China Mobile, Ltd. | 2,842,634 | ||||||
74,200 | Mobile TeleSystems, ADR | 1,464,708 | ||||||
|
| |||||||
4,307,342 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $133,332,474) | 156,081,166 | ||||||
|
| |||||||
| Preferred Stock (2.2%): |
| ||||||
| Automobiles (2.2%): |
| ||||||
13,700 | Volkswagen AG, Preferred Shares | 3,598,169 | ||||||
|
| |||||||
| Total Preferred Stock (Cost $2,807,254) | 3,598,169 | ||||||
|
| |||||||
| Right (0.1%): |
| ||||||
| Household Durables (0.1%): |
| ||||||
141,115 | Persimmon plc ORD*(a) | 169,032 | ||||||
|
| |||||||
| Total Right (Cost $—) | 169,032 | ||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Securities Held as Collateral for Securities on Loan (9.9%): |
| ||||||
$ | 16,065,527 | Allianz Variable Insurance Products Securities Lending Collateral Trust(b) | $ | 16,065,527 | ||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 16,065,527 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.6%): |
| ||||||
2,629,253 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c) | 2,629,253 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $2,629,253) | 2,629,253 | ||||||
|
| |||||||
| Total Investment Securities | 178,543,147 | ||||||
| Net other assets (liabilities) — (9.9)% | (16,061,286 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 162,481,861 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014. |
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $15,580,674. |
(a) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.10% of the net assets of the fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(c) | The rate represents the effective yield at June 30, 2014. |
(d) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Australia | 1.8 | % | ||
Bermuda | 2.8 | % | ||
Brazil | 6.4 | % | ||
Canada | 6.2 | % | ||
China | 5.3 | % | ||
Denmark | 1.8 | % | ||
France | 4.2 | % | ||
Germany | 4.9 | % | ||
Hong Kong | 3.1 | % | ||
India | 1.2 | % | ||
Ireland | 0.8 | % | ||
Israel | 2.7 | % | ||
Japan | 9.3 | % |
Country | Percentage | |||
Norway | 2.8 | % | ||
Russian Federation | 3.3 | % | ||
Singapore | 3.3 | % | ||
South Africa | 2.9 | % | ||
Sweden | 0.9 | % | ||
Switzerland | 2.6 | % | ||
Taiwan | 1.2 | % | ||
Turkey | 0.8 | % | ||
United Kingdom | 21.2 | % | ||
United States | 10.5 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
3
AZL NFJ International Value Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 154,834,508 | |||
|
| ||||
Investment securities, at value* | $ | 178,543,147 | |||
Cash | 77,004 | ||||
Interest and dividends receivable | 364,386 | ||||
Reclaims receivable | 22,886 | ||||
Prepaid expenses | 634 | ||||
|
| ||||
Total Assets | 179,008,057 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 292,071 | ||||
Payable for capital shares redeemed | 31 | ||||
Payable for collateral received on loaned securities | 16,065,527 | ||||
Manager fees payable | 120,231 | ||||
Administration fees payable | 5,555 | ||||
Distribution fees payable | 33,395 | ||||
Custodian fees payable | 5,789 | ||||
Administrative and compliance services fees payable | 272 | ||||
Trustee fees payable | 603 | ||||
Other accrued liabilities | 2,722 | ||||
|
| ||||
Total Liabilities | 16,526,196 | ||||
|
| ||||
Net Assets | $ | 162,481,861 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 124,905,633 | |||
Accumulated net investment income/(loss) | 5,244,829 | ||||
Accumulated net realized gains/(losses) from investment transactions | 8,621,569 | ||||
Net unrealized appreciation/(depreciation) on investments | 23,709,830 | ||||
|
| ||||
Net Assets | $ | 162,481,861 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 12,063,872 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.47 | |||
|
|
* | Includes securities on loan of $15,580,674. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,262,230 | |||
Interest | 1,313 | ||||
Income from securities lending | 146,745 | ||||
Foreign withholding tax | (185,297 | ) | |||
|
| ||||
Total Investment Income | 3,224,991 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 685,965 | ||||
Administration fees | 32,911 | ||||
Distribution fees | 190,546 | ||||
Custodian fees | 19,986 | ||||
Administrative and compliance services fees | 1,619 | ||||
Trustee fees | 5,082 | ||||
Professional fees | 5,244 | ||||
Shareholder reports | 1,280 | ||||
Other expenses | 1,693 | ||||
|
| ||||
Total expenses before reductions | 944,326 | ||||
Less expenses paid indirectly | (177 | ) | |||
|
| ||||
Net expenses | 944,149 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,280,842 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 2,860,159 | ||||
Change in net unrealized appreciation/depreciation on investments | 2,068,893 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 4,929,052 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 7,209,894 | |||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL NFJ International Value Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,280,842 | $ | 2,981,508 | ||||||
Net realized gains/(losses) on investment transactions | 2,860,159 | 6,282,759 | ||||||||
Change in unrealized appreciation/depreciation on investments | 2,068,893 | 6,577,956 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 7,209,894 | 15,842,223 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (2,500,966 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (2,500,966 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 8,589,800 | 3,928,804 | ||||||||
Proceeds from dividends reinvested | — | 2,500,966 | ||||||||
Value of shares redeemed | (4,414,323 | ) | (3,831,032 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 4,175,477 | 2,598,738 | ||||||||
|
|
|
| |||||||
Change in net assets | 11,385,371 | 15,939,995 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 151,096,490 | 135,156,495 | ||||||||
|
|
|
| |||||||
End of period | $ | 162,481,861 | $ | 151,096,490 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 5,244,829 | $ | 2,963,987 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 668,175 | 326,579 | ||||||||
Dividends reinvested | — | 204,997 | ||||||||
Shares redeemed | (337,358 | ) | (314,593 | ) | ||||||
|
|
|
| |||||||
Change in shares | 330,817 | 216,983 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL NFJ International Value Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | May 1, 2009 to December 31, 2009 (a) | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.88 | $ | 11.74 | $ | 12.14 | $ | 14.65 | $ | 13.70 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.18 | 0.25 | 0.19 | 0.53 | 0.15 | 0.16 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.41 | 1.11 | 2.14 | (2.13 | ) | 1.15 | 3.54 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.59 | 1.36 | 2.33 | (1.60 | ) | 1.30 | 3.70 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.22 | ) | (0.35 | ) | (0.36 | ) | (0.09 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | — | (2.38 | ) | (0.55 | ) | (0.26 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.22 | ) | (2.73 | ) | (0.91 | ) | (0.35 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.47 | $ | 12.88 | $ | 11.74 | $ | 12.14 | $ | 14.65 | $ | 13.70 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 4.58 | %(c) | 11.66 | % | 20.55 | % | (10.92 | )% | 9.67 | % | 37.00 | %(c) | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 162,482 | $ | 151,096 | $ | 135,156 | $ | 92,191 | $ | 167,175 | $ | 78,308 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.99 | % | 2.10 | % | 2.25 | % | 2.45 | % | 2.01 | % | 2.01 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.24 | % | 1.23 | % | 1.25 | % | 1.24 | % | 1.21 | % | 1.33 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.24 | % | 1.22 | % | 1.24 | % | 1.17 | % | 1.10 | % | 1.20 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d)(f) | 1.24 | % | 1.23 | % | 1.25 | % | 1.19 | % | 1.11 | % | 1.23 | % | ||||||||||||||||||
Portfolio Turnover Rate | 8 | %(c) | 24 | % | 21 | % | 43 | % | 29 | % | 25 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
6
AZL NFJ International Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL NFJ International Value Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL NFJ International Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $12.9 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $14,553 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an affiliated money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with NFJ Investment Group LLC (“NFJ”), NFJ provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL NFJ International Value Fund | 0.90 | % | 1.45 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
8
AZL NFJ International Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $885 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks | ||||||||||||||||||||
Automobiles | $ | 2,148,300 | $ | 3,226,442 | $ | — | $ | 5,374,742 | ||||||||||||
Banks | 13,882,526 | 15,446,747 | — | 29,329,273 | ||||||||||||||||
Beverages | 1,565,421 | 3,274,672 | — | 4,840,093 | ||||||||||||||||
Chemicals | 2,340,936 | 1,213,765 | — | 3,554,701 | ||||||||||||||||
Commercial Services & Supplies | — | 1,289,848 | — | 1,289,848 | ||||||||||||||||
Construction Materials | — | 2,987,173 | — | 2,987,173 | ||||||||||||||||
Containers & Packaging | — | 1,353,031 | — | 1,353,031 | ||||||||||||||||
Diversified Financial Services | — | 1,614,113 | — | 1,614,113 |
9
AZL NFJ International Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Diversified Telecommunication Services | $ | 2,193,040 | $ | 1,506,655 | $ | — | $ | 3,699,695 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 3,228,028 | — | 3,228,028 | ||||||||||||||||
Food & Staples Retailing | — | 2,536,287 | — | 2,536,287 | ||||||||||||||||
Food Products | — | 2,870,610 | — | 2,870,610 | ||||||||||||||||
Household Durables | — | 3,068,394 | — | 3,068,394 | ||||||||||||||||
Industrial Conglomerates | 1,514,655 | 3,605,389 | — | 5,120,044 | ||||||||||||||||
IT Services | — | 1,935,350 | — | 1,935,350 | ||||||||||||||||
Leisure Products | — | 555,930 | — | 555,930 | ||||||||||||||||
Machinery | — | 1,572,174 | — | 1,572,174 | ||||||||||||||||
Multi-Utilities | — | 2,971,559 | — | 2,971,559 | ||||||||||||||||
Oil, Gas & Consumable Fuels | 16,766,199 | 3,501,623 | — | 20,267,822 | ||||||||||||||||
Pharmaceuticals | 3,559,318 | 3,297,027 | — | 6,856,345 | ||||||||||||||||
Tobacco | — | 3,358,727 | — | 3,358,727 | ||||||||||||||||
Wireless Telecommunication Services | 1,464,708 | 2,842,634 | — | 4,307,342 | ||||||||||||||||
All Other Common Stock+ | 43,389,885 | — | 43,389,885 | |||||||||||||||||
Preferred Stock+ | — | 3,598,169 | — | 3,598,169 | ||||||||||||||||
Right | — | — | 169,032 | 169,032 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 16,065,527 | — | 16,065,527 | ||||||||||||||||
Unaffiliated Investment Company | 2,629,253 | — | — | 2,629,253 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 91,454,241 | $ | 86,919,874 | $ | 169,032 | $ | 178,543,147 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL NFJ International Value Fund | $ | 22,164,206 | $ | 11,425,730 |
6. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $155,279,585. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 28,928,230 | ||
Unrealized depreciation | (5,664,668 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 23,263,562 | ||
|
|
During the period ended December 31, 2013 the Fund utilized $249,922 in capital loss carry forwards to offset capital gains.
10
AZL NFJ International Value Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL NFJ International Value Fund | $ | 2,500,966 | $ | — | $ | 2,500,966 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL NFJ International Value Fund | $ | 2,966,257 | $ | 6,108,872 | $ | — | $ | 21,291,205 | $ | 30,366,334 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2014, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Oppenheimer Discovery Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 12 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Oppenheimer Discovery Fund
(Unaudited)
As a shareholder of the AZL Oppenheimer Discovery Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Oppenheimer Discovery Fund | $ | 1,000.00 | $ | 951.20 | $ | 5.61 | 1.16 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Oppenheimer Discovery Fund | $ | 1,000.00 | $ | 1,019.04 | $ | 5.81 | 1.16 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 24.1 | % | |||
Industrials | 21.4 | ||||
Health Care | 18.6 | ||||
Consumer Discretionary | 14.0 | ||||
Energy | 6.7 | ||||
Financials | 5.6 | ||||
Materials | 5.1 | ||||
Consumer Staples | 2.6 | ||||
|
| ||||
Total Common Stock | 98.1 | ||||
Securities Held as Collateral for Securities on Loan | 3.1 | ||||
Money Market | 2.3 | ||||
|
| ||||
Total Investment Securities | 103.5 | ||||
Net other assets (liabilities) | (3.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Oppenheimer Discovery Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (98.1%): |
| ||||||
| Aerospace & Defense (3.1%): |
| ||||||
38,870 | Curtiss-Wright Corp. | $ | 2,548,317 | |||||
69,747 | HEICO Corp. | 3,622,659 | ||||||
95,100 | Hexcel Corp.* | 3,889,590 | ||||||
|
| |||||||
10,060,566 | ||||||||
|
| |||||||
| Airlines (0.5%): |
| ||||||
13,622 | Allegiant Travel Co. | 1,604,263 | ||||||
|
| |||||||
| Auto Components (1.4%): |
| ||||||
31,190 | Dorman Products, Inc.* | 1,538,291 | ||||||
65,200 | Gentherm, Inc.* | 2,898,140 | ||||||
|
| |||||||
4,436,431 | ||||||||
|
| |||||||
| Banks (3.5%): |
| ||||||
79,860 | Bank of the Ozarks, Inc. | 2,671,317 | ||||||
34,760 | Signature Bank* | 4,386,016 | ||||||
29,200 | South State Corp. | �� | 1,781,200 | |||||
8,300 | Square 1 Financial, Inc., Class A* | 157,783 | ||||||
104,490 | Western Alliance BanCorp* | 2,486,862 | ||||||
|
| |||||||
11,483,178 | ||||||||
|
| |||||||
| Beverages (0.5%): |
| ||||||
6,580 | Boston Beer Co., Inc. (The), Class A* | 1,470,762 | ||||||
|
| |||||||
| Biotechnology (3.0%): |
| ||||||
55,310 | Cepheid, Inc.* | 2,651,561 | ||||||
47,900 | Cubist Pharmaceuticals, Inc.* | 3,344,378 | ||||||
43,440 | InterMune, Inc.* | 1,917,876 | ||||||
57,180 | NPS Pharmaceuticals, Inc.* | 1,889,799 | ||||||
|
| |||||||
9,803,614 | ||||||||
|
| |||||||
| Building Products (0.8%): |
| ||||||
54,090 | A.O. Smith Corp. | 2,681,782 | ||||||
|
| |||||||
| Capital Markets (1.8%): |
| ||||||
39,570 | Artisan Partners Asset Management, Inc. | 2,242,828 | ||||||
59,380 | Evercore Partners, Inc., Class A | 3,422,663 | ||||||
8,248 | HFF, Inc., Class A | 306,743 | ||||||
|
| |||||||
5,972,234 | ||||||||
|
| |||||||
| Chemicals (1.5%): |
| ||||||
119,820 | PolyOne Corp. | 5,049,215 | ||||||
|
| |||||||
| Commercial Services & Supplies (2.0%): |
| ||||||
133,700 | Mobile Mini, Inc. | 6,402,893 | ||||||
|
| |||||||
| Communications Equipment (0.1%): |
| ||||||
3,109 | Arista Networks, Inc.*^ | 193,971 | ||||||
|
| |||||||
| Construction Materials (1.9%): |
| ||||||
47,600 | CaesarStone Sdot-Yam, Ltd. | 2,336,208 | ||||||
36,020 | Eagle Materials, Inc. | 3,395,965 | ||||||
|
| |||||||
5,732,173 | ||||||||
|
| |||||||
| Diversified Consumer Services (1.4%): |
| ||||||
18,641 | Bright Horizons Family Solutions, Inc.* | 800,445 | ||||||
50,420 | Grand Canyon Education, Inc.* | 2,317,807 | ||||||
112,860 | Lifelock, Inc.* | 1,575,526 | ||||||
|
| |||||||
4,693,778 | ||||||||
|
| |||||||
| Electrical Equipment (1.6%): |
| ||||||
34,600 | Generac Holdings, Inc.* | 1,686,404 | ||||||
90,490 | Methode Electronics, Inc. | 3,457,623 | ||||||
|
| |||||||
5,144,027 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Energy Equipment & Services (1.6%): |
| ||||||
15,170 | Dril-Quip, Inc.* | $ | 1,657,171 | |||||
53,813 | Forum Energy Technologies, Inc.* | 1,960,407 | ||||||
49,190 | Matrix Service Co.* | 1,612,940 | ||||||
|
| |||||||
5,230,518 | ||||||||
|
| |||||||
| Food Products (2.1%): |
| ||||||
140,530 | Boulder Brands, Inc.* | 1,992,714 | ||||||
20,047 | J & J Snack Foods Corp. | 1,886,824 | ||||||
17,294 | Sanderson Farms, Inc. | 1,680,977 | ||||||
98,012 | SunOpta, Inc.* | 1,380,009 | ||||||
|
| |||||||
6,940,524 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (6.3%): |
| ||||||
35,760 | Cantel Medical Corp. | 1,309,531 | ||||||
53,170 | Cardiovascular Systems, Inc.* | 1,656,777 | ||||||
77,188 | Dexcom, Inc.* | 3,061,276 | ||||||
144,890 | Globus Medical, Inc., Class A* | 3,465,769 | ||||||
63,730 | Insulet Corp.* | 2,528,169 | ||||||
107,940 | Spectranetics Corp. (The)* | 2,469,667 | ||||||
59,730 | West Pharmaceutical Services, Inc. | 2,519,411 | ||||||
67,853 | Wright Medical Group, Inc.* | 2,130,584 | ||||||
79,650 | Zeltiq Aesthetics, Inc.* | 1,209,884 | ||||||
|
| |||||||
20,351,068 | ||||||||
|
| |||||||
| Health Care Providers & Services (5.8%): |
| ||||||
79,760 | Acadia Healthcare Co., Inc.* | 3,629,080 | ||||||
49,830 | Centene Corp.* | 3,767,646 | ||||||
73,970 | ExamWorks Group, Inc.* | 2,347,068 | ||||||
37,743 | LifePoint Hospitals, Inc.* | 2,343,840 | ||||||
16,840 | MWI Veterinary Supply, Inc.* | 2,391,112 | ||||||
91,030 | Team Health Holdings, Inc.* | 4,546,039 | ||||||
|
| |||||||
19,024,785 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (5.3%): |
| ||||||
41,460 | Buffalo Wild Wings, Inc.* | 6,870,336 | ||||||
66,210 | Chuy’s Holdings, Inc.* | 2,403,423 | ||||||
87,550 | Fiesta Restaurant Group, Inc.* | 4,063,196 | ||||||
54,640 | Red Robin Gourmet Burgers* | 3,890,368 | ||||||
|
| |||||||
17,227,323 | ||||||||
|
| |||||||
| Household Durables (0.6%): |
| ||||||
50,808 | GoPro, Inc., Class A* | 2,060,264 | ||||||
|
| |||||||
| Internet & Catalog Retail (0.3%): |
| ||||||
32,240 | RetailMeNot, Inc.*^ | 857,906 | ||||||
|
| |||||||
| Internet Software & Services (6.3%): |
| ||||||
69,690 | Channeladvisor Corp.* | 1,837,028 | ||||||
100,950 | Cornerstone OnDemand, Inc.* | 4,645,720 | ||||||
48,530 | Demandware, Inc.* | 3,366,526 | ||||||
45,360 | Shutterstock, Inc.* | 3,763,973 | ||||||
29,570 | Sps Commerce, Inc.* | 1,868,528 | ||||||
104,320 | Web.com Group, Inc.* | 3,011,718 | ||||||
28,300 | Yelp, Inc.*^ | 2,170,044 | ||||||
|
| |||||||
20,663,537 | ||||||||
|
| |||||||
| IT Services (0.9%): |
| ||||||
68,800 | Maximus, Inc. | 2,959,776 | ||||||
|
| |||||||
| Life Sciences Tools & Services (1.0%): |
| ||||||
69,470 | ICON plc* | 3,272,732 | ||||||
|
|
Continued
2
AZL Oppenheimer Discovery Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Machinery (5.7%): |
| ||||||
41,880 | Greenbrier Companies, Inc.* | $ | 2,412,288 | |||||
86,730 | Middleby Corp. (The)* | 7,174,305 | ||||||
51,380 | Proto Labs, Inc.* | 4,209,050 | ||||||
56,330 | Wabtec Corp. | 4,652,295 | ||||||
|
| |||||||
18,447,938 | ||||||||
|
| |||||||
| Media (1.7%): |
| ||||||
108,280 | MDC Partners, Inc. | 2,326,937 | ||||||
107,850 | Pandora Media, Inc.* | 3,181,575 | ||||||
|
| |||||||
5,508,512 | ||||||||
|
| |||||||
| Metals & Mining (1.7%): |
| ||||||
49,280 | Carpenter Technology Corp. | 3,116,960 | ||||||
46,558 | US Silica Holdings, Inc. | 2,581,176 | ||||||
|
| |||||||
5,698,136 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (5.1%): |
| ||||||
74,830 | Athlon Energy, Inc.* | 3,569,391 | ||||||
75,153 | C&J Energy Services, Inc.* | 2,538,668 | ||||||
61,340 | Diamondback Energy, Inc.* | 5,446,992 | ||||||
65,170 | Matador Resources Co.* | 1,908,178 | ||||||
35,480 | Oasis Petroleum, Inc.* | 1,982,977 | ||||||
43,767 | Parsley Energy, Inc., Class A* | 1,053,472 | ||||||
|
| |||||||
16,499,678 | ||||||||
|
| |||||||
| Pharmaceuticals (2.5%): |
| ||||||
141,360 | Akorn, Inc.*^ | 4,700,220 | ||||||
38,130 | Pacira Pharmaceuticals, Inc.* | 3,502,622 | ||||||
|
| |||||||
8,202,842 | ||||||||
|
| |||||||
| Professional Services (5.9%): |
| ||||||
38,210 | CoStar Group, Inc.* | 6,043,676 | ||||||
57,580 | Huron Consulting Group, Inc.* | 4,077,816 | ||||||
84,090 | Korn/Ferry International* | 2,469,723 | ||||||
187,070 | On Assignment, Inc.* | 6,654,080 | ||||||
|
| |||||||
19,245,295 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (0.3%): |
| ||||||
22,234 | Pebblebrook Hotel Trust | 821,769 | ||||||
|
| |||||||
| Road & Rail (0.9%): |
| ||||||
29,330 | Genesee & Wyoming, Inc., Class A* | 3,079,650 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.9%): |
| ||||||
60,440 | Cavium, Inc.* | 3,001,450 | ||||||
109,530 | Monolithic Power Systems, Inc. | 4,638,596 | ||||||
79,210 | Spansion, Inc.* | 1,668,955 | ||||||
|
| |||||||
9,309,001 | ||||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software (11.9%): |
| ||||||
131,670 | Aspen Technology, Inc.* | $ | 6,109,487 | |||||
67,580 | Envestnet, Inc.* | 3,306,014 | ||||||
147,060 | Guidewire Software, Inc.* | 5,979,460 | ||||||
62,380 | Interactive Intelligence Group* | 3,501,389 | ||||||
81,450 | Proofpoint, Inc.* | 3,051,117 | ||||||
47,320 | ServiceNow, Inc.* | 2,931,947 | ||||||
48,700 | Tableau Software, Inc., Class A* | 3,473,771 | ||||||
44,870 | Tyler Technologies, Inc.* | 4,092,593 | ||||||
47,880 | Ultimate Software Group, Inc. (The)* | 6,615,579 | ||||||
|
| |||||||
39,061,357 | ||||||||
|
| |||||||
| Specialty Retail (1.3%): |
| ||||||
45,480 | Lithia Motors, Inc., Class A | 4,278,304 | ||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.9%): |
| ||||||
24,550 | Stratasys, Ltd.*^ | 2,789,617 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (2.0%): |
| ||||||
24,110 | Deckers Outdoor Corp.* | 2,081,416 | ||||||
25,510 | G-III Apparel Group, Ltd.* | 2,083,147 | ||||||
52,566 | Skechers U.S.A., Inc., Class A* | 2,402,266 | ||||||
|
| |||||||
6,566,829 | ||||||||
|
| |||||||
| Trading Companies & Distributors (2.0%): |
| ||||||
183,490 | H&E Equipment Services, Inc.* | 6,668,027 | ||||||
|
| |||||||
| Total Common Stocks (Cost $253,635,820) | 319,494,275 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (3.1%): |
| ||||||
$ | 10,062,311 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 10,062,311 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 10,062,311 | ||||||
|
| |||||||
| Unaffiliated Investment Company (2.3%): |
| ||||||
7,638,451 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 7,638,451 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 7,638,451 | ||||||
|
| |||||||
| Total Investment Securities | 337,195,037 | ||||||
| Net other assets (liabilities) — (3.5)% | (11,402,311 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 325,792,726 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $9,998,701. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
3
AZL Oppenheimer Discovery Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 271,336,582 | |||
|
| ||||
Investment securities, at value* | $ | 337,195,037 | |||
Interest and dividends receivable | 58,136 | ||||
Receivable for capital shares issued | 137,867 | ||||
Receivable for investments sold | 1,620,691 | ||||
Prepaid expenses | 1,882 | ||||
|
| ||||
Total Assets | 339,013,613 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 2,403,403 | ||||
Payable for capital shares redeemed | 427,304 | ||||
Payable for collateral received on loaned securities | 10,062,311 | ||||
Manager fees payable | 223,245 | ||||
Administration fees payable | 11,687 | ||||
Distribution fees payable | 65,660 | ||||
Custodian fees payable | 10,559 | ||||
Administrative and compliance services fees payable | 1,106 | ||||
Trustee fees payable | 2,217 | ||||
Other accrued liabilities | 13,395 | ||||
|
| ||||
Total Liabilities | 13,220,887 | ||||
|
| ||||
Net Assets | $ | 325,792,726 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 224,394,173 | |||
Accumulated net investment income/(loss) | (1,427,531 | ) | |||
Accumulated net realized gains/(losses) from investment transactions | 36,967,629 | ||||
Net unrealized appreciation/(depreciation) on investments | 65,858,455 | ||||
|
| ||||
Net Assets | $ | 325,792,726 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 21,705,932 | ||||
Net Asset Value (offering and redemption price per share) | $ | 15.01 | |||
|
|
* | Includes securities on loan of $9,998,701. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 445,021 | |||
Income from securities lending | 20,548 | ||||
Foreign withholding tax reclaims received | (4,192 | ) | |||
|
| ||||
Total Investment Income | 461,377 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,388,980 | ||||
Administration fees | 45,005 | ||||
Distribution fees | 408,522 | ||||
Custodian fees | 12,686 | ||||
Administrative and compliance services fees | 2,820 | ||||
Trustee fees | 8,883 | ||||
Professional fees | 8,657 | ||||
Shareholder reports | 10,791 | ||||
Other expenses | 3,231 | ||||
|
| ||||
Total expenses | 1,889,575 | ||||
|
| ||||
Net Investment Income/(Loss) | (1,428,198 | ) | |||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 16,712,330 | ||||
Change in net unrealized appreciation/depreciation on investments | (31,343,817 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | (14,631,487 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (16,059,685 | ) | ||
|
|
See accompanying notes to the financial statements.
4
Statements of Changes in Net Assets
AZL Oppenheimer Discovery Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | �� | |||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (1,428,198 | ) | $ | (2,265,394 | ) | ||||
Net realized gains/(losses) on investment transactions | 16,712,330 | 33,072,781 | ||||||||
Change in unrealized appreciation/depreciation on investments | (31,343,817 | ) | 72,878,181 | |||||||
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Change in net assets resulting from operations | (16,059,685 | ) | 103,685,568 | |||||||
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Dividends to Shareholders: | ||||||||||
From net realized gains | — | (2,889,357 | ) | |||||||
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Change in net assets resulting from dividends to shareholders | — | (2,889,357 | ) | |||||||
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Capital Transactions: | ||||||||||
Proceeds from shares issued | 20,358,001 | 22,741,540 | ||||||||
Proceeds from shares issued in merger | — | 153,408,602 | ||||||||
Proceeds from dividends reinvested | — | 2,889,357 | ||||||||
Value of shares redeemed | (29,060,702 | ) | (53,030,368 | ) | ||||||
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Change in net assets resulting from capital transactions | (8,702,701 | ) | 126,009,131 | |||||||
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Change in net assets | (24,762,386 | ) | 226,805,342 | |||||||
Net Assets: | ||||||||||
Beginning of period | 350,555,112 | 123,749,770 | ||||||||
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End of period | $ | 325,792,726 | $ | 350,555,112 | ||||||
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Accumulated net investment income/(loss) | $ | (1,427,531 | ) | $ | 667 | |||||
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Share Transactions: | ||||||||||
Shares issued | 1,423,751 | 1,760,070 | ||||||||
Shares issued in merger | — | 12,864,661 | ||||||||
Dividends reinvested | — | 200,929 | ||||||||
Shares redeemed | (1,927,591 | ) | (3,930,532 | ) | ||||||
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Change in shares | (503,840 | ) | 10,895,128 | |||||||
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See accompanying notes to the financial statements.
5
AZL Oppenheimer Discovery Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.78 | $ | 10.94 | $ | 9.38 | $ | 9.92 | $ | 7.70 | $ | 5.86 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | (0.07 | ) | (0.10 | ) | (0.01 | ) | (0.04 | ) | 0.01 | (0.02 | ) | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.70 | ) | 5.07 | 1.57 | (0.50 | ) | 2.21 | 1.86 | ||||||||||||||||||||||
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Total from Investment Activities | (0.77 | ) | 4.97 | 1.56 | (0.54 | ) | 2.22 | 1.84 | ||||||||||||||||||||||
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Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Realized Gains | — | (0.13 | ) | — | — | (a) | — | — | ||||||||||||||||||||||
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Total Dividends | — | (0.13 | ) | — | — | (a) | — | — | ||||||||||||||||||||||
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Net Asset Value, End of Period | $ | 15.01 | $ | 15.78 | $ | 10.94 | $ | 9.38 | $ | 9.92 | $ | 7.70 | ||||||||||||||||||
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Total Return(b) | (4.88 | )%(c) | 45.52 | % | 16.63 | % | (5.39 | )% | 28.83 | % | 31.40 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 325,793 | $ | 350,555 | $ | 123,750 | $ | 79,768 | $ | 91,473 | $ | 47,457 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | (0.87 | )% | (0.86 | )% | (0.07 | )% | (0.40 | )% | 0.11 | % | (0.23 | )% | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.16 | % | 1.16 | % | 1.18 | % | 1.19 | % | 1.22 | % | 1.24 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.16 | % | 1.16 | % | 1.18 | % | 1.19 | % | 1.22 | % | 1.24 | % | ||||||||||||||||||
Portfolio Turnover Rate | 42 | %(c) | 79 | %(f) | 161 | % | 145 | %(g) | 97 | % | 173 | % |
(a) | Represents less than $0.005. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 128%. |
(g) | The portfolio turnover rate for the year ended December 31, 2011 was higher than the prior year primarily due to the amount and timing of sales and purchases of fund shares during the period. |
See accompanying notes to the financial statements.
6
AZL Oppenheimer Discovery Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Oppenheimer Discovery Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL Oppenheimer Discovery Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $6.8 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $2,047 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Oppenheimer Funds, Inc. (“Oppenheimer”), Oppenheimer provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Oppenheimer Discovery Fund | 0.85 | % | 1.35 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the
8
AZL Oppenheimer Discovery Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,003 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
During the period ended June 30, 2014, the Fund paid approximately $5,875 to affiliated broker/dealers of the Subadvisor on the execution of purchases and sales of the Fund’s portfolio investments.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
9
AZL Oppenheimer Discovery Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 319,494,275 | $ | — | $ | 319,494,275 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 10,062,311 | 10,062,311 | ||||||||||||
Unaffiliated Investment Company | 7,638,451 | — | 7,638,451 | ||||||||||||
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Total Investment Securities | $ | 327,132,726 | $ | 10,062,311 | $ | 337,195,037 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Oppenheimer Discovery Fund | $ | 135,313,072 | $ | 146,591,265 |
6. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $272,098,872. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 68,833,378 | ||
Unrealized depreciation | (3,737,213 | ) | ||
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Net unrealized appreciation depreciation | $ | 65,096,165 | ||
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During the year ended December 31, 2013, the Fund utilized $585,012 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Oppenheimer Discovery Fund | $ | — | $ | 2,889,357 | $ | 2,889,357 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Oppenheimer Discovery Fund | $ | 1,775,810 | $ | 18,748,231 | $ | — | $ | 96,934,197 | $ | 117,458,238 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
7. Acquisition of Funds
On April 26, 2013, the Fund acquired all of the net assets of the AZL Allianz AGIC Opportunity Fund, an open-end investment company, pursuant to a plan of reorganization approved by AZL Allianz AGIC Opportunity Fund shareholders on April 24, 2013. The purpose of the transaction was to combine two funds managed by the Manager with comparable investment objectives and strategies. The acquisition was accomplished by a tax-free exchange of 12,864,661 shares of the Fund, valued at $153,408,602, for 11,687,440 shares of the AZL Allianz AGIC Opportunity Fund outstanding on April 26, 2013.
The investment portfolio of the AZL Allianz AGIC Opportunity Fund, with a fair value of $153,524,247 and identified cost of $138,025,821 at April 26, 2013, was the principal asset acquired by the Fund. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the
10
AZL Oppenheimer Discovery Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
investments received from the AZL Allianz AGIC Opportunity Fund was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. Immediately prior to the merger, the net assets of the Fund were $142,046,883. All fees and expenses incurred by the AZL Allianz AGIC Opportunity Fund and the Fund directly in connection with the plan of reorganization were borne by the Manager.
Assuming the acquisition had been completed on January 1, 2013, the beginning of the annual reporting period of the Fund, the Fund’s pro forma results of operations for the period ended June 30, 2013, are as follows:
Net investment income/(loss) | $ | (2,485,120 | ) | |
Net realized/unrealized gains/losses) | 115,576,074 | |||
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Change in net assets resulting from operations | $ | 113,090,954 | ||
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Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the AZL Allianz AGIC Opportunity Fund that have been included in the Fund’s statement of operations since April 26, 2013.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
11
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
12
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Pyramis Core Bond Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Pyramis Core Bond Fund
(Unaudited)
As a shareholder of the AZL Pyramis Core Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Pyramis Core Bond Fund | $ | 1,000.00 | $ | 1,045.00 | $ | 4.11 | 0.81 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Pyramis Core Bond Fund | $ | 1,000.00 | $ | 1,020.78 | $ | 4.06 | 0.81 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Corporate Bond | 34.1 | % | |||
U.S. Treasury Obligation | 18.6 | ||||
U.S. Government Agency Mortgages | 17.8 | ||||
Collateralized Mortgage Obligations | 10.8 | ||||
Yankee Dollar | 8.4 | ||||
Municipal Bond | 5.5 | ||||
Asset Backed Securities | 3.8 | ||||
Money Market | 1.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.8 | ||||
|
| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Asset Backed Securities (3.8%): |
| ||||||
$ | 1,155,000 | AmeriCredit Automobile Receivables Trust, Class D, Series 2012-5, 2.35%, 12/10/18 | $ | 1,173,579 | ||||
900,000 | AmeriCredit Automobile Receivables Trust, Class D, Series 2013-3, 3.00%, 7/8/19 | 926,651 | ||||||
1,750,000 | AmeriCredit Automobile Receivables Trust, Class C, Series 2013-4, 2.72%, 9/9/19 | 1,792,405 | ||||||
1,750,000 | AmeriCredit Automobile Receivables Trust, Class D, Series 2013-4, 3.31%, 10/8/19 | 1,813,732 | ||||||
38,983 | CFC LLC, Class A, Series 2013-1A, 1.65%, 7/17/17(a) | 39,092 | ||||||
4,220,000 | CFC LLC, Class B, Series 2013-1A, 2.75%, 11/15/18(a) | 4,264,800 | ||||||
128,619 | Countrywide Asset-Backed Certificates, Class AF5, Series 2004-7, 5.87%, 1/25/35(b) | 134,753 | ||||||
1,130,000 | Ford Credit Floorplan Master Owner Trust, Class C, Series 2013-3, 1.29%, 6/15/17 | 1,134,396 | ||||||
1,130,000 | Ford Credit Floorplan Master Owner Trust, Class D, Series 2013-3, 1.74%, 6/15/17 | 1,133,346 | ||||||
387,000 | Santander Drive Auto Receivables Trust, Class C, Series 2014-2, 2.33%, 11/15/19 | 389,491 | ||||||
959,000 | Santander Drive Auto Receivables Trust, Class B, Series 2014-3, 1.45%, 5/15/19 | 959,444 | ||||||
963,000 | Santander Drive Auto Receivables Trust, Class C, Series 2014-3, 2.13%, 8/17/20 | 964,057 | ||||||
|
| |||||||
| Total Asset Backed Securities (Cost $14,570,476) | 14,725,746 | ||||||
|
| |||||||
| Collateralized Mortgage Obligations (10.8%): | |||||||
39,203 | Banc of America Commercial Mortgage Trust, Class A4, Series 2006-3, 5.89%, 7/10/44(b) | 42,279 | ||||||
110,000 | Bank of America Commercial Mortgage Trust, Class A4, Series 2007-1, 5.45%, 1/15/49 | 118,587 | ||||||
215,972 | Citigroup Mortgage Loan Trust, Inc., Class A, Series 2012-A, 2.50%, 6/25/51(a) | 209,384 | ||||||
200,000 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Class A4, Series 2007-CD4, 5.32%, 12/11/49^ | 217,588 | ||||||
236,120 | Commercial Mortgage Trust, Class A5, Series 2004-LB4A, 4.84%, 10/15/37 | 236,861 | ||||||
320,000 | Extended Stay America Trust, Class BFL, Series 2013-ESFL, 1.25%, 12/5/31(a)(b) | 319,790 | ||||||
230,000 | Extended Stay America Trust, Class CFL, Series 2013-ESFL, 1.65%, 12/5/31(a)(b) | 230,420 | ||||||
4,716,000 | GE Capital Commercial Mortgage Corp., Class A4, Series 2007-C1, 5.54%, 12/10/49 | 5,122,991 | ||||||
281,749 | Granite Master Issuer plc, Class A1, Series 2006-1A, 0.22%, 12/20/54(a)(b) | 279,742 | ||||||
3,700,000 | Granite Master Issuer plc, Class M2, Series 2006-1A, 0.73%, 12/20/54(a)(b) | 3,643,486 | ||||||
79,818 | Granite Master Issuer plc, Class A4, Series 2006-2, 0.23%, 12/20/54(b) | 79,262 | ||||||
37,879 | Granite Master Issuer plc, Class A3, Series 2006-3, 0.23%, 12/20/54(b) | 37,530 | ||||||
43,958 | Granite Master Issuer plc, Class A7, Series 2006-3, 0.35%, 12/20/54(b) | 43,734 | ||||||
3,750,000 | Granite Master Issuer plc, Class M2, Series 2006-3, 0.71%, 12/20/54(b) | 3,689,141 |
Principal Amount | Fair Value | |||||||
| Collateralized Mortgage Obligations, continued | |||||||
$ | 1,773,108 | Granite Master Issuer plc, Class A4, Series 2006-4, 0.25%, 12/20/54(b) | $ | 1,756,619 | ||||
101,190 | Granite Master Issuer plc, Class 2A1, Series 2007-1, 0.29%, 12/20/54(b) | 100,580 | ||||||
1,371,000 | Granite Master Issuer plc, Class 1B1, Series 2007-1, 0.29%, 12/20/54(b) | 1,340,248 | ||||||
21,761 | Granite Master Issuer plc, Class 3A1, Series 2007-2, 0.33%, 12/17/54(b) | 21,644 | ||||||
257,000 | Granite Master Issuer plc, Class 1B1, Series 2007-2, 0.31%, 12/17/54(b) | 251,438 | ||||||
371,941 | Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Class A4, Series 2007-GG9, 6.01%, 7/10/38(b) | 400,318 | ||||||
900,000 | Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Class A4, Series 2007-GG9, 5.44%, 3/10/39 | 982,049 | ||||||
9,100,000 | GS Mortgage Securities Trust, Class XB1, Series 2013-KY0, 3.25%, 11/8/29(b)(c) | 277,400 | ||||||
4,112,000 | Hilton USA Trust, Class DFX, Series 2013-HLT, 4.41%, 11/5/30(a) | 4,257,997 | ||||||
220,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2006-LDP7, 6.06%, 4/15/45(b) | 236,640 | ||||||
328,793 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A1A, Series 2006-LDP8, 5.40%, 5/15/45 | 355,182 | ||||||
468,167 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2007-CB18, 5.44%, 6/12/47 | 510,682 | ||||||
5,157,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2007-LD11, 5.99%, 6/15/49(b) | 5,670,988 | ||||||
3,921,205 | LB-UBS Commercial Mortgage Trust, Class A3, Series 2007-C7, 5.87%, 9/15/45(b) | 4,409,308 | ||||||
1,390,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Class A4, Series 2007-6, 5.48%, 3/12/51(b) | 1,526,723 | ||||||
476,178 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Class A4, Series 2007-5, 5.38%, 8/12/48 | 513,741 | ||||||
1,970,000 | Morgan Stanley Capital I, Class A4, Series 2007-IQ14, 5.69%, 4/15/49(b) | 2,172,295 | ||||||
323,707 | Wachovia Bank Commercial Mortgage Trust, Class A1A, Series 2006-C26, 6.01%, 6/15/45(b) | 350,611 | ||||||
784,000 | Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2007-C33, 6.14%, 7/15/17(b) | 857,882 | ||||||
1,843,000 | Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2007-C31, 5.51%, 4/15/47 | 1,995,271 | ||||||
|
| |||||||
| Total Collateralized Mortgage Obligations (Cost $42,425,748) | 42,258,411 | ||||||
|
| |||||||
| Corporate Bonds (34.1%): |
| ||||||
| Airlines (0.1%): |
| ||||||
220,983 | Continental Airlines 1998-1, Class A, Series 981, 6.65%, 9/15/17 | 234,640 | ||||||
|
| |||||||
| Banks (5.0%): |
| ||||||
320,000 | Bank of America Corp., Series L, 1.35%, 11/21/16 | 320,941 |
Continued
2
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Banks, continued |
| ||||||
$ | 113,000 | Bank of America Corp., 3.88%, 3/22/17 | $ | 120,524 | ||||
3,677,000 | Bank of America Corp., 2.60%, 1/15/19 | 3,720,252 | ||||||
872,000 | Bank of America Corp., Series L, 2.65%, 4/1/19 | 883,859 | ||||||
550,000 | Bank of America Corp., 5.70%, 1/24/22 | 638,211 | ||||||
250,000 | Discover Bank, 7.00%, 4/15/20 | 300,291 | ||||||
250,000 | Huntington National Bank (The), Series BKNT, 1.30%, 11/20/16, Callable 10/20/16 @ 100 | 251,145 | ||||||
400,000 | Huntington National Bank (The), 2.20%, 4/1/19, Callable 3/1/19 @ 100 | 402,591 | ||||||
5,103,000 | JPMorgan Chase & Co., 2.00%, 8/15/17 | 5,189,510 | ||||||
2,340,000 | JPMorgan Chase & Co., 2.35%, 1/28/19 | 2,367,387 | ||||||
28,000 | M&I Marshall & Ilsley Bank, Series BKNT, 5.00%, 1/17/17 | 30,300 | ||||||
1,278,000 | Regions Bank, Series BKNT, 7.50%, 5/15/18, MTN | 1,521,091 | ||||||
500,000 | Regions Bank, 6.45%, 6/26/37 | 594,095 | ||||||
500,000 | Regions Financial Corp., 5.75%, 6/15/15 | 522,585 | ||||||
88,000 | Regions Financial Corp., 2.00%, 5/15/18, Callable 4/15/18 @ 100 | 87,690 | ||||||
32,000 | SunTrust Banks, Inc., Series BKNT, 3.50%, 1/20/17, Callable 12/20/16 @ 100 | 33,881 | ||||||
181,000 | SunTrust Banks, Inc., 2.35%, 11/1/18, Callable 10/1/18 @ 100 | 183,314 | ||||||
1,200,000 | Wachovia Bank NA, Series BKNT, 6.00%, 11/15/17 | 1,374,844 | ||||||
800,000 | Wells Fargo & Co., 4.10%, 6/3/26, MTN | 810,079 | ||||||
|
| |||||||
19,352,590 | ||||||||
|
| |||||||
| Biotechnology (0.7%): |
| ||||||
781,000 | Amgen, Inc., 1.25%, 5/22/17 | 780,301 | ||||||
1,937,000 | Amgen, Inc., 2.20%, 5/22/19, Callable 5/22/19 @ 100 | 1,934,749 | ||||||
|
| |||||||
2,715,050 | ||||||||
|
| |||||||
| Capital Markets (2.3%): |
| ||||||
147,000 | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | 152,090 | ||||||
1,355,000 | Goldman Sachs Group, Inc. (The), 6.25%, 9/1/17 | 1,542,608 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), 1.75%, 9/15/17 | 399,208 | ||||||
1,000,000 | Goldman Sachs Group, Inc. (The), 6.15%, 4/1/18 | 1,146,820 | ||||||
642,000 | Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18 | 661,433 | ||||||
750,000 | Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19 | 760,194 | ||||||
490,000 | Morgan Stanley, Series G, 5.45%, 1/9/17, MTN | 539,782 | ||||||
1,300,000 | Morgan Stanley, Series F, 6.63%, 4/1/18, MTN | 1,519,665 | ||||||
180,000 | Morgan Stanley, 2.13%, 4/25/18 | 181,977 | ||||||
2,060,000 | Morgan Stanley, 2.50%, 1/24/19 | 2,083,072 | ||||||
68,000 | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100 | 72,782 | ||||||
|
| |||||||
9,059,631 | ||||||||
|
| |||||||
| Chemicals (0.0%): |
| ||||||
192,000 | Ecolab, Inc., 1.45%, 12/8/17 | 192,246 | ||||||
|
| |||||||
| Consumer Finance (2.5%): |
| ||||||
690,000 | Capital One Bank USA NA, 1.30%, 6/5/17, Callable 5/5/17 @ 100 | 689,770 |
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Consumer Finance, continued |
| ||||||
$ | 320,000 | Capital One Financial Corp., 2.45%, 4/24/19, Callable 3/24/19 @ 100 | $ | 323,001 | ||||
1,000,000 | Ford Motor Credit Co. LLC, 2.50%, 1/15/16 | 1,025,368 | ||||||
1,140,000 | Ford Motor Credit Co. LLC, 1.50%, 1/17/17 | 1,146,197 | ||||||
324,000 | Ford Motor Credit Co. LLC, 3.00%, 6/12/17 | 338,013 | ||||||
600,000 | Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 667,471 | ||||||
600,000 | Ford Motor Credit Co. LLC, 2.88%, 10/1/18 | 621,025 | ||||||
1,100,000 | Ford Motor Credit Co. LLC, 2.38%, 3/12/19 | 1,105,339 | ||||||
751,000 | Ford Motor Credit Co. LLC, 5.88%, 8/2/21 | 881,721 | ||||||
902,000 | Ford Motor Credit Co. LLC, 4.38%, 8/6/23 | 963,272 | ||||||
186,000 | Lazard Group LLC, 4.25%, 11/14/20 | 194,871 | ||||||
1,600,000 | NiSource Finance Corp., 4.45%, 12/1/21, Callable 9/1/21 @ 100 | 1,722,228 | ||||||
|
| |||||||
9,678,276 | ||||||||
|
| |||||||
| Diversified Financial Services (2.9%): |
| ||||||
270,000 | Bank of America NA, Series BKNT, 5.30%, 3/15/17 | 296,955 | ||||||
2,568,000 | Citigroup, Inc., 1.25%, 1/15/16 | 2,583,467 | ||||||
500,000 | Citigroup, Inc., 1.70%, 7/25/16 | 506,572 | ||||||
570,000 | Citigroup, Inc., 1.30%, 11/15/16 | 570,735 | ||||||
900,000 | Citigroup, Inc., 6.00%, 8/15/17 | 1,018,686 | ||||||
1,043,000 | Citigroup, Inc., 6.13%, 11/21/17 | 1,192,928 | ||||||
1,271,000 | Citigroup, Inc., 2.55%, 4/8/19 | 1,280,939 | ||||||
769,000 | Citigroup, Inc., 5.30%, 5/6/44 | 802,104 | ||||||
228,000 | Daimler Finance NA LLC, 1.45%, 8/1/16(a) | 230,511 | ||||||
1,000,000 | Discover Financial Services, 5.20%, 4/27/22 | 1,109,842 | ||||||
112,000 | Hyundai Capital America, Inc., 1.63%, 10/2/15(a) | 113,014 | ||||||
91,000 | Hyundai Capital America, Inc., 1.88%, 8/9/16(a) | 92,339 | ||||||
378,000 | Hyundai Capital America, Inc., 1.45%, 2/6/17(a) | 379,424 | ||||||
124,000 | Hyundai Capital America, Inc., 2.13%, 10/2/17(a) | 125,887 | ||||||
161,000 | Hyundai Capital America, Inc., 2.88%, 8/9/18(a) | 165,657 | ||||||
378,000 | Hyundai Capital America, Inc., 2.55%, 2/6/19(a) | 381,022 | ||||||
444,000 | JPMorgan Chase Bank NA, Series BKNT, 6.00%, 10/1/17 | 505,037 | ||||||
161,000 | Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100 | 164,228 | ||||||
|
| |||||||
11,519,347 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (3.9%): |
| ||||||
820,000 | CenturyLink, Inc., Series N, 6.00%, 4/1/17 | 905,075 | ||||||
28,000 | CenturyLink, Inc., Series R, 5.15%, 6/15/17 | 30,240 | ||||||
62,000 | CenturyLink, Inc., Series Q, 6.15%, 9/15/19 | 67,580 | ||||||
3,294,000 | Verizon Communications, Inc., 2.50%, 9/15/16 | 3,395,267 | ||||||
605,000 | Verizon Communications, Inc., 1.35%, 6/9/17 | 604,798 | ||||||
1,708,000 | Verizon Communications, Inc., 3.65%, 9/14/18 | 1,826,674 | ||||||
3,751,000 | Verizon Communications, Inc., 4.50%, 9/15/20 | 4,126,069 | ||||||
1,400,000 | Verizon Communications, Inc., 2.45%, 11/1/22, Callable 8/1/22 @ 100 | 1,313,347 | ||||||
346,000 | Verizon Communications, Inc., 6.40%, 9/15/33 | 423,829 | ||||||
500,000 | Verizon Communications, Inc., 6.25%, 4/1/37 | 606,754 | ||||||
1,480,000 | Verizon Communications, Inc., 6.55%, 9/15/43 | 1,862,493 | ||||||
|
| |||||||
15,162,126 | ||||||||
|
| |||||||
| Electric Utilities (1.8%): |
| ||||||
146,000 | American Electric Power Co., Inc., 1.65%, 12/15/17, Callable 11/15/17 @ 100 | 146,775 |
Continued
3
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Electric Utilities, continued |
| ||||||
$ | 138,000 | American Electric Power Co., Inc., Series F, 2.95%, 12/15/22, Callable 9/15/22 @ 100 | $ | 134,104 | ||||
302,000 | FirstEnergy Corp., Series A, 2.75%, 3/15/18, Callable 2/15/18 @ 100 | 305,614 | ||||||
1,131,000 | FirstEnergy Corp., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | 1,126,382 | ||||||
2,247,000 | FirstEnergy Corp., Series C, 7.38%, 11/15/31 | 2,655,596 | ||||||
340,000 | Indiana Michigan Power Co., Series J, 3.20%, 3/15/23, Callable 12/15/22 @ 100 | 337,538 | ||||||
91,000 | Northeast Utilities, 1.45%, 5/1/18, Callable 4/1/18 @ 100 | 89,362 | ||||||
411,000 | Northeast Utilities, 2.80%, 5/1/23, Callable 2/1/23 @ 100 | 395,791 | ||||||
117,000 | NV Energy, Inc., 6.25%, 11/15/20 | 138,077 | ||||||
600,000 | Progress Energy, Inc., 4.40%, 1/15/21, Callable 10/15/20 @ 100 | 657,475 | ||||||
49,000 | Puget Energy, Inc., 6.00%, 9/1/21 | 57,747 | ||||||
1,000,000 | West Penn Power Co., 5.95%, 12/15/17(a) | 1,130,243 | ||||||
|
| |||||||
7,174,704 | ||||||||
|
| |||||||
| Electrical Equipment (0.1%): |
| ||||||
34,000 | Ingersoll-Rand Global Holding Co., Ltd., 2.88%, 1/15/19 | 34,853 | ||||||
240,000 | Ingersoll-Rand Global Holding Co., Ltd., 4.25%, 6/15/23 | 252,480 | ||||||
|
| |||||||
287,333 | ||||||||
|
| |||||||
| Energy Equipment & Services (0.3%): |
| ||||||
985,000 | Pemex Proj FDG Master TR, 5.75%, 3/1/18 | 1,110,588 | ||||||
|
| |||||||
| Food & Staples Retailing (0.2%): |
| ||||||
286,000 | CVS Caremark Corp., 2.25%, 12/5/18, Callable 11/5/18 @ 100 | 289,500 | ||||||
370,000 | Kroger Co. (The), 3.30%, 1/15/21, Callable 12/15/20 @ 100 | 378,770 | ||||||
|
| |||||||
668,270 | ||||||||
|
| |||||||
| Food Products (0.2%): |
| ||||||
130,000 | ConAgra Foods, Inc., 1.90%, 1/25/18 | 130,313 | ||||||
151,000 | ConAgra Foods, Inc., 3.20%, 1/25/23, Callable 10/25/22 @ 100 | 145,544 | ||||||
216,000 | Wm. Wrigley Jr. Co., 1.40%, 10/21/16(a) | 217,496 | ||||||
309,000 | Wm. Wrigley Jr. Co., 2.00%, 10/20/17(a) | 313,534 | ||||||
|
| |||||||
806,887 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.8%): |
| ||||||
781,000 | AmerisourceBergen Corp., 1.15%, 5/15/17 | 780,086 | ||||||
500,000 | Express Scripts Holding Co., 4.75%, 11/15/21 | 553,391 | ||||||
1,600,000 | Express Scripts Holding Co., 3.90%, 2/15/22 | 1,674,470 | ||||||
300,000 | McKesson Corp., 2.28%, 3/15/19 | 301,053 | ||||||
|
| |||||||
3,309,000 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.3%): |
| ||||||
1,196,000 | Dominion Resources, Inc., Series 06-B, 2.53%, 9/30/66, Callable 8/1/14 @ 100(b) | 1,105,284 | ||||||
198,000 | PPL Capital Funding, Inc., 3.40%, 6/1/23, Callable 3/1/23 @ 100 | 198,283 | ||||||
|
| |||||||
1,303,567 | ||||||||
|
|
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
| Industrial Conglomerates (0.3%): |
| ||||||
$ | 1,200,000 | General Electric Capitial Corp., Series A, 5.63%, 9/15/17 | $ | 1,358,431 | ||||
|
| |||||||
| Insurance (2.6%): |
| ||||||
307,000 | American International Group, Inc., Series G, 5.60%, 10/18/16, MTN | 337,515 | ||||||
1,565,000 | American International Group, Inc., 3.80%, 3/22/17 | 1,672,371 | ||||||
103,000 | American International Group, Inc., 4.88%, 6/1/22 | 114,697 | ||||||
600,000 | Aon plc, 5.00%, 9/30/20 | 673,014 | ||||||
1,100,000 | Five Corners Funding Trust, 4.42%, 11/15/23(a) | 1,154,516 | ||||||
59,000 | Hartford Financial Services Group, Inc. (The), 5.13%, 4/15/22 | 67,090 | ||||||
700,000 | Liberty Mutual Group, Inc., 5.00%, 6/1/21(a) | 769,985 | ||||||
180,000 | Liberty Mutual Group, Inc., 4.25%, 6/15/23(a) | 186,564 | ||||||
978,000 | Marsh & McLennan Cos., Inc., 4.80%, 7/15/21, Callable 4/15/21 @ 100 | 1,086,235 | ||||||
291,000 | MetLife Global Funding, Inc., 1.88%, 6/22/18(a) | 290,131 | ||||||
300,000 | Northwestern Mutual Life Insurance Co. (The), 6.06%, 3/30/40(a) | 372,109 | ||||||
1,077,000 | Pacific Life Corp., 6.00%, 2/10/20(a) | 1,230,012 | ||||||
500,000 | Pacific Life Corp., 9.25%, 6/15/39(a) | 769,165 | ||||||
436,000 | Pacific Life Corp., 5.13%, 1/30/43(a) | 452,372 | ||||||
50,000 | Prudential Financial, Inc., 2.30%, 8/15/18 | 50,849 | ||||||
65,000 | Symetra FINL Corp., 6.13%, 4/1/16(a) | 69,760 | ||||||
854,000 | Unum Group, 5.75%, 8/15/42 | 994,584 | ||||||
|
| |||||||
10,290,969 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.1%): |
| ||||||
104,000 | Thermo Fisher Scientific, Inc., 1.30%, 2/1/17 | 104,153 | ||||||
66,000 | Thermo Fisher Scientific, Inc., 2.40%, 2/1/19 | 66,672 | ||||||
101,000 | Thermo Fisher Scientific, Inc., 4.15%, 2/1/24, Callable 11/1/23 @ 100 | 105,621 | ||||||
|
| |||||||
276,446 | ||||||||
|
| |||||||
| Media (1.3%): |
| ||||||
134,000 | COX Communications, Inc., 3.25%, 12/15/22(a) | 131,220 | ||||||
395,000 | News America, Inc., 7.75%, 12/1/45 | 569,502 | ||||||
101,000 | Time Warner Cable, Inc., 5.85%, 5/1/17 | 113,592 | ||||||
716,000 | Time Warner Cable, Inc., 8.25%, 4/1/19 | 907,265 | ||||||
1,000,000 | Time Warner Cable, Inc., 4.13%, 2/15/21, Callable 11/15/20 @ 100 | 1,079,748 | ||||||
623,000 | Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100 | 665,511 | ||||||
153,000 | Time Warner Cable, Inc., 5.88%, 11/15/40, Callable 5/15/40 @ 100 | 178,468 | ||||||
658,000 | Time Warner Cable, Inc., 4.50%, 9/15/42, Callable 3/15/42 @ 100 | 640,551 | ||||||
775,000 | Time Warner, Inc., 2.10%, 6/1/19 | 771,056 | ||||||
46,000 | Viacom, Inc., 2.50%, 9/1/18 | 47,016 | ||||||
|
| |||||||
5,103,929 | ||||||||
|
| |||||||
| Multi-Utilities (0.3%): |
| ||||||
305,000 | FirstEnergy Solutions Co., 6.05%, 8/15/21 | 338,079 | ||||||
404,000 | MidAmerican Energy Holdings Co., 2.00%, 11/15/18, Callable 10/15/18 @ 100 | 404,675 | ||||||
48,000 | NiSource Finance Corp., 6.40%, 3/15/18 | 55,148 |
Continued
4
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
| Multi-Utilities, continued |
| ||||||
$ | 56,000 | PG&E Corp., 2.40%, 3/1/19, Callable 2/1/19 @ 100 | $ | 56,505 | ||||
500,000 | Sempra Energy, 2.88%, 10/1/22, Callable 7/1/22 @ 100 | 490,214 | ||||||
|
| |||||||
1,344,621 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (2.6%): |
| ||||||
1,900,000 | Anadarko Petroleum Corp., 6.38%, 9/15/17 | 2,187,547 | ||||||
166,000 | DCP Midstream Operating LLC, 2.50%, 12/1/17, Callable 11/1/17 @ 100 | 170,763 | ||||||
37,000 | DCP Midstream Operating LLC, 2.70%, 4/1/19, Callable 3/1/19 @ 100 | 37,478 | ||||||
500,000 | DCP Midstream Operating LLC, 5.35%, 3/15/20(a) | 553,418 | ||||||
1,300,000 | DCP Midstream Operating LLC, 4.75%, 9/30/21(a) | 1,371,912 | ||||||
106,000 | DCP Midstream Operating LLC, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | 107,317 | ||||||
1,000,000 | El Paso Pipeline Partners LP, 5.00%, 10/1/21, Callable 7/1/21 @ 100 | 1,093,247 | ||||||
117,000 | Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100(a) | 117,108 | ||||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100(a) | 123,736 | ||||||
157,000 | Kinder Morgan Energy Partners LP, 2.65%, 2/1/19 | 158,898 | ||||||
600,000 | Marathon Petroleum Corp., 5.13%, 3/1/21 | 680,274 | ||||||
1,300,000 | Phillips 66, 4.30%, 4/1/22 | 1,406,994 | ||||||
346,000 | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a) | 352,177 | ||||||
600,000 | Western Gas Partners LP, 5.38%, 6/1/21, Callable 3/1/21 @ 100 | 679,444 | ||||||
114,000 | Williams Cos., Inc., 3.70%, 1/15/23, Callable 0 @ 100 | 109,661 | ||||||
517,000 | Williams Cos., Inc., 4.55%, 6/24/24, Callable 3/24/24 @ 100 | 522,119 | ||||||
285,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 297,226 | ||||||
|
| |||||||
9,969,319 | ||||||||
|
| |||||||
| Pharmaceuticals (0.2%): |
| ||||||
355,000 | AbbVie, Inc., 1.75%, 11/6/17 | 356,936 | ||||||
121,000 | Mylan, Inc., 1.35%, 11/29/16 | 121,202 | ||||||
117,000 | Watson Pharmaceuticals, Inc., 1.88%, 10/1/17 | 118,044 | ||||||
57,000 | Zoetis, Inc., 1.88%, 2/1/18 | 57,128 | ||||||
138,000 | Zoetis, Inc., 3.25%, 2/1/23, Callable 11/1/22 @ 100 | 136,509 | ||||||
|
| |||||||
789,819 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (4.0%): |
| ||||||
102,000 | American Campus Communities, Inc., 3.75%, 4/15/23, Callable 1/15/23 @ 100 | 100,822 | ||||||
161,000 | AvalonBay Communities, Inc., 3.63%, 10/1/20, Callable 7/1/20 @ 100 | 168,108 | ||||||
1,000,000 | BioMed Realty LP, 3.85%, 4/15/16, Callable 3/15/16 @ 100 | 1,046,214 |
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
$ | 72,000 | BioMed Realty LP, 2.63%, 5/1/19, Callable 4/1/19 @ 100 | $ | 72,433 | ||||
500,000 | BioMed Realty LP, 4.25%, 7/15/22, Callable 4/15/22 @ 100 | 515,527 | ||||||
305,000 | Boston Properties LP, 3.85%, 2/1/23, Callable 11/1/22 @ 100 | 314,527 | ||||||
44,000 | Brandywine Operating Partners LP, 7.50%, 5/15/15 | 46,469 | ||||||
151,000 | Brandywine Operating Partners LP, 6.00%, 4/1/16 | 162,810 | ||||||
251,000 | Brandywine Operating Partners LP, 4.95%, 4/15/18, Callable 3/15/18 @ 100 | 273,362 | ||||||
357,000 | Brandywine Operating Partners LP, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | 359,380 | ||||||
134,000 | Camden Property Trust, 2.95%, 12/15/22 | 129,544 | ||||||
307,000 | Camden Property Trust, 4.25%, 1/15/24, Callable 10/15/23 @ 100 | 321,251 | ||||||
70,000 | CommonWealth REIT, 5.88%, 9/15/20, Callable 3/15/20 @ 100 | 76,221 | ||||||
255,000 | Corporate Office Properties LP, 3.70%, 6/15/21, Callable 4/15/21 @ 100 | 254,861 | ||||||
107,000 | DDR Corp., 9.63%, 3/15/16 | 122,431 | ||||||
1,000,000 | DDR Corp., 7.50%, 4/1/17 | 1,153,919 | ||||||
1,114,000 | DDR Corp., 4.63%, 7/15/22, Callable 4/15/22 @ 100 | 1,192,032 | ||||||
700,000 | Duke Realty Corp., 4.38%, 6/15/22, Callable 3/15/22 @ 100 | 737,370 | ||||||
256,000 | Duke Realty Corp., 3.88%, 10/15/22, Callable 7/15/22 @ 100 | 260,584 | ||||||
183,000 | Duke Realty Corp., 3.63%, 4/15/23, Callable 1/15/23 @ 100 | 181,483 | ||||||
500,000 | Equity One, Inc., 3.75%, 11/15/22, Callable 8/15/22 @ 100 | 495,517 | ||||||
253,000 | ERP Operating LP, 2.38%, 7/1/19, Callable 6/1/19 @ 100 | 253,998 | ||||||
62,000 | Essex Portfolio LP, 5.00%, 3/15/17(a) | 68,674 | ||||||
500,000 | HCP, Inc., 3.15%, 8/1/22, Callable 5/1/22 @ 100 | 490,325 | ||||||
255,000 | HCP, Inc., 4.25%, 11/15/23, Callable 8/15/23 @ 100 | 265,048 | ||||||
48,000 | Health Care REIT, Inc., 4.70%, 9/15/17 | 52,508 | ||||||
143,000 | Health Care REIT, Inc., 2.25%, 3/15/18 | 145,192 | ||||||
500,000 | Health Care REIT, Inc., 4.13%, 4/1/19, Callable 1/1/19 @ 100 | 537,846 | ||||||
135,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 136,526 | ||||||
1,000,000 | Liberty Property LP, 4.13%, 6/15/22, Callable 3/15/22 @ 100 | 1,040,788 | ||||||
184,000 | Liberty Property LP, 3.38%, 6/15/23, Callable 3/15/23 @ 100 | 178,574 | ||||||
303,000 | Mack-Cali Realty LP, 5.80%, 1/15/16 | 322,751 | ||||||
250,000 | Mack-Cali Realty LP, 2.50%, 12/15/17 | 253,034 | ||||||
500,000 | Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100 | 506,366 | ||||||
401,000 | Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100 | 362,148 |
Continued
5
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
Corporate Bonds, continued | ||||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
$ | 1,573,000 | Mid-America Apartments LP, 4.30%, 10/15/23, Callable 7/15/23 @ 100 | $ | 1,646,615 | ||||
126,000 | Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100(a) | 128,692 | ||||||
70,000 | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100 | 68,041 | ||||||
80,000 | PPF Funding, Inc., 5.70%, 4/15/17(a) | 86,436 | ||||||
116,000 | Reckson Operating Partnership LP, 6.00%, 3/31/16 | 124,841 | ||||||
425,000 | Regency Centers LP, 5.25%, 8/1/15 | 445,031 | ||||||
63,000 | Ventas Realty LP/Capital Corp., 1.55%, 9/26/16 | 63,641 | ||||||
190,000 | Ventas Realty LP/Capital Corp., 1.25%, 4/17/17 | 190,025 | ||||||
225,000 | Ventas Realty LP/Capital Corp., 2.00%, 2/15/18, Callable 1/15/18 @ 100 | 226,845 | ||||||
111,000 | Ventas Realty LP/Capital Corp., 4.00%, 4/30/19, Callable 1/30/19 @ 100 | 119,256 | ||||||
67,000 | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100 | 65,663 | ||||||
|
| |||||||
15,763,729 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.2%): |
| ||||||
300,000 | Xerox Corp., 4.25%, 2/15/15 | 306,908 | ||||||
354,000 | Xerox Corp., 2.95%, 3/15/17 | 369,525 | ||||||
|
| |||||||
676,433 | ||||||||
|
| |||||||
| Tobacco (0.7%): |
| ||||||
1,100,000 | Altria Group, Inc., 2.85%, 8/9/22 | 1,058,515 | ||||||
212,000 | Altria Group, Inc., 4.00%, 1/31/24 | 217,836 | ||||||
475,000 | Philip Morris International, Inc., 1.88%, 1/15/19 | 473,875 | ||||||
186,000 | Reynolds American, Inc., 3.25%, 11/1/22 | 179,446 | ||||||
600,000 | Reynolds American, Inc., 7.25%, 6/15/37 | 751,041 | ||||||
|
| |||||||
2,680,713 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.7%): |
| ||||||
233,000 | Embarq Corp., 7.08%, 6/1/16 | 259,253 | ||||||
2,390,000 | Embarq Corp., 8.00%, 6/1/36 | 2,611,075 | ||||||
|
| |||||||
2,870,328 | ||||||||
|
| |||||||
| Total Corporate Bonds (Cost $131,507,830) | 133,698,992 | ||||||
|
| |||||||
| Yankee Dollars (8.4%): | |||||||
| Banks (2.4%): | |||||||
365,000 | Banco Nacional de Desenvolvimento Economico, 3.38%, 9/26/16(a) | 377,319 | ||||||
620,000 | Banco Nacional de Desenvolvimento Economico, 4.00%, 4/14/19(a) | 629,300 | ||||||
126,000 | Banco Nacional de Desenvolvimento Economico, 6.50%, 6/10/19(a) | 141,750 | ||||||
265,000 | Banco Nacional de Desenvolvimento Economico, 5.50%, 7/12/20(a) | 287,114 | ||||||
334,000 | Banco Nacional de Desenvolvimento Economico, 5.75%, 9/26/23(a) | 359,050 | ||||||
200,000 | Barclays Bank plc, 2.50%, 2/20/19 | 202,581 | ||||||
42,000 | Credit Suisse, NY, 6.00%, 2/15/18 | 47,853 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 210,971 | ||||||
1,161,000 | Intesa Sanpaolo SpA, 3.13%, 1/15/16 | 1,193,397 | ||||||
700,000 | Intesa Sanpaolo SpA, 2.38%, 1/13/17 | 710,569 |
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
| Banks, continued | |||||||
$ | 2,550,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | $ | 2,789,023 | ||||
452,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 494,756 | ||||||
569,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 615,206 | ||||||
387,000 | Royal Bank of Scotland Group plc, 5.13%, 5/28/24 | 392,959 | ||||||
1,000,000 | Sumitomo Mitsui Banking Corp., 1.30%, 1/10/17 | 1,001,692 | ||||||
|
| |||||||
9,453,540 | ||||||||
|
| |||||||
| Beverages (0.1%): |
| ||||||
179,000 | Heineken NV, 1.40%, 10/1/17(a) | 178,914 | ||||||
187,000 | Heineken NV, 2.75%, 4/1/23(a) | 178,605 | ||||||
|
| |||||||
357,519 | ||||||||
|
| |||||||
| Containers & Packaging (0.5%): |
| ||||||
2,000,000 | Tyco Electronics Group SA, 1.60%, 2/3/15 | 2,013,428 | ||||||
75,000 | Tyco Electronics Group SA, 2.38%, 12/17/18, Callable 11/17/18 @ 100 | 75,587 | ||||||
|
| |||||||
2,089,015 | ||||||||
|
| |||||||
| Diversified Financial Services (0.4%): |
| ||||||
900,000 | BP Capital Markets plc, 4.74%, 3/11/21 | 1,009,054 | ||||||
366,000 | BP Capital Markets plc, 3.81%, 2/10/24 | 378,134 | ||||||
|
| |||||||
1,387,188 | ||||||||
|
| |||||||
| Insurance (0.1%): |
| ||||||
200,000 | AIA Group, Ltd., 2.25%, 3/11/19(a) | 200,134 | ||||||
|
| |||||||
| Media (0.0%): |
| ||||||
123,000 | Thomson Reuters Corp., 1.30%, 2/23/17 | 123,154 | ||||||
|
| |||||||
| Metals & Mining (0.4%): |
| ||||||
200,000 | Codelco, Inc., 5.63%, 10/18/43(a) | 220,754 | ||||||
1,000,000 | Vale Overseas, Ltd., 6.25%, 1/11/16 | 1,074,587 | ||||||
|
| |||||||
1,295,341 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (2.9%): |
| ||||||
762,000 | Petrobras Global Finance BV, 3.25%, 3/17/17 | 781,271 | ||||||
1,731,000 | Petrobras Global Finance BV, 3.00%, 1/15/19^ | 1,699,236 | ||||||
762,000 | Petrobras Global Finance BV, 4.88%, 3/17/20 | 782,650 | ||||||
234,000 | Petrobras Global Finance BV, 4.38%, 5/20/23^ | 225,354 | ||||||
1,000,000 | Petrobras International Finance Co., 3.50%, 2/6/17 | 1,026,500 | ||||||
1,087,000 | Petrobras International Finance Co., 5.75%, 1/20/20 | 1,161,786 | ||||||
263,000 | Petrobras International Finance Co., 5.38%, 1/27/21 | 274,106 | ||||||
450,000 | Petroleos Mexicanos, 3.50%, 7/18/18 | 472,950 | ||||||
60,000 | Petroleos Mexicanos, 3.13%, 1/23/19^(a) | 62,070 | ||||||
285,000 | Petroleos Mexicanos, 3.50%, 1/30/23 | 278,303 | ||||||
135,000 | Petroleos Mexicanos, 4.88%, 1/18/24 | 144,788 | ||||||
284,000 | Petroleos Mexicanos, 4.88%, 1/18/24(a) | 304,590 | ||||||
696,000 | Petroleos Mexicanos, 6.50%, 6/2/41 | 809,100 | ||||||
1,761,000 | Petroleos Mexicanos, 5.50%, 6/27/44 | 1,833,200 | ||||||
750,000 | Petroleos Mexicanos, 6.38%, 1/23/45(a) | 870,937 | ||||||
1,000,000 | Transocean, Inc., 5.05%, 12/15/16 | 1,086,322 | ||||||
|
| |||||||
11,813,163 | ||||||||
|
|
Continued
6
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
Yankee Dollars, continued | ||||||||
| Pharmaceuticals (0.4%): |
| ||||||
$ | 774,000 | Actavis Funding SCS, 1.30%, 6/15/17(a) | $ | 772,520 | ||||
230,000 | Actavis Funding SCS, 2.45%, 6/15/19(a) | 230,644 | ||||||
200,000 | Perrigo Co. plc, 2.30%, 11/8/18(a) | 199,918 | ||||||
|
| |||||||
1,203,082 | ||||||||
|
| |||||||
| Sovereign Bonds (1.1%): |
| ||||||
730,000 | Federal Republic of Brazil, 4.25%, 1/7/25 | 739,855 | ||||||
400,000 | Federal Republic of Brazil, 5.63%, 1/7/41 | 430,000 | ||||||
424,000 | Italy Government International Bond, 4.50%, 1/21/15 | 433,484 | ||||||
564,000 | Italy Government International Bond, 3.13%, 1/26/15 | 572,180 | ||||||
419,000 | Italy Government International Bond, 4.75%, 1/25/16 | 445,108 | ||||||
255,000 | Italy Government International Bond, 5.38%, 6/12/17^ | 282,813 | ||||||
400,000 | United Mexican States, Series G, 3.50%, 1/21/21, MTN^ | 415,400 | ||||||
812,000 | United Mexican States, 4.00%, 10/2/23 | 853,412 | ||||||
350,000 | United Mexican States, 4.75%, 3/8/44, MTN | 357,000 | ||||||
|
| |||||||
4,529,252 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.1%): |
| ||||||
200,000 | RBS Citizens Financial Group, Inc., 4.15%, 9/28/22(a) | 201,155 | ||||||
|
| |||||||
| Total Yankee Dollars (Cost $31,710,618) | 32,652,543 | ||||||
|
| |||||||
| Municipal Bonds (5.5%): | |||||||
| California (2.0%): |
| ||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 14,306 | ||||||
15,000 | California State, Build America Bonds, GO, 7.63%, 3/1/40 | 22,129 | ||||||
2,825,000 | California State, Build America Bonds, GO, 7.60%, 11/1/40 | 4,271,090 | ||||||
1,600,000 | California State, Build America Bonds, GO, 7.50%, 4/1/34 | 2,277,600 | ||||||
475,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | 714,077 | ||||||
460,000 | California State, Build America Bonds, GO, 7.30%, 10/1/39 | 654,612 | ||||||
|
| |||||||
7,953,814 | ||||||||
|
| |||||||
| Illinois (3.5%): |
| ||||||
35,000 | Illinois State, GO, 4.96%, 3/1/16 | 37,231 | ||||||
15,000 | Illinois State, GO, 5.37%, 3/1/17 | 16,416 | ||||||
35,000 | Illinois State, GO, 4.35%, 6/1/18 | 37,028 | ||||||
4,275,000 | Illinois State, GO, 5.10%, 6/1/33 | 4,295,178 | ||||||
455,000 | Illinois State, GO, 1.28%, 12/1/15 | 457,803 | ||||||
420,000 | Illinois State, GO, 4.00%, 12/1/20 | 430,685 | ||||||
565,000 | Illinois State, GO, 5.67%, 3/1/18 | 630,738 | ||||||
870,000 | Illinois State, GO, 5.88%, 3/1/19 | 980,081 | ||||||
1,865,000 | Illinois State, Build America Bonds, GO, 7.35%, 7/1/35 | 2,258,217 | ||||||
105,000 | Chicago Illinois, Taxable Project, GO, Series B, 5.43%, 1/1/42 | 104,295 | ||||||
570,000 | Chicago Illinois, Taxable Project, GO, Series B, 6.31%, 1/1/44 | 625,706 |
Principal Amount | Fair Value | |||||||
Municipal Bonds, continued | ||||||||
| Illinois, continued |
| ||||||
$ | 80,000 | Chicago Illinois, GO, Series B, 5.63%, 1/1/22 | $ | 86,086 | ||||
395,000 | Chicago Illinois, Taxable Project, GO, Series C1, 7.78%, 1/1/35 | 488,982 | ||||||
315,000 | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | 365,995 | ||||||
10,000 | Illinois State, Build America Bonds, GO, Series 3, 5.55%, 4/1/19 | 11,061 | ||||||
2,500,000 | Illinois State Finance Authority Revenue, Series A, 4.55%, 10/1/18 | 2,559,825 | ||||||
250,000 | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | 285,488 | ||||||
|
| |||||||
13,670,815 | ||||||||
|
| |||||||
| Total Municipal Bonds (Cost $20,527,302) | 21,624,629 | ||||||
|
| |||||||
| U.S. Government Agency Mortgages (17.8%): | |||||||
| Federal Home Loan Mortgage Corporation (1.6%) |
| ||||||
560,945 | 3.50%, 1/1/26, Pool #G14312 | 595,289 | ||||||
329,392 | 3.50%, 6/1/42, Pool #U90448 | 336,209 | ||||||
172,111 | 3.50%, 9/1/42, Pool #U90206 | 175,688 | ||||||
102,644 | 3.50%, 4/1/43, Pool #U91319 | 104,775 | ||||||
168,344 | 3.50%, 5/1/43, Pool #U91441 | 171,828 | ||||||
105,051 | 3.50%, 5/1/43, Pool #U91367 | 107,238 | ||||||
439,190 | 3.50%, 6/1/43, Pool #U91609 | 448,314 | ||||||
475,420 | 3.50%, 6/1/43, Pool #U91669 | 485,286 | ||||||
109,352 | 3.50%, 7/1/43, Pool #U91708 | 111,616 | ||||||
154,742 | 3.50%, 7/1/43, Pool #U91694 | 157,963 | ||||||
340,853 | 3.50%, 7/1/43, Pool #U91654 | 347,898 | ||||||
93,292 | 3.50%, 7/1/43, Pool #U91781 | 95,229 | ||||||
177,912 | 3.50%, 7/1/43, Pool #U91740 | 181,610 | ||||||
235,011 | 3.50%, 7/1/43, Pool #U91712 | 239,893 | ||||||
124,945 | 3.50%, 8/1/43, Pool #U91759 | 127,533 | ||||||
325,594 | 3.50%, 8/1/43, Pool #U91752 | 332,368 | ||||||
373,742 | 3.50%, 8/1/43, Pool #U91812 | 381,514 | ||||||
129,514 | 3.50%, 8/1/43, Pool #U91858 | 132,207 | ||||||
724,965 | 3.50%, 8/1/43, Pool #U91853 | 740,050 | ||||||
126,643 | 3.50%, 8/1/43, Pool #U91871 | 129,281 | ||||||
220,630 | 3.50%, 8/1/43, Pool #U91813 | 225,218 | ||||||
113,646 | 3.50%, 8/1/43, Pool #U91779 | 116,012 | ||||||
248,952 | 3.50%, 9/1/43, Pool #U91991 | 254,135 | ||||||
675,388 | 3.50%, 9/1/43, Pool #U91987 | 689,428 | ||||||
111,038 | 3.50%, 9/1/43, Pool #U95147 | 113,350 | ||||||
95,412 | 3.50%, 9/1/43, Pool #U91910 | 97,398 | ||||||
166,099 | 3.50%, 10/1/43, Pool #U92116 | 169,558 | ||||||
195,303 | 3.50%, 10/1/43, Pool #U92089 | 199,366 | ||||||
|
| |||||||
7,266,254 | ||||||||
|
| |||||||
| Federal National Mortgage Association (13.9%) |
| ||||||
110,411 | 3.50%, 1/1/34, Pool #AS1406 | 115,467 | ||||||
333,274 | 3.50%, 1/1/34, Pool #AS1611 | 348,466 | ||||||
49,476 | 3.50%, 1/1/34, Pool #AS1614 | 51,828 | ||||||
246,243 | 3.50%, 1/1/34, Pool #AS1612 | 257,482 | ||||||
84,409 | 6.00%, 10/1/34, Pool #AL2130 | 96,436 | ||||||
1,127,792 | 6.00%, 1/1/37, Pool #932030 | 1,273,208 | ||||||
250,470 | 6.00%, 3/1/37, Pool #889506 | 282,775 | ||||||
295,511 | 6.00%, 1/1/38, Pool #889371 | 337,048 | ||||||
103,842 | 6.00%, 3/1/38, Pool #889219 | 118,388 | ||||||
59,180 | 6.00%, 7/1/38, Pool #889733 | 67,463 |
Continued
7
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 400,688 | 6.00%, 5/1/40, Pool #AL2129 | $ | 456,708 | ||||
1,707,318 | 4.50%, 8/1/40, Pool #AE0217 | 1,849,786 | ||||||
30,186 | 4.00%, 9/1/40, Pool #AD5173 | 32,081 | ||||||
54,556 | 4.00%, 9/1/40, Pool #AE3951 | 57,981 | ||||||
35,498 | 4.00%, 10/1/40, Pool #AE4428 | 37,726 | ||||||
97,646 | 4.00%, 10/1/40, Pool #AE4044 | 103,775 | ||||||
33,394 | 4.00%, 10/1/40, Pool #AE4047 | 35,490 | ||||||
188,845 | 4.00%, 11/1/40, Pool #AE9285 | 200,698 | ||||||
56,594 | 4.00%, 11/1/40, Pool #AE4833 | 60,146 | ||||||
90,702 | 4.00%, 12/1/40, Pool #AE7856 | 96,395 | ||||||
197,465 | 4.00%, 12/1/40, Pool #AA4757 | 209,860 | ||||||
291,590 | 4.50%, 3/1/41, Pool #AB2483 | 316,516 | ||||||
248,629 | 4.50%, 4/1/41, Pool #AH8419 | 269,747 | ||||||
1,559,109 | 4.00%, 10/1/41, Pool #AL2512 | 1,657,101 | ||||||
428,110 | 4.50%, 10/1/41, Pool #AH7962 | 464,654 | ||||||
378,640 | 4.50%, 10/1/41, Pool #AJ2075 | 410,969 | ||||||
93,095 | 4.00%, 11/1/41, Pool #AI0847 | 99,048 | ||||||
87,429 | 4.00%, 12/1/41, Pool #AJ3638 | 93,010 | ||||||
93,082 | 4.00%, 12/1/41, Pool #AJ9247 | 99,058 | ||||||
103,116 | 4.00%, 1/1/42, Pool #AL1456 | 109,588 | ||||||
39,274 | 6.00%, 1/1/42, Pool #AL2128 | 44,849 | ||||||
92,541 | 4.00%, 2/1/42, Pool #AK3446 | 98,465 | ||||||
464,528 | 4.00%, 3/1/42, Pool #AK9442 | 494,348 | ||||||
92,215 | 4.00%, 3/1/42, Pool #AK6488 | 98,099 | ||||||
1,450,319 | 4.00%, 5/1/42, Pool #AO2983 | 1,543,181 | ||||||
466,833 | 4.00%, 5/1/42, Pool #AO3350 | 496,511 | ||||||
93,328 | 4.00%, 6/1/42, Pool #AJ9977 | 99,222 | ||||||
263,364 | 4.00%, 7/1/42, Pool #AO8233 | 280,084 | ||||||
90,824 | 4.00%, 7/1/42, Pool #AO2672 | 96,572 | ||||||
4,123,481 | 3.50%, 8/1/42, Pool #AP2133 | 4,251,245 | ||||||
62,328 | 3.50%, 8/1/42, Pool #AP2471 | 63,718 | ||||||
5,169,513 | 3.50%, 9/1/42, Pool #MA1177 | 5,284,742 | ||||||
931,331 | 3.50%, 9/1/42, Pool #AP7510 | 952,091 | ||||||
920,407 | 3.50%, 9/1/42, Pool #AP3356 | 940,925 | ||||||
91,013 | 3.50%, 11/1/42, Pool #MA1251 | 93,042 | ||||||
182,349 | 3.50%, 12/1/42, Pool #AB7131 | 186,413 | ||||||
951,969 | 3.50%, 1/1/43, Pool #AR1341 | 973,193 | ||||||
98,460 | 3.50%, 1/1/43, Pool #AR1820 | 100,655 | ||||||
239,174 | 3.50%, 2/1/43, Pool #AR3327 | 244,506 | ||||||
1,371,198 | 3.50%, 3/1/43, Pool #MA1373 | 1,401,770 | ||||||
294,767 | 3.50%, 3/1/43, Pool #AB8527 | 301,340 | ||||||
95,122 | 3.50%, 4/1/43, Pool #AT3018 | 97,243 | ||||||
199,506 | 3.50%, 4/1/43, Pool #AT2388 | 203,954 | ||||||
552,341 | 3.50%, 4/1/43, Pool #MA1404 | 564,656 | ||||||
184,495 | 3.50%, 4/1/43, Pool #AR8235 | 188,609 | ||||||
311,236 | 3.50%, 4/1/43, Pool #AT2032 | 318,176 | ||||||
393,675 | 3.00%, 5/1/43, Pool #AB9441 | 389,363 | ||||||
249,868 | 3.50%, 5/1/43, Pool #MA1437 | 255,439 | ||||||
81,069 | 3.50%, 5/1/43, Pool #AT5978 | 82,850 | ||||||
5,593,774 | 3.50%, 6/1/43, Pool #MA1463 | 5,717,069 | ||||||
416,167 | 4.00%, 6/1/43, Pool #AT8380 | 442,459 | ||||||
170,395 | 3.50%, 6/1/43, Pool #AT9582 | 174,168 | ||||||
311,459 | 3.50%, 6/1/43, Pool #AT5914 | 318,343 | ||||||
157,869 | 4.00%, 6/1/43, Pool #AL3837 | 167,835 | ||||||
72,989 | 3.50%, 6/1/43, Pool #AT4264 | 74,601 | ||||||
456,272 | 3.50%, 6/1/43, Pool #AB9703 | 466,446 |
Shares or Principal Amount | Fair Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 460,331 | 3.50%, 7/1/43, Pool #MA1508 | $ | 470,761 | ||||
2,100,000 | 3.50%, 7/25/43 | 2,161,688 | ||||||
8,606,519 | 3.00%, 8/1/43, Pool #AT8490 | 8,512,265 | ||||||
397,939 | 3.50%, 8/1/43, Pool #AU3741 | 410,363 | ||||||
98,621 | 3.50%, 9/1/43, Pool #AT8534 | 100,809 | ||||||
98,678 | 3.50%, 10/1/43, Pool #AU9313 | 100,868 | ||||||
98,758 | 3.50%, 10/1/43, Pool #AU6940 | 100,943 | ||||||
783,389 | 4.00%, 1/1/44, Pool #AV2359 | 832,560 | ||||||
1,500,000 | 4.50%, 7/25/44 | 1,624,454 | ||||||
96,833 | 3.50%, 12/31/49, Pool #MA1667 | 99,027 | ||||||
1,407,813 | 3.50%, 12/31/49, Pool #MA1546 | 1,438,872 | ||||||
|
| |||||||
52,967,690 | ||||||||
|
| |||||||
| Government National Mortgage Association (2.3%) |
| ||||||
27,908 | 5.00%, 6/15/34, Pool #629493 | 30,694 | ||||||
562,881 | 5.50%, 6/15/35, Pool #783800 | 627,891 | ||||||
29,756 | 5.00%, 3/15/38, Pool #676766 | 32,710 | ||||||
20,442 | 5.00%, 4/15/38, Pool #672672 | 22,471 | ||||||
67,214 | 5.00%, 8/15/38, Pool #687818 | 73,885 | ||||||
657,812 | 5.00%, 1/15/39, Pool #705997 | 722,907 | ||||||
5,546 | 5.00%, 3/15/39, Pool #697946 | 6,096 | ||||||
660,852 | 5.00%, 3/15/39, Pool #646746 | 726,779 | ||||||
15,396 | 5.00%, 11/20/39, Pool #4578 | 17,112 | ||||||
23,030 | 5.00%, 2/20/40, Pool #4637 | 25,580 | ||||||
49,115 | 5.00%, 3/20/40, Pool #4658 | 54,565 | ||||||
81,741 | 5.00%, 6/20/40, Pool #4715 | 90,832 | ||||||
130,870 | 5.00%, 6/20/40, Pool #783069 | 145,464 | ||||||
19,363 | 5.00%, 7/20/40, Pool #783050 | 21,523 | ||||||
67,180 | 5.00%, 7/20/40, Pool #4747 | 74,654 | ||||||
138,681 | 5.00%, 9/20/40, Pool #4802 | 154,089 | ||||||
809,083 | 4.00%, 10/15/40, Pool #783143 | 865,629 | ||||||
50,807 | 5.00%, 10/20/40, Pool #783232 | 56,473 | ||||||
939,814 | 5.00%, 2/20/41, Pool #783278 | 1,044,627 | ||||||
1,890,484 | 4.50%, 3/20/41, Pool #4978 | 2,070,644 | ||||||
1,313,548 | 4.00%, 5/20/41, Pool #5054 | 1,408,342 | ||||||
824,862 | 5.00%, 7/20/41, Pool #783366 | 916,854 | ||||||
|
| |||||||
9,189,821 | ||||||||
|
| |||||||
| Total U.S. Government Agency Mortgages (Cost $68,331,387) | 69,423,765 | ||||||
|
| |||||||
| U.S. Treasury Obligations (18.6%): | |||||||
| U.S. Treasury Bonds (2.7%) | |||||||
10,557,000 | 3.38%, 5/15/44 | 10,627,932 | ||||||
|
| |||||||
| U.S. Treasury Notes (15.9%) | |||||||
62,003,000 | 0.50%, 6/30/16 | 62,056,261 | ||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $72,494,218) | 72,684,193 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.8%): |
| ||||||
2,978,098 | Allianz Variable Insurance Products Securities Lending Collateral Trust(d) | 2,978,098 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 2,978,098 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.0%): |
| ||||||
3,839,568 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(e) | 3,839,568 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $3,839,568) | 3,839,568 | ||||||
|
| |||||||
| Total Investment Securities (Cost $388,385,245)(f) — 100.8% | 393,885,945 | ||||||
| Net other assets (liabilities) — (0.8)% | (2,992,098 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 390,893,847 | |||||
|
|
Continued
8
AZL Pyramis Core Bond Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
GO—General Obligation
MTN—Medium Term Note
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $2,873,437. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(c) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 0.07% of the net assets of the fund. |
(d) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(e) | The rate represents the effective yield at June 30, 2014. |
(f) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
9
AZL Pyramis Core Bond Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 388,385,245 | |||
|
| ||||
Investment securities, at value* | $ | 393,885,945 | |||
Interest and dividends receivable | 2,364,224 | ||||
Receivable for capital shares issued | 58,347 | ||||
Receivable for investments sold | 8,739,944 | ||||
Prepaid expenses | 1,633 | ||||
|
| ||||
Total Assets | 405,050,093 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 10,904,107 | ||||
Payable for collateral received on loaned securities | 2,978,098 | ||||
Interest payable on securities sold short | 3,376 | ||||
Manager fees payable | 159,436 | ||||
Administration fees payable | 11,591 | ||||
Distribution fees payable | 79,718 | ||||
Custodian fees payable | 4,823 | ||||
Administrative and compliance services fees payable | 1,061 | ||||
Trustee fees payable | 2,299 | ||||
Other accrued liabilities | 11,737 | ||||
|
| ||||
Total Liabilities | 14,156,246 | ||||
|
| ||||
Net Assets | $ | 390,893,847 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 380,209,086 | |||
Accumulated net investment income/(loss) | 9,928,350 | ||||
Accumulated net realized gains/(losses) from investment transactions | (4,744,289 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 5,500,700 | ||||
|
| ||||
Net Assets | $ | 390,893,847 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 38,253,623 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.22 | |||
|
|
* | Includes securities on loan of $2,873,437. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Interest | $ | 5,197,283 | |||
Dividends | 4 | ||||
Income from securities lending | 2,860 | ||||
|
| ||||
Total Investment Income | 5,200,147 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 948,753 | ||||
Administration fees | 82,371 | ||||
Distribution fees | 474,376 | ||||
Custodian fees | 7,903 | ||||
Administrative and compliance services fees | 3,162 | ||||
Trustee fees | 9,918 | ||||
Professional fees | 9,663 | ||||
Shareholder reports | 2,633 | ||||
Other expenses | 3,716 | ||||
|
| ||||
Total expenses | 1,542,495 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,657,652 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 2,030,640 | ||||
Change in net unrealized appreciation/depreciation on investments | 10,941,205 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 12,971,845 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 16,629,497 | |||
|
|
See accompanying notes to the financial statements.
10
Statements of Changes in Net Assets
AZL Pyramis Core Bond Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,657,652 | $ | 4,395,875 | ||||||
Net realized gains/(losses) on investment transactions | 2,030,640 | (4,746,346 | ) | |||||||
Change in unrealized appreciation/depreciation on investments | 10,941,205 | (6,959,487 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 16,629,497 | (7,309,958 | ) | |||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (1,418,029 | ) | |||||||
From net realized gains | — | (669,238 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (2,087,267 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 36,151,947 | 60,581,406 | ||||||||
Proceeds from dividends reinvested | — | 2,087,267 | ||||||||
Value of shares redeemed | (32,510,801 | ) | (40,347,726 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 3,641,146 | 22,320,947 | ||||||||
|
|
|
| |||||||
Change in net assets | 20,270,643 | 12,923,722 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 370,623,204 | 357,699,482 | ||||||||
|
|
|
| |||||||
End of period | $ | 390,893,847 | $ | 370,623,204 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 9,928,350 | $ | 6,270,698 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 3,603,783 | 6,134,245 | ||||||||
Dividends reinvested | — | 216,746 | ||||||||
Shares redeemed | (3,235,196 | ) | (4,006,423 | ) | ||||||
|
|
|
| |||||||
Change in shares | 368,587 | 2,344,568 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
11
AZL Pyramis Core Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | September 5, 2012 to December 31, 2012 (a) | |||||||||||||
(Unaudited) | |||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.78 | $ | 10.06 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
Investment Activities: | |||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.12 | 0.02 | ||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.35 | (0.34 | ) | 0.04 | |||||||||||
|
|
|
|
|
| ||||||||||
Total from Investment Activities | 0.44 | (0.22 | ) | 0.06 | |||||||||||
|
|
|
|
|
| ||||||||||
Dividends to Shareholders From: | |||||||||||||||
Net Investment Income | — | (0.04 | ) | — | |||||||||||
Net Realized Gains | — | (0.02 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total Dividends | — | (0.06 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Net Asset Value, End of Period | $ | 10.22 | $ | 9.78 | $ | 10.06 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return(b) | 4.50 | %(c) | (2.20 | )% | 0.60 | %(c) | |||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||
Net Assets, End of Period (000’s) | $ | 390,894 | $ | 370,623 | $ | 357,699 | |||||||||
Net Investment Income/(Loss)(d) | 1.93 | % | 1.24 | % | 0.78 | % | |||||||||
Expenses Before Reductions(d)(e) | 0.81 | % | 0.81 | % | 0.80 | % | |||||||||
Expenses Net of Reductions(d) | 0.81 | % | 0.81 | % | 0.80 | % | |||||||||
Portfolio Turnover Rate(f) | 271 | %(c) | 488 | % | 303 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period. |
See accompanying notes to the financial statements.
12
AZL Pyramis Core Bond Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Pyramis Core Bond Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.
13
AZL Pyramis Core Bond Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2.6 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $283 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Pyramis Global Advisors, LLC (“Pyramis”), Pyramis provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Pyramis Core Bond Fund | 0.50 | % | 0.95 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of
14
AZL Pyramis Core Bond Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,234 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short.
Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
15
AZL Pyramis Core Bond Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Asset Backed Securities | $ | — | $ | 14,725,746 | $ | 14,725,746 | |||||||||
Collateralized Mortgage Obligations | — | 42,258,411 | 42,258,411 | ||||||||||||
Corporate Bonds+ | — | 133,698,992 | 133,698,992 | ||||||||||||
Municipal Bonds | — | 21,624,629 | 21,624,629 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 2,978,098 | 2,978,098 | ||||||||||||
U.S. Government Agency Mortgages | — | 69,423,765 | 69,423,765 | ||||||||||||
U.S. Treasury Obligations | — | 72,684,193 | 72,684,193 | ||||||||||||
Yankee Dollars+ | — | 32,652,543 | 32,652,543 | ||||||||||||
Unaffiliated Investment Company | 3,839,568 | — | 3,839,568 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 3,839,568 | $ | 390,046,377 | $ | 393,885,945 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Pyramis Core Bond Fund | $ | 1,028,008,308 | $ | 1,000,413,735 |
For the period ended June 30, 2014, purchases and sales on long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Pyramis Core Bond Fund | $ | 943,299,178 | $ | 955,894,338 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Principal Amount | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
GS Mortgage Securities Trust, Series 2013-KY0, Class XB1, 3.25%, 11/8/29 | 2/15/13 | $ | 328,616 | $ | 9,100,000 | $ | 277,400 | 0.07 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
16
AZL Pyramis Core Bond Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Cost for federal income tax purposes at June 30, 2014 is $388,460,472. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 7,014,549 | ||
Unrealized depreciation | (1,589,076 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 5,425,473 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs not subject to expiration:
Short Term Amount | Long Term Amount | Total Amount | |||||||||||||
AZL Pyramis Core Bond Fund | $ | 6,375,411 | $ | 189,912 | $ | 6,565,323 |
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Pyramis Core Bond Fund | $ | 2,087,267 | $ | — | $ | 2,087,267 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
During the year ended December 31, 2013 there were no dividends paid to shareholders.
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Pyramis Core Bond Fund | $ | 6,291,392 | $ | — | $ | (6,565,323 | ) | $ | (5,670,805 | ) | $ | (5,944,736 | ) |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Russell 1000 Growth Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 11 |
Page 11 |
Statements of Changes in Net Assets Page 12 |
Page 13 |
Notes to the Financial Statements Page 14 |
Page 19 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Growth Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Growth Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 1,000.00 | $ | 1,059.20 | $ | 3.93 | 0.77 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 1,000.00 | $ | 1,020.98 | $ | 3.86 | 0.77 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 26.7 | % | |||
Consumer Discretionary | 18.3 | ||||
Health Care | 12.5 | ||||
Industrials | 12.2 | ||||
Consumer Staples | 10.3 | ||||
Energy | 6.2 | ||||
Financials | 4.8 | ||||
Materials | 4.2 | ||||
Telecommunication Services | 2.5 | ||||
Utilities | 0.1 | ||||
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| ||||
Total Common Stock | 97.8 | ||||
Money Market | 2.2 | ||||
Securities Held as Collateral for Securities on Loan | 1.1 | ||||
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| ||||
Total Investment Securities | 101.1 | ||||
Net other assets (liabilities) | (1.1 | ) | |||
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| ||||
Net Assets | 100.0 | % | |||
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1
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (97.8%): |
| ||||||
| Aerospace & Defense (2.9%): |
| ||||||
1,302 | BE Aerospace, Inc.* | $ | 120,422 | |||||
9,021 | Boeing Co. (The) | 1,147,741 | ||||||
1,200 | Hexcel Corp.* | 49,080 | ||||||
9,682 | Honeywell International, Inc. | 899,942 | ||||||
513 | Huntington Ingalls Industries, Inc. | 48,525 | ||||||
3,352 | Lockheed Martin Corp. | 538,767 | ||||||
1,791 | Precision Castparts Corp. | 452,048 | ||||||
1,477 | Rockwell Collins, Inc. | 115,413 | ||||||
1,388 | Spirit AeroSystems Holdings, Inc., Class A* | 46,776 | ||||||
661 | TransDigm Group, Inc. | 110,559 | ||||||
155 | Triumph Group, Inc. | 10,822 | ||||||
1,270 | United Technologies Corp. | 146,622 | ||||||
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| |||||||
3,686,717 | ||||||||
|
| |||||||
| Air Freight & Logistics (1.1%): |
| ||||||
1,827 | C.H. Robinson Worldwide, Inc. | 116,544 | ||||||
2,440 | Expeditors International of Washington, Inc. | 107,750 | ||||||
1,572 | FedEx Corp. | 237,969 | ||||||
8,756 | United Parcel Service, Inc., Class B | 898,892 | ||||||
|
| |||||||
1,361,155 | ||||||||
|
| |||||||
| Airlines (0.7%): |
| ||||||
764 | Alaska Air Group, Inc. | 72,618 | ||||||
8,910 | American Airlines Group, Inc.* | 382,775 | ||||||
323 | Copa Holdings SA, Class A | 46,050 | ||||||
543 | Delta Air Lines, Inc. | 21,025 | ||||||
7,618 | Southwest Airlines Co. | 204,619 | ||||||
900 | Spirit Airlines, Inc.* | 56,916 | ||||||
4,621 | United Continental Holdings, Inc.* | 189,784 | ||||||
|
| |||||||
973,787 | ||||||||
|
| |||||||
| Auto Components (0.6%): |
| ||||||
1,671 | Allison Transmission Holdings, Inc. | 51,968 | ||||||
2,842 | BorgWarner, Inc. | 185,270 | ||||||
1,032 | Gentex Corp. | 30,021 | ||||||
3,091 | Goodyear Tire & Rubber Co. | 85,868 | ||||||
2,194 | Johnson Controls, Inc. | 109,546 | ||||||
806 | Lear Corp. | 71,992 | ||||||
1,176 | Tesla Motors, Inc.*^ | 282,311 | ||||||
|
| |||||||
816,976 | ||||||||
|
| |||||||
| Automobiles (0.2%): |
| ||||||
2,700 | Harley-Davidson, Inc. | 188,595 | ||||||
550 | Thor Industries, Inc. | 31,279 | ||||||
|
| |||||||
219,874 | ||||||||
|
| |||||||
| Banks (0.1%): |
| ||||||
546 | Signature Bank* | 68,895 | ||||||
54 | SVB Financial Group* | 6,297 | ||||||
|
| |||||||
75,192 | ||||||||
|
| |||||||
| Beverages (3.5%): |
| ||||||
1,904 | Brown-Forman Corp., Class B | 179,300 | ||||||
49,121 | Coca-Cola Co. (The) | 2,080,765 | ||||||
3,109 | Coca-Cola Enterprises, Inc. | 148,548 | ||||||
1,850 | Constellation Brands, Inc., Class A* | 163,041 | ||||||
2,428 | Dr Pepper Snapple Group, Inc. | 142,232 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Beverages, continued |
| ||||||
1,771 | Monster Beverage Corp.* | $ | 125,794 | |||||
18,755 | PepsiCo, Inc. | 1,675,572 | ||||||
|
| |||||||
4,515,252 | ||||||||
|
| |||||||
| Biotechnology (4.7%): |
| ||||||
2,447 | Alexion Pharmaceuticals, Inc.* | 382,344 | ||||||
1,529 | Alkermes plc* | 76,955 | ||||||
697 | Alnylam Pharmaceuticals, Inc.* | 44,029 | ||||||
8,878 | Amgen, Inc. | 1,050,889 | ||||||
2,935 | Biogen Idec, Inc.* | 925,435 | ||||||
1,805 | BioMarin Pharmaceutical, Inc.* | 112,289 | ||||||
10,266 | Celgene Corp.* | 881,644 | ||||||
883 | Cubist Pharmaceuticals, Inc.* | 61,651 | ||||||
18,999 | Gilead Sciences, Inc.* | 1,575,208 | ||||||
1,789 | Incyte Corp.* | 100,971 | ||||||
154 | Intercept Pharmaceuticals, Inc.* | 36,441 | ||||||
940 | Medivation, Inc.* | 72,455 | ||||||
810 | Myriad Genetics, Inc.*^ | 31,525 | ||||||
975 | Regeneron Pharmaceuticals, Inc.* | 275,408 | ||||||
1,265 | Seattle Genetics, Inc.* | 48,386 | ||||||
586 | United Therapeutics Corp.* | 51,855 | ||||||
2,922 | Vertex Pharmaceuticals, Inc.* | 276,655 | ||||||
|
| |||||||
6,004,140 | ||||||||
|
| |||||||
| Building Products (0.3%): |
| ||||||
415 | A.O. Smith Corp. | 20,576 | ||||||
1,194 | Allegion plc | 67,676 | ||||||
560 | Armstrong World Industries, Inc.* | 32,161 | ||||||
857 | Fortune Brands Home & Security, Inc. | 34,220 | ||||||
606 | Lennox International, Inc. | 54,279 | ||||||
4,377 | Masco Corp. | 97,169 | ||||||
1,153 | USG Corp.* | 34,740 | ||||||
|
| |||||||
340,821 | ||||||||
|
| |||||||
| Capital Markets (1.2%): |
| ||||||
683 | Affiliated Managers Group, Inc.* | 140,288 | ||||||
822 | Ameriprise Financial, Inc. | 98,640 | ||||||
340 | Artisan Partners Asset Management, Inc. | 19,271 | ||||||
602 | BlackRock, Inc., Class A+ | 192,399 | ||||||
2,295 | Charles Schwab Corp. (The) | 61,804 | ||||||
1,512 | Eaton Vance Corp. | 57,138 | ||||||
859 | Federated Investors, Inc., Class B | 26,560 | ||||||
4,009 | Franklin Resources, Inc. | 231,881 | ||||||
819 | Invesco, Ltd. | 30,917 | ||||||
1,515 | Lazard, Ltd., Class A | 78,113 | ||||||
504 | Legg Mason, Inc. | 25,860 | ||||||
1,537 | SEI Investments Co. | 50,367 | ||||||
3,251 | T. Rowe Price Group, Inc. | 274,418 | ||||||
2,910 | TD Ameritrade Holding Corp. | 91,229 | ||||||
1,040 | Waddell & Reed Financial, Inc., Class A | 65,094 | ||||||
|
| |||||||
1,443,979 | ||||||||
|
| |||||||
| Chemicals (3.6%): |
| ||||||
919 | Airgas, Inc. | 100,088 | ||||||
418 | Albemarle Corp. | 29,887 | ||||||
52 | Cabot Corp. | 3,015 | ||||||
165 | Celanese Corp., Series A | 10,606 |
Continued
2
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Chemicals, continued |
| ||||||
53 | Cytec Industries, Inc. | $ | 5,587 | |||||
2,384 | Dow Chemical Co. (The) | 122,681 | ||||||
10,724 | E.I. du Pont de Nemours & Co. | 701,779 | ||||||
1,691 | Eastman Chemical Co. | 147,709 | ||||||
3,298 | Ecolab, Inc. | 367,199 | ||||||
1,630 | FMC Corp. | 116,040 | ||||||
1,752 | Huntsman Corp. | 49,231 | ||||||
1,000 | International Flavor & Fragrances, Inc. | 104,280 | ||||||
5,455 | LyondellBasell Industries NV, Class A | 532,681 | ||||||
6,484 | Monsanto Co. | 808,814 | ||||||
111 | NewMarket Corp. | 43,524 | ||||||
1,053 | Platform Speciality Products Corp.* | 29,516 | ||||||
1,711 | PPG Industries, Inc. | 359,567 | ||||||
3,620 | Praxair, Inc. | 480,881 | ||||||
62 | Rayonier Advanced Materials, Inc.* | 2,390 | ||||||
56 | Rockwood Holdings, Inc. | 4,255 | ||||||
1,504 | RPM International, Inc. | 69,455 | ||||||
538 | Scotts Miracle-Gro Co. (The) | 30,591 | ||||||
1,065 | Sherwin Williams Co. | 220,359 | ||||||
676 | Sigma Aldrich Corp. | 68,600 | ||||||
1,031 | Valspar Corp. (The) | 78,552 | ||||||
805 | W.R. Grace & Co.* | 76,097 | ||||||
445 | Westlake Chemical Corp. | 37,273 | ||||||
|
| |||||||
4,600,657 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.6%): |
| ||||||
996 | Cintas Corp. | 63,286 | ||||||
552 | Clean Harbors, Inc.* | 35,466 | ||||||
1,407 | Copart, Inc.* | 50,596 | ||||||
545 | Covanta Holding Corp. | 11,232 | ||||||
1,851 | Iron Mountain, Inc. | 65,618 | ||||||
696 | KAR Auction Services, Inc. | 22,182 | ||||||
1,123 | Pitney Bowes, Inc. | 31,017 | ||||||
240 | R.R. Donnelley & Sons Co. | 4,070 | ||||||
752 | Rollins, Inc. | 22,560 | ||||||
1,041 | Stericycle, Inc.* | 123,275 | ||||||
5,091 | Tyco International, Ltd. | 232,150 | ||||||
929 | Waste Connections, Inc. | 45,103 | ||||||
593 | Waste Management, Inc. | 26,525 | ||||||
|
| |||||||
733,080 | ||||||||
|
| |||||||
| Communications Equipment (1.6%): |
| ||||||
1,557 | Arris Group, Inc.* | 50,649 | ||||||
771 | CommScope Holding Co., Inc.* | 17,833 | ||||||
131 | EchoStar Corp., Class A* | 6,935 | ||||||
938 | F5 Networks, Inc.* | 104,531 | ||||||
270 | Harris Corp. | 20,453 | ||||||
1,272 | Juniper Networks, Inc.* | 31,215 | ||||||
624 | Motorola Solutions, Inc. | 41,540 | ||||||
643 | Palo Alto Networks, Inc.* | 53,916 | ||||||
20,880 | QUALCOMM, Inc. | 1,653,695 | ||||||
2,042 | Riverbed Technology, Inc.* | 42,126 | ||||||
|
| |||||||
2,022,893 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction & Engineering (0.2%): |
| ||||||
1,234 | Chicago Bridge & Iron Co. NV | $ | 84,159 | |||||
1,194 | Fluor Corp. | 91,819 | ||||||
1,234 | Foster Wheeler, Ltd.* | 42,042 | ||||||
639 | Quanta Services, Inc.* | 22,097 | ||||||
|
| |||||||
240,117 | ||||||||
|
| |||||||
| Construction Materials (0.1%): |
| ||||||
624 | Eagle Materials, Inc. | 58,831 | ||||||
579 | Martin Marietta Materials, Inc. | 76,457 | ||||||
|
| |||||||
135,288 | ||||||||
|
| |||||||
| Consumer Finance (0.9%): |
| ||||||
2,994 | Ally Financial, Inc.* | 71,587 | ||||||
11,222 | American Express Co. | 1,064,630 | ||||||
70 | Santander Consumer USA Holdings, Inc. | 1,361 | ||||||
1,780 | SLM Corp. | 14,792 | ||||||
|
| |||||||
1,152,370 | ||||||||
|
| |||||||
| Containers & Packaging (0.4%): |
| ||||||
183 | AptarGroup, Inc. | 12,263 | ||||||
397 | Avery Dennison Corp. | 20,346 | ||||||
1,730 | Ball Corp. | 108,436 | ||||||
1,715 | Crown Holdings, Inc.* | 85,338 | ||||||
1,219 | Owens-Illinois, Inc.* | 42,226 | ||||||
1,199 | Packaging Corp. of America | 85,717 | ||||||
2,672 | Sealed Air Corp. | 91,302 | ||||||
563 | Silgan Holdings, Inc. | 28,612 | ||||||
|
| |||||||
474,240 | ||||||||
|
| |||||||
| Distributors (0.2%): |
| ||||||
1,767 | Genuine Parts Co. | 155,143 | ||||||
3,768 | LKQ Corp.* | 100,568 | ||||||
|
| |||||||
255,711 | ||||||||
|
| |||||||
| Diversified Consumer Services (0.1%): |
| ||||||
3,419 | H&R Block, Inc. | 114,605 | ||||||
2,056 | Service Corp. International | 42,600 | ||||||
|
| |||||||
157,205 | ||||||||
|
| |||||||
| Diversified Financial Services (0.4%): |
| ||||||
1,047 | CBOE Holdings, Inc. | 51,523 | ||||||
604 | IntercontinentalExchange Group, Inc. | 114,096 | ||||||
748 | Leucadia National Corp. | 19,613 | ||||||
1,082 | LPL Financial Holdings, Inc. | 53,819 | ||||||
2,338 | Moody’s Corp. | 204,948 | ||||||
646 | MSCI, Inc., Class A* | 29,619 | ||||||
|
| |||||||
473,618 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (2.1%): |
| ||||||
433 | CenturyLink, Inc. | 15,675 | ||||||
2,086 | Level 3 Communications, Inc.* | 91,596 | ||||||
1,698 | TW Telecom, Inc.* | 68,446 | ||||||
51,232 | Verizon Communications, Inc. | 2,506,782 | ||||||
7,042 | Windstream Holdings, Inc.^ | 70,138 | ||||||
|
| |||||||
2,752,637 | ||||||||
|
| |||||||
| Electric Utilities (0.1%): |
| ||||||
1,839 | ITC Holdings Corp. | 67,087 | ||||||
|
|
Continued
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electrical Equipment (0.8%): |
| ||||||
535 | Acuity Brands, Inc. | $ | 73,964 | |||||
3,038 | AMETEK, Inc. | 158,827 | ||||||
6,484 | Emerson Electric Co. | 430,277 | ||||||
117 | Hubbell, Inc., Class B | 14,409 | ||||||
1,719 | Rockwell Automation, Inc. | 215,150 | ||||||
559 | Roper Industries, Inc. | 81,620 | ||||||
525 | Solarcity Corp.*^ | 37,065 | ||||||
|
| |||||||
1,011,312 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.4%): |
| ||||||
1,941 | Amphenol Corp., Class A | 186,996 | ||||||
348 | Avnet, Inc. | 15,420 | ||||||
1,075 | CDW Corp. | 34,271 | ||||||
3,756 | Corning, Inc. | 82,444 | ||||||
1,241 | FLIR Systems, Inc. | 43,100 | ||||||
403 | IPG Photonics Corp.*^ | 27,726 | ||||||
1,263 | National Instruments Corp. | 40,909 | ||||||
3,228 | Trimble Navigation, Ltd.* | 119,275 | ||||||
|
| |||||||
550,141 | ||||||||
|
| |||||||
| Energy Equipment & Services (2.7%): |
| ||||||
174 | Atwood Oceanics, Inc.* | 9,132 | ||||||
448 | Baker Hughes, Inc. | 33,354 | ||||||
1,611 | Cameron International Corp.* | 109,081 | ||||||
959 | Dresser-Rand Group, Inc.* | 61,117 | ||||||
511 | Dril-Quip, Inc.* | 55,822 | ||||||
2,920 | FMC Technologies, Inc.* | 178,324 | ||||||
51 | Frank’s International NV | 1,254 | ||||||
10,438 | Halliburton Co. | 741,202 | ||||||
809 | Helmerich & Payne, Inc. | 93,933 | ||||||
365 | Nabors Industries, Ltd. | 10,720 | ||||||
451 | National-Oilwell Varco, Inc. | 37,140 | ||||||
1,327 | Oceaneering International, Inc. | 103,679 | ||||||
914 | Patterson-UTI Energy, Inc. | 31,935 | ||||||
782 | RPC, Inc. | 18,369 | ||||||
16,089 | Schlumberger, Ltd. | 1,897,697 | ||||||
1,296 | Seadrill, Ltd.^ | 51,775 | ||||||
132 | Superior Energy Services, Inc. | 4,770 | ||||||
39 | Unit Corp.* | 2,684 | ||||||
|
| |||||||
3,441,988 | ||||||||
|
| |||||||
| Food & Staples Retailing (1.6%): |
| ||||||
5,126 | Costco Wholesale Corp. | 590,310 | ||||||
2,054 | CVS Caremark Corp. | 154,810 | ||||||
6,302 | Kroger Co. (The) | 311,508 | ||||||
1,209 | Sprouts Farmers Market, Inc.*^ | 39,558 | ||||||
2,712 | Sysco Corp. | 101,564 | ||||||
8,879 | Walgreen Co. | 658,201 | ||||||
2,009 | Wal-Mart Stores, Inc. | 150,816 | ||||||
1,976 | Whole Foods Market, Inc. | 76,333 | ||||||
|
| |||||||
2,083,100 | ||||||||
|
| |||||||
| Food Products (1.8%): |
| ||||||
794 | Archer-Daniels-Midland Co. | 35,023 | ||||||
1,455 | Campbell Soup Co. | 66,654 | ||||||
2,141 | Flowers Foods, Inc. | 45,132 | ||||||
7,601 | General Mills, Inc. | 399,357 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food Products, continued |
| ||||||
568 | Hain Celestial Group, Inc.* | $ | 50,404 | |||||
1,846 | Hershey Co. | 179,745 | ||||||
925 | Hillshire Brands Co. | 57,628 | ||||||
1,638 | Hormel Foods Corp. | 80,835 | ||||||
140 | Ingredion, Inc. | 10,506 | ||||||
2,896 | Kellogg Co. | 190,267 | ||||||
1,749 | Keurig Green Mountain, Inc. | 217,943 | ||||||
7,365 | Kraft Foods Group, Inc., Class A | 441,531 | ||||||
1,624 | McCormick & Co. | 116,262 | ||||||
2,492 | Mead Johnson Nutrition Co. | 232,180 | ||||||
104 | Pilgrim’s Pride Corp.* | 2,845 | ||||||
8,075 | Rite AID Corp.* | 57,898 | ||||||
203 | Tyson Foods, Inc., Class A | 7,621 | ||||||
2,151 | WhiteWave Foods Co., Class A* | 69,628 | ||||||
|
| |||||||
2,261,459 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (1.6%): |
| ||||||
1,010 | Align Technology, Inc.* | 56,600 | ||||||
6,713 | Baxter International, Inc. | 485,351 | ||||||
2,391 | Becton, Dickinson & Co. | 282,856 | ||||||
1,555 | Boston Scientific Corp.* | 19,857 | ||||||
952 | C.R. Bard, Inc. | 136,146 | ||||||
431 | Cooper Cos., Inc. (The) | 58,413 | ||||||
550 | DENTSPLY International, Inc. | 26,043 | ||||||
1,318 | Edwards Lifesciences Corp.* | 113,137 | ||||||
63 | Hill-Rom Holdings, Inc. | 2,615 | ||||||
957 | Hologic, Inc.* | 24,260 | ||||||
641 | IDEXX Laboratories, Inc.* | 85,618 | ||||||
440 | Intuitive Surgical, Inc.* | 181,192 | ||||||
1,743 | ResMed, Inc.^ | 88,248 | ||||||
438 | Sirona Dental Systems, Inc.* | 36,117 | ||||||
2,265 | St. Jude Medical, Inc. | 156,851 | ||||||
2,479 | Stryker Corp. | 209,029 | ||||||
1,285 | Varian Medical Systems, Inc.* | 106,835 | ||||||
156 | Zimmer Holdings, Inc. | 16,202 | ||||||
|
| |||||||
2,085,370 | ||||||||
|
| |||||||
| Health Care Providers & Services (1.8%): |
| ||||||
1,318 | Aetna, Inc. | 106,863 | ||||||
2,793 | AmerisourceBergen Corp. | 202,939 | ||||||
1,552 | Brookdale Senior Living, Inc.* | 51,744 | ||||||
341 | Cardinal Health, Inc. | 23,379 | ||||||
2,534 | Catamaran Corp.* | 111,901 | ||||||
714 | Centene Corp.* | 53,986 | ||||||
3,699 | Cerner Corp.* | 190,794 | ||||||
259 | CIGNA Corp. | 23,820 | ||||||
762 | DaVita, Inc.* | 55,108 | ||||||
1,004 | Envision Healthcare Holdings, Inc.* | 36,054 | ||||||
8,287 | Express Scripts Holding Co.* | 574,538 | ||||||
384 | HCA Holdings, Inc.* | 21,650 | ||||||
1,065 | Henry Schein, Inc.* | 126,384 | ||||||
415 | Laboratory Corp. of America Holdings* | 42,496 | ||||||
2,853 | McKesson, Inc. | 531,257 | ||||||
814 | MEDNAX, Inc.* | 47,334 | ||||||
93 | Patterson Cos., Inc. | 3,674 | ||||||
401 | Premier, Inc., Class A* | 11,629 |
Continued
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Providers & Services, continued |
| ||||||
330 | Quintiles Transnational Holdings, Inc.* | $ | 17,586 | |||||
1,221 | Tenet Healthcare Corp.* | 57,314 | ||||||
242 | Universal Health Services, Inc., Class B | 23,174 | ||||||
|
| |||||||
2,313,624 | ||||||||
|
| |||||||
| Health Care Technology (0.1%): |
| ||||||
829 | Allscripts Healthcare Solutions, Inc.* | 13,305 | ||||||
468 | athenahealth, Inc.* | 58,561 | ||||||
925 | IMS Health Holdings, Inc.* | 23,754 | ||||||
|
| |||||||
95,620 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (3.1%): |
| ||||||
532 | Aramark Holdings Corp. | 13,768 | ||||||
482 | Bally Technologies, Inc.* | 31,677 | ||||||
777 | Brinker International, Inc.^ | 37,801 | ||||||
1,308 | Burger King Worldwide, Inc. | 35,604 | ||||||
386 | Chipotle Mexican Grill, Inc.* | 228,709 | ||||||
37 | Choice Hotels International, Inc. | 1,743 | ||||||
674 | Domino’s Pizza, Inc. | 49,263 | ||||||
1,288 | Dunkin’ Brands Group, Inc. | 59,003 | ||||||
1,674 | Hilton Worldwide Holdings, Inc.* | 39,004 | ||||||
42 | Hyatt Hotels Corp., Class A* | 2,561 | ||||||
4,651 | Las Vegas Sands Corp. | 354,499 | ||||||
2,394 | Marriott International, Inc., Class A | 153,455 | ||||||
12,227 | McDonald’s Corp. | 1,231,749 | ||||||
393 | MGM Resorts International* | 10,375 | ||||||
1,040 | Norwegian Cruise Line Holdings, Ltd.* | 32,968 | ||||||
302 | Panera Bread Co., Class A* | 45,249 | ||||||
842 | SeaWorld Entertainment, Inc. | 23,854 | ||||||
902 | Six Flags Entertainment Corp. | 38,380 | ||||||
9,313 | Starbucks Corp. | 720,640 | ||||||
1,067 | Starwood Hotels & Resorts Worldwide, Inc. | 86,235 | ||||||
1,565 | Wyndham Worldwide Corp. | 118,502 | ||||||
1,006 | Wynn Resorts, Ltd. | 208,805 | ||||||
5,459 | Yum! Brands, Inc. | 443,271 | ||||||
|
| |||||||
3,967,115 | ||||||||
|
| |||||||
| Household Durables (0.3%): |
| ||||||
328 | D.R. Horton, Inc. | 8,062 | ||||||
843 | Harman International Industries, Inc. | 90,564 | ||||||
487 | Jarden Corp.* | 28,903 | ||||||
848 | Leggett & Platt, Inc. | 29,069 | ||||||
135 | Lennar Corp. | 5,667 | ||||||
2,017 | Newell Rubbermaid, Inc. | 62,507 | ||||||
55 | NVR, Inc.* | 63,284 | ||||||
753 | Tempur-Pedic International, Inc.* | 44,954 | ||||||
623 | Tupperware Brands Corp. | 52,145 | ||||||
89 | Whirlpool Corp. | 12,391 | ||||||
|
| |||||||
397,546 | ||||||||
|
| |||||||
| Household Products (1.2%): |
| ||||||
1,665 | Church & Dwight Co., Inc. | 116,467 | ||||||
1,315 | Clorox Co. (The) | 120,191 | ||||||
10,123 | Colgate-Palmolive Co. | 690,186 | ||||||
3,864 | Kimberly-Clark Corp. | 429,754 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Household Products, continued |
| ||||||
1,908 | Procter & Gamble Co. (The) | $ | 149,950 | |||||
263 | Spectrum Brands Holdings, Inc. | 22,626 | ||||||
|
| |||||||
1,529,174 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.0%): |
| ||||||
744 | Calpine Corp.* | 17,715 | ||||||
|
| |||||||
| Industrial Conglomerates (1.0%): |
| ||||||
8,094 | 3M Co. | 1,159,384 | ||||||
1,767 | Danaher Corp. | 139,116 | ||||||
|
| |||||||
1,298,500 | ||||||||
|
| |||||||
| Insurance (0.5%): |
| ||||||
135 | American Financial Group, Inc. | 8,041 | ||||||
2,818 | Aon plc | 253,874 | ||||||
1,861 | Arthur J. Gallagher & Co. | 86,723 | ||||||
84 | Brown & Brown, Inc. | 2,580 | ||||||
304 | Erie Indemnity Co., Class A | 22,879 | ||||||
4,583 | Marsh & McLennan Cos., Inc. | 237,490 | ||||||
238 | Reinsurance Group of America, Inc. | 18,778 | ||||||
|
| |||||||
630,365 | ||||||||
|
| |||||||
| Internet & Catalog Retail (2.4%): |
| ||||||
4,648 | Amazon.com, Inc.* | 1,509,578 | ||||||
1,251 | Expedia, Inc. | 98,529 | ||||||
5,954 | Groupon, Inc.*^ | 39,415 | ||||||
1,070 | HomeAway, Inc.* | 37,257 | ||||||
3,036 | Liberty Media Corp. — Interactive, Class A* | 89,137 | ||||||
925 | LibeMrty Ventures, Inc., Series A* | 68,265 | ||||||
742 | Netflix, Inc.* | 326,925 | ||||||
638 | Priceline.com, Inc.* | 767,514 | ||||||
1,373 | TripAdvisor, Inc.* | 149,190 | ||||||
188 | zulily, Inc., Class A*^ | 7,699 | ||||||
|
| |||||||
3,093,509 | ||||||||
|
| |||||||
| Internet Software & Services (5.7%): |
| ||||||
2,188 | Akamai Technologies, Inc.* | 133,599 | ||||||
15,677 | eBay, Inc.* | 784,791 | ||||||
621 | Equinix, Inc.*^ | 130,466 | ||||||
24,427 | Facebook, Inc., Class A* | 1,643,693 | ||||||
3,514 | Google, Inc., Class C* | 2,021,534 | ||||||
3,472 | Google, Inc., Class A* | 2,029,973 | ||||||
378 | IAC/InterActiveCorp | 26,169 | ||||||
1,291 | LinkedIn Corp., Class A* | 221,368 | ||||||
1,484 | Rackspace Hosting, Inc.* | 49,951 | ||||||
5,928 | Twitter, Inc.* | 242,870 | ||||||
1,490 | VeriSign, Inc.* | 72,727 | ||||||
629 | Yelp, Inc.* | 48,232 | ||||||
385 | Zillow, Inc., Class A* | 55,028 | ||||||
|
| |||||||
7,460,401 | ||||||||
|
| |||||||
| IT Services (5.6%): |
| ||||||
7,825 | Accenture plc, Class A | 632,573 | ||||||
671 | Alliance Data Systems Corp.* | 188,719 | ||||||
5,971 | Automatic Data Processing, Inc. | 473,381 | ||||||
860 | Booz Allen Hamilton Holding Corp. | 18,266 | ||||||
1,466 | Broadridge Financial Solutions, Inc. | 61,044 | ||||||
7,528 | Cognizant Technology Solutions Corp., Class A* | 368,194 |
Continued
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| IT Services, continued |
| ||||||
110 | Computer Sciences Corp. | $ | 6,952 | |||||
317 | DST Systems, Inc. | 29,218 | ||||||
442 | Fidelity National Information Services, Inc. | 24,195 | ||||||
3,095 | Fiserv, Inc.* | 186,690 | ||||||
1,026 | FleetCor Technologies, Inc.* | 135,227 | ||||||
1,108 | Gartner, Inc.* | 78,136 | ||||||
213 | Genpact, Ltd.* | 3,734 | ||||||
904 | Global Payments, Inc. | 65,856 | ||||||
11,702 | International Business Machines Corp. | 2,121,223 | ||||||
1,041 | Jack Henry & Associates, Inc. | 61,867 | ||||||
12,436 | MasterCard, Inc., Class A | 913,673 | ||||||
3,594 | Paychex, Inc. | 149,367 | ||||||
560 | Sabre Corp.* | 11,228 | ||||||
1,537 | Teradata Corp.* | 61,787 | ||||||
1,578 | Total System Services, Inc. | 49,565 | ||||||
1,541 | Vantive, Inc., Class A* | 51,808 | ||||||
1,379 | VeriFone Systems, Inc.* | 50,678 | ||||||
6,203 | Visa, Inc., Class A | 1,307,035 | ||||||
6,663 | Western Union Co. | 115,536 | ||||||
|
| |||||||
7,165,952 | ||||||||
|
| |||||||
| Leisure Products (0.2%): |
| ||||||
1,228 | Hasbro, Inc. | 65,145 | ||||||
1,517 | Mattel, Inc. | 59,117 | ||||||
815 | Polaris Industries, Inc. | 106,146 | ||||||
|
| |||||||
230,408 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.7%): |
| ||||||
594 | Agilent Technologies, Inc. | 34,119 | ||||||
1,406 | Bruker Corp.* | 34,124 | ||||||
290 | Charles River Laboratories International, Inc.* | 15,521 | ||||||
642 | Covance, Inc.* | 54,942 | ||||||
1,589 | Illumina, Inc.* | 283,700 | ||||||
358 | Mettler-Toledo International, Inc.* | 90,638 | ||||||
265 | PerkinElmer, Inc. | 12,413 | ||||||
213 | Techne Corp. | 19,717 | ||||||
1,989 | Thermo Fisher Scientific, Inc. | 234,702 | ||||||
1,054 | Waters Corp.* | 110,080 | ||||||
|
| |||||||
889,956 | ||||||||
|
| |||||||
| Machinery (2.1%): |
| ||||||
1,637 | Caterpillar, Inc. | 177,893 | ||||||
1,178 | Colfax Corp.* | 87,808 | ||||||
219 | Crane Co. | 16,285 | ||||||
2,275 | Cummins, Inc. | 351,010 | ||||||
989 | Deere & Co. | 89,554 | ||||||
1,643 | Donaldson Co., Inc. | 69,532 | ||||||
1,517 | Dover Corp. | 137,971 | ||||||
1,698 | Flowserve Corp. | 126,246 | ||||||
737 | Graco, Inc. | 57,545 | ||||||
932 | IDEX Corp. | 75,250 | ||||||
4,225 | Illinois Tool Works, Inc. | 369,941 | ||||||
283 | Ingersoll-Rand plc | 17,690 | ||||||
254 | ITT Corp. | 12,217 | ||||||
338 | Lincoln Electric Holdings, Inc. | 23,619 | ||||||
1,662 | Manitowoc Co., Inc. (The) | 54,613 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Machinery, continued |
| ||||||
709 | Middleby Corp. (The)* | $ | 58,648 | |||||
111 | Navistar International Corp.* | 4,160 | ||||||
810 | Nordson Corp. | 64,954 | ||||||
4,020 | PACCAR, Inc. | 252,577 | ||||||
1,359 | Pall Corp. | 116,045 | ||||||
982 | Parker Hannifin Corp. | 123,467 | ||||||
165 | Pentair plc | 11,900 | ||||||
101 | Snap-On, Inc. | 11,971 | ||||||
216 | Stanley Black & Decker, Inc. | 18,969 | ||||||
66 | Timken Co. | 4,477 | ||||||
681 | Toro Co. | 43,312 | ||||||
1,468 | Trinity Industries, Inc. | 64,181 | ||||||
21 | Valmont Industries, Inc.^ | 3,191 | ||||||
711 | WABCO Holdings, Inc.* | 75,949 | ||||||
1,179 | Wabtec Corp. | 97,374 | ||||||
1,649 | Xylem, Inc. | 64,443 | ||||||
|
| |||||||
2,682,792 | ||||||||
|
| |||||||
| Marine (0.1%): |
| ||||||
705 | Kirby Corp.* | 82,584 | ||||||
|
| |||||||
| Media (5.7%): |
| ||||||
757 | AMC Networks, Inc., Class A* | 46,548 | ||||||
2,455 | Cablevision Systems Corp., Class A | 43,331 | ||||||
6,368 | CBS Corp., Class B | 395,708 | ||||||
982 | Charter Communications, Inc., Class A* | 155,529 | ||||||
1,453 | Cinemark Holdings, Inc. | 51,378 | ||||||
232 | Clear Channel Outdoor Holdings, Inc., Class A | 1,898 | ||||||
29,321 | Comcast Corp., Class A | 1,573,950 | ||||||
5,786 | DIRECTV, Inc., Class A* | 491,868 | ||||||
2,838 | Discovery Communications, Inc., Class A* | 210,807 | ||||||
1,933 | DISH Network Corp., Class A* | 125,800 | ||||||
5,242 | Interpublic Group of Cos., Inc. (The) | 102,271 | ||||||
993 | Lamar Advertising Co. | 52,629 | ||||||
953 | Lions Gate Entertainment Corp.^ | 27,237 | ||||||
909 | Live Nation, Inc.* | 22,443 | ||||||
3,368 | McGraw-Hill Cos., Inc. (The) | 279,645 | ||||||
224 | Morningstar, Inc. | 16,085 | ||||||
3,183 | Omnicom Group, Inc. | 226,693 | ||||||
2,542 | Pandora Media, Inc.* | 74,989 | ||||||
273 | Regal Entertainment Group, Class A | 5,760 | ||||||
1,306 | Scripps Networks Interactive, Class A | 105,969 | ||||||
34,123 | Sirius XM Holdings, Inc.* | 118,066 | ||||||
1,013 | Starz — Liberty Capital* | 30,177 | ||||||
3,446 | Time Warner Cable, Inc. | 507,596 | ||||||
17,360 | Twenty-First Century Fox, Inc. | 610,204 | ||||||
5,317 | Viacom, Inc., Class B | 461,143 | ||||||
17,954 | Walt Disney Co. (The) | 1,539,376 | ||||||
|
| |||||||
7,277,100 | ||||||||
|
| |||||||
| Metals & Mining (0.1%): |
| ||||||
40 | Carpenter Technology Corp. | 2,530 | ||||||
416 | Compass Minerals International, Inc. | 39,828 | ||||||
1,801 | Southern Copper Corp. | 54,696 | ||||||
128 | Tahoe Resources, Inc.* | 3,354 | ||||||
|
| |||||||
100,408 | ||||||||
|
|
Continued
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Multiline Retail (0.6%): |
| ||||||
193 | Big Lots, Inc.* | $ | 8,820 | |||||
204 | Dillard’s, Inc., Class A | 23,788 | ||||||
2,917 | Dollar General Corp.* | 167,319 | ||||||
2,552 | Dollar Tree, Inc.* | 138,982 | ||||||
1,115 | Family Dollar Stores, Inc. | 73,746 | ||||||
142 | Kohl’s Corp. | 7,481 | ||||||
3,452 | Macy’s, Inc. | 200,284 | ||||||
1,714 | Nordstrom, Inc. | 116,432 | ||||||
258 | Sears Holdings Corp.* | 10,310 | ||||||
790 | Target Corp. | 45,781 | ||||||
|
| |||||||
792,943 | ||||||||
|
| |||||||
| Multi-Utilities (0.0%): |
| ||||||
439 | Dominion Resources, Inc. | 31,397 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (3.5%): |
| ||||||
456 | Anadarko Petroleum Corp. | 49,918 | ||||||
656 | Antero Resources Corp.* | 43,053 | ||||||
634 | Athlon Energy, Inc.* | 30,242 | ||||||
5,188 | Cabot Oil & Gas Corp. | 177,118 | ||||||
2,933 | Cheniere Energy, Inc.* | 210,296 | ||||||
1,499 | Chesapeake Energy Corp. | 46,589 | ||||||
130 | Cimarex Energy Co. | 18,650 | ||||||
3,945 | Cobalt International Energy, Inc.* | 72,391 | ||||||
1,388 | Concho Resources, Inc.* | 200,566 | ||||||
537 | Continental Resources, Inc.*^ | 84,867 | ||||||
78 | CVR Energy, Inc.^ | 3,759 | ||||||
6,761 | EOG Resources, Inc. | 790,090 | ||||||
1,695 | EQT Corp. | 181,196 | ||||||
873 | Gulfport Energy Corp.* | 54,824 | ||||||
450 | HollyFrontier Corp. | 19,661 | ||||||
2,241 | Kinder Morgan, Inc. | 81,259 | ||||||
1,290 | Kosmos Energy LLC* | 14,487 | ||||||
845 | Laredo Petroleum Holdings, Inc.* | 26,178 | ||||||
2,318 | Marathon Petroleum Corp. | 180,966 | ||||||
3,182 | Noble Energy, Inc. | 246,478 | ||||||
1,266 | Oasis Petroleum, Inc.* | 70,757 | ||||||
1,362 | ONEOK, Inc. | 92,725 | ||||||
269 | PBF Energy, Inc. | 7,169 | ||||||
2,870 | Phillips 66 | 230,834 | ||||||
1,770 | Pioneer Natural Resources Co. | 406,764 | ||||||
317 | QEP Resources, Inc. | 10,937 | ||||||
2,038 | Range Resources Corp. | 177,204 | ||||||
833 | SM Energy Co. | 70,055 | ||||||
4,382 | Southwestern Energy Co.* | 199,337 | ||||||
467 | Targa Resources Corp.* | 65,179 | ||||||
259 | Teekay Shipping Corp. | 16,123 | ||||||
688 | Tesoro Corp. | 40,365 | ||||||
567 | Ultra Petroleum Corp.* | 16,834 | ||||||
1,578 | Valero Energy Corp. | 79,058 | ||||||
152 | Whiting Petroleum Corp.* | 12,198 | ||||||
8,481 | Williams Cos., Inc. (The) | 493,679 | ||||||
174 | World Fuel Services Corp. | 8,566 | ||||||
|
| |||||||
4,530,372 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Paper & Forest Products (0.0%): |
| ||||||
829 | International Paper Co. | $ | 41,840 | |||||
|
| |||||||
| Personal Products (0.3%): |
| ||||||
2,188 | Avon Products, Inc. | 31,967 | ||||||
686 | Coty, Inc., Class A | 11,751 | ||||||
2,851 | Estee Lauder Co., Inc. (The), Class A | 211,715 | ||||||
995 | Herbalife, Ltd.^ | 64,217 | ||||||
736 | Nu Skin Enterprises, Inc., Class A | 54,435 | ||||||
|
| |||||||
374,085 | ||||||||
|
| |||||||
| Pharmaceuticals (3.6%): |
| ||||||
19,671 | Abbvie, Inc. | 1,110,230 | ||||||
2,158 | Actavis, Inc. plc* | 481,342 | ||||||
3,681 | Allergan, Inc. | 622,899 | ||||||
7,317 | Bristol-Myers Squibb Co. | 354,948 | ||||||
1,884 | Endo International plc* | 131,918 | ||||||
2,974 | Forest Laboratories, Inc.* | 294,426 | ||||||
735 | Jazz Pharmaceuticals plc* | 108,052 | ||||||
5,495 | Johnson & Johnson Co. | 574,887 | ||||||
336 | Mallinckrodt plc* | 26,887 | ||||||
5,062 | Merck & Co., Inc. | 292,837 | ||||||
4,622 | Mylan, Inc.* | 238,310 | ||||||
374 | Perrigo Co. plc | 54,514 | ||||||
753 | Pharmacyclics, Inc.* | 67,552 | ||||||
754 | Questcor Pharmaceuticals, Inc. | 69,737 | ||||||
785 | Salix Pharmaceuticals, Ltd.* | 96,830 | ||||||
6,232 | Zoetis, Inc. | 201,107 | ||||||
|
| |||||||
4,726,476 | ||||||||
|
| |||||||
| Professional Services (0.5%): |
| ||||||
356 | CoStar Group, Inc.* | 56,309 | ||||||
163 | Dun & Bradstreet Corp. | 17,963 | ||||||
807 | Equifax, Inc. | 58,540 | ||||||
842 | IHS, Inc., Class A* | 114,234 | ||||||
2,605 | Nielsen Holdings NV | 126,108 | ||||||
1,701 | Robert Half International, Inc. | 81,206 | ||||||
2,059 | Verisk Analytics, Inc., Class A* | 123,580 | ||||||
|
| |||||||
577,940 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.5%): |
| ||||||
4,896 | American Tower Corp. | 440,542 | ||||||
1,029 | Apartment Investment & Management Co., Class A | 33,206 | ||||||
227 | Boston Properties, Inc. | 26,827 | ||||||
232 | Columbia Property Trust, Inc. | 6,034 | ||||||
724 | Equity Lifestyle Properties, Inc. | 31,972 | ||||||
1,435 | Extra Space Storage, Inc. | 76,414 | ||||||
553 | Federal Realty Investment Trust | 66,869 | ||||||
175 | Gaming & Leisure Properties, Inc. | 5,945 | ||||||
2,018 | Health Care REIT, Inc. | 126,468 | ||||||
353 | Healthcare Trust of America, Inc. | 4,250 | ||||||
973 | NorthStar Realty Finance Corp. | 16,911 | ||||||
509 | OMEGA Healthcare Investors, Inc.^ | 18,762 | ||||||
1,054 | Plum Creek Timber Co., Inc. | 47,535 | ||||||
1,643 | Public Storage, Inc. | 281,528 | ||||||
185 | Rayonier, Inc. | 6,577 | ||||||
2,867 | Simon Property Group, Inc. | 476,724 |
Continued
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
701 | Tanger Factory Outlet Centers, Inc. | $ | 24,514 | |||||
731 | Taubman Centers, Inc. | 55,417 | ||||||
1,626 | Ventas, Inc. | 104,227 | ||||||
522 | Vornado Realty Trust | 55,713 | ||||||
757 | Weyerhaeuser Co. | 25,049 | ||||||
|
| |||||||
1,931,484 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.2%): |
| ||||||
3,430 | CBRE Group, Inc.* | 109,897 | ||||||
233 | Howard Hughes Corp. (The)* | 36,774 | ||||||
147 | Jones Lang LaSalle, Inc. | 18,579 | ||||||
781 | Realogy Holdings Corp.* | 29,452 | ||||||
|
| |||||||
194,702 | ||||||||
|
| |||||||
| Road & Rail (1.4%): |
| ||||||
49 | AMERCO, Inc. | 14,247 | ||||||
1,313 | Avis Budget Group, Inc.* | 78,373 | ||||||
297 | Genesee & Wyoming, Inc., Class A* | 31,185 | ||||||
5,539 | Hertz Global Holdings, Inc.* | 155,258 | ||||||
1,152 | J.B. Hunt Transport Services, Inc. | 84,995 | ||||||
1,053 | Kansas City Southern Industries, Inc. | 113,208 | ||||||
542 | Landstar System, Inc. | 34,688 | ||||||
812 | Norfolk Southern Corp. | 83,660 | ||||||
777 | Old Dominion Freight Line, Inc.* | 49,479 | ||||||
11,205 | Union Pacific Corp. | 1,117,699 | ||||||
|
| |||||||
1,762,792 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.2%): |
| ||||||
7,835 | Advanced Micro Devices, Inc.*^ | 32,829 | ||||||
1,450 | Altera Corp. | 50,402 | ||||||
1,772 | Analog Devices, Inc. | 95,812 | ||||||
10,061 | Applied Materials, Inc. | 226,876 | ||||||
5,127 | Atmel Corp.* | 48,040 | ||||||
3,091 | Avago Technologies, Ltd. | 222,768 | ||||||
825 | Cree, Inc.* | 41,209 | ||||||
383 | Freescale Semiconductor Holdings I, Ltd.* | 9,001 | ||||||
818 | Freescale Semiconductor, Ltd.* | 19,223 | ||||||
5,235 | Intel Corp. | 161,762 | ||||||
1,871 | KLA-Tencor Corp. | 135,909 | ||||||
534 | Lam Research Corp. | 36,088 | ||||||
2,927 | Linear Technology Corp. | 137,774 | ||||||
3,208 | Maxim Integrated Products, Inc. | 108,462 | ||||||
2,479 | Microchip Technology, Inc. | 121,000 | ||||||
11,614 | Micron Technology, Inc.* | 382,680 | ||||||
1,133 | NVIDIA Corp. | 21,006 | ||||||
2,790 | ON Semiconductor Corp.* | 25,501 | ||||||
2,346 | Skyworks Solutions, Inc. | 110,168 | ||||||
1,061 | SunEdison, Inc.* | 23,979 | ||||||
64 | Sunpower Corp. Common* | 2,623 | ||||||
265 | Teradyne, Inc. | 5,194 | ||||||
13,351 | Texas Instruments, Inc. | 638,043 | ||||||
3,319 | Xilinx, Inc. | 157,022 | ||||||
|
| |||||||
2,813,371 | ||||||||
|
| |||||||
| Software (5.6%): |
| ||||||
4,046 | Activision Blizzard, Inc. | 90,226 | ||||||
6,158 | Adobe Systems, Inc.* | 445,593 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software, continued |
| ||||||
264 | Ansys, Inc.* | $ | 20,016 | |||||
2,221 | Autodesk, Inc.* | 125,220 | ||||||
3,582 | Cadence Design Systems, Inc.* | 62,649 | ||||||
1,833 | Citrix Systems, Inc.* | 114,654 | ||||||
582 | Concur Technologies, Inc.* | 54,324 | ||||||
2,981 | Electronic Arts, Inc.* | 106,928 | ||||||
530 | FactSet Research Systems, Inc.^ | 63,748 | ||||||
860 | FireEye, Inc.*^ | 34,873 | ||||||
1,681 | Fortinet, Inc.* | 42,244 | ||||||
1,220 | Informatica Corp.* | 43,493 | ||||||
3,511 | Intuit, Inc. | 282,741 | ||||||
685 | Micros Systems, Inc.* | 46,512 | ||||||
66,116 | Microsoft Corp. | 2,757,038 | ||||||
514 | NetSuite, Inc.* | 44,656 | ||||||
40,632 | Oracle Corp. | 1,646,816 | ||||||
1,468 | PTC, Inc.* | 56,958 | ||||||
2,334 | Red Hat, Inc.* | 129,000 | ||||||
7,596 | Salesforce.com, Inc.* | 441,176 | ||||||
1,782 | ServiceNow, Inc.* | 110,413 | ||||||
818 | Solarwinds, Inc.* | 31,624 | ||||||
868 | Solera Holdings, Inc. | 58,286 | ||||||
1,468 | Splunk, Inc.* | 81,224 | ||||||
471 | Tableau Software, Inc., Class A* | 33,596 | ||||||
2,054 | TIBCO Software, Inc.* | 41,429 | ||||||
469 | Veeva Systems, Inc., Class A*^ | 11,936 | ||||||
1,084 | VMware, Inc., Class A* | 104,942 | ||||||
1,159 | Workday, Inc., Class A* | 104,148 | ||||||
|
| |||||||
7,186,463 | ||||||||
|
| |||||||
| Specialty Retail (3.4%): |
| ||||||
138 | Aaron’s, Inc. | 4,918 | ||||||
106 | Abercrombie & Fitch Co., Class A | 4,585 | ||||||
899 | Advance Auto Parts, Inc. | 121,293 | ||||||
900 | AutoNation, Inc.* | 53,712 | ||||||
403 | AutoZone, Inc.* | 216,105 | ||||||
1,066 | Bed Bath & Beyond, Inc.* | 61,167 | ||||||
1,063 | Best Buy Co., Inc. | 32,964 | ||||||
70 | Cabela’s, Inc., Class A*^ | 4,368 | ||||||
1,877 | CarMax, Inc.* | 97,623 | ||||||
829 | Chico’s FAS, Inc. | 14,060 | ||||||
798 | CST Brands, Inc. | 27,531 | ||||||
205 | Dick’s Sporting Goods, Inc. | 9,545 | ||||||
262 | Foot Locker, Inc. | 13,289 | ||||||
74 | GameStop Corp., Class A | 2,995 | ||||||
3,272 | Gap, Inc. (The) | 136,017 | ||||||
1,151 | GNC Holdings, Inc., Class A | 39,249 | ||||||
16,919 | Home Depot, Inc. (The) | 1,369,761 | ||||||
1,072 | L Brands, Inc. | 62,884 | ||||||
12,602 | Lowe’s Cos., Inc. | 604,770 | ||||||
269 | Murphy USA, Inc.* | 13,151 | ||||||
1,312 | O’Reilly Automotive, Inc.* | 197,587 | ||||||
234 | Penske Automotive Group, Inc. | 11,583 | ||||||
1,214 | PetSmart, Inc.^ | 72,597 | ||||||
2,627 | Ross Stores, Inc. | 173,724 | ||||||
1,481 | Sally Beauty Holdings, Inc.* | 37,143 |
Continued
8
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Specialty Retail, continued |
| ||||||
682 | Signet Jewelers, Ltd. | $ | 75,422 | |||||
1,396 | Tiffany & Co. | 139,949 | ||||||
8,662 | TJX Cos., Inc. (The) | 460,385 | ||||||
1,718 | Tractor Supply Co. | 103,767 | ||||||
800 | Ulta Salon, Cosmetics & Fragrance, Inc.* | 73,128 | ||||||
953 | Urban Outfitters, Inc.* | 32,269 | ||||||
1,157 | Williams-Sonoma, Inc. | 83,049 | ||||||
|
| |||||||
4,350,590 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (5.6%): |
| ||||||
1,360 | 3D Systems Corp.*^ | 81,328 | ||||||
74,595 | Apple, Inc. | 6,932,113 | ||||||
799 | Diebold, Inc. | 32,096 | ||||||
2,504 | EMC Corp. | 65,955 | ||||||
197 | NCR Corp.* | 6,913 | ||||||
1,477 | NetApp, Inc. | 53,940 | ||||||
1,329 | SanDisk Corp. | 138,787 | ||||||
347 | Stratasys, Ltd.*^ | 39,430 | ||||||
625 | Zebra Technologies Corp., Class A* | 51,450 | ||||||
|
| |||||||
7,402,012 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (1.5%): |
| ||||||
650 | Carter’s, Inc. | 44,805 | ||||||
3,373 | Coach, Inc. | 115,323 | ||||||
428 | Deckers Outdoor Corp.* | 36,949 | ||||||
585 | Fossil Group, Inc.* | 61,144 | ||||||
1,240 | Hanesbrands, Inc. | 122,066 | ||||||
1,566 | Kate Spade & Co.* | 59,727 | ||||||
2,528 | Michael Kors Holdings, Ltd.* | 224,107 | ||||||
8,640 | Nike, Inc., Class B | 670,031 | ||||||
897 | PVH Corp. | 104,590 | ||||||
549 | Ralph Lauren Corp. | 88,219 | ||||||
2,140 | Under Armour, Inc., Class A* | 127,309 | ||||||
4,267 | V.F. Corp. | 268,821 | ||||||
|
| |||||||
1,923,091 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.0%): |
| ||||||
248 | Nationstar Mortgage Holdings, Inc.*^ | 9,002 | ||||||
1,306 | Ocwen Financial Corp.* | 48,453 | ||||||
|
| |||||||
57,455 | ||||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Tobacco (1.9%): |
| ||||||
23,246 | Altria Group, Inc. | $ | 974,937 | |||||
4,484 | Lorillard, Inc. | 273,389 | ||||||
11,421 | Philip Morris International, Inc. | 962,905 | ||||||
2,882 | Reynolds American, Inc. | 173,929 | ||||||
|
| |||||||
2,385,160 | ||||||||
|
| |||||||
| Trading Companies & Distributors (0.5%): |
| ||||||
81 | Air Lease Corp. | 3,125 | ||||||
3,651 | Fastenal Co. | 180,688 | ||||||
1,313 | HD Supply Holdings, Inc.* | 37,276 | ||||||
572 | MRC Global, Inc.* | 16,182 | ||||||
595 | MSC Industrial Direct Co., Inc., Class A | 56,906 | ||||||
113 | NOW, Inc.* | 4,092 | ||||||
1,203 | United Rentals, Inc.* | 125,990 | ||||||
716 | W.W. Grainger, Inc. | 182,057 | ||||||
|
| |||||||
606,316 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.4%): |
| ||||||
4,146 | Crown Castle International Corp. | 307,882 | ||||||
1,594 | SBA Communications Corp., Class A* | 163,066 | ||||||
|
| |||||||
470,948 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $76,555,421) | 125,328,372 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (1.1%): |
| ||||||
$ | 1,367,315 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 1,367,315 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,367,315 | ||||||
|
| |||||||
| Unaffiliated Investment Company (2.2%): | |||||||
2,867,982 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 2,867,982 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 2,867,982 | ||||||
|
| |||||||
| Total Investment Securities | 129,563,669 | ||||||
| Net other assets (liabilities) — (1.1)% | (1,447,079 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 128,116,590 | |||||
|
|
Continued
9
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,337,420. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Futures Contracts
Cash of $137,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
NASDAQ 100 E-Mini September Futures | Long | 9/19/14 | 10 | $ | 768,100 | $ | 9,953 | |||||||||||||
S&P 500 Index E-Mini September Futures | Long | 9/19/14 | 24 | 2,342,880 | 12,870 | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | 22,823 | ||||||||||||||||||
|
|
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 80,682,402 | |||
Investments in affiliates, at cost | 108,316 | ||||
|
| ||||
Total Investment securities, at cost | $ | 80,790,718 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 129,371,270 | |||
Investments in affiliates, at value | 192,399 | ||||
|
| ||||
Total Investment securities, at value | 129,563,669 | ||||
Cash | 1,025 | ||||
Segregated cash for collateral | 137,000 | ||||
Interest and dividends receivable | 112,874 | ||||
Receivable for capital shares issued | 2,506 | ||||
Receivable for investments sold | 14,378,592 | ||||
Receivable for variation margin on futures contracts | 2,492 | ||||
Prepaid expenses | 648 | ||||
|
| ||||
Total Assets | 144,198,806 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 14,430,009 | ||||
Payable for capital shares redeemed | 182,769 | ||||
Payable for collateral received on loaned securities | 1,367,315 | ||||
Manager fees payable | 45,981 | ||||
Administration fees payable | 4,598 | ||||
Distribution fees payable | 26,125 | ||||
Custodian fees payable | 6,959 | ||||
Administrative and compliance services fees payable | 420 | ||||
Trustee fees payable | 805 | ||||
Other accrued liabilities | 17,235 | ||||
|
| ||||
Total Liabilities | 16,082,216 | ||||
|
| ||||
Net Assets | $ | 128,116,590 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 56,776,326 | |||
Accumulated net investment income/(loss) | 1,838,202 | ||||
Accumulated net realized gains/(losses) from investment transactions | 20,706,288 | ||||
Net unrealized appreciation/(depreciation) on investments | 48,795,774 | ||||
|
| ||||
Net Assets | $ | 128,116,590 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 7,309,911 | ||||
Net Asset Value (offering and redemption price per share) | $ | 17.53 | |||
|
|
* | Includes securities on loan of $1,337,420. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 1,087,603 | |||
Dividends from affiliates | 2,364 | ||||
Income from securities lending | 10,771 | ||||
Foreign withholding tax | (77 | ) | |||
|
| ||||
Total Investment Income | 1,100,661 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 295,056 | ||||
Administration fees | 21,619 | ||||
Distribution fees | 167,645 | ||||
Custodian fees | 7,149 | ||||
Administrative and compliance services fees | 976 | ||||
Trustee fees | 3,086 | ||||
Professional fees | 3,005 | ||||
Shareholder reports | 748 | ||||
Other expenses | 17,671 | ||||
|
| ||||
Total expenses | 516,955 | ||||
|
| ||||
Net Investment Income/(Loss) | 583,706 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 11,947,276 | ||||
Net realized gains/(losses) on futures contracts | 194,962 | ||||
Change in net unrealized appreciation/depreciation on investments | (5,536,287 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 6,605,951 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 7,189,657 | |||
|
|
See accompanying notes to the financial statements.
11
Statements of Changes in Net Assets
AZL Russell 1000 Growth Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 583,706 | $ | 1,250,991 | ||||||
Net realized gains/(losses) on investment transactions | 12,142,238 | 10,769,478 | ||||||||
Change in unrealized appreciation/depreciation on investments | (5,536,287 | ) | 26,959,930 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 7,189,657 | 38,980,399 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (1,445,971 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (1,445,971 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 1,354,828 | 4,620,558 | ||||||||
Proceeds from dividends reinvested | — | 1,445,971 | ||||||||
Value of shares redeemed | (24,762,524 | ) | (45,131,629 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (23,407,696 | ) | (39,065,100 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (16,218,039 | ) | (1,530,672 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 144,334,629 | 145,865,301 | ||||||||
|
|
|
| |||||||
End of period | $ | 128,116,590 | $ | 144,334,629 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 1,838,202 | $ | 1,254,496 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 80,661 | 333,477 | ||||||||
Dividends reinvested | — | 96,980 | ||||||||
Shares redeemed | (1,493,830 | ) | (3,256,480 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,413,169 | ) | (2,826,023 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
12
AZL Russell 1000 Growth Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | April 30, 2010 to December 31, 2010 (a) | |||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.55 | $ | 12.63 | $ | 11.10 | $ | 10.95 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Investment Activities: | |||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | 0.18 | 0.12 | 0.08 | 0.05 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.87 | 3.90 | 1.48 | 0.13 | 0.90 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from Investment Activities | 0.98 | 4.08 | 1.60 | 0.21 | 0.95 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Dividends to Shareholders From: | |||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.07 | ) | (0.06 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Dividends | — | (0.16 | ) | (0.07 | ) | (0.06 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Period | $ | 17.53 | $ | 16.55 | $ | 12.63 | $ | 11.10 | $ | 10.95 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return(b) | 5.92 | %(c) | 32.48 | % | 14.40 | % | 1.92 | % | 9.50 | %(c) | |||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 128,117 | $ | 144,335 | $ | 145,865 | $ | 111,887 | $ | 105,577 | |||||||||||||||
Net Investment Income/(Loss)(d) | 0.87 | % | 0.89 | % | 1.09 | % | 0.72 | % | 0.87 | % | |||||||||||||||
Expenses Before Reductions(d)(e) | 0.77 | % | 0.78 | % | 0.80 | % | 0.84 | % | 0.87 | % | |||||||||||||||
Expenses Net of Reductions(d) | 0.77 | % | 0.78 | % | 0.80 | % | 0.84 | % | 0.84 | % | |||||||||||||||
Portfolio Turnover Rate | 12 | %(c) | 13 | % | 16 | % | 24 | % | 29 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Growth Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $1.7 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,063 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $3.1 million as of June 30, 2014. The monthly average notional amount for these contracts was $1.9 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 22,823 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments | $ | 194,962 | $ | (73,241 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Russell 1000 Growth Index Fund | 0.44 | % | 0.84 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $822 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are generally valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 125,328,372 | $ | — | $ | 125,328,372 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 1,367,315 | 1,367,315 | ||||||||||||
Unaffiliated Investment Company | 2,867,982 | — | 2,867,982 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 128,196,354 | $ | 1,367,315 | $ | 129,563,669 | |||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 22,823 | — | 22,823 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 128,219,177 | $ | 1,367,315 | $ | 129,586,492 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Russell 1000 Growth Index Fund | $ | 16,564,556 | $ | 39,206,577 |
17
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $80,943,563. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 48,984,287 | ||
Unrealized depreciation | (364,181 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 48,620,106 | ||
|
|
During the year ended December 31, 2013, the Fund utilized $1,248,758 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 1,445,971 | $ | — | $ | 1,445,971 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 1,253,837 | $ | 8,845,462 | $ | — | $ | 54,051,308 | $ | 64,150,607 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2014, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
18
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Russell 1000 Value Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 11 |
Page 11 |
Statements of Changes in Net Assets Page 12 |
Page 13 |
Notes to the Financial Statements Page 14 |
Page 19 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Value Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Value Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Russell 1000 Value Index Fund | $ | 1,000.00 | $ | 1,078.90 | $ | 3.92 | 0.76 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Russell 1000 Value Index Fund | $ | 1,000.00 | $ | 1,021.03 | $ | 3.81 | 0.76 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 28.2 | % | |||
Energy | 13.8 | ||||
Health Care | 12.9 | ||||
Industrials | 10.4 | ||||
Information Technology | 8.8 | ||||
Consumer Staples | 6.7 | ||||
Consumer Discretionary | 6.3 | ||||
Utilities | 6.2 | ||||
Materials | 3.3 | ||||
Telecommunication Services | 2.3 | ||||
|
| ||||
Total Common Stock | 98.9 | ||||
Money Market | 1.0 | ||||
Securities Held as Collateral for Securities on Loan | 0.7 | ||||
|
| ||||
Total Investment Securities | 100.6 | ||||
Net other assets (liabilities) | (0.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (98.9%): |
| ||||||
| Aerospace & Defense (2.2%): |
| ||||||
692 | Alliant Techsystems, Inc. | $ | 92,673 | |||||
4,144 | Exelis, Inc. | 70,365 | ||||||
6,663 | General Dynamics Corp. | 776,573 | ||||||
168 | Huntington Ingalls Industries, Inc. | 15,891 | ||||||
1,878 | L-3 Communications Holdings, Inc. | 226,769 | ||||||
4,664 | Northrop Grumman Corp. | 557,954 | ||||||
6,814 | Raytheon Co. | 628,592 | ||||||
351 | Rockwell Collins, Inc. | 27,427 | ||||||
180 | Spirit AeroSystems Holdings, Inc., Class A* | 6,066 | ||||||
6,057 | Textron, Inc. | 231,923 | ||||||
868 | Triumph Group, Inc. | 60,604 | ||||||
17,732 | United Technologies Corp. | 2,047,158 | ||||||
|
| |||||||
4,741,995 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.3%): |
| ||||||
3,669 | FedEx Corp. | 555,413 | ||||||
|
| |||||||
| Airlines (0.3%): |
| ||||||
140 | Alaska Air Group, Inc. | 13,307 | ||||||
158 | Copa Holdings SA, Class A | 22,526 | ||||||
17,513 | Delta Air Lines, Inc. | 678,104 | ||||||
1,656 | Southwest Airlines Co. | 44,480 | ||||||
|
| |||||||
758,417 | ||||||||
|
| |||||||
| Auto Components (0.4%): |
| ||||||
1,324 | Gentex Corp. | 38,515 | ||||||
10,603 | Johnson Controls, Inc. | 529,407 | ||||||
352 | Lear Corp. | 31,441 | ||||||
2,415 | TRW Automotive Holdings Corp.* | 216,191 | ||||||
1,057 | Visteon Corp.* | 102,540 | ||||||
|
| |||||||
918,094 | ||||||||
|
| |||||||
| Automobiles (1.2%): |
| ||||||
84,596 | Ford Motor Co. | 1,458,435 | ||||||
34,936 | General Motors Co. | 1,268,177 | ||||||
|
| |||||||
2,726,612 | ||||||||
|
| |||||||
| Banks (9.4%): |
| ||||||
3,471 | Associated Banc-Corp. | 62,756 | ||||||
229,035 | Bank of America Corp. | 3,520,268 | ||||||
967 | Bank of Hawaii Corp. | 56,753 | ||||||
15,654 | BB&T Corp. | 617,237 | ||||||
591 | BOK Financial Corp. | 39,361 | ||||||
4,212 | CIT Group, Inc. | 192,741 | ||||||
1,028 | City National Corp. | 77,881 | ||||||
3,956 | Comerica, Inc. | 198,433 | ||||||
1,779 | Commerce Bancshares, Inc. | 82,724 | ||||||
1,146 | Cullen/Frost Bankers, Inc. | 91,015 | ||||||
3,102 | East West Bancorp, Inc. | 108,539 | ||||||
18,523 | Fifth Third Bancorp | 395,466 | ||||||
5,150 | First Horizon National Corp. | 61,079 | ||||||
7,798 | First Niagara Financial Group, Inc. | 68,155 | ||||||
3,001 | First Republic Bank | 165,025 | ||||||
4,113 | Fulton Financial Corp. | 50,960 | ||||||
18,025 | Huntington Bancshares, Inc. | 171,959 | ||||||
82,433 | JPMorgan Chase & Co. | 4,749,789 | ||||||
19,236 | KeyCorp | 275,652 | ||||||
2,869 | M&T Bank Corp. | 355,899 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Banks, continued |
| ||||||
2,220 | PacWest Bancorp | $ | 95,837 | |||||
11,633 | PNC Financial Services Group, Inc. | 1,035,919 | ||||||
2,275 | Popular, Inc.* | 77,760 | ||||||
30,032 | Regions Financial Corp. | 318,940 | ||||||
75 | Signature Bank* | 9,464 | ||||||
11,605 | SunTrust Banks, Inc. | 464,896 | ||||||
1,002 | SVB Financial Group* | 116,853 | ||||||
3,014 | Synovus Financial Corp. | 73,481 | ||||||
3,678 | TCF Financial Corp. | 60,209 | ||||||
37,414 | U.S. Bancorp | 1,620,774 | ||||||
104,015 | Wells Fargo & Co. | 5,467,029 | ||||||
4,054 | Zions Bancorp | 119,471 | ||||||
|
| |||||||
20,802,325 | ||||||||
|
| |||||||
| Beverages (0.1%): |
| ||||||
240 | Constellation Brands, Inc., Class A* | 21,151 | ||||||
2,960 | Molson Coors Brewing Co., Class B | 219,514 | ||||||
|
| |||||||
240,665 | ||||||||
|
| |||||||
| Biotechnology (0.1%): |
| ||||||
457 | Alkermes plc* | 23,001 | ||||||
223 | Alnylam Pharmaceuticals, Inc.* | 14,087 | ||||||
859 | Amgen, Inc. | 101,679 | ||||||
88 | Cubist Pharmaceuticals, Inc.* | 6,144 | ||||||
206 | Myriad Genetics, Inc.* | 8,018 | ||||||
|
| |||||||
152,929 | ||||||||
|
| |||||||
| Building Products (0.1%): |
| ||||||
901 | A.O. Smith Corp. | 44,672 | ||||||
2,110 | Fortune Brands Home & Security, Inc. | 84,252 | ||||||
2,564 | Owens Corning, Inc. | 99,175 | ||||||
|
| |||||||
228,099 | ||||||||
|
| |||||||
| Capital Markets (3.1%): |
| ||||||
2,688 | Ameriprise Financial, Inc. | 322,560 | ||||||
24,837 | Bank of New York Mellon Corp. (The) | 930,890 | ||||||
1,716 | BlackRock, Inc., Class A + | 548,434 | ||||||
20,443 | Charles Schwab Corp. (The) | 550,530 | ||||||
6,310 | E*TRADE Financial Corp.* | 134,151 | ||||||
530 | Federated Investors, Inc., Class B | 16,388 | ||||||
1,585 | Franklin Resources, Inc. | 91,676 | ||||||
9,740 | Goldman Sachs Group, Inc. (The) | 1,630,865 | ||||||
7,981 | Invesco, Ltd. | 301,283 | ||||||
1,374 | Legg Mason, Inc. | 70,500 | ||||||
33,406 | Morgan Stanley | 1,080,015 | ||||||
5,150 | Northern Trust Corp. | 330,682 | ||||||
2,724 | Raymond James Financial, Inc. | 138,189 | ||||||
170 | SEI Investments Co. | 5,571 | ||||||
9,374 | State Street Corp. | 630,495 | ||||||
731 | TD Ameritrade Holding Corp. | 22,917 | ||||||
|
| |||||||
6,805,146 | ||||||||
|
| |||||||
| Chemicals (1.6%): |
| ||||||
4,625 | Air Products & Chemicals, Inc. | 594,867 | ||||||
1,027 | Albemarle Corp. | 73,431 | ||||||
1,697 | Ashland, Inc. | 184,532 | ||||||
1,313 | Cabot Corp. | 76,141 |
Continued
2
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Chemicals, continued |
| ||||||
3,107 | Celanese Corp., Series A | $ | 199,718 | |||||
1,135 | CF Industries Holdings, Inc. | 273,002 | ||||||
687 | Cytec Industries, Inc. | 72,424 | ||||||
22,028 | Dow Chemical Co. (The) | 1,133,560 | ||||||
1,123 | E.I. du Pont de Nemours & Co. | 73,489 | ||||||
297 | Eastman Chemical Co. | 25,943 | ||||||
1,308 | Huntsman Corp. | 36,755 | ||||||
7,293 | Mosaic Co. (The) | 360,639 | ||||||
810 | Rayonier Advanced Materials, Inc.* | 31,400 | ||||||
1,482 | Rockwood Holdings, Inc. | 112,617 | ||||||
227 | RPM International, Inc. | 10,483 | ||||||
1,400 | Sigma Aldrich Corp. | 142,072 | ||||||
234 | W.R. Grace & Co.* | 22,120 | ||||||
122 | Westlake Chemical Corp. | 10,219 | ||||||
|
| |||||||
3,433,412 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.5%): |
| ||||||
3,794 | ADT Corp. (The)^ | 132,562 | ||||||
438 | Cintas Corp. | 27,831 | ||||||
353 | Clean Harbors, Inc.* | 22,680 | ||||||
2,541 | Corrections Corp. of America | 83,472 | ||||||
1,390 | Covanta Holding Corp. | 28,648 | ||||||
438 | Iron Mountain, Inc. | 15,527 | ||||||
1,827 | KAR Auction Services, Inc. | 58,226 | ||||||
2,395 | Pitney Bowes, Inc. | 66,150 | ||||||
3,930 | R.R. Donnelley & Sons Co. | 66,653 | ||||||
5,783 | Republic Services, Inc. | 219,581 | ||||||
1,089 | Tyco International, Ltd. | 49,658 | ||||||
1,065 | Waste Connections, Inc. | 51,706 | ||||||
9,091 | Waste Management, Inc. | 406,640 | ||||||
|
| |||||||
1,229,334 | ||||||||
|
| |||||||
| Communications Equipment (1.6%): |
| ||||||
9,475 | Brocade Communications Systems, Inc. | 87,170 | ||||||
111,574 | Cisco Systems, Inc. | 2,772,614 | ||||||
708 | EchoStar Corp., Class A* | 37,482 | ||||||
1,844 | Harris Corp. | 139,683 | ||||||
5,054 | JDS Uniphase Corp.* | 63,023 | ||||||
8,078 | Juniper Networks, Inc.* | 198,234 | ||||||
3,793 | Motorola Solutions, Inc. | 252,500 | ||||||
|
| |||||||
3,550,706 | ||||||||
|
| |||||||
| Construction & Engineering (0.3%): |
| ||||||
2,168 | Aecom Technology Corp.* | 69,810 | ||||||
1,348 | Fluor Corp. | 103,661 | ||||||
2,876 | Jacobs Engineering Group, Inc.* | 153,233 | ||||||
3,172 | KBR, Inc. | 75,652 | ||||||
3,523 | Quanta Services, Inc.* | 121,825 | ||||||
1,516 | URS Corp. | 69,509 | ||||||
|
| |||||||
593,690 | ||||||||
|
| |||||||
| Construction Materials (0.1%): |
| ||||||
2,858 | Vulcan Materials Co. | 182,198 | ||||||
|
| |||||||
| Consumer Finance (0.9%): |
| ||||||
626 | Ally Financial, Inc.* | 14,968 | ||||||
12,449 | Capital One Financial Corp. | 1,028,286 | ||||||
10,155 | Discover Financial Services | 629,407 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Consumer Finance, continued |
| ||||||
9,205 | Navient Corp. | $ | 163,021 | |||||
1,788 | Santander Consumer USA Holdings, Inc. | 34,759 | ||||||
6,073 | SLM Corp. | 50,467 | ||||||
|
| |||||||
1,920,908 | ||||||||
|
| |||||||
| Containers & Packaging (0.3%): |
| ||||||
1,105 | AptarGroup, Inc. | 74,046 | ||||||
1,353 | Avery Dennison Corp. | 69,341 | ||||||
2,202 | Bemis Co., Inc. | 89,533 | ||||||
695 | Greif, Inc., Class A | 37,919 | ||||||
3,677 | MeadWestvaco Corp. | 162,744 | ||||||
1,433 | Owens-Illinois, Inc.* | 49,639 | ||||||
1,565 | Rock-Tenn Co., Class A | 165,249 | ||||||
2,229 | Sonoco Products Co. | 97,920 | ||||||
|
| |||||||
746,391 | ||||||||
|
| |||||||
| Distributors (0.0%): |
| ||||||
216 | Genuine Parts Co. | 18,965 | ||||||
|
| |||||||
| Diversified Consumer Services (0.1%): |
| ||||||
2,086 | Apollo Group, Inc., Class A* | 65,188 | ||||||
1,387 | DeVry, Inc. | 58,726 | ||||||
97 | Graham Holdings Co., Class B | 69,656 | ||||||
1,002 | Service Corp. International | 20,761 | ||||||
|
| |||||||
214,331 | ||||||||
|
| |||||||
| Diversified Financial Services (4.3%): |
| ||||||
39,865 | Berkshire Hathaway, Inc., Class B* | 5,045,315 | ||||||
66,164 | Citigroup, Inc. | 3,116,324 | ||||||
6,943 | CME Group, Inc. | 492,606 | ||||||
1,183 | Interactive Brokers Group, Inc., Class A | 27,552 | ||||||
1,446 | IntercontinentalExchange Group, Inc. | 273,149 | ||||||
6,719 | Leucadia National Corp. | 176,172 | ||||||
1,415 | MSCI, Inc., Class A* | 64,878 | ||||||
2,550 | NASDAQ OMX Group, Inc. (The) | 98,481 | ||||||
3,138 | Voya Financial, Inc. | 114,035 | ||||||
|
| |||||||
9,408,512 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (2.1%): |
| ||||||
113,051 | AT&T, Inc. | 3,997,482 | ||||||
11,713 | CenturyLink, Inc. | 424,011 | ||||||
21,953 | Frontier Communications Corp.^ | 128,206 | ||||||
250 | Level 3 Communications, Inc.* | 10,978 | ||||||
900 | Windstream Holdings, Inc.^ | 8,964 | ||||||
|
| |||||||
4,569,641 | ||||||||
|
| |||||||
| Electric Utilities (3.1%): |
| ||||||
10,630 | American Electric Power Co., Inc. | 592,835 | ||||||
15,404 | Duke Energy Corp. | 1,142,823 | ||||||
7,096 | Edison International | 412,349 | ||||||
3,917 | Entergy Corp. | 321,547 | ||||||
18,702 | Exelon Corp. | 682,249 | ||||||
9,134 | FirstEnergy Corp. | 317,132 | ||||||
3,385 | Great Plains Energy, Inc. | 90,955 | ||||||
2,217 | Hawaiian Electric Industries, Inc.^ | 56,134 | ||||||
198 | ITC Holdings Corp. | 7,223 | ||||||
9,501 | NextEra Energy, Inc. | 973,662 | ||||||
6,871 | Northeast Utilities | 324,792 |
Continued
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electric Utilities, continued |
| ||||||
4,360 | OGE Energy Corp. | $ | 170,389 | |||||
5,470 | Pepco Holdings, Inc. | 150,316 | ||||||
2,419 | Pinnacle West Capital Corp. | 139,915 | ||||||
13,759 | PPL Corp. | 488,857 | ||||||
19,422 | Southern Co. (The) | 881,370 | ||||||
2,799 | Westar Energy, Inc. | 106,894 | ||||||
|
| |||||||
6,859,442 | ||||||||
|
| |||||||
| Electrical Equipment (0.7%): |
| ||||||
2,408 | Babcock & Wilcox Co. (The) | 78,164 | ||||||
10,382 | Eaton Corp. plc | 801,282 | ||||||
3,866 | Emerson Electric Co. | 256,548 | ||||||
1,083 | Hubbell, Inc., Class B | 133,371 | ||||||
991 | Regal-Beloit Corp. | 77,853 | ||||||
1,191 | Roper Industries, Inc. | 173,898 | ||||||
|
| |||||||
1,521,116 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.5%): |
| ||||||
2,170 | Arrow Electronics, Inc.* | 131,090 | ||||||
2,402 | Avnet, Inc. | 106,433 | ||||||
1,040 | AVX Corp. | 13,811 | ||||||
21,886 | Corning, Inc. | 480,398 | ||||||
1,046 | Dolby Laboratories, Inc., Class A*^ | 45,187 | ||||||
933 | FLIR Systems, Inc. | 32,403 | ||||||
3,354 | Ingram Micro, Inc., Class A* | 97,970 | ||||||
4,463 | Jabil Circuit, Inc. | 93,277 | ||||||
1,858 | Knowles Corp.* | 57,115 | ||||||
823 | Tech Data Corp.* | 51,454 | ||||||
3,005 | Vishay Intertechnology, Inc. | 46,547 | ||||||
|
| |||||||
1,155,685 | ||||||||
|
| |||||||
| Energy Equipment & Services (1.2%): |
| ||||||
1,099 | Atwood Oceanics, Inc.* | 57,676 | ||||||
8,707 | Baker Hughes, Inc. | 648,235 | ||||||
1,605 | Cameron International Corp.* | 108,675 | ||||||
1,459 | Diamond Offshore Drilling, Inc.^ | 72,410 | ||||||
658 | Frank’s International NV | 16,187 | ||||||
679 | Helmerich & Payne, Inc. | 78,839 | ||||||
5,836 | Nabors Industries, Ltd. | 171,403 | ||||||
8,550 | National-Oilwell Varco, Inc. | 704,092 | ||||||
1,022 | Oil States International, Inc.* | 65,500 | ||||||
1,538 | Patterson-UTI Energy, Inc. | 53,738 | ||||||
2,735 | Rowan Cos. plc, Class A | 87,329 | ||||||
5,413 | Seadrill, Ltd. | 216,250 | ||||||
3,178 | Superior Energy Services, Inc. | 114,853 | ||||||
1,065 | Tidewater, Inc. | 59,800 | ||||||
1,010 | Unit Corp.* | 69,518 | ||||||
|
| |||||||
2,524,505 | ||||||||
|
| |||||||
| Food & Staples Retailing (2.3%): |
| ||||||
557 | Costco Wholesale Corp. | 64,144 | ||||||
21,850 | CVS Caremark Corp. | 1,646,835 | ||||||
5,022 | Safeway, Inc. | 172,455 | ||||||
7,957 | Sysco Corp. | 297,990 | ||||||
5,145 | Walgreen Co. | 381,399 | ||||||
31,164 | Wal-Mart Stores, Inc. | 2,339,481 | ||||||
4,529 | Whole Foods Market, Inc. | 174,955 | ||||||
|
| |||||||
5,077,259 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food Products (1.5%): |
| ||||||
12,857 | Archer-Daniels-Midland Co. | $ | 567,123 | |||||
3,206 | Bunge, Ltd. | 242,502 | ||||||
1,267 | Campbell Soup Co. | 58,041 | ||||||
9,180 | ConAgra Foods, Inc. | 272,462 | ||||||
94 | Hain Celestial Group, Inc.* | 8,342 | ||||||
928 | Hillshire Brands Co. | 57,814 | ||||||
1,379 | Ingredion, Inc. | 103,480 | ||||||
2,260 | J.M. Smucker Co. (The) | 240,848 | ||||||
495 | Kellogg Co. | 32,522 | ||||||
36,840 | Mondelez International, Inc., Class A | 1,385,553 | ||||||
1,204 | Pilgrim’s Pride Corp.* | 32,941 | ||||||
1,191 | Pinnacle Foods, Inc. | 39,184 | ||||||
7,061 | Rite AID Corp.* | 50,627 | ||||||
5,487 | Tyson Foods, Inc., Class A | 205,982 | ||||||
|
| |||||||
3,297,421 | ||||||||
|
| |||||||
| Gas Utilities (0.3%): |
| ||||||
2,600 | AGL Resources, Inc. | 143,078 | ||||||
2,178 | Atmos Energy Corp. | 116,305 | ||||||
1,832 | National Fuel Gas Co. | 143,446 | ||||||
3,174 | Questar Corp.+ | 78,715 | ||||||
2,505 | UGI Corp. | 126,503 | ||||||
|
| |||||||
608,047 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (2.4%): |
| ||||||
32,712 | Abbott Laboratories | 1,337,921 | ||||||
1,803 | Alere, Inc.* | 67,468 | ||||||
26,069 | Boston Scientific Corp.* | 332,901 | ||||||
4,515 | CareFusion Corp.* | 200,240 | ||||||
271 | Cooper Cos., Inc. (The) | 36,729 | ||||||
9,820 | Covidien plc | 885,568 | ||||||
2,127 | DENTSPLY International, Inc. | 100,713 | ||||||
1,162 | Hill-Rom Holdings, Inc. | 48,235 | ||||||
3,536 | Hologic, Inc.* | 89,638 | ||||||
63 | Intuitive Surgical, Inc.* | 25,943 | ||||||
21,758 | Medtronic, Inc. | 1,387,289 | ||||||
485 | Sirona Dental Systems, Inc.* | 39,993 | ||||||
2,203 | St. Jude Medical, Inc. | 152,558 | ||||||
2,958 | Stryker Corp. | 249,419 | ||||||
905 | Teleflex, Inc. | 95,568 | ||||||
3,381 | Zimmer Holdings, Inc. | 351,151 | ||||||
|
| |||||||
5,401,334 | ||||||||
|
| |||||||
| Health Care Providers & Services (2.7%): |
| ||||||
5,464 | Aetna, Inc. | 443,021 | ||||||
6,809 | Cardinal Health, Inc. | 466,825 | ||||||
5,395 | CIGNA Corp. | 496,178 | ||||||
2,515 | Community Health Systems, Inc.* | 114,106 | ||||||
2,531 | DaVita, Inc.* | 183,042 | ||||||
2,261 | Express Scripts Holding Co.* | 156,755 | ||||||
6,438 | HCA Holdings, Inc.* | 362,974 | ||||||
1,721 | Health Net, Inc.* | 71,490 | ||||||
3,371 | Humana, Inc. | 430,544 | ||||||
1,118 | Laboratory Corp. of America Holdings* | 114,483 | ||||||
976 | LifePoint Hospitals, Inc.* | 60,610 | ||||||
752 | MEDNAX, Inc.* | 43,729 |
Continued
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Providers & Services, continued |
| ||||||
2,146 | Omnicare, Inc. | $ | 142,859 | |||||
1,710 | Patterson Cos., Inc. | 67,562 | ||||||
3,150 | Quest Diagnostics, Inc. | 184,874 | ||||||
655 | Quintiles Transnational Holdings, Inc.* | 34,905 | ||||||
21,341 | UnitedHealth Group, Inc. | 1,744,626 | ||||||
1,510 | Universal Health Services, Inc., Class B | 144,598 | ||||||
1,910 | VCA Antech, Inc.* | 67,022 | ||||||
6,091 | WellPoint, Inc. | 655,453 | ||||||
|
| |||||||
5,985,656 | ||||||||
|
| |||||||
| Health Care Technology (0.0%): |
| ||||||
2,449 | Allscripts Healthcare Solutions, Inc.* | 39,306 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.7%): |
| ||||||
101 | Aramark Holdings Corp. | 2,614 | ||||||
9,284 | Carnival Corp. | 349,543 | ||||||
711 | Choice Hotels International, Inc. | 33,495 | ||||||
2,886 | Darden Restaurants, Inc. | 133,535 | ||||||
853 | Hyatt Hotels Corp., Class A* | 52,016 | ||||||
5,392 | International Game Technology | 85,787 | ||||||
623 | Marriott International, Inc., Class A | 39,934 | ||||||
7,431 | MGM Resorts International* | 196,178 | ||||||
148 | Norwegian Cruise Line Holdings, Ltd.* | 4,692 | ||||||
3,628 | Royal Caribbean Cruises, Ltd. | 201,717 | ||||||
2,304 | Starwood Hotels & Resorts Worldwide, Inc. | 186,209 | ||||||
5,943 | Wendy’s Co. (The) | 50,694 | ||||||
|
| |||||||
1,336,414 | ||||||||
|
| |||||||
| Household Durables (0.7%): |
| ||||||
5,685 | D.R. Horton, Inc. | 139,737 | ||||||
2,845 | Garmin, Ltd. | 173,261 | ||||||
1,954 | Jarden Corp.* | 115,970 | ||||||
1,527 | Leggett & Platt, Inc. | 52,346 | ||||||
3,637 | Lennar Corp. | 152,681 | ||||||
1,334 | Mohawk Industries, Inc.* | 184,546 | ||||||
2,452 | Newell Rubbermaid, Inc. | 75,987 | ||||||
8,258 | PulteGroup, Inc. | 166,481 | ||||||
717 | Taylor Morrison Home Corp., Class A* | 16,075 | ||||||
3,853 | Toll Brothers, Inc.* | 142,176 | ||||||
1,537 | Whirlpool Corp. | 213,981 | ||||||
|
| |||||||
1,433,241 | ||||||||
|
| |||||||
| Household Products (2.2%): |
| ||||||
468 | Clorox Co. (The) | 42,775 | ||||||
2,116 | Colgate-Palmolive Co. | 144,269 | ||||||
1,343 | Energizer Holdings, Inc. | 163,886 | ||||||
1,405 | Kimberly-Clark Corp. | 156,264 | ||||||
55,578 | Procter & Gamble Co. (The) | 4,367,875 | ||||||
|
| |||||||
4,875,069 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.3%): |
| ||||||
15,812 | AES Corp. (The) | 245,877 | ||||||
7,921 | Calpine Corp.* | 188,599 | ||||||
7,351 | NRG Energy, Inc. | 273,457 | ||||||
|
| |||||||
707,933 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Industrial Conglomerates (3.0%): |
| ||||||
1,398 | Carlisle Cos., Inc. | $ | 121,095 | |||||
10,123 | Danaher Corp. | 796,984 | ||||||
218,409 | General Electric Co. | 5,739,788 | ||||||
|
| |||||||
6,657,867 | ||||||||
|
| |||||||
| Insurance (5.7%): |
| ||||||
7,355 | ACE, Ltd. | 762,713 | ||||||
9,891 | AFLAC, Inc. | 615,715 | ||||||
359 | Alleghany Corp.* | 157,285 | ||||||
1,167 | Allied World Assurance Co. Holdings AG | 44,369 | ||||||
985 | Allied World Assurance Co. Holdings AG | 37,450 | ||||||
9,452 | Allstate Corp. (The) | 555,021 | ||||||
1,318 | American Financial Group, Inc. | 78,500 | ||||||
31,508 | American International Group, Inc. | 1,719,707 | ||||||
159 | American National Insurance Co. | 18,158 | ||||||
1,499 | Aon plc | 135,045 | ||||||
2,924 | Arch Capital Group, Ltd.* | 167,955 | ||||||
193 | Arthur J. Gallagher & Co. | 8,994 | ||||||
1,422 | Aspen Insurance Holdings, Ltd. | 64,587 | ||||||
1,560 | Assurant, Inc. | 102,258 | ||||||
3,920 | Assured Guaranty, Ltd. | 96,040 | ||||||
2,352 | Axis Capital Holdings, Ltd. | 104,147 | ||||||
2,482 | Brown & Brown, Inc. | 76,222 | ||||||
5,327 | Chubb Corp. (The) | 490,990 | ||||||
3,553 | Cincinnati Financial Corp. | 170,686 | ||||||
576 | CNA Financial Corp. | 23,282 | ||||||
977 | Endurance Specialty Holdings, Ltd. | 50,403 | ||||||
1,005 | Everest Re Group, Ltd. | 161,292 | ||||||
6,038 | Fidelity National Financial, Inc., Class A | 197,805 | ||||||
10,843 | Genworth Financial, Inc., Class A* | 188,668 | ||||||
963 | Hanover Insurance Group, Inc. (The) | 60,813 | ||||||
9,794 | Hartford Financial Services Group, Inc. (The) | 350,723 | ||||||
2,168 | HCC Insurance Holdings, Inc. | 106,102 | ||||||
5,744 | Lincoln National Corp. | 295,471 | ||||||
7,098 | Loews Corp. | 312,383 | ||||||
304 | Markel Corp.* | 199,315 | ||||||
3,902 | Marsh & McLennan Cos., Inc. | 202,202 | ||||||
3,073 | MBIA, Inc.* | 33,926 | ||||||
579 | Mercury General Corp. | 27,236 | ||||||
20,382 | MetLife, Inc. | 1,132,424 | ||||||
5,715 | Old Republic International Corp. | 94,526 | ||||||
1,100 | PartnerRe, Ltd. | 120,131 | ||||||
6,408 | Principal Financial Group, Inc. | 323,476 | ||||||
1,292 | ProAssurance Corp. | 57,365 | ||||||
12,902 | Progressive Corp. (The) | 327,195 | ||||||
1,727 | Protective Life Corp. | 119,733 | ||||||
10,020 | Prudential Financial, Inc. | 889,475 | ||||||
1,086 | Reinsurance Group of America, Inc. | 85,685 | ||||||
883 | RenaissanceRe Holdings, Ltd. | 94,481 | ||||||
952 | StanCorp Financial Group, Inc. | 60,928 | ||||||
1,910 | Torchmark Corp. | 156,467 | ||||||
7,568 | Travelers Cos., Inc. (The) | 711,922 | ||||||
5,605 | UnumProvident Corp. | 194,830 | ||||||
1,983 | Validus Holdings, Ltd. | 75,830 | ||||||
2,185 | W.R. Berkley Corp. | 101,187 |
Continued
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Insurance, continued |
| ||||||
136 | White Mountains Insurance Group, Ltd. | $ | 82,748 | |||||
5,912 | XL Group plc, Class B | 193,500 | ||||||
|
| |||||||
12,437,366 | ||||||||
|
| |||||||
| Internet & Catalog Retail (0.1%): |
| ||||||
159 | HomeAway, Inc.* | 5,536 | ||||||
5,344 | Liberty Media Corp. — Interactive, Class A* | 156,900 | ||||||
|
| |||||||
162,436 | ||||||||
|
| |||||||
| Internet Software & Services (0.4%): |
| ||||||
1,759 | AOL, Inc.* | 69,991 | ||||||
956 | IAC/InterActiveCorp | 66,184 | ||||||
21,935 | Yahoo!, Inc.* | 770,576 | ||||||
|
| |||||||
906,751 | ||||||||
|
| |||||||
| IT Services (0.4%): |
| ||||||
3,484 | Amdocs, Ltd. | 161,414 | ||||||
130 | Booz Allen Hamilton Holding Corp. | 2,761 | ||||||
2,962 | Computer Sciences Corp. | 187,198 | ||||||
1,999 | CoreLogic, Inc.* | 60,690 | ||||||
132 | DST Systems, Inc. | 12,166 | ||||||
5,490 | Fidelity National Information Services, Inc. | 300,523 | ||||||
3,112 | Genpact, Ltd.* | 54,553 | ||||||
1,398 | Leidos Holdings, Inc. | 53,599 | ||||||
778 | Paychex, Inc. | 32,334 | ||||||
729 | Teradata Corp.* | 29,306 | ||||||
860 | Total System Services, Inc. | 27,013 | ||||||
|
| |||||||
921,557 | ||||||||
|
| |||||||
| Leisure Products (0.1%): |
| ||||||
409 | Hasbro, Inc. | 21,697 | ||||||
4,719 | Mattel, Inc. | 183,900 | ||||||
|
| |||||||
205,597 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.6%): |
| ||||||
6,216 | Agilent Technologies, Inc. | 357,047 | ||||||
444 | Bio-Rad Laboratories, Inc., Class A* | 53,151 | ||||||
547 | Charles River Laboratories International, Inc.* | 29,275 | ||||||
121 | Covance, Inc.* | 10,355 | ||||||
1,999 | PerkinElmer, Inc. | 93,633 | ||||||
5,070 | QIAGEN NV* | 123,962 | ||||||
406 | Techne Corp. | 37,583 | ||||||
5,187 | Thermo Fisher Scientific, Inc. | 612,067 | ||||||
|
| |||||||
1,317,073 | ||||||||
|
| |||||||
| Machinery (1.9%): |
| ||||||
2,045 | AGCO Corp. | 114,970 | ||||||
10,713 | Caterpillar, Inc. | 1,164,181 | ||||||
676 | Crane Co. | 50,267 | ||||||
6,183 | Deere & Co. | 559,870 | ||||||
297 | Donaldson Co., Inc. | 12,569 | ||||||
950 | Dover Corp. | 86,403 | ||||||
146 | IDEX Corp. | 11,788 | ||||||
5,391 | Ingersoll-Rand plc | 336,991 | ||||||
1,552 | ITT Corp. | 74,651 | ||||||
2,171 | Joy Global, Inc. | 133,690 | ||||||
1,692 | Kennametal, Inc. | 78,306 | ||||||
1,157 | Lincoln Electric Holdings, Inc. | 80,851 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Machinery, continued |
| ||||||
999 | Navistar International Corp.* | $ | 37,443 | |||||
1,849 | Oshkosh Corp. | 102,675 | ||||||
648 | PACCAR, Inc. | 40,714 | ||||||
1,515 | Parker Hannifin Corp. | 190,481 | ||||||
3,925 | Pentair plc | 283,071 | ||||||
1,091 | Snap-On, Inc. | 129,305 | ||||||
954 | SPX Corp. | 103,232 | ||||||
3,018 | Stanley Black & Decker, Inc. | 265,041 | ||||||
2,398 | Terex Corp. | 98,558 | ||||||
1,659 | Timken Co. | 112,547 | ||||||
790 | Trinity Industries, Inc. | 34,539 | ||||||
549 | Valmont Industries, Inc. | 83,421 | ||||||
1,100 | Xylem, Inc. | 42,988 | ||||||
|
| |||||||
4,228,552 | ||||||||
|
| |||||||
| Media (1.8%): |
| ||||||
1,167 | CBS Corp., Class B | 72,517 | ||||||
460 | CBS Outdoor Americas, Inc. | 15,033 | ||||||
518 | Clear Channel Outdoor Holdings, Inc., Class A | 4,237 | ||||||
4,799 | Comcast Corp., Class A | 257,610 | ||||||
1,244 | DISH Network Corp., Class A* | 80,960 | ||||||
1,600 | DreamWorks Animation SKG, Inc., Class A* | 37,216 | ||||||
4,938 | Gannett Co., Inc. | 154,609 | ||||||
960 | John Wiley & Sons, Inc., Class A | 58,166 | ||||||
2,066 | Liberty Media Corp.* | 282,381 | ||||||
1,557 | Live Nation, Inc.* | 38,442 | ||||||
1,349 | Madison Square Garden, Inc., Class A* | 84,245 | ||||||
10,844 | News Corp., Class A* | 194,541 | ||||||
1,295 | Regal Entertainment Group, Class A | 27,325 | ||||||
217 | Starz — Liberty Capital* | 6,464 | ||||||
7,738 | Thomson Reuters Corp. | 281,353 | ||||||
19,212 | Time Warner, Inc. | 1,349,644 | ||||||
10,907 | Twenty-First Century Fox, Inc. | 383,381 | ||||||
6,110 | Walt Disney Co. (The) | 523,872 | ||||||
|
| |||||||
3,851,996 | ||||||||
|
| |||||||
| Metals & Mining (1.1%): |
| ||||||
25,530 | Alcoa, Inc. | 380,142 | ||||||
2,377 | Allegheny Technologies, Inc. | 107,203 | ||||||
1,089 | Carpenter Technology Corp. | 68,879 | ||||||
3,382 | Cliffs Natural Resources, Inc.^ | 50,899 | ||||||
22,623 | Freeport-McMoRan Copper & Gold, Inc. | 825,740 | ||||||
10,903 | Newmont Mining Corp. | 277,372 | ||||||
6,936 | Nucor Corp. | 341,598 | ||||||
1,688 | Reliance Steel & Aluminum Co. | 124,422 | ||||||
1,406 | Royal Gold, Inc. | 107,025 | ||||||
4,853 | Steel Dynamics, Inc. | 87,111 | ||||||
1,536 | Tahoe Resources, Inc.* | 40,243 | ||||||
3,177 | United States Steel Corp.^ | 82,729 | ||||||
|
| |||||||
2,493,363 | ||||||||
|
| |||||||
| Multiline Retail (0.6%): |
| ||||||
884 | Big Lots, Inc.* | 40,399 | ||||||
173 | Dillard’s, Inc., Class A | 20,174 | ||||||
1,617 | Dollar General Corp.* | 92,751 | ||||||
122 | Family Dollar Stores, Inc. | 8,069 |
Continued
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Multiline Retail, continued |
| ||||||
5,135 | J.C. Penney Co., Inc.*^ | $ | 46,472 | |||||
4,292 | Kohl’s Corp. | 226,103 | ||||||
1,794 | Macy’s, Inc. | 104,088 | ||||||
127 | Sears Holdings Corp.*^ | 5,075 | ||||||
12,412 | Target Corp. | 719,274 | ||||||
|
| |||||||
1,262,405 | ||||||||
|
| |||||||
| Multi-Utilities (2.4%): |
| ||||||
2,406 | Alliant Energy Corp. | 146,429 | ||||||
5,284 | Ameren Corp. | 216,010 | ||||||
9,339 | CenterPoint Energy, Inc. | 238,518 | ||||||
5,868 | CMS Energy Corp. | 182,788 | ||||||
6,379 | Consolidated Edison, Inc. | 368,323 | ||||||
11,894 | Dominion Resources, Inc. | 850,660 | ||||||
3,858 | DTE Energy Co. | 300,422 | ||||||
1,742 | Integrys Energy Group, Inc. | 123,908 | ||||||
4,154 | MDU Resources Group, Inc. | 145,805 | ||||||
6,860 | NiSource, Inc. | 269,872 | ||||||
10,122 | PG&E Corp. | 486,059 | ||||||
11,018 | Public Service Enterprise Group, Inc. | 449,424 | ||||||
3,106 | SCANA Corp. | 167,134 | ||||||
5,345 | Sempra Energy | 559,676 | ||||||
4,791 | TECO Energy, Inc.^ | 88,538 | ||||||
1,786 | Vectren Corp. | 75,905 | ||||||
4,911 | Wisconsin Energy Corp. | 230,424 | ||||||
10,930 | Xcel Energy, Inc. | 352,274 | ||||||
|
| |||||||
5,252,169 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (12.6%): |
| ||||||
10,197 | Anadarko Petroleum Corp. | 1,116,266 | ||||||
8,401 | Apache Corp. | 845,309 | ||||||
8,832 | Chesapeake Energy Corp. | 274,499 | ||||||
41,463 | Chevron Corp. | 5,412,995 | ||||||
1,666 | Cimarex Energy Co. | 239,004 | ||||||
714 | Cobalt International Energy, Inc.* | 13,102 | ||||||
26,740 | ConocoPhillips | 2,292,420 | ||||||
5,027 | CONSOL Energy, Inc. | 231,594 | ||||||
204 | CVR Energy, Inc. | 9,831 | ||||||
7,620 | Denbury Resources, Inc. | 140,665 | ||||||
8,884 | Devon Energy Corp. | 705,390 | ||||||
1,589 | Energen Corp. | 141,230 | ||||||
729 | EP Energy Corp., Class A*^ | 16,803 | ||||||
313 | EQT Corp. | 33,460 | ||||||
93,534 | Exxon Mobil Corp. | 9,417,002 | ||||||
949 | Golar LNG, Ltd.^ | 57,035 | ||||||
373 | Gulfport Energy Corp.* | 23,424 | ||||||
6,052 | Hess Corp. | 598,482 | ||||||
3,535 | HollyFrontier Corp. | 154,444 | ||||||
10,364 | Kinder Morgan, Inc. | 375,799 | ||||||
211 | Laredo Petroleum Holdings, Inc.* | 6,537 | ||||||
14,724 | Marathon Oil Corp. | 587,782 | ||||||
1,396 | Marathon Petroleum Corp. | 108,986 | ||||||
3,908 | Murphy Oil Corp. | 259,804 | ||||||
2,982 | Newfield Exploration Co.* | 131,804 | ||||||
2,255 | Noble Energy, Inc. | 174,672 | ||||||
17,111 | Occidental Petroleum Corp. | 1,756,102 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
2,131 | ONEOK, Inc. | $ | 145,078 | |||||
1,039 | PBF Energy, Inc. | 27,689 | ||||||
5,934 | Peabody Energy Corp. | 97,021 | ||||||
7,271 | Phillips 66 | 584,807 | ||||||
3,423 | QEP Resources, Inc. | 118,094 | ||||||
10,735 | SandRidge Energy, Inc.*^ | 76,755 | ||||||
14,607 | Spectra Energy Corp. | 620,505 | ||||||
536 | Teekay Shipping Corp. | 33,366 | ||||||
1,605 | Tesoro Corp. | 94,165 | ||||||
2,337 | Ultra Petroleum Corp.* | 69,386 | ||||||
8,844 | Valero Energy Corp. | 443,084 | ||||||
2,324 | Whiting Petroleum Corp.* | 186,501 | ||||||
1,220 | World Fuel Services Corp. | 60,061 | ||||||
4,408 | WPX Energy, Inc.* | 105,395 | ||||||
|
| |||||||
27,786,348 | ||||||||
|
| |||||||
| Paper & Forest Products (0.2%): |
| ||||||
1,396 | Domtar Corp. | 59,819 | ||||||
7,977 | International Paper Co. | 402,599 | ||||||
|
| |||||||
462,418 | ||||||||
|
| |||||||
| Personal Products (0.0%): |
| ||||||
5,615 | Avon Products, Inc. | 82,035 | ||||||
298 | Coty, Inc., Class A | 5,105 | ||||||
|
| |||||||
87,140 | ||||||||
|
| |||||||
| Pharmaceuticals (7.1%): |
| ||||||
23,213 | Bristol-Myers Squibb Co. | 1,126,063 | ||||||
21,431 | Eli Lilly & Co. | 1,332,365 | ||||||
3,640 | Hospira, Inc.* | 186,987 | ||||||
51,945 | Johnson & Johnson Co. | 5,434,485 | ||||||
680 | Mallinckrodt plc* | 54,414 | ||||||
54,739 | Merck & Co., Inc. | 3,166,651 | ||||||
2,257 | Perrigo Co. plc | 328,980 | ||||||
138,931 | Pfizer, Inc. | 4,123,472 | ||||||
|
| |||||||
15,753,417 | ||||||||
|
| |||||||
| Professional Services (0.2%): |
| ||||||
520 | Dun & Bradstreet Corp. | 57,304 | ||||||
1,239 | Equifax, Inc. | 89,877 | ||||||
1,737 | Manpower, Inc. | 147,385 | ||||||
1,552 | Nielsen Holdings NV | 75,132 | ||||||
1,414 | Towers Watson & Co., Class A | 147,381 | ||||||
|
| |||||||
517,079 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (4.5%): |
| ||||||
1,572 | Alexandria Real Estate Equities, Inc. | 122,050 | ||||||
2,307 | American Campus Communities, Inc. | 88,220 | ||||||
7,682 | American Capital Agency Corp. | 179,836 | ||||||
3,054 | American Homes 4 Rent, Class A | 54,239 | ||||||
19,793 | American Realty Capital Properties, Inc. | 248,006 | ||||||
20,634 | Annaly Capital Management, Inc. | 235,847 | ||||||
1,380 | Apartment Investment & Management Co., Class A | 44,533 | ||||||
2,823 | AvalonBay Communities, Inc. | 401,402 | ||||||
4,202 | BioMed Realty Trust, Inc. | 91,730 | ||||||
2,933 | Boston Properties, Inc. | 346,622 |
Continued
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
3,403 | Brandywine Realty Trust | $ | 53,087 | |||||
1,056 | Brixmor Property Group, Inc. | 24,235 | ||||||
1,867 | Camden Property Trust | 132,837 | ||||||
3,639 | CBL & Associates Properties, Inc. | 69,141 | ||||||
22,653 | Chimera Investment Corp. | 72,263 | ||||||
2,321 | Columbia Property Trust, Inc. | 60,369 | ||||||
2,542 | CommonWealth REIT | 66,905 | ||||||
1,925 | Corporate Office Properties Trust | 53,534 | ||||||
6,523 | DDR Corp. | 115,000 | ||||||
2,951 | Digital Realty Trust, Inc.^ | 172,102 | ||||||
3,140 | Douglas Emmett, Inc. | 88,611 | ||||||
7,190 | Duke Realty Corp. | 130,570 | ||||||
502 | Equity Lifestyle Properties, Inc. | 22,168 | ||||||
7,867 | Equity Residential Property Trust | 495,621 | ||||||
1,363 | Essex Property Trust, Inc. | 252,032 | ||||||
486 | Federal Realty Investment Trust | 58,767 | ||||||
1,529 | Gaming & Leisure Properties, Inc. | 51,940 | ||||||
12,316 | General Growth Properties, Inc. | 290,165 | ||||||
9,979 | HCP, Inc. | 412,931 | ||||||
3,137 | Health Care REIT, Inc. | 196,596 | ||||||
4,565 | Healthcare Trust of America, Inc. | 54,963 | ||||||
1,257 | Home Properties, Inc. | 80,398 | ||||||
3,229 | Hospitality Properties Trust | 98,162 | ||||||
16,459 | Host Hotels & Resorts, Inc. | 362,263 | ||||||
1,792 | Kilroy Realty Corp. | 111,606 | ||||||
8,902 | Kimco Realty Corp. | 204,568 | ||||||
3,222 | Liberty Property Trust | 122,210 | ||||||
3,067 | Macerich Co. (The) | 204,722 | ||||||
8,076 | MFA Financial, Inc. | 66,304 | ||||||
1,642 | Mid-America Apartment Communities, Inc. | 119,948 | ||||||
2,689 | National Retail Properties, Inc.^ | 100,004 | ||||||
6,297 | NorthStar Realty Finance Corp. | 109,442 | ||||||
1,850 | OMEGA Healthcare Investors, Inc. | 68,191 | ||||||
3,358 | Piedmont Office Realty Trust, Inc., Class A | 63,601 | ||||||
2,003 | Plum Creek Timber Co., Inc. | 90,335 | ||||||
1,183 | Post Properties, Inc. | 63,243 | ||||||
10,883 | ProLogis, Inc. | 447,182 | ||||||
243 | Public Storage, Inc. | 41,638 | ||||||
2,431 | Rayonier, Inc. | 86,422 | ||||||
4,822 | Realty Income Corp.^ | 214,193 | ||||||
2,015 | Regency Centers Corp. | 112,195 | ||||||
5,165 | Retail Properties of America, Inc., Class A | 79,438 | ||||||
4,437 | Senior Housing Properties Trust | 107,775 | ||||||
1,724 | Simon Property Group, Inc. | 286,667 | ||||||
1,878 | SL Green Realty Corp. | 205,472 | ||||||
8,703 | Spirit Realty Capital, Inc. | 98,866 | ||||||
4,803 | Starwood Property Trust, Inc.^ | 114,167 | ||||||
748 | Tanger Factory Outlet Centers, Inc. | 26,158 | ||||||
90 | Taubman Centers, Inc. | 6,823 | ||||||
8,044 | Two Harbors Investment Corp. | 84,301 | ||||||
5,445 | UDR, Inc. | 155,890 | ||||||
3,378 | Ventas, Inc. | 216,530 | ||||||
3,163 | Vornado Realty Trust | 337,587 | ||||||
3,383 | Washington Prime Group, Inc.* | 63,397 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
2,683 | Weingarten Realty Investors | $ | 88,110 | |||||
11,410 | Weyerhaeuser Co. | 377,557 | ||||||
2,167 | WP Carey, Inc. | 139,555 | ||||||
|
| |||||||
9,841,242 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.1%): |
| ||||||
3,630 | Forest City Enterprises, Inc., Class A* | 72,128 | ||||||
453 | Howard Hughes Corp. (The)* | 71,497 | ||||||
711 | Jones Lang LaSalle, Inc. | 89,863 | ||||||
1,810 | Realogy Holdings Corp.* | 68,255 | ||||||
|
| |||||||
301,743 | ||||||||
|
| |||||||
| Road & Rail (0.7%): |
| ||||||
66 | AMERCO, Inc. | 19,190 | ||||||
1,247 | Con-way, Inc. | 62,861 | ||||||
21,882 | CSX Corp. | 674,185 | ||||||
613 | Genesee & Wyoming, Inc., Class A* | 64,365 | ||||||
550 | Kansas City Southern Industries, Inc. | 59,131 | ||||||
5,314 | Norfolk Southern Corp. | 547,501 | ||||||
1,166 | Ryder System, Inc. | 102,713 | ||||||
|
| |||||||
1,529,946 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.4%): |
| ||||||
4,270 | Altera Corp. | 148,425 | ||||||
3,722 | Analog Devices, Inc. | 201,249 | ||||||
8,802 | Applied Materials, Inc. | 198,485 | ||||||
11,656 | Broadcom Corp., Class A | 432,671 | ||||||
1,205 | Cree, Inc.* | 60,190 | ||||||
1,599 | First Solar, Inc.* | 113,625 | ||||||
84 | Freescale Semiconductor Holdings I, Ltd.* | 1,974 | ||||||
93 | Freescale Semiconductor, Ltd.* | 2,186 | ||||||
99,206 | Intel Corp. | 3,065,464 | ||||||
317 | KLA-Tencor Corp. | 23,027 | ||||||
2,591 | Lam Research Corp. | 175,100 | ||||||
8,853 | Marvell Technology Group, Ltd. | 126,863 | ||||||
511 | Maxim Integrated Products, Inc. | 17,277 | ||||||
2,866 | Micron Technology, Inc.* | 94,435 | ||||||
10,158 | NVIDIA Corp. | 188,329 | ||||||
4,700 | ON Semiconductor Corp.* | 42,958 | ||||||
3,976 | SunEdison, Inc.* | 89,858 | ||||||
911 | Sunpower Corp. Common* | 37,333 | ||||||
3,764 | Teradyne, Inc.^ | 73,774 | ||||||
|
| |||||||
5,093,223 | ||||||||
|
| |||||||
| Software (1.8%): |
| ||||||
3,667 | Activision Blizzard, Inc. | 81,774 | ||||||
1,555 | Ansys, Inc.* | 117,900 | ||||||
1,046 | Autodesk, Inc.* | 58,973 | ||||||
6,966 | CA, Inc. | 200,203 | ||||||
342 | Citrix Systems, Inc.* | 21,392 | ||||||
1,591 | Electronic Arts, Inc.* | 57,069 | ||||||
358 | FireEye, Inc.*^ | 14,517 | ||||||
245 | Informatica Corp.* | 8,734 | ||||||
423 | Micros Systems, Inc.* | 28,722 | ||||||
63,515 | Microsoft Corp. | 2,648,577 | ||||||
5,755 | Nuance Communications, Inc.* | 108,021 | ||||||
2,072 | Rovi Corp.* | 49,645 |
Continued
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Software, continued |
| ||||||
15,075 | Symantec Corp. | $ | 345,218 | |||||
3,383 | Synopsys, Inc.* | 131,328 | ||||||
15,802 | Zynga, Inc.* | 50,724 | ||||||
|
| |||||||
3,922,797 | ||||||||
|
| |||||||
| Specialty Retail (0.6%): |
| ||||||
1,151 | Aaron’s, Inc. | 41,022 | ||||||
1,356 | Abercrombie & Fitch Co., Class A | 58,647 | ||||||
2,846 | Ascena Retail Group, Inc.* | 48,667 | ||||||
2,567 | Bed Bath & Beyond, Inc.* | 147,294 | ||||||
4,406 | Best Buy Co., Inc. | 136,630 | ||||||
967 | Cabela’s, Inc., Class A* | 60,341 | ||||||
1,497 | CarMax, Inc.* | 77,859 | ||||||
1,881 | Chico’s FAS, Inc. | 31,902 | ||||||
241 | CST Brands, Inc. | 8,315 | ||||||
1,744 | Dick’s Sporting Goods, Inc. | 81,201 | ||||||
1,643 | DSW, Inc., Class A | 45,905 | ||||||
2,715 | Foot Locker, Inc. | 137,705 | ||||||
2,365 | GameStop Corp., Class A^ | 95,712 | ||||||
3,408 | L Brands, Inc. | 199,912 | ||||||
544 | Murphy USA, Inc.* | 26,596 | ||||||
520 | Penske Automotive Group, Inc. | 25,740 | ||||||
922 | Sally Beauty Holdings, Inc.* | 23,124 | ||||||
549 | Signet Jewelers, Ltd. | 60,714 | ||||||
14,080 | Staples, Inc. | 152,627 | ||||||
654 | Urban Outfitters, Inc.* | 22,144 | ||||||
|
| |||||||
1,482,057 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (1.7%): |
| ||||||
40,185 | EMC Corp. | 1,058,473 | ||||||
41,276 | Hewlett-Packard Co. | 1,390,176 | ||||||
1,348 | Lexmark International, Inc., Class A | 64,920 | ||||||
3,312 | NCR Corp.* | 116,218 | ||||||
4,616 | NetApp, Inc. | 168,576 | ||||||
2,586 | SanDisk Corp. | 270,056 | ||||||
467 | Stratasys, Ltd.*^ | 53,065 | ||||||
4,851 | Western Digital Corp. | 447,747 | ||||||
25,422 | Xerox Corp. | 316,250 | ||||||
|
| |||||||
3,885,481 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.0%): |
| ||||||
224 | PVH Corp. | 26,118 | ||||||
321 | Ralph Lauren Corp. | 51,582 | ||||||
|
| |||||||
77,700 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.2%): |
| ||||||
2,220 | BankUnited, Inc. | 74,326 | ||||||
11,428 | Hudson City Bancorp, Inc. | 112,337 |
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Thrifts & Mortgage Finance, continued |
| ||||||
55 | Nationstar Mortgage Holdings, Inc.* | $ | 1,997 | |||||
9,697 | New York Community Bancorp, Inc.^ | 154,957 | ||||||
6,815 | People’s United Financial, Inc. | 103,384 | ||||||
1,604 | TFS Financial Corp.* | 22,873 | ||||||
|
| |||||||
469,874 | ||||||||
|
| |||||||
| Tobacco (0.6%): |
| ||||||
2,341 | Altria Group, Inc. | 98,182 | ||||||
14,151 | Philip Morris International, Inc. | 1,193,071 | ||||||
1,647 | Reynolds American, Inc. | 99,396 | ||||||
|
| |||||||
1,390,649 | ||||||||
|
| |||||||
| Trading Companies & Distributors (0.2%): |
| ||||||
2,083 | Air Lease Corp. | 80,362 | ||||||
1,002 | GATX Corp. | 67,074 | ||||||
1,222 | MRC Global, Inc.* | 34,570 | ||||||
2,137 | NOW, Inc.* | 77,381 | ||||||
971 | WESCO International, Inc.* | 83,875 | ||||||
|
| |||||||
343,262 | ||||||||
|
| |||||||
| Water Utilities (0.1%): |
| ||||||
3,908 | American Water Works Co., Inc. | 193,251 | ||||||
3,864 | Aqua America, Inc. | 101,314 | ||||||
|
| |||||||
294,565 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.2%): |
| ||||||
15,890 | Sprint Corp.* | 135,542 | ||||||
1,873 | Telephone & Data Systems, Inc. | 48,904 | ||||||
5,789 | T-Mobile US, Inc.* | 194,626 | ||||||
299 | United States Cellular Corp.* | 12,199 | ||||||
|
| |||||||
391,271 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $156,720,471) | 217,947,555 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.7%): |
| ||||||
$ | 1,630,877 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 1,630,877 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,630,877 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.0%): |
| ||||||
2,169,863 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 2,169,863 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 2,169,863 | ||||||
|
| |||||||
| Total Investment Securities | 221,748,295 | ||||||
| Net other assets (liabilities) — (0.6)% | (1,362,283 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 220,386,012 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,598,273. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
Continued
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Cash of $146,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
S&P 500 Index E-Mini September Futures | Long | 9/19/14 | 26 | $ | 2,538,120 | $ | 12,530 |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 160,108,845 | |||
Investments in affiliates, at cost | 412,366 | ||||
|
| ||||
Total Investment securities, at cost | $ | 160,521,211 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 221,121,146 | |||
Investments in affiliates, at value | 627,149 | ||||
|
| ||||
Total Investment securities, at value | 221,748,295 | ||||
Cash | 2,832 | ||||
Segregated cash for collateral | 146,000 | ||||
Interest and dividends receivable | 277,061 | ||||
Receivable for investments sold | 24,044,615 | ||||
Receivable for variation margin on futures contracts | 520 | ||||
Prepaid expenses | 854 | ||||
|
| ||||
Total Assets | 246,220,177 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 24,048,405 | ||||
Payable for capital shares redeemed | 1,289 | ||||
Payable for collateral received on loaned securities | 1,630,877 | ||||
Manager fees payable | 79,486 | ||||
Administration fees payable | 7,346 | ||||
Distribution fees payable | 45,163 | ||||
Custodian fees payable | 2,596 | ||||
Administrative and compliance services fees payable | 627 | ||||
Trustee fees payable | 1,391 | ||||
Other accrued liabilities | 16,985 | ||||
|
| ||||
Total Liabilities | 25,834,165 | ||||
|
| ||||
Net Assets | $ | 220,386,012 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 123,780,312 | |||
Accumulated net investment income/(loss) | 4,853,090 | ||||
Accumulated net realized gains/(losses) from investment transactions | 30,512,996 | ||||
Net unrealized appreciation/(depreciation) on investments | 61,239,614 | ||||
|
| ||||
Net Assets | $ | 220,386,012 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 13,898,419 | ||||
Net Asset Value (offering and redemption price per share) | $ | 15.86 | |||
|
|
* | Includes securities on loan of $1,598,273. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,414,310 | |||
Dividends from affiliates | 8,317 | ||||
Income from securities lending | 11,416 | ||||
Foreign withholding tax | (1,092 | ) | |||
|
| ||||
Total Investment Income | 2,432,951 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 455,089 | ||||
Administration fees | 31,676 | ||||
Distribution fees | 258,573 | ||||
Custodian fees | 3,951 | ||||
Administrative and compliance services fees | 1,709 | ||||
Trustee fees | 5,357 | ||||
Professional fees | 5,196 | ||||
Shareholder reports | 1,366 | ||||
Other expenses | 23,913 | ||||
|
| ||||
Total expenses | 786,830 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,646,121 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 11,045,321 | ||||
Net realized gains/(losses) on futures contracts | 412,065 | ||||
Change in net unrealized appreciation/depreciation on investments | 3,049,660 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 14,507,046 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 16,153,167 | |||
|
|
See accompanying notes to the financial statements.
11
Statements of Changes in Net Assets
AZL Russell 1000 Value Index Fund | ||||||||||
For the Six Months Ended June 30, | For the Year Ended December 31, | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,646,121 | $ | 3,208,901 | ||||||
Net realized gains/(losses) on investment transactions | 11,457,386 | 19,434,893 | ||||||||
Change in unrealized appreciation/depreciation on investments | 3,049,660 | 34,687,233 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 16,153,167 | 57,331,027 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (3,878,001 | ) | |||||||
From net realized gains | — | (6,783,630 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (10,661,631 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 9,886,945 | 6,359,982 | ||||||||
Proceeds from dividends reinvested | — | 10,661,631 | ||||||||
Value of shares redeemed | (11,460,836 | ) | (82,266,180 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (1,573,891 | ) | (65,244,567 | ) | ||||||
|
|
|
| |||||||
Change in net assets | 14,579,276 | (18,575,171 | ) | |||||||
Net Assets: | ||||||||||
Beginning of period | 205,806,736 | 224,381,907 | ||||||||
|
|
|
| |||||||
End of period | $ | 220,386,012 | $ | 205,806,736 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 4,853,090 | $ | 3,206,969 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 657,978 | 479,565 | ||||||||
Dividends reinvested | — | 792,686 | ||||||||
Shares redeemed | (758,054 | ) | (6,227,133 | ) | ||||||
|
|
|
| |||||||
Change in shares | (100,076 | ) | (4,954,882 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months June 30, | Year Ended December 31, | Year Ended December 31, | Year Ended December 31, | April 30, 2010 to December 31, 2010 (a) | |||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.70 | $ | 11.84 | $ | 10.36 | $ | 10.49 | $ | 10.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Investment Activities: | |||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | 0.31 | 0.20 | 0.16 | 0.10 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.04 | 3.35 | 1.52 | (0.19 | ) | 0.39 | |||||||||||||||||||
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Total from Investment Activities | 1.16 | 3.66 | 1.72 | (0.03 | ) | 0.49 | |||||||||||||||||||
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Dividends to Shareholders From: | |||||||||||||||||||||||||
Net Investment Income | — | (0.29 | ) | (0.15 | ) | (0.10 | ) | — | |||||||||||||||||
Net Realized Gains | — | (0.51 | ) | (0.09 | ) | — | — | ||||||||||||||||||
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Total Dividends | — | (0.80 | ) | (0.24 | ) | (0.10 | ) | — | |||||||||||||||||
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Net Asset Value, End of Period | $ | 15.86 | $ | 14.70 | $ | 11.84 | $ | 10.36 | $ | 10.49 | |||||||||||||||
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Total Return(b) | 7.89 | %(c) | 31.52 | % | 16.63 | % | (0.25 | )% | 4.90 | %(c) | |||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 220,386 | $ | 205,807 | $ | 224,382 | $ | 182,515 | $ | 169,075 | |||||||||||||||
Net Investment Income/(Loss)(d) | 1.59 | % | 1.54 | % | 1.85 | % | 1.59 | % | 1.68 | % | |||||||||||||||
Expenses Before Reductions(d)(e) | 0.76 | % | 0.77 | % | 0.78 | % | 0.79 | % | 0.84 | % | |||||||||||||||
Expenses Net of Reductions(d) | 0.76 | % | 0.77 | % | 0.78 | % | 0.79 | % | 0.84 | % | |||||||||||||||
Portfolio Turnover Rate | 15 | %(c) | 11 | % | 18 | % | 20 | % | 25 | %(c) |
(a) | Period from commencement of operations. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Russell 1000 Value Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
14
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2.2 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $1,125 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $2.5 million as of June 30, 2014. The monthly average notional amount for these contracts was $3.6 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 12,530 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments | $ | 412,065 | $ | (95,203 | ) |
15
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Russell 1000 Value Index Fund | 0.44 | % | 0.84 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $1,204 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are generally valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 217,947,555 | $ | — | $ | 217,947,555 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 1,630,877 | 1,630,877 | ||||||||||||
Unaffiliated Investment Company | 2,169,863 | — | 2,169,863 | ||||||||||||
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Total Investment Securities | $ | 220,117,418 | $ | 1,630,877 | $ | 221,748,295 | |||||||||
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Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 12,530 | — | 12,530 | ||||||||||||
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Total Investments | $ | 220,129,948 | $ | 1,630,877 | $ | 221,760,825 | |||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Russell 1000 Value Index Fund | $ | 32,545,069 | $ | 30,215,501 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $161,007,777. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 62,184,344 | ||
Unrealized depreciation | (1,443,826 | ) | ||
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| |||
Net unrealized appreciation depreciation | $ | 60,740,518 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Value Index Fund | $ | 5,586,078 | $ | 5,075,553 | $ | 10,661,631 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Russell 1000 Value Index Fund | $ | 4,600,621 | $ | 18,316,385 | $ | — | $ | 57,535,527 | $ | 80,452,533 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
18
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® S&P 500 Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 9 |
Page 9 |
Statements of Changes in Net Assets Page 10 |
Page 11 |
Notes to the Financial Statements Page 12 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL S&P 500 Index Fund
(Unaudited)
As a shareholder of the AZL S&P 500 Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,070.20 | $ | 1.23 | 0.24 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,069.10 | $ | 2.51 | 0.49 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.60 | $ | 1.20 | 0.24 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.36 | $ | 2.46 | 0.49 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 18.1 | % | |||
Financials | 15.3 | ||||
Health Care | 12.9 | ||||
Consumer Discretionary | 11.6 | ||||
Energy | 10.5 | ||||
Industrials | 10.1 | ||||
Consumer Staples | 9.2 | ||||
Materials | 3.4 | ||||
Utilities | 3.0 | ||||
Telecommunication Services | 2.5 | ||||
|
| ||||
Total Common Stock | 96.6 | ||||
Money Market | 3.4 | ||||
Securities Held as Collateral for Securities on Loan | 0.5 | ||||
|
| ||||
Total Investment Securities | 100.5 | ||||
Net other assets (liabilities) | (0.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (96.6%): |
| ||||||
| Aerospace & Defense (2.5%): |
| ||||||
63,192 | Boeing Co. (The) | $ | 8,039,918 | |||||
30,681 | General Dynamics Corp. | 3,575,871 | ||||||
73,766 | Honeywell International, Inc. | 6,856,550 | ||||||
8,131 | L-3 Communications Holdings, Inc. | 981,818 | ||||||
25,111 | Lockheed Martin Corp. | 4,036,091 | ||||||
20,168 | Northrop Grumman Corp. | 2,412,698 | ||||||
13,618 | Precision Castparts Corp. | 3,437,183 | ||||||
29,490 | Raytheon Co. | 2,720,453 | ||||||
12,808 | Rockwell Collins, Inc. | 1,000,817 | ||||||
26,236 | Textron, Inc. | 1,004,576 | ||||||
79,443 | United Technologies Corp. | 9,171,693 | ||||||
|
| |||||||
43,237,668 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.7%): |
| ||||||
13,920 | C.H. Robinson Worldwide, Inc. | 887,957 | ||||||
18,584 | Expeditors International of Washington, Inc. | 820,669 | ||||||
26,166 | FedEx Corp. | 3,961,009 | ||||||
66,391 | United Parcel Service, Inc., Class B | 6,815,700 | ||||||
|
| |||||||
12,485,335 | ||||||||
|
| |||||||
| Airlines (0.3%): |
| ||||||
79,897 | Delta Air Lines, Inc. | 3,093,612 | ||||||
65,155 | Southwest Airlines Co. | 1,750,063 | ||||||
|
| |||||||
4,843,675 | ||||||||
|
| |||||||
| Auto Components (0.4%): |
| ||||||
21,533 | BorgWarner, Inc. | 1,403,736 | ||||||
26,005 | Delphi Automotive plc | 1,787,584 | ||||||
25,996 | Goodyear Tire & Rubber Co. | 722,169 | ||||||
62,558 | Johnson Controls, Inc. | 3,123,521 | ||||||
|
| |||||||
7,037,010 | ||||||||
|
| |||||||
| Automobiles (0.7%): |
| ||||||
372,466 | Ford Motor Co. | 6,421,314 | ||||||
123,868 | General Motors Co. | 4,496,408 | ||||||
20,505 | Harley-Davidson, Inc. | 1,432,274 | ||||||
|
| |||||||
12,349,996 | ||||||||
|
| |||||||
| Banks (4.9%): |
| ||||||
990,293 | Bank of America Corp. | 15,220,803 | ||||||
67,676 | BB&T Corp. | 2,668,465 | ||||||
17,085 | Comerica, Inc. | 856,984 | ||||||
80,304 | Fifth Third Bancorp | 1,714,490 | ||||||
78,088 | Huntington Bancshares, Inc. | 744,960 | ||||||
356,501 | JPMorgan Chase & Co. | 20,541,588 | ||||||
83,391 | KeyCorp | 1,194,993 | ||||||
12,385 | M&T Bank Corp. | 1,536,359 | ||||||
50,077 | PNC Financial Services Group, Inc. | 4,459,357 | ||||||
129,863 | Regions Financial Corp. | 1,379,145 | ||||||
50,134 | SunTrust Banks, Inc. | 2,008,368 | ||||||
170,894 | U.S. Bancorp | 7,403,128 | ||||||
451,480 | Wells Fargo & Co. | 23,729,789 | ||||||
17,401 | Zions Bancorp | 512,807 | ||||||
|
| |||||||
83,971,236 | ||||||||
|
| |||||||
| Beverages (2.1%): |
| ||||||
15,306 | Brown-Forman Corp., Class B | 1,441,366 | ||||||
356,043 | Coca-Cola Co. (The) | 15,081,981 | ||||||
22,018 | Coca-Cola Enterprises, Inc. | 1,052,020 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Beverages, continued |
| ||||||
15,897 | Constellation Brands, Inc., Class A* | $ | 1,401,003 | |||||
18,498 | Dr Pepper Snapple Group, Inc. | 1,083,613 | ||||||
14,995 | Molson Coors Brewing Co., Class B | 1,112,029 | ||||||
12,685 | Monster Beverage Corp.* | 901,016 | ||||||
142,756 | PepsiCo, Inc. | 12,753,821 | ||||||
|
| |||||||
34,826,849 | ||||||||
|
| |||||||
| Biotechnology (2.4%): |
| ||||||
18,631 | Alexion Pharmaceuticals, Inc.* | 2,911,094 | ||||||
71,308 | Amgen, Inc. | 8,440,728 | ||||||
22,343 | Biogen Idec, Inc.* | 7,044,971 | ||||||
76,142 | Celgene Corp.* | 6,539,075 | ||||||
144,653 | Gilead Sciences, Inc.* | 11,993,181 | ||||||
7,507 | Regeneron Pharmaceuticals, Inc.* | 2,120,502 | ||||||
22,259 | Vertex Pharmaceuticals, Inc.* | 2,107,482 | ||||||
|
| |||||||
41,157,033 | ||||||||
|
| |||||||
| Building Products (0.1%): |
| ||||||
8,437 | Allegion plc | 478,209 | ||||||
33,805 | Masco Corp. | 750,471 | ||||||
|
| |||||||
1,228,680 | ||||||||
|
| |||||||
| Capital Markets (2.1%): |
| ||||||
5,206 | Affiliated Managers Group, Inc.* | 1,069,312 | ||||||
17,897 | Ameriprise Financial, Inc. | 2,147,640 | ||||||
107,415 | Bank of New York Mellon Corp. (The) | 4,025,914 | ||||||
11,781 | BlackRock, Inc., Class A+ | 3,765,208 | ||||||
110,301 | Charles Schwab Corp. (The) | 2,970,406 | ||||||
27,032 | E*TRADE Financial Corp.* | 574,700 | ||||||
37,857 | Franklin Resources, Inc. | 2,189,649 | ||||||
39,172 | Goldman Sachs Group, Inc. (The) | 6,558,961 | ||||||
40,883 | Invesco, Ltd. | 1,543,333 | ||||||
9,611 | Legg Mason, Inc. | 493,140 | ||||||
131,836 | Morgan Stanley | 4,262,259 | ||||||
20,902 | Northern Trust Corp. | 1,342,117 | ||||||
40,621 | State Street Corp. | 2,732,168 | ||||||
24,747 | T. Rowe Price Group, Inc. | 2,088,894 | ||||||
|
| |||||||
35,763,701 | ||||||||
|
| |||||||
| Chemicals (2.6%): |
| ||||||
19,995 | Air Products & Chemicals, Inc. | 2,571,757 | ||||||
6,341 | Airgas, Inc. | 690,598 | ||||||
4,904 | CF Industries Holdings, Inc. | 1,179,559 | ||||||
113,410 | Dow Chemical Co. (The) | 5,836,078 | ||||||
86,499 | E.I. du Pont de Nemours & Co. | 5,660,494 | ||||||
14,149 | Eastman Chemical Co. | 1,235,915 | ||||||
25,475 | Ecolab, Inc. | 2,836,387 | ||||||
12,580 | FMC Corp. | 895,570 | ||||||
7,614 | International Flavor & Fragrances, Inc. | 793,988 | ||||||
39,235 | LyondellBasell Industries NV, Class A | 3,831,297 | ||||||
49,374 | Monsanto Co. | 6,158,912 | ||||||
30,464 | Mosaic Co. (The) | 1,506,445 | ||||||
13,038 | PPG Industries, Inc. | 2,739,936 | ||||||
27,565 | Praxair, Inc. | 3,661,735 | ||||||
7,994 | Sherwin Williams Co. | 1,654,039 | ||||||
11,177 | Sigma Aldrich Corp. | 1,134,242 | ||||||
|
| |||||||
42,386,952 | ||||||||
|
|
Continued
2
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Commercial Services & Supplies (0.5%): |
| ||||||
16,403 | ADT Corp. (The)^ | $ | 573,121 | |||||
9,565 | Cintas Corp. | 607,760 | ||||||
16,223 | Iron Mountain, Inc. | 575,105 | ||||||
19,064 | Pitney Bowes, Inc. | 526,548 | ||||||
25,102 | Republic Services, Inc. | 953,123 | ||||||
8,005 | Stericycle, Inc.* | 947,952 | ||||||
43,448 | Tyco International, Ltd. | 1,981,229 | ||||||
40,760 | Waste Management, Inc. | 1,823,195 | ||||||
|
| |||||||
7,988,033 | ||||||||
|
| |||||||
| Communications Equipment (1.7%): |
| ||||||
482,520 | Cisco Systems, Inc. | 11,990,622 | ||||||
7,163 | F5 Networks, Inc.* | 798,245 | ||||||
9,983 | Harris Corp. | 756,212 | ||||||
44,612 | Juniper Networks, Inc.* | 1,094,778 | ||||||
21,336 | Motorola Solutions, Inc. | 1,420,338 | ||||||
158,989 | QUALCOMM, Inc. | 12,591,929 | ||||||
|
| |||||||
28,652,124 | ||||||||
|
| |||||||
| Construction & Engineering (0.1%): |
| ||||||
15,035 | Fluor Corp. | 1,156,192 | ||||||
12,382 | Jacobs Engineering Group, Inc.* | 659,713 | ||||||
20,418 | Quanta Services, Inc.* | 706,054 | ||||||
|
| |||||||
2,521,959 | ||||||||
|
| |||||||
| Construction Materials (0.0%): |
| ||||||
12,242 | Vulcan Materials Co. | 780,428 | ||||||
|
| |||||||
| Consumer Finance (0.9%): |
| ||||||
85,790 | American Express Co. | 8,138,898 | ||||||
53,839 | Capital One Financial Corp. | 4,447,101 | ||||||
43,915 | Discover Financial Services | 2,721,852 | ||||||
39,603 | Navient Corp. | 701,369 | ||||||
|
| |||||||
16,009,220 | ||||||||
|
| |||||||
| Containers & Packaging (0.2%): |
| ||||||
9,025 | Avery Dennison Corp. | 462,531 | ||||||
13,178 | Ball Corp. | 825,997 | ||||||
9,488 | Bemis Co., Inc. | 385,782 | ||||||
15,804 | MeadWestvaco Corp. | 699,485 | ||||||
15,412 | Owens-Illinois, Inc.* | 533,872 | ||||||
18,324 | Sealed Air Corp. | 626,131 | ||||||
|
| |||||||
3,533,798 | ||||||||
|
| |||||||
| Distributors (0.1%): |
| ||||||
14,417 | Genuine Parts Co. | 1,265,813 | ||||||
|
| |||||||
| Diversified Consumer Services (0.1%): |
| ||||||
407 | Graham Holdings Co., Class B | 292,271 | ||||||
25,712 | H&R Block, Inc. | 861,866 | ||||||
|
| |||||||
1,154,137 | ||||||||
|
| |||||||
| Diversified Financial Services (2.5%): |
| ||||||
169,599 | Berkshire Hathaway, Inc., Class B* | 21,464,450 | ||||||
286,143 | Citigroup, Inc. | 13,477,336 | ||||||
29,731 | CME Group, Inc. | 2,109,414 | ||||||
10,841 | IntercontinentalExchange Group, Inc. | 2,047,865 | ||||||
29,852 | Leucadia National Corp. | 782,719 | ||||||
17,734 | Moody’s Corp. | 1,554,562 | ||||||
10,962 | NASDAQ OMX Group, Inc. (The) | 423,352 | ||||||
|
| |||||||
41,859,698 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Diversified Telecommunication Services (2.4%): |
| ||||||
488,871 | AT&T, Inc. | $ | 17,286,479 | |||||
53,919 | CenturyLink, Inc. | 1,951,868 | ||||||
95,129 | Frontier Communications Corp.^ | 555,553 | ||||||
390,075 | Verizon Communications, Inc. | 19,086,369 | ||||||
56,756 | Windstream Holdings, Inc.^ | 565,290 | ||||||
|
| |||||||
39,445,559 | ||||||||
|
| |||||||
| Electric Utilities (1.7%): |
| ||||||
45,973 | American Electric Power Co., Inc. | 2,563,914 | ||||||
66,617 | Duke Energy Corp. | 4,942,316 | ||||||
30,730 | Edison International | 1,785,720 | ||||||
16,896 | Entergy Corp. | 1,386,993 | ||||||
80,885 | Exelon Corp. | 2,950,685 | ||||||
39,556 | FirstEnergy Corp. | 1,373,384 | ||||||
41,080 | NextEra Energy, Inc. | 4,209,879 | ||||||
29,797 | Northeast Utilities | 1,408,504 | ||||||
23,578 | Pepco Holdings, Inc. | 647,923 | ||||||
10,369 | Pinnacle West Capital Corp. | 599,743 | ||||||
59,504 | PPL Corp. | 2,114,177 | ||||||
83,908 | Southern Co. (The) | 3,807,745 | ||||||
|
| |||||||
27,790,983 | ||||||||
|
| |||||||
| Electrical Equipment (0.7%): |
| ||||||
23,167 | AMETEK, Inc. | 1,211,171 | ||||||
44,901 | Eaton Corp. plc | 3,465,459 | ||||||
66,099 | Emerson Electric Co. | 4,386,330 | ||||||
13,013 | Rockwell Automation, Inc. | 1,628,707 | ||||||
9,403 | Roper Industries, Inc. | 1,372,932 | ||||||
|
| |||||||
12,064,599 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.4%): |
| ||||||
14,838 | Amphenol Corp., Class A | 1,429,493 | ||||||
123,247 | Corning, Inc. | 2,705,273 | ||||||
13,233 | FLIR Systems, Inc. | 459,582 | ||||||
17,596 | Jabil Circuit, Inc. | 367,756 | ||||||
38,466 | TE Connectivity, Ltd. | 2,378,737 | ||||||
|
| |||||||
7,340,841 | ||||||||
|
| |||||||
| Energy Equipment & Services (2.1%): |
| ||||||
41,135 | Baker Hughes, Inc. | 3,062,501 | ||||||
19,228 | Cameron International Corp.* | 1,301,928 | ||||||
6,494 | Diamond Offshore Drilling, Inc.^ | 322,297 | ||||||
22,106 | Ensco plc, Class A, ADR | 1,228,430 | ||||||
22,097 | FMC Technologies, Inc.* | 1,349,464 | ||||||
79,545 | Halliburton Co. | 5,648,490 | ||||||
10,186 | Helmerich & Payne, Inc. | 1,182,696 | ||||||
24,481 | Nabors Industries, Ltd. | 719,007 | ||||||
40,413 | National-Oilwell Varco, Inc. | 3,328,011 | ||||||
23,838 | Noble Corp. plc | 800,003 | ||||||
11,606 | Rowan Cos. plc, Class A | 370,580 | ||||||
122,678 | Schlumberger, Ltd. | 14,469,871 | ||||||
32,049 | Transocean, Ltd.^ | 1,443,166 | ||||||
|
| |||||||
35,226,444 | ||||||||
|
| |||||||
| Food & Staples Retailing (2.2%): |
| ||||||
41,318 | Costco Wholesale Corp. | 4,758,181 | ||||||
110,132 | CVS Caremark Corp. | 8,300,649 | ||||||
47,990 | Kroger Co. (The) | 2,372,146 | ||||||
21,594 | Safeway, Inc. | 741,538 |
Continued
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Food & Staples Retailing, continued |
| ||||||
55,122 | Sysco Corp. | $ | 2,064,319 | |||||
82,701 | Walgreen Co. | 6,130,625 | ||||||
151,837 | Wal-Mart Stores, Inc. | 11,398,403 | ||||||
34,615 | Whole Foods Market, Inc. | 1,337,177 | ||||||
|
| |||||||
37,103,038 | ||||||||
|
| |||||||
| Food Products (1.6%): |
| ||||||
61,733 | Archer-Daniels-Midland Co. | 2,723,043 | ||||||
16,772 | Campbell Soup Co. | 768,325 | ||||||
39,708 | ConAgra Foods, Inc. | 1,178,533 | ||||||
57,876 | General Mills, Inc. | 3,040,805 | ||||||
14,060 | Hershey Co. | 1,369,022 | ||||||
12,780 | Hormel Foods Corp. | 630,693 | ||||||
9,722 | J.M. Smucker Co. (The) | 1,036,074 | ||||||
23,949 | Kellogg Co. | 1,573,449 | ||||||
11,954 | Keurig Green Mountain, Inc. | 1,489,588 | ||||||
56,083 | Kraft Foods Group, Inc., Class A | 3,362,176 | ||||||
12,334 | McCormick & Co. | 882,991 | ||||||
19,039 | Mead Johnson Nutrition Co. | 1,773,864 | ||||||
159,226 | Mondelez International, Inc., Class A | 5,988,490 | ||||||
25,924 | Tyson Foods, Inc., Class A | 973,187 | ||||||
|
| |||||||
26,790,240 | ||||||||
|
| |||||||
| Gas Utilities (0.0%): |
| ||||||
11,197 | AGL Resources, Inc. | 616,171 | ||||||
|
| |||||||
| Health Care Equipment & Supplies (2.0%): |
| ||||||
141,467 | Abbott Laboratories | 5,786,000 | ||||||
51,109 | Baxter International, Inc. | 3,695,181 | ||||||
18,198 | Becton, Dickinson & Co. | 2,152,823 | ||||||
124,958 | Boston Scientific Corp.* | 1,595,714 | ||||||
7,181 | C.R. Bard, Inc. | 1,026,955 | ||||||
19,539 | CareFusion Corp.* | 866,555 | ||||||
42,470 | Covidien plc | 3,829,945 | ||||||
13,325 | DENTSPLY International, Inc. | 630,939 | ||||||
9,933 | Edwards Lifesciences Corp.* | 852,649 | ||||||
3,618 | Intuitive Surgical, Inc.* | 1,489,892 | ||||||
94,099 | Medtronic, Inc. | 5,999,751 | ||||||
26,771 | St. Jude Medical, Inc. | 1,853,892 | ||||||
27,852 | Stryker Corp. | 2,348,481 | ||||||
9,832 | Varian Medical Systems, Inc.* | 817,432 | ||||||
15,780 | Zimmer Holdings, Inc. | 1,638,911 | ||||||
|
| |||||||
34,585,120 | ||||||||
|
| |||||||
| Health Care Providers & Services (2.1%): |
| ||||||
33,662 | Aetna, Inc. | 2,729,315 | ||||||
21,268 | AmerisourceBergen Corp. | 1,545,333 | ||||||
32,004 | Cardinal Health, Inc. | 2,194,194 | ||||||
27,735 | Cerner Corp.* | 1,430,571 | ||||||
25,302 | CIGNA Corp. | 2,327,025 | ||||||
16,745 | DaVita, Inc.* | 1,210,998 | ||||||
72,766 | Express Scripts Holding Co.* | 5,044,867 | ||||||
14,579 | Humana, Inc. | 1,862,030 | ||||||
7,998 | Laboratory Corp. of America Holdings* | 818,995 | ||||||
21,719 | McKesson, Inc. | 4,044,295 | ||||||
7,669 | Patterson Cos., Inc. | 303,002 | ||||||
13,664 | Quest Diagnostics, Inc. | 801,940 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Health Care Providers & Services, continued |
| ||||||
9,094 | Tenet Healthcare Corp.* | $ | 426,872 | |||||
92,294 | UnitedHealth Group, Inc. | 7,545,036 | ||||||
26,341 | WellPoint, Inc. | 2,834,555 | ||||||
|
| |||||||
35,119,028 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.6%): |
| ||||||
41,353 | Carnival Corp. | 1,556,940 | ||||||
2,928 | Chipotle Mexican Grill, Inc.* | 1,734,869 | ||||||
12,510 | Darden Restaurants, Inc. | 578,838 | ||||||
20,733 | Marriott International, Inc., Class A | 1,328,985 | ||||||
93,104 | McDonald’s Corp. | 9,379,297 | ||||||
70,878 | Starbucks Corp. | 5,484,540 | ||||||
18,121 | Starwood Hotels & Resorts Worldwide, Inc. | 1,464,539 | ||||||
12,015 | Wyndham Worldwide Corp. | 909,776 | ||||||
7,644 | Wynn Resorts, Ltd. | 1,586,589 | ||||||
41,524 | Yum! Brands, Inc. | 3,371,749 | ||||||
|
| |||||||
27,396,122 | ||||||||
|
| |||||||
| Household Durables (0.4%): |
| ||||||
26,769 | D.R. Horton, Inc. | 657,982 | ||||||
11,489 | Garmin, Ltd.^ | 699,680 | ||||||
6,453 | Harman International Industries, Inc. | 693,246 | ||||||
13,024 | Leggett & Platt, Inc.^ | 446,463 | ||||||
16,484 | Lennar Corp. | 691,998 | ||||||
5,735 | Mohawk Industries, Inc.* | 793,380 | ||||||
26,151 | Newell Rubbermaid, Inc. | 810,419 | ||||||
32,203 | PulteGroup, Inc. | 649,212 | ||||||
7,336 | Whirlpool Corp. | 1,021,319 | ||||||
|
| |||||||
6,463,699 | ||||||||
|
| |||||||
| Household Products (1.8%): |
| ||||||
12,070 | Clorox Co. (The) | 1,103,198 | ||||||
81,858 | Colgate-Palmolive Co. | 5,581,078 | ||||||
35,484 | Kimberly-Clark Corp. | 3,946,530 | ||||||
254,888 | Procter & Gamble Co. (The) | 20,031,649 | ||||||
|
| |||||||
30,662,455 | ||||||||
|
| |||||||
| Independent Power and Renewable Electricity Producers (0.1%): |
| ||||||
62,457 | AES Corp. (The) | 971,206 | ||||||
31,763 | NRG Energy, Inc. | 1,181,584 | ||||||
|
| |||||||
2,152,790 | ||||||||
|
| |||||||
| Industrial Conglomerates (2.2%): |
| ||||||
58,547 | 3M Co. | 8,386,272 | ||||||
56,667 | Danaher Corp. | 4,461,393 | ||||||
944,566 | General Electric Co. | 24,823,195 | ||||||
|
| |||||||
37,670,860 | ||||||||
|
| |||||||
| Insurance (2.8%): |
| ||||||
31,809 | ACE, Ltd. | 3,298,593 | ||||||
42,740 | AFLAC, Inc. | 2,660,565 | ||||||
40,874 | Allstate Corp. (The) | 2,400,121 | ||||||
136,261 | American International Group, Inc. | 7,437,126 | ||||||
27,925 | Aon plc | 2,515,763 | ||||||
6,717 | Assurant, Inc. | 440,299 | ||||||
23,029 | Chubb Corp. (The) | 2,122,583 | ||||||
13,773 | Cincinnati Financial Corp. | 661,655 | ||||||
46,741 | Genworth Financial, Inc., Class A* | 813,293 |
Continued
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Insurance, continued |
| ||||||
42,356 | Hartford Financial Services Group, Inc. (The) | $ | 1,516,768 | |||||
24,918 | Lincoln National Corp. | 1,281,782 | ||||||
28,697 | Loews Corp. | 1,262,955 | ||||||
51,768 | Marsh & McLennan Cos., Inc. | 2,682,618 | ||||||
106,022 | MetLife, Inc. | 5,890,582 | ||||||
25,770 | Principal Financial Group, Inc. | 1,300,870 | ||||||
51,344 | Progressive Corp. (The) | 1,302,084 | ||||||
43,414 | Prudential Financial, Inc. | 3,853,861 | ||||||
8,304 | Torchmark Corp. | 680,264 | ||||||
32,727 | Travelers Cos., Inc. (The) | 3,078,629 | ||||||
24,112 | UnumProvident Corp. | 838,133 | ||||||
25,563 | XL Group plc, Class B | 836,677 | ||||||
|
| |||||||
46,875,221 | ||||||||
|
| |||||||
| Internet & Catalog Retail (1.3%): |
| ||||||
35,110 | Amazon.com, Inc.* | 11,403,027 | ||||||
9,619 | Expedia, Inc. | 757,592 | ||||||
5,647 | Netflix, Inc.* | 2,488,068 | ||||||
4,939 | Priceline.com, Inc.* | 5,941,617 | ||||||
10,499 | TripAdvisor, Inc.* | 1,140,821 | ||||||
|
| |||||||
21,731,125 | ||||||||
|
| |||||||
| Internet Software & Services (3.1%): |
| ||||||
16,717 | Akamai Technologies, Inc.* | 1,020,740 | ||||||
107,433 | eBay, Inc.* | 5,378,096 | ||||||
161,963 | Facebook, Inc., Class A* | 10,898,490 | ||||||
26,685 | Google, Inc., Class C* | 15,351,347 | ||||||
26,685 | Google, Inc., Class A* | 15,601,918 | ||||||
11,586 | VeriSign, Inc.* | 565,513 | ||||||
88,274 | Yahoo!, Inc.* | 3,101,066 | ||||||
|
| |||||||
51,917,170 | ||||||||
|
| |||||||
| IT Services (3.1%): |
| ||||||
59,606 | Accenture plc, Class A | 4,818,549 | ||||||
5,106 | Alliance Data Systems Corp.* | 1,436,063 | ||||||
45,411 | Automatic Data Processing, Inc. | 3,600,184 | ||||||
57,311 | Cognizant Technology Solutions Corp., Class A * | 2,803,081 | ||||||
13,661 | Computer Sciences Corp. | 863,375 | ||||||
27,099 | Fidelity National Information Services, Inc. | 1,483,399 | ||||||
23,470 | Fiserv, Inc.* | 1,415,710 | ||||||
89,621 | International Business Machines Corp. | 16,245,599 | ||||||
94,645 | MasterCard, Inc., Class A | 6,953,568 | ||||||
30,600 | Paychex, Inc. | 1,271,736 | ||||||
14,928 | Teradata Corp.* | 600,106 | ||||||
15,770 | Total System Services, Inc. | 495,336 | ||||||
47,351 | Visa, Inc., Class A | 9,977,329 | ||||||
50,661 | Western Union Co. | 878,462 | ||||||
|
| |||||||
52,842,497 | ||||||||
|
| |||||||
| Leisure Products (0.1%): |
| ||||||
10,927 | Hasbro, Inc. | 579,677 | ||||||
31,914 | Mattel, Inc. | 1,243,689 | ||||||
|
| |||||||
1,823,366 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.4%): |
| ||||||
31,434 | Agilent Technologies, Inc. | 1,805,569 | ||||||
10,608 | PerkinElmer, Inc. | 496,879 |
| Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Life Sciences Tools & Services, continued |
| ||||||
37,578 | Thermo Fisher Scientific, Inc. | $ | 4,434,203 | |||||
7,995 | Waters Corp.* | 834,998 | ||||||
|
| |||||||
7,571,649 | ||||||||
|
| |||||||
| Machinery (1.7%): |
| ||||||
58,797 | Caterpillar, Inc. | 6,389,471 | ||||||
16,107 | Cummins, Inc. | 2,485,149 | ||||||
34,264 | Deere & Co. | 3,102,605 | ||||||
15,679 | Dover Corp. | 1,426,005 | ||||||
12,901 | Flowserve Corp. | 959,189 | ||||||
35,751 | Illinois Tool Works, Inc. | 3,130,358 | ||||||
23,638 | Ingersoll-Rand plc | 1,477,611 | ||||||
9,389 | Joy Global, Inc. | 578,175 | ||||||
33,409 | PACCAR, Inc. | 2,099,087 | ||||||
10,291 | Pall Corp. | 878,748 | ||||||
14,062 | Parker Hannifin Corp. | 1,768,015 | ||||||
18,335 | Pentair plc | 1,322,320 | ||||||
5,517 | Snap-On, Inc. | 653,875 | ||||||
14,704 | Stanley Black & Decker, Inc. | 1,291,305 | ||||||
17,369 | Xylem, Inc. | 678,781 | ||||||
|
| |||||||
28,240,694 | ||||||||
|
| |||||||
| Media (3.6%): |
| ||||||
20,587 | Cablevision Systems Corp., Class A^ | 363,361 | ||||||
49,778 | CBS Corp., Class B | 3,093,205 | ||||||
244,888 | Comcast Corp., Class A | 13,145,587 | ||||||
44,132 | DIRECTV, Inc., Class A* | 3,751,661 | ||||||
20,535 | Discovery Communications, Inc., Class A* | 1,525,340 | ||||||
21,287 | Gannett Co., Inc. | 666,496 | ||||||
39,760 | Interpublic Group of Cos., Inc. (The) | 775,718 | ||||||
25,639 | McGraw-Hill Cos., Inc. (The) | 2,128,806 | ||||||
46,781 | News Corp., Class A* | 839,251 | ||||||
24,354 | Omnicom Group, Inc. | 1,734,492 | ||||||
10,093 | Scripps Networks Interactive, Class A | 818,946 | ||||||
26,244 | Time Warner Cable, Inc. | 3,865,741 | ||||||
83,084 | Time Warner, Inc. | 5,836,651 | ||||||
180,343 | Twenty-First Century Fox, Inc. | 6,339,056 | ||||||
36,840 | Viacom, Inc., Class B | 3,195,133 | ||||||
151,709 | Walt Disney Co. (The) | 13,007,530 | ||||||
|
| |||||||
61,086,974 | ||||||||
|
| |||||||
| Metals & Mining (0.5%): |
| ||||||
110,416 | Alcoa, Inc. | 1,644,094 | ||||||
10,327 | Allegheny Technologies, Inc. | 465,748 | ||||||
97,839 | Freeport-McMoRan Copper & Gold, Inc. | 3,571,123 | ||||||
47,129 | Newmont Mining Corp. | 1,198,962 | ||||||
30,048 | Nucor Corp. | 1,479,864 | ||||||
13,515 | United States Steel Corp.^ | 351,931 | ||||||
|
| |||||||
8,711,722 | ||||||||
|
| |||||||
| Multiline Retail (0.6%): |
| ||||||
28,568 | Dollar General Corp.* | 1,638,660 | ||||||
19,530 | Dollar Tree, Inc.* | 1,063,604 | ||||||
8,949 | Family Dollar Stores, Inc. | 591,887 | ||||||
18,349 | Kohl’s Corp. | 966,625 | ||||||
33,945 | Macy’s, Inc. | 1,969,489 |
Continued
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
| Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Multiline Retail, continued |
| ||||||
13,237 | Nordstrom, Inc. | $ | 899,189 | |||||
59,670 | Target Corp. | 3,457,877 | ||||||
|
| |||||||
10,587,331 | ||||||||
|
| |||||||
| Multi-Utilities (1.2%): |
| ||||||
22,785 | Ameren Corp. | 931,451 | ||||||
40,653 | CenterPoint Energy, Inc. | 1,038,278 | ||||||
25,381 | CMS Energy Corp. | 790,618 | ||||||
27,645 | Consolidated Edison, Inc. | 1,596,222 | ||||||
54,783 | Dominion Resources, Inc. | 3,918,080 | ||||||
16,739 | DTE Energy Co. | 1,303,466 | ||||||
7,455 | Integrys Energy Group, Inc. | 530,274 | ||||||
29,708 | NiSource, Inc. | 1,168,713 | ||||||
43,775 | PG&E Corp. | 2,102,076 | ||||||
47,723 | Public Service Enterprise Group, Inc. | 1,946,621 | ||||||
13,432 | SCANA Corp. | 722,776 | ||||||
21,475 | Sempra Energy | 2,248,647 | ||||||
19,083 | TECO Energy, Inc.^ | 352,654 | ||||||
21,158 | Wisconsin Energy Corp. | 992,733 | ||||||
47,280 | Xcel Energy, Inc. | 1,523,834 | ||||||
|
| |||||||
21,166,443 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (8.4%): |
| ||||||
47,573 | Anadarko Petroleum Corp. | 5,207,816 | ||||||
36,329 | Apache Corp. | 3,655,424 | ||||||
39,297 | Cabot Oil & Gas Corp. | 1,341,600 | ||||||
47,804 | Chesapeake Energy Corp. | 1,485,748 | ||||||
179,315 | Chevron Corp. | 23,409,573 | ||||||
8,198 | Cimarex Energy Co. | 1,176,085 | ||||||
115,643 | ConocoPhillips | 9,914,074 | ||||||
21,728 | CONSOL Energy, Inc. | 1,001,009 | ||||||
33,379 | Denbury Resources, Inc. | 616,176 | ||||||
36,116 | Devon Energy Corp. | 2,867,610 | ||||||
51,478 | EOG Resources, Inc. | 6,015,719 | ||||||
14,294 | EQT Corp. | 1,528,029 | ||||||
404,508 | Exxon Mobil Corp. | 40,725,866 | ||||||
24,858 | Hess Corp. | 2,458,208 | ||||||
62,883 | Kinder Morgan, Inc. | 2,280,138 | ||||||
63,674 | Marathon Oil Corp. | 2,541,866 | ||||||
27,184 | Marathon Petroleum Corp. | 2,122,255 | ||||||
15,883 | Murphy Oil Corp. | 1,055,902 | ||||||
12,957 | Newfield Exploration Co.* | 572,699 | ||||||
33,879 | Noble Energy, Inc. | 2,624,267 | ||||||
73,998 | Occidental Petroleum Corp. | 7,594,415 | ||||||
19,642 | ONEOK, Inc. | 1,337,227 | ||||||
25,523 | Peabody Energy Corp. | 417,301 | ||||||
53,296 | Phillips 66 | 4,286,597 | ||||||
13,474 | Pioneer Natural Resources Co. | 3,096,460 | ||||||
17,053 | QEP Resources, Inc. | 588,329 | ||||||
15,886 | Range Resources Corp. | 1,381,288 | ||||||
33,308 | Southwestern Energy Co.* | 1,515,181 | ||||||
63,173 | Spectra Energy Corp. | 2,683,589 | ||||||
12,140 | Tesoro Corp. | 712,254 | ||||||
50,263 | Valero Energy Corp. | 2,518,176 | ||||||
69,552 | Williams Cos., Inc. (The) | 4,048,622 | ||||||
|
| |||||||
142,779,503 | ||||||||
|
|
| Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Paper & Forest Products (0.1%): |
| ||||||
40,797 | International Paper Co. | $ | 2,059,025 | |||||
|
| |||||||
| Personal Products (0.1%): |
| ||||||
41,204 | Avon Products, Inc. | 601,990 | ||||||
23,794 | Estee Lauder Co., Inc. (The), Class A | 1,766,943 | ||||||
|
| |||||||
2,368,933 | ||||||||
|
| |||||||
| Pharmaceuticals (6.0%): |
| ||||||
149,775 | Abbvie, Inc. | 8,453,301 | ||||||
16,432 | Actavis, Inc. plc* | 3,665,158 | ||||||
28,049 | Allergan, Inc. | 4,746,452 | ||||||
156,096 | Bristol-Myers Squibb Co. | 7,572,217 | ||||||
92,792 | Eli Lilly & Co. | 5,768,879 | ||||||
22,595 | Forest Laboratories, Inc.* | 2,236,905 | ||||||
15,808 | Hospira, Inc.* | 812,057 | ||||||
266,488 | Johnson & Johnson Co. | 27,879,974 | ||||||
275,269 | Merck & Co., Inc. | 15,924,312 | ||||||
35,201 | Mylan, Inc.* | 1,814,964 | ||||||
12,612 | Perrigo Co. plc | 1,838,325 | ||||||
600,843 | Pfizer, Inc. | 17,833,019 | ||||||
47,190 | Zoetis, Inc. | 1,522,821 | ||||||
|
| |||||||
100,068,384 | ||||||||
|
| |||||||
| Professional Services (0.2%): |
| ||||||
3,515 | Dun & Bradstreet Corp. | 387,353 | ||||||
11,443 | Equifax, Inc. | 830,075 | ||||||
28,551 | Nielsen Holdings NV | 1,382,154 | ||||||
12,947 | Robert Half International, Inc. | 618,090 | ||||||
|
| |||||||
3,217,672 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (2.0%): |
| ||||||
37,277 | American Tower Corp. | 3,354,184 | ||||||
13,632 | Apartment Investment & Management Co., Class A | 439,905 | ||||||
11,479 | AvalonBay Communities, Inc. | 1,632,199 | ||||||
14,434 | Boston Properties, Inc. | 1,705,810 | ||||||
31,487 | Equity Residential Property Trust | 1,983,681 | ||||||
5,888 | Essex Property Trust, Inc. | 1,088,750 | ||||||
49,311 | General Growth Properties, Inc. | 1,161,767 | ||||||
43,157 | HCP, Inc. | 1,785,837 | ||||||
28,771 | Health Care REIT, Inc. | 1,803,079 | ||||||
71,409 | Host Hotels & Resorts, Inc. | 1,571,712 | ||||||
38,495 | Kimco Realty Corp. | 884,615 | ||||||
13,210 | Macerich Co. (The) | 881,768 | ||||||
16,643 | Plum Creek Timber Co., Inc. | 750,599 | ||||||
47,091 | ProLogis, Inc. | 1,934,969 | ||||||
13,652 | Public Storage, Inc. | 2,339,270 | ||||||
29,261 | Simon Property Group, Inc. | 4,865,520 | ||||||
27,594 | Ventas, Inc. | 1,768,775 | ||||||
16,428 | Vornado Realty Trust | 1,753,360 | ||||||
55,136 | Weyerhaeuser Co.^ | 1,824,450 | ||||||
|
| |||||||
33,530,250 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.0%): |
| ||||||
26,179 | CBRE Group, Inc.* | 838,775 | ||||||
|
|
Continued
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
| Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Road & Rail (0.9%): |
| ||||||
94,478 | CSX Corp. | $ | 2,910,867 | |||||
10,344 | Kansas City Southern Industries, Inc. | 1,112,083 | ||||||
29,167 | Norfolk Southern Corp. | 3,005,076 | ||||||
5,007 | Ryder System, Inc. | 441,067 | ||||||
85,338 | Union Pacific Corp. | 8,512,466 | ||||||
|
| |||||||
15,981,559 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (2.3%): |
| ||||||
29,490 | Altera Corp. | 1,025,072 | ||||||
29,589 | Analog Devices, Inc. | 1,599,877 | ||||||
114,668 | Applied Materials, Inc. | 2,585,763 | ||||||
23,709 | Avago Technologies, Ltd. | 1,708,708 | ||||||
52,346 | Broadcom Corp., Class A | 1,943,084 | ||||||
6,741 | First Solar, Inc.* | 479,015 | ||||||
468,901 | Intel Corp. | 14,489,042 | ||||||
15,638 | KLA-Tencor Corp. | 1,135,944 | ||||||
15,260 | Lam Research Corp. | 1,031,271 | ||||||
22,333 | Linear Technology Corp. | 1,051,214 | ||||||
18,875 | Microchip Technology, Inc. | 921,289 | ||||||
100,821 | Micron Technology, Inc.* | 3,322,052 | ||||||
52,552 | NVIDIA Corp. | 974,314 | ||||||
101,663 | Texas Instruments, Inc. | 4,858,475 | ||||||
25,317 | Xilinx, Inc. | 1,197,747 | ||||||
|
| |||||||
38,322,867 | ||||||||
|
| |||||||
| Software (3.4%): |
| ||||||
43,555 | Adobe Systems, Inc.* | 3,151,640 | ||||||
21,486 | Autodesk, Inc.* | 1,211,381 | ||||||
30,193 | CA, Inc. | 867,747 | ||||||
15,430 | Citrix Systems, Inc.* | 965,147 | ||||||
29,625 | Electronic Arts, Inc.* | 1,062,649 | ||||||
26,740 | Intuit, Inc. | 2,153,372 | ||||||
708,039 | Microsoft Corp. | 29,525,225 | ||||||
323,397 | Oracle Corp. | 13,107,279 | ||||||
17,785 | Red Hat, Inc.* | 982,977 | ||||||
53,207 | Salesforce.com, Inc.* | 3,090,263 | ||||||
65,225 | Symantec Corp. | 1,493,653 | ||||||
|
| |||||||
57,611,333 | ||||||||
|
| |||||||
| Specialty Retail (1.9%): |
| ||||||
5,917 | AutoNation, Inc.* | 353,127 | ||||||
3,130 | AutoZone, Inc.* | 1,678,431 | ||||||
19,212 | Bed Bath & Beyond, Inc.* | 1,102,385 | ||||||
26,070 | Best Buy Co., Inc. | 808,431 | ||||||
20,740 | CarMax, Inc.* | 1,078,687 | ||||||
10,671 | GameStop Corp., Class A^ | 431,855 | ||||||
24,485 | Gap, Inc. (The) | 1,017,841 | ||||||
128,865 | Home Depot, Inc. (The) | 10,432,911 | ||||||
23,098 | L Brands, Inc. | 1,354,929 | ||||||
93,935 | Lowe’s Cos., Inc. | 4,507,941 | ||||||
9,973 | O’Reilly Automotive, Inc.* | 1,501,934 | ||||||
9,339 | PetSmart, Inc. ^ | 558,472 | ||||||
20,003 | Ross Stores, Inc. | 1,322,798 | ||||||
61,015 | Staples, Inc. | 661,403 | ||||||
10,453 | Tiffany & Co. | 1,047,913 | ||||||
65,960 | TJX Cos., Inc. (The) | 3,505,774 | ||||||
13,106 | Tractor Supply Co. | 791,602 |
Shares, or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Specialty Retail, continued |
| ||||||
9,591 | Urban Outfitters, Inc.* | $ | 324,751 | |||||
|
| |||||||
32,481,185 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (4.1%): |
| ||||||
567,964 | Apple, Inc. | 52,780,895 | ||||||
192,842 | EMC Corp. | 5,079,458 | ||||||
176,263 | Hewlett-Packard Co. | 5,936,538 | ||||||
31,062 | NetApp, Inc. | 1,134,384 | ||||||
21,307 | SanDisk Corp. | 2,225,090 | ||||||
30,826 | Seagate Technology plc | 1,751,533 | ||||||
19,719 | Western Digital Corp. | 1,820,064 | ||||||
102,871 | Xerox Corp. | 1,279,715 | ||||||
|
| |||||||
72,007,677 | ||||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.8%): |
| ||||||
25,782 | Coach, Inc. | 881,487 | ||||||
4,507 | Fossil Group, Inc.* | 471,072 | ||||||
16,933 | Michael Kors Holdings, Ltd.* | 1,501,110 | ||||||
69,477 | Nike, Inc., Class B | 5,387,942 | ||||||
7,749 | PVH Corp. | 903,533 | ||||||
5,538 | Ralph Lauren Corp. | 889,901 | ||||||
15,255 | Under Armour, Inc., Class A* | 907,520 | ||||||
32,422 | V.F. Corp. | 2,042,586 | ||||||
|
| |||||||
12,985,151 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.1%): |
| ||||||
44,427 | Hudson City Bancorp, Inc. | 436,717 | ||||||
29,090 | People’s United Financial, Inc. | 441,296 | ||||||
|
| |||||||
878,013 | ||||||||
|
| |||||||
| Tobacco (1.4%): |
| ||||||
187,161 | Altria Group, Inc. | 7,849,532 | ||||||
34,148 | Lorillard, Inc. | 2,082,004 | ||||||
148,154 | Philip Morris International, Inc. | 12,490,863 | ||||||
29,351 | Reynolds American, Inc. | 1,771,333 | ||||||
|
| |||||||
24,193,732 | ||||||||
|
| |||||||
| Trading Companies & Distributors (0.2%): |
| ||||||
25,803 | Fastenal Co.^ | 1,276,990 | ||||||
5,742 | W.W. Grainger, Inc. | 1,460,019 | ||||||
|
| |||||||
2,737,009 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
31,461 | Crown Castle International Corp. | 2,336,294 | ||||||
|
| |||||||
| Total Common Stocks (Cost $1,008,390,455) | 1,640,432,848 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.5%): |
| ||||||
$ | 7,883,629 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 7,883,629 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 7,883,629 | ||||||
|
| |||||||
| Unaffiliated Investment Company (3.4%): |
| ||||||
58,182,344 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 58,182,344 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $58,182,344) | 58,182,344 | ||||||
|
| |||||||
| Total Investment Securities | 1,706,498,821 | ||||||
| Net other assets (liabilities) — (0.5)% | (8,388,522 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 1,698,110,299 | |||||
|
|
Continued
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $7,745,820. |
+ | Affiliated Securities |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Futures Contracts
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
S&P 500 Index E-Mini September Futures | Long | 9/19/14 | 603 | $ | 58,864,860 | $ | 285,017 |
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,072,066,094 | |||
Investments in affiliates, at cost | 2,390,334 | ||||
|
| ||||
Total Investment securities, at cost | $ | 1,074,456,428 | |||
|
| ||||
Investments in non-affiliates, at value* | $ | 1,702,733,613 | |||
Investments in affiliates, at value | 3,765,208 | ||||
|
| ||||
Total Investment securities, at value | 1,706,498,821 | ||||
Cash | 11,913 | ||||
Interest and dividends receivable | 1,744,967 | ||||
Receivable for capital shares issued | 550,541 | ||||
Receivable for investments sold | 73,935 | ||||
Receivable for variation margin on futures contracts | 12,044 | ||||
Prepaid expenses | 6,765 | ||||
|
| ||||
Total Assets | 1,708,898,986 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 1,360,716 | ||||
Payable for capital shares redeemed | 544,457 | ||||
Payable for collateral received on loaned securities | 7,883,629 | ||||
Manager fees payable | 241,219 | ||||
Administration fees payable | 54,661 | ||||
Distribution fees payable | 343,177 | ||||
Custodian fees payable | 15,915 | ||||
Administrative and compliance services fees payable | 4,650 | ||||
Trustee fees payable | 10,422 | ||||
Other accrued liabilities | 329,841 | ||||
|
| ||||
Total Liabilities | 10,788,687 | ||||
|
| ||||
Net Assets | $ | 1,698,110,299 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 1,112,151,864 | |||
Accumulated net investment income/(loss) | 32,005,340 | ||||
Accumulated net realized gains/(losses) from investment transactions | (78,374,315 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 632,327,410 | ||||
|
| ||||
Net Assets | $ | 1,698,110,299 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 19,544,225 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 1,409,405 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.87 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,678,566,074 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 121,938,630 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.77 | |||
|
|
* | Includes securities on loan of $7,745,820. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 15,705,302 | |||
Dividends from affiliates | 45,639 | ||||
Income from securities lending | 20,215 | ||||
Foreign withholding tax | (1,708 | ) | |||
|
| ||||
Total Investment Income | 15,769,448 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,360,768 | ||||
Administration fees | 216,125 | ||||
Distribution fees — Class 2 | 1,977,492 | ||||
Custodian fees | 25,781 | ||||
Administrative and compliance services fees | 13,458 | ||||
Trustee fees | 42,002 | ||||
Professional fees | 40,339 | ||||
Shareholder reports | 24,554 | ||||
Recoupment of prior expenses reimbursed by the manager | 11,957 | ||||
Other expenses | 185,239 | ||||
|
| ||||
Total expenses | 3,897,715 | ||||
|
| ||||
Net Investment Income/(Loss) | 11,871,733 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 3,608,955 | ||||
Net realized gains/(losses) on futures contracts | 5,879,342 | ||||
Change in net unrealized appreciation/depreciation on investments | 88,864,543 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 98,352,840 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 110,224,573 | |||
|
|
See accompanying notes to the financial statements.
9
Statements of Changes in Net Assets
AZL S&P 500 Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 11,871,733 | $ | 20,233,342 | ||||||
Net realized gains/(losses) on investment transactions | 9,488,297 | 16,815,781 | ||||||||
Change in unrealized appreciation/depreciation on investments | 88,864,543 | 315,124,535 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 110,224,573 | 352,173,658 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (231,746 | ) | |||||||
Class 2 | — | (15,948,931 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (16,180,677 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 535,946 | 2,374,133 | ||||||||
Proceeds from dividends reinvested | — | 231,746 | ||||||||
Value of shares redeemed | (1,614,449 | ) | (2,576,769 | ) | ||||||
|
|
|
| |||||||
Total Class 1 | (1,078,503 | ) | 29,110 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 90,777,483 | 267,637,519 | ||||||||
Proceeds from dividends reinvested | — | 15,948,931 | ||||||||
Value of shares redeemed | (68,835,706 | ) | (87,266,590 | ) | ||||||
|
|
|
| |||||||
Total Class 2 | 21,941,777 | 196,319,860 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 20,863,274 | 196,348,970 | ||||||||
|
|
|
| |||||||
Change in net assets | 131,087,847 | 532,341,951 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 1,567,022,452 | 1,034,680,501 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,698,110,299 | $ | 1,567,022,452 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 32,005,340 | $ | 20,133,607 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 41,185 | 208,259 | ||||||||
Dividends reinvested | — | 19,740 | ||||||||
Shares redeemed | (123,613 | ) | (226,450 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (82,428 | ) | 1,549 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 7,036,421 | 23,358,224 | ||||||||
Dividends reinvested | — | 1,365,490 | ||||||||
Shares redeemed | (5,250,333 | ) | (7,610,457 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | 1,786,088 | 17,113,257 | ||||||||
|
|
|
| |||||||
Change in shares | 1,703,660 | 17,114,806 | ||||||||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL S&P 500 Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.96 | $ | 9.95 | $ | 8.71 | $ | 8.68 | $ | 7.71 | $ | 6.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.21 | (a) | 0.19 | (a) | 0.16 | (a) | 0.14 | (a) | 0.13 | (a) | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.82 | 2.96 | 1.17 | — | (b) | 0.98 | 1.45 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.91 | 3.17 | 1.36 | 0.16 | 1.12 | 1.58 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.12 | ) | (0.13 | ) | (0.13 | ) | (0.03 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.16 | ) | (0.12 | ) | (0.13 | ) | (0.15 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.87 | $ | 12.96 | $ | 9.95 | $ | 8.71 | $ | 8.68 | $ | 7.71 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 7.02 | %(d) | 32.02 | % | 15.66 | % | 1.88 | % | 14.75 | % | 25.69 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 19,544 | $ | 19,334 | $ | 14,828 | $ | 13,488 | $ | 15,506 | $ | 14,462 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 1.73 | % | 1.81 | % | 2.00 | % | 1.79 | % | 1.79 | % | 2.06 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 0.24 | % | 0.24 | % | 0.26 | % | 0.27 | % | 0.29 | % | 0.30 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 0.24 | % | 0.24 | % | 0.26 | % | 0.26 | % | 0.24 | % | 0.24 | % | ||||||||||||||||||
Portfolio Turnover Rate(g) | 1 | %(d) | 4 | % | 3 | % | 2 | % | 14 | % | 16 | %(h) | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.88 | $ | 9.90 | $ | 8.67 | $ | 8.65 | $ | 7.68 | $ | 6.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | 0.18 | (a) | 0.17 | (a) | 0.14 | (a) | 0.12 | (a) | 0.12 | (a) | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.80 | 2.94 | 1.17 | (0.01 | ) | 0.98 | 1.44 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.89 | 3.12 | 1.34 | 0.13 | 1.10 | 1.56 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.11 | ) | (0.11 | ) | (0.11 | ) | (0.03 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.14 | ) | (0.11 | ) | (0.11 | ) | (0.13 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.77 | $ | 12.88 | $ | 9.90 | $ | 8.67 | $ | 8.65 | $ | 7.68 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | 6.91 | %(d) | 31.66 | % | 15.42 | % | 1.55 | % | 14.57 | % | 25.36 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,678,566 | $ | 1,547,689 | $ | 1,019,853 | $ | 732,892 | $ | 594,350 | $ | 707,448 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 1.48 | % | 1.56 | % | 1.77 | % | 1.56 | % | 1.51 | % | 1.78 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 0.49 | % | 0.49 | % | 0.51 | % | 0.52 | % | 0.54 | % | 0.54 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 0.49 | % | 0.49 | % | 0.51 | % | 0.51 | % | 0.49 | % | 0.49 | % | ||||||||||||||||||
Portfolio Turnover Rate(g) | 1 | %(d) | 4 | % | 3 | % | 2 | % | 14 | % | 16 | %(h) |
(a) | Average shares method used in calculation. |
(b) | Represents less than $0.005. |
(c) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(d) | Not annualized. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(h) | Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 37%. |
See accompanying notes to the financial statements.
11
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL S&P 500 Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. In addition, income and realized and unrealized gains and losses are allocated to each class of shares based on its relative net assets on a daily basis.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $6.3 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $2,000 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $58.9 million as of June 30, 2014. The monthly average notional amount for these contracts was $56.9 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 285,017 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/ depreciation on investments | $ | 5,879,342 | $ | (1,466,593 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL S&P 500 Index Fund Class 1 | 0.17 | % | 0.46 | % | ||||||
AZL S&P 500 Index Fund Class 2 | 0.17 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2014, the contractual reimbursements that are subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2014 | Total | |||||||||
AZL S&P 500 Index Fund | $ | 41,432 | $ | 41,432 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $9,287 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 1,640,432,848 | $ | — | $ | 1,640,432,848 | |||||||||
Securities Held as Collateral for Securities on Loan | — | 7,883,629 | 7,883,629 | ||||||||||||
Unaffiliated Investment Company | 58,182,344 | — | 58,182,344 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | 1,698,615,192 | 7,883,629 | 1,706,498,821 | ||||||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 285,017 | — | 285,017 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 1,698,900,209 | $ | 7,883,629 | $ | 1,706,783,838 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL S&P 500 Index Fund | $ | 70,663,508 | $ | 19,628,612 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $1,087,531,518. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 636,810,385 | ||
Unrealized depreciation | (17,843,082 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 618,967,303 | ||
|
|
As of the end of its tax year ended December 31, 2013, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.
CLCFs subject to expiration:
Expires 12/31/2016 | |||||
AZL S&P 500 Index Fund | $ | 72,823,092 |
During the year ended December 31, 2013, the Fund utilized $19,707,155 in CLCFs to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL S&P 500 Index Fund | $ | 16,180,677 | $ | — | $ | 16,180,677 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL S&P 500 Index Fund | $ | 20,111,648 | $ | — | $ | (72,823,092 | ) | $ | 528,445,306 | $ | 475,733,862 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
16
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Schroder Emerging Markets Equity Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 5 |
Page 5 |
Statements of Changes in Net Assets Page 6 |
Page 7 |
Notes to the Financial Statements Page 8 |
Page 13 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Schroder Emerging Markets Equity Fund
(Unaudited)
As a shareholder of the AZL Schroder Emerging Markets Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Schroder Emerging Markets Equity Fund, Class 1 | $ | 1,000.00 | $ | 1,035.90 | $ | 6.51 | 1.29 | % | ||||||||||||
AZL Schroder Emerging Markets Equity Fund, Class 2 | $ | 1,000.00 | $ | 1,033.30 | $ | 7.76 | 1.54 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Schroder Emerging Markets Equity Fund, Class 1 | $ | 1,000.00 | $ | 1,018.40 | $ | 6.46 | 1.29 | % | ||||||||||||
AZL Schroder Emerging Markets Equity Fund, Class 2 | $ | 1,000.00 | $ | 1,017.16 | $ | 7.70 | 1.54 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 29.8 | % | |||
Information Technology | 24.2 | ||||
Energy | 14.3 | ||||
Consumer Discretionary | 10.6 | ||||
Materials | 6.2 | ||||
Consumer Staples | 6.1 | ||||
Telecommunication Services | 4.3 | ||||
Industrials | 2.2 | ||||
Health Care | 1.6 | ||||
Utilities | 0.4 | ||||
|
| ||||
Total Common Stock and Preferred Stock | 99.7 | ||||
Securities Held as Collateral for Securities on Loan | 2.2 | ||||
|
| ||||
Total Investment Securities | 101.9 | ||||
Net other assets (liabilities) | (1.9 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Schroder Emerging Markets Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (99.1%): |
| ||||||
| Auto Components (0.4%): |
| ||||||
18,281 | Hankook Tire Co., Ltd. | $ | 1,091,238 | |||||
|
| |||||||
| Automobiles (5.4%): |
| ||||||
1,712,000 | Brilliance China Automotive Holdings, Ltd. | 3,211,927 | ||||||
384,000 | Chongqing Changan Automobi-B | 758,051 | ||||||
40,436 | Hyundai Motor Co. | 9,170,852 | ||||||
22,472 | Maruti Suzuki India, Ltd. | 911,860 | ||||||
195,767 | Tata Motors, Ltd. | 1,403,909 | ||||||
|
| |||||||
15,456,599 | ||||||||
|
| |||||||
| Banks (21.4%): |
| ||||||
493,925 | Akbank T.A.S. | 1,816,597 | ||||||
1,454,184 | Alpha Bank AE* | 1,355,038 | ||||||
128,294 | Axis Bank, Ltd. | 4,093,541 | ||||||
182,043 | Banco Bradesco SA, ADR | 2,643,264 | ||||||
10,426,832 | China Construction Bank | 7,889,338 | ||||||
3,457,190 | Chinatrust Financial Holding Co., Ltd. | 2,305,395 | ||||||
556,185 | CIMB Group Holdings Berhad | 1,268,945 | ||||||
141,126 | Commercial International Bank Egypt SAE | 702,619 | ||||||
86,290 | DGB Financial Group, Inc. | 1,292,989 | ||||||
94,506 | Grupo Financiero Banorte SA de C.V. | 675,917 | ||||||
91,110 | Grupo Financiero Santander Mexico SAB de C.V., ADR, Class B | 1,209,941 | ||||||
119,690 | Hana Financial Holdings | 4,401,066 | ||||||
353,055 | HDFC Bank, Ltd. | 4,826,140 | ||||||
5,278,385 | Industrial & Commercial Bank of China | 3,339,351 | ||||||
512,255 | Itau Unibanco Banco Multiplo SA, ADR | 7,366,226 | ||||||
500,200 | Kasikornbank Public Co., Ltd. | 3,145,813 | ||||||
3,349 | Komercni Banka AS | 770,802 | ||||||
150,256 | OTP Bank Nyrt | 2,891,113 | ||||||
296,065 | Powszechna Kasa Oszczednosci Bank Polski SA | 3,676,374 | ||||||
1,716,000 | PT Bank Mandiri Tbk | 1,410,100 | ||||||
63,509 | Qatar National Bank | 2,850,310 | ||||||
16,675 | Sberbank of Russia, ADR | 168,549 | ||||||
612,860 | Sberbank of Russia | 1,479,380 | ||||||
47,772 | Sberbank of Russia, ADR | 485,841 | ||||||
38,360 | Shinhan Financial Group Co., Ltd. | 1,777,599 | ||||||
108,389 | Turkiye Garanti Bankasi AS | 424,227 | ||||||
|
| |||||||
64,266,475 | ||||||||
|
| |||||||
| Beverages (2.5%): |
| ||||||
647,765 | Ambev SA, ADR | 4,560,266 | ||||||
23,748 | Fomento Economico Mexicano SAB de C.V., ADR | 2,224,000 | ||||||
84,000 | Tsingtao Brewery Co., Ltd., Class H | 657,074 | ||||||
|
| |||||||
7,441,340 | ||||||||
|
| |||||||
| Chemicals (2.6%): |
| ||||||
536,240 | Alfa SAB de C.V., Class A | 1,483,998 | ||||||
396,560 | Formosa Plastic Corp. | 1,058,241 | ||||||
17,453 | LG Chem, Ltd. | 5,116,076 | ||||||
|
| |||||||
7,658,315 | ||||||||
|
| |||||||
| Construction & Engineering (0.2%): |
| ||||||
9,501 | Hyundai Engineering & Construction Co., Ltd. | 538,286 | ||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction Materials (1.0%): |
| ||||||
153,956 | Cemex SAB de C.V, ADR* | $ | 2,036,838 | |||||
501,427 | Taiwan Cement Corp. | 759,971 | ||||||
|
| |||||||
2,796,809 | ||||||||
|
| |||||||
| Diversified Consumer Services (0.7%): |
| ||||||
69,700 | Kroton Educacional SA | 1,959,110 | ||||||
|
| |||||||
| Diversified Telecommunication Services (1.2%): |
| ||||||
50,830 | Hellenic Telecommunications Organization SA (OTE)* | 751,096 | ||||||
10,379,100 | PT Telekomunikasi Indonesia Tbk | 2,161,991 | ||||||
33,300 | Telefonica Brasil SA, ADR | 682,983 | ||||||
|
| |||||||
3,596,070 | ||||||||
|
| |||||||
| Electric Utilities (0.4%): |
| ||||||
31,290 | Korea Electric Power Corp., Ltd. | 1,150,730 | ||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (4.5%): |
| ||||||
418,000 | AAC Technologies Holdings, Inc.^ | 2,721,974 | ||||||
2,497,215 | Hon Hai Precision Industry Co., Ltd. | 8,362,835 | ||||||
80,190 | LG Display Co., Ltd.* | 2,525,721 | ||||||
|
| |||||||
13,610,530 | ||||||||
|
| |||||||
| Energy Equipment & Services (0.3%): |
| ||||||
33,491 | Gulf International Services Qsc | 847,406 | ||||||
|
| |||||||
| Food & Staples Retailing (1.7%): |
| ||||||
292,100 | Alliance Global Group, Inc. | 194,736 | ||||||
18,117 | Bim Birlesik Magazalar AS | 415,678 | ||||||
5,598 | Magnit | 1,416,864 | ||||||
318,480 | Robinsons Retail Holdings, Inc.* | 532,409 | ||||||
24,222 | Shoprite Holdings, Ltd. | 350,625 | ||||||
919,000 | Sun Art Retail Group, Ltd.^ | 1,051,808 | ||||||
490,300 | Wal-Mart de Mexico SAB de C.V., Series V | 1,314,532 | ||||||
|
| |||||||
5,276,652 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (0.6%): |
| ||||||
55,900 | Mindray Medical International, Ltd., ADR^ | 1,760,850 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (1.6%): |
| ||||||
236,700 | Alsea SAB de C.V.* | 851,196 | ||||||
395,300 | Genting Berhard | 1,231,268 | ||||||
32,115 | Yum! Brands, Inc. | 2,607,738 | ||||||
|
| |||||||
4,690,202 | ||||||||
|
| |||||||
| Household Products (0.5%): |
| ||||||
3,286 | LG Household & Health Care, Ltd. | 1,479,274 | ||||||
|
| |||||||
| Industrial Conglomerates (0.2%): |
| ||||||
107,186 | KOC Holdings AS | 526,290 | ||||||
|
| |||||||
| Insurance (6.2%): |
| ||||||
899,000 | AIA Group, Ltd. | 4,524,074 | ||||||
172,200 | BB Seguridade Participacoes SA | 2,516,349 | ||||||
2,402,649 | Cathay Financial Holding Co., Ltd. | 3,753,520 | ||||||
876,000 | China Life Insurance Co., Ltd. | 2,289,969 | ||||||
1,164,400 | China Pacific Insurance Group Co., Ltd., Class H | 4,111,018 | ||||||
7,614 | Samsung Life Insurance Co., Ltd. | 767,799 | ||||||
|
| |||||||
17,962,729 | ||||||||
|
| |||||||
| Internet Software & Services (4.7%): |
| ||||||
2,431 | Mail.ru Group, Ltd., Registered Shares, GDR* | 85,601 | ||||||
14,944 | Mail.ru Group, Ltd., GDR* | 526,214 |
Continued
2
AZL Schroder Emerging Markets Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Internet Software & Services, continued |
| ||||||
3,698 | NHN Corp. | $ | 3,060,196 | |||||
684,000 | Tencent Holdings, Ltd. | 10,459,729 | ||||||
|
| |||||||
14,131,740 | ||||||||
|
| |||||||
| IT Services (2.2%): |
| ||||||
170,400 | Cielo SA | 3,513,680 | ||||||
76,538 | Tata Consultancy Services, Ltd. | 3,087,466 | ||||||
|
| |||||||
6,601,146 | ||||||||
|
| |||||||
| Machinery (0.8%): |
| ||||||
90,878 | Iochpe-Maxion SA | 802,228 | ||||||
411,799 | Weichai Power Co., Ltd., Class H | 1,593,288 | ||||||
|
| |||||||
2,395,516 | ||||||||
|
| |||||||
| Media (1.4%): |
| ||||||
54,700 | Cheil Worldwide, Inc.* | 1,233,591 | ||||||
26,764 | Naspers, Ltd. | 3,153,267 | ||||||
|
| |||||||
4,386,858 | ||||||||
|
| |||||||
| Metals & Mining (2.4%): |
| ||||||
173,900 | Gerdau SA, Sponsored ADR | 1,024,271 | ||||||
461,700 | Grupo Mexico SAB de C.V., Series B | 1,540,732 | ||||||
28,597 | KGHM Polska Miedz SA | 1,172,638 | ||||||
23,408 | Mining and Metallurgical Co. Norilsk Nickel, ADR | 466,053 | ||||||
193,100 | Vale SA, ADR ^ | 2,554,713 | ||||||
32,000 | Vale SA, ADR | 380,800 | ||||||
|
| |||||||
7,139,207 | ||||||||
|
| |||||||
| Multiline Retail (0.9%): |
| ||||||
9,323 | Hyundai Department Store Co., Ltd. | 1,280,691 | ||||||
191,672 | Woolworths Holdings, Ltd. | 1,410,034 | ||||||
|
| |||||||
2,690,725 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (13.6%): |
| ||||||
8,714,400 | China Petroleum & Chemical Corp. (Sinopec), H Shares | 8,317,547 | ||||||
2,696,000 | CNOOC, Ltd. | 4,838,715 | ||||||
177,416 | Coal India, Ltd. | 1,135,690 | ||||||
90,960 | LUKOIL, ADR | 5,441,227 | ||||||
3,450 | LUKOIL, ADR | 205,664 | ||||||
303,582 | OAO Gazprom, ADR | 2,645,717 | ||||||
38,701 | Petroleo Brasileiro SA, ADR | 566,196 | ||||||
225,804 | Petroleo Brasileiro SA, ADR | 3,531,575 | ||||||
262,800 | PTT pcl | 2,579,546 | ||||||
208,399 | Reliance Industries, Ltd. | 3,518,740 | ||||||
48,128 | Sasol, Ltd. | 2,864,320 | ||||||
9,575 | SK Energy Co., Ltd. | 1,062,898 | ||||||
32,947 | Tupras-Turkiye Petrol Rafine | 768,414 | ||||||
4,700 | Ultrapar Participacoes SA, ADR | 110,920 | ||||||
100,042 | Ultrapar Participacoes SA | 2,364,958 | ||||||
|
| |||||||
39,952,127 | ||||||||
|
| |||||||
| Personal Products (1.1%): |
| ||||||
291,500 | Hengan International Group Co., Ltd. | 3,071,272 | ||||||
|
| |||||||
| Pharmaceuticals (1.0%): |
| ||||||
95,529 | Lupin, Ltd. | 1,664,810 | ||||||
55,864 | Richter Gedeon Nyrt. | 1,072,828 | ||||||
|
| |||||||
2,737,638 | ||||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Real Estate Management & Development (2.2%): |
| ||||||
2,160,500 | Ayala Land, Inc. | $ | 1,510,260 | |||||
157,800 | BR Malls Participacoes SA | 1,342,979 | ||||||
1,232,031 | Emaar Properties Pjsc | 2,822,185 | ||||||
2,176,900 | Land & Houses Public Co., Ltd. | 661,002 | ||||||
|
| |||||||
6,336,426 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (12.2%): |
| ||||||
1,505,000 | Advanced Semiconductor Engineering, Inc. | 1,957,743 | ||||||
206,000 | MediaTek, Inc. | 3,488,935 | ||||||
12,115 | Samsung Electronics Co., Ltd. | 15,842,319 | ||||||
66,800 | SK Hynix, Inc.* | 3,204,541 | ||||||
2,768,110 | Taiwan Semiconductor Manufacturing Co., Ltd. | 11,661,736 | ||||||
|
| |||||||
36,155,274 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.6%): |
| ||||||
211,000 | Catcher Technology Co., Ltd. | 1,968,372 | ||||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (0.2%): |
| ||||||
47,000 | Eclat Textile Co., Ltd. | 569,438 | ||||||
|
| |||||||
| Tobacco (0.3%): |
| ||||||
10,506 | KT&G Corp. | 924,699 | ||||||
|
| |||||||
| Transportation Infrastructure (1.0%): |
| ||||||
367,056 | Companhia de Concessoes Rodoviarias | 2,999,258 | ||||||
|
| |||||||
| Wireless Telecommunication Services (3.1%): |
| ||||||
310,000 | China Mobile, Ltd. | 3,009,619 | ||||||
21,200 | Mobile TeleSystems, ADR | 418,488 | ||||||
188,158 | Mobile TeleSystems OJSC | 1,623,326 | ||||||
2,820 | Philippine Long Distance Telephone Co. | 192,029 | ||||||
11,506 | SK Telecom Co., Ltd. | 2,692,793 | ||||||
183,276 | Turkcell Iletisim Hizmetleri AS* | 1,146,448 | ||||||
|
| |||||||
9,082,703 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $227,270,585) | 293,251,304 | ||||||
|
| |||||||
| Preferred Stocks (0.6%): | |||||||
| Metals & Mining (0.2%): | |||||||
60,200 | Vale SA, Preferred Shares, ADR | 716,380 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.4%): |
| ||||||
1,466,212 | Surgutneftegas, Preferred Shares* | 1,172,780 | ||||||
|
| |||||||
| Total Preferred Stocks (Cost $1,594,316) | 1,889,160 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (2.2%): |
| ||||||
$ | 6,543,295 | Allianz Variable Insurance Products Securities Lending Collateral Trust (a) | 6,543,295 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 6,543,295 | ||||||
|
| |||||||
| Total Investment Securities (Cost $235,408,196)(b) — 101.9% | 301,683,759 | ||||||
| Net other assets (liabilities) — (1.9)% | (5,646,317 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 296,037,442 | |||||
|
|
Continued
3
AZL Schroder Emerging Markets Equity Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
GDR—Global Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $6,296,228. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2014:
Country | Percentage | |||
Brazil | 13.1 | % | ||
British Virgin Islands | 0.2 | % | ||
Cayman Islands | 2.5 | % | ||
China | 10.4 | % | ||
Czech Republic | 0.3 | % | ||
Egypt | 0.2 | % | ||
Greece | 0.7 | % | ||
Hong Kong | 6.8 | % | ||
Hungary | 1.3 | % | ||
India | 6.8 | % | ||
Indonesia | 1.2 | % | ||
Korea, Republic Of | 1.8 | % | ||
Malaysia | 0.8 | % | ||
Mexico | 3.8 | % | ||
Philippines | 0.8 | % | ||
Poland | 1.6 | % | ||
Qatar | 1.2 | % | ||
Republic of Korea (South) | 17.6 | % | ||
Russian Federation | 5.2 | % | ||
South Africa | 2.6 | % | ||
Switzerland | 1.4 | % | ||
Taiwan | 11.9 | % | ||
Thailand | 2.1 | % | ||
Turkey | 1.7 | % | ||
United Arab Emirates | 0.9 | % | ||
United States | 3.1 | % | ||
|
| |||
100.0 | % | |||
|
|
See accompanying notes to the financial statements.
4
AZL Schroder Emerging Markets Equity Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 235,408,196 | |||
|
| ||||
Investment securities, at value* | $ | 301,683,759 | |||
Interest and dividends receivable | 645,497 | ||||
Foreign currency, at value (cost $775,694) | 775,412 | ||||
Receivable for investments sold | 1,496,715 | ||||
Reclaims receivable | 21,701 | ||||
Prepaid expenses | 1,383 | ||||
|
| ||||
Total Assets | 304,624,467 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 947,871 | ||||
Payable for investments purchased | 319,534 | ||||
Payable for capital shares redeemed | 280,424 | ||||
Payable for collateral received on loaned securities | 6,543,295 | ||||
Manager fees payable | 262,871 | ||||
Administration fees payable | 10,998 | ||||
Distribution fees payable | 54,487 | ||||
Custodian fees payable | 155,454 | ||||
Administrative and compliance services fees payable | 863 | ||||
Trustee fees payable | 1,790 | ||||
Other accrued liabilities | 9,438 | ||||
|
| ||||
Total Liabilities | 8,587,025 | ||||
|
| ||||
Net Assets | $ | 296,037,442 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 224,490,681 | |||
Accumulated net investment income/(loss) | 2,423,763 | ||||
Accumulated net realized gains/(losses) from investment transactions | 2,846,903 | ||||
Net unrealized appreciation/(depreciation) on investments | 66,276,095 | ||||
|
| ||||
Net Assets | $ | 296,037,442 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 31,097,430 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 3,846,134 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.09 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 264,940,012 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 32,854,713 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.06 | |||
|
|
* | Includes securities on loan of $6,296,228. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,016,002 | |||
Interest | 2 | ||||
Income from securities lending | 88,022 | ||||
Foreign withholding tax | (258,308 | ) | |||
|
| ||||
Total Investment Income | 2,845,718 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 1,747,217 | ||||
Administration fees | 49,949 | ||||
Distribution fees — Class 2 | 317,860 | ||||
Custodian fees | 217,662 | ||||
Administrative and compliance services fees | 2,091 | ||||
Trustee fees | 6,663 | ||||
Professional fees | 6,946 | ||||
Shareholder reports | 13,725 | ||||
Other expenses | 3,346 | ||||
|
| ||||
Total expenses before reductions | 2,365,459 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (213,076 | ) | |||
Less expenses paid indirectly | (45 | ) | |||
|
| ||||
Net expenses | 2,152,338 | ||||
|
| ||||
Net Investment Income/(Loss) | 693,380 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 4,447,276 | ||||
Change in net unrealized appreciation/depreciation on investments | 4,355,533 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 8,802,809 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 9,496,189 | |||
|
|
See accompanying notes to the financial statements.
5
Statements of Changes in Net Assets
AZL Schroder Emerging Markets Equity Fund | ||||||||||
For the Six Months Ended | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 693,380 | $ | 2,536,114 | ||||||
Net realized gains/(losses) on investment transactions | 4,447,276 | 4,555,338 | ||||||||
Change in unrealized appreciation/depreciation on investments | 4,355,533 | (14,705,734 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 9,496,189 | (7,614,282 | ) | |||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income: | ||||||||||
Class 1 | — | (333,101 | ) | |||||||
Class 2 | — | (2,124,595 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (2,457,696 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 74,363 | 354,171 | ||||||||
Proceeds from dividends reinvested | — | 333,101 | ||||||||
Value of shares redeemed | (1,694,749 | ) | (4,799,713 | ) | ||||||
|
|
|
| |||||||
Total Class 1 | (1,620,386 | ) | (4,112,441 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 7,790,960 | 16,234,949 | ||||||||
Proceeds from dividends reinvested | — | 2,124,596 | ||||||||
Value of shares redeemed | (18,290,981 | ) | (41,378,164 | ) | ||||||
|
|
|
| |||||||
Total Class 2 | (10,500,021 | ) | (23,018,619 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (12,120,407 | ) | (27,131,060 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (2,624,218 | ) | (37,203,038 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 298,661,660 | 335,864,698 | ||||||||
|
|
|
| |||||||
End of period | $ | 296,037,442 | $ | 298,661,660 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 2,423,763 | $ | 1,730,383 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 9,652 | 45,222 | ||||||||
Dividends reinvested | — | 43,714 | ||||||||
Shares redeemed | (223,489 | ) | (623,478 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (213,837 | ) | (534,542 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 1,031,482 | 2,123,012 | ||||||||
Dividends reinvested | — | 278,818 | ||||||||
Shares redeemed | (2,403,124 | ) | (5,379,241 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (1,371,642 | ) | (2,977,411 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,585,479 | ) | (3,511,953 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
6
AZL Schroder Emerging Markets Equity Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended 2013 | Year Ended 2012 | Year Ended 2011 | Year Ended 2010 | Year Ended 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.81 | $ | 8.05 | $ | 7.08 | $ | 8.76 | $ | 7.84 | $ | 4.56 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | 0.09 | 0.08 | 0.12 | 0.10 | (a) | 0.06 | (a) | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.26 | (0.25 | ) | 1.39 | (1.61 | ) | 0.88 | 3.24 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.28 | (0.16 | ) | 1.47 | (1.49 | ) | 0.98 | 3.30 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.08 | ) | (0.08 | ) | (0.08 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.42 | ) | (0.11 | ) | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.08 | ) | (0.50 | ) | (0.19 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 8.09 | $ | 7.81 | $ | 8.05 | $ | 7.08 | $ | 8.76 | $ | 7.84 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 3.59 | %(c) | (1.96 | )% | 21.52 | % | (17.09 | )% | 12.61 | % | 72.46 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 31,097 | $ | 31,711 | $ | 36,970 | $ | 34,046 | $ | 47,962 | $ | 49,392 | ||||||||||||||||||
Net Investment Income/(Loss) | 0.71 | % | 1.04 | % | 0.99 | % | 1.28 | % | 1.19 | % | 0.99 | % | ||||||||||||||||||
Expenses Before Reductions(d) | 1.44 | % | 1.45 | % | 1.43 | % | 1.45 | % | 1.45 | % | 1.54 | % | ||||||||||||||||||
Expenses Net of Reductions | 1.29 | % | 1.30 | % | 1.28 | % | 1.25 | % | 1.17 | % | 1.26 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e) | 1.29 | % | 1.30 | % | 1.28 | % | 1.25 | % | 1.17 | % | 1.26 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 29 | %(c) | 49 | % | 51 | % | 66 | % | 101 | % | 100 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.80 | $ | 8.03 | $ | 7.07 | $ | 8.74 | $ | 7.82 | $ | 4.56 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | 0.07 | 0.05 | 0.09 | 0.08 | (a) | 0.04 | (a) | ||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.24 | (0.24 | ) | 1.39 | (1.59 | ) | 0.89 | 3.23 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.26 | (0.17 | ) | 1.44 | (1.50 | ) | 0.97 | 3.27 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.06 | ) | (0.06 | ) | (0.06 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.42 | ) | (0.11 | ) | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.06 | ) | (0.48 | ) | (0.17 | ) | (0.05 | ) | (0.01 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 8.06 | $ | 7.80 | $ | 8.03 | $ | 7.07 | $ | 8.74 | $ | 7.82 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | 3.33 | %(c) | (2.10 | )% | 21.04 | % | (17.27 | )% | 12.40 | % | 71.78 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 264,940 | $ | 266,951 | $ | 298,895 | $ | 266,106 | $ | 376,825 | $ | 373,541 | ||||||||||||||||||
Net Investment Income/(Loss) | 0.46 | % | 0.79 | % | 0.74 | % | 1.03 | % | 0.91 | % | 0.68 | % | ||||||||||||||||||
Expenses Before Reductions(d) | 1.69 | % | 1.70 | % | 1.68 | % | 1.70 | % | 1.70 | % | 1.79 | % | ||||||||||||||||||
Expenses Net of Reductions | 1.54 | % | 1.55 | % | 1.53 | % | 1.50 | % | 1.42 | % | 1.51 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e) | 1.54 | % | 1.55 | % | 1.53 | % | 1.50 | % | 1.42 | % | 1.51 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 29 | %(c) | 49 | % | 51 | % | 66 | % | 101 | % | 100 | % |
(a) | Average shares method used in calculation. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(e) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
See accompanying notes to the financial statements.
7
AZL Schroder Emerging Markets Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Schroder Emerging Markets Equity Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. In addition, income and realized and unrealized gains and losses are allocated to each class of shares based on its relative net assets on a daily basis.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the
8
AZL Schroder Emerging Markets Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $6.2 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $8,705 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Schroder Investment Management North America Inc. (“Schroder”), Schroder provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Schroder Emerging Markets Equity Fund Class 1 | 1.23 | % | 1.40 | % | ||||||
AZL Schroder Emerging Markets Equity Fund Class 2 | 1.23 | % | 1.65 | % |
* | The Manager voluntarily reduced the management fee to 1.08% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time. |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services
9
AZL Schroder Emerging Markets Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $1,685 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks | |||||||||||||||
Banks | $ | 12,381,189 | $ | 51,885,286 | $ | 64,266,475 | |||||||||
Beverages | 6,784,266 | 657,074 | 7,441,340 | ||||||||||||
Chemicals | 1,483,998 | 6,174,317 | 7,658,315 | ||||||||||||
Construction Materials | 2,036,838 | 759,971 | 2,796,809 | ||||||||||||
Diversified Consumer Services | 1,959,110 | — | 1,959,110 | ||||||||||||
Diversified Telecommunication Services | 682,983 | 2,913,087 | 3,596,070 |
10
AZL Schroder Emerging Markets Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Food & Staples Retailing | $ | 1,314,532 | $ | 3,962,120 | $ | 5,276,652 | |||||||||
Health Care Equipment & Supplies | 1,760,850 | — | 1,760,850 | ||||||||||||
Hotels, Restaurants & Leisure | 3,458,934 | 1,231,268 | 4,690,202 | ||||||||||||
Insurance | 2,516,349 | 15,446,380 | 17,962,729 | ||||||||||||
IT Services | 3,513,680 | 3,087,466 | 6,601,146 | ||||||||||||
Machinery | 802,228 | 1,593,288 | 2,395,516 | ||||||||||||
Metals & Mining | 5,966,569 | 1,172,638 | 7,139,207 | ||||||||||||
Oil, Gas & Consumable Fuels | 14,660,593 | 25,291,534 | 39,952,127 | ||||||||||||
Real Estate Management & Development | 1,342,979 | 4,993,447 | 6,336,426 | ||||||||||||
Transportation Infrastructure | 2,999,258 | — | 2,999,258 | ||||||||||||
Wireless Telecommunication Services | 418,488 | 8,664,215 | 9,082,703 | ||||||||||||
All Other Common Stocks+ | — | 101,336,369 | 101,336,369 | ||||||||||||
Preferred Stocks | |||||||||||||||
Metals & Mining | 716,380 | — | 716,380 | ||||||||||||
Oil, Gas & Consumable Fuels | — | 1,172,780 | 1,172,780 | ||||||||||||
Securities Held as Collateral for Securities on Loan | — | 6,543,295 | 6,543,295 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 64,799,224 | $ | 236,884,535 | $ | 301,683,759 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
For the period ended June 30, 2014, there have been no significant changes to the Fund’s fair valuation methodologies. Changes in valuation techniques may result in transfers in to or out of an investment’s assigned level within the hierarchy during the reporting period. There were significant transfers from Level 2 to Level 1, based on valuations at the reporting period end, the result of certain country holdings valued at close prices at period end; and transfers from Level 1 to Level 2, the result of fair value prices applied to certain country holdings at period end, are noted below:
Transfers from Level 2 to Level 1 | Transfers from Level 1 to Level 2 | Total Transfers* | |||||||||||||
AZL Schroder Emerging Markets Fund | $ | 11,023,103 | $ | 4,275,217 | $ | 15,298,320 |
* | Represents 5.17% of net assets as of June 30, 2014. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Schroder Emerging Markets Equity Fund | $ | 84,223,407 | $ | 95,621,026 |
6. Investment Risks
Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $237,503,691. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 70,211,763 | ||
Unrealized depreciation | (6,031,695 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 64,180,068 | ||
|
|
11
AZL Schroder Emerging Markets Equity Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Schroder Emerging Markets Equity Fund | $ | 2,457,696 | $ | — | $ | 2,457,696 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Schroder Emerging Markets Equity Fund | $ | 1,731,895 | $ | 424,932 | $ | — | $ | 59,893,745 | $ | 62,050,572 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
12
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
13
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Small Cap Stock Index Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Small Cap Stock Index Fund
(Unaudited)
As a shareholder of the AZL Small Cap Stock Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Small Cap Stock Index Fund | $ | 1,000.00 | $ | 1,029.40 | $ | 2.97 | 0.59 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL Small Cap Stock Index Fund | $ | 1,000.00 | $ | 1,021.87 | $ | 2.96 | 0.59 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 20.3 | % | |||
Information Technology | 17.4 | ||||
Industrials | 16.2 | ||||
Consumer Discretionary | 14.2 | ||||
Health Care | 10.9 | ||||
Materials | 6.3 | ||||
Energy | 5.0 | ||||
Consumer Staples | 3.8 | ||||
Utilities | 3.8 | ||||
Telecommunication Services | 0.5 | ||||
|
| ||||
Total Common Stock | 98.4 | ||||
Right | — | ^ | |||
Securities Held as Collateral for Securities on Loan | 4.0 | ||||
Money Market | 1.0 | ||||
|
| ||||
Total Investment Securities | 103.4 | ||||
Net other assets (liabilities) | (3.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks (98.4%): | ||||||||
Aerospace & Defense (2.5%): | ||||||||
21,892 | AAR Corp. | $ | 603,344 | |||||
10,969 | Aerovironment, Inc.* | 348,814 | ||||||
4,367 | American Science & Engineering, Inc. | 303,900 | ||||||
11,562 | Cubic Corp. | 514,625 | ||||||
26,650 | Curtiss-Wright Corp. | 1,747,174 | ||||||
9,716 | Engility Holdings, Inc.* | 371,734 | ||||||
32,308 | Gencorp, Inc.* | 617,083 | ||||||
24,598 | Moog, Inc., Class A* | 1,792,948 | ||||||
2,706 | National Presto Industries, Inc.^ | 197,105 | ||||||
33,511 | Orbital Sciences Corp.* | 990,250 | ||||||
29,810 | TASER International, Inc.* | 396,473 | ||||||
20,748 | Teledyne Technologies, Inc.* | 2,016,082 | ||||||
|
| |||||||
9,899,532 | ||||||||
|
| |||||||
| Air Freight & Logistics (0.7%): |
| ||||||
13,961 | Atlas Air Worldwide Holdings* | 514,463 | ||||||
17,260 | Forward Air Corp. | 825,891 | ||||||
19,259 | Hub Group, Inc., Class A* | 970,653 | ||||||
50,734 | UTI Worldwide, Inc.* | 524,590 | ||||||
|
| |||||||
2,835,597 | ||||||||
|
| |||||||
| Airlines (0.3%): |
| ||||||
7,821 | Allegiant Travel Co. | 921,079 | ||||||
28,240 | SkyWest, Inc. | 345,093 | ||||||
|
| |||||||
1,266,172 | ||||||||
|
| |||||||
| Auto Components (0.6%): |
| ||||||
16,774 | Dorman Products, Inc.* | 827,293 | ||||||
12,287 | Drew Industries, Inc. | 614,473 | ||||||
11,365 | Standard Motor Products, Inc. | 507,675 | ||||||
12,792 | Superior Industries International, Inc. | 263,771 | ||||||
|
| |||||||
2,213,212 | ||||||||
|
| |||||||
| Automobiles (0.1%): |
| ||||||
15,055 | Winnebago Industries, Inc.* | 379,085 | ||||||
|
| |||||||
| Banks (6.8%): |
| ||||||
35,672 | Bank of the Ozarks, Inc. | 1,193,228 | ||||||
10,833 | Banner Corp. | 429,312 | ||||||
44,041 | BBCN Bancorp, Inc. | 702,454 | ||||||
44,221 | Boston Private Financial Holdings, Inc. | 594,330 | ||||||
17,693 | Cardinal Financial Corp. | 326,613 | ||||||
8,689 | City Holding Co. | 392,048 | ||||||
29,097 | Columbia Banking System, Inc. | 765,542 | ||||||
22,503 | Community Bank System, Inc. | 814,609 | ||||||
52,136 | CVB Financial Corp. | 835,740 | ||||||
92,021 | F.N.B. Corp. | 1,179,709 | ||||||
55,591 | First Bancorp* | 302,415 | ||||||
52,102 | First Commonwealth Financial Corp. | 480,380 | ||||||
31,930 | First Financial Bancorp | 549,515 | ||||||
33,649 | First Financial Bankshares, Inc.^ | 1,055,569 | ||||||
41,639 | First Midwest Bancorp, Inc. | 709,112 | ||||||
41,187 | Glacier Bancorp, Inc. | 1,168,887 | ||||||
17,619 | Hanmi Financial Corp. | 371,409 | ||||||
26,327 | Home Bancshares, Inc. | 864,052 | ||||||
13,230 | Independent Bank Corp. | 507,767 | ||||||
30,499 | MB Financial, Inc. | 824,998 | ||||||
61,594 | National Penn Bancshares, Inc. | 651,665 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
24,150 | NBT Bancorp, Inc. | $ | 580,083 | |||||
58,470 | Old National Bancorp | 834,952 | ||||||
18,496 | Pinnacle Financial Partners, Inc. | 730,222 | ||||||
37,001 | PrivateBancorp, Inc. | 1,075,249 | ||||||
16,491 | S & T Bancorp, Inc. | 409,801 | ||||||
9,022 | Simmons First National Corp., Class A | 355,377 | ||||||
43,412 | Sterling BanCorp/de | 520,944 | ||||||
103,776 | Susquehanna Bancshares, Inc. | 1,095,875 | ||||||
8,429 | Taylor Capital Group, Inc.* | 180,212 | ||||||
23,818 | Texas Capital Bancshares, Inc.* | 1,284,981 | ||||||
6,603 | Tompkins Financial Corp. | 318,133 | ||||||
20,858 | UMB Financial Corp. | 1,322,188 | ||||||
34,755 | United Bankshares, Inc. | 1,123,629 | ||||||
21,620 | United Community Banks, Inc. | 353,919 | ||||||
37,685 | Wilshire Bancorp, Inc. | 387,025 | ||||||
25,741 | Wintrust Financial Corp. | 1,184,086 | ||||||
|
| |||||||
26,476,030 | ||||||||
|
| |||||||
| Beverages (0.3%): |
| ||||||
4,904 | Boston Beer Co., Inc. (The), Class A* | 1,096,142 | ||||||
|
| |||||||
| Biotechnology (0.7%): |
| ||||||
23,038 | Acorda Therapeutics, Inc.* | 776,610 | ||||||
16,358 | Emergent Biosolutions, Inc.* | 367,401 | ||||||
11,465 | Ligand Pharmaceuticals, Inc., Class B* | 714,155 | ||||||
25,786 | Momenta Pharmaceuticals, Inc.* | 311,495 | ||||||
16,783 | Repligen Corp.* | 382,485 | ||||||
30,522 | Spectrum Pharmaceuticals, Inc.* | 248,144 | ||||||
|
| |||||||
2,800,290 | ||||||||
|
| |||||||
| Building Products (1.0%): |
| ||||||
15,382 | AAON, Inc. | 515,605 | ||||||
6,678 | American Woodmark Corp.* | 212,828 | ||||||
16,106 | Apogee Enterprises, Inc. | 561,455 | ||||||
16,076 | Gibraltar Industries, Inc.* | 249,339 | ||||||
24,120 | Griffon Corp. | 299,088 | ||||||
17,571 | PGT, Inc.* | 148,826 | ||||||
20,766 | Quanex Building Products Corp. | 371,088 | ||||||
22,766 | Simpson Manufacturing Co., Inc. | 827,772 | ||||||
11,093 | Universal Forest Products, Inc. | 535,459 | ||||||
|
| |||||||
3,721,460 | ||||||||
|
| |||||||
| Capital Markets (1.9%): |
| ||||||
10,586 | Calamos Asset Management, Inc., Class A | 141,747 | ||||||
19,273 | Evercore Partners, Inc., Class A | 1,110,896 | ||||||
28,454 | Financial Engines, Inc. | 1,288,397 | ||||||
14,821 | Greenhill & Co., Inc. | 729,934 | ||||||
18,550 | HFF, Inc., Class A | 689,875 | ||||||
19,862 | Investment Technology Group, Inc.* | 335,271 | ||||||
9,018 | Piper Jaffray Cos., Inc.* | 466,862 | ||||||
33,667 | Stifel Financial Corp.* | 1,594,131 | ||||||
16,199 | SWS Group, Inc.* | 117,929 | ||||||
3,904 | Virtus Investment Partners, Inc.* | 826,672 | ||||||
|
| |||||||
7,301,714 | ||||||||
|
| |||||||
| Chemicals (2.5%): |
| ||||||
16,158 | A. Schulman, Inc. | 625,315 | ||||||
13,905 | American Vanguard Corp. | 183,824 |
Continued
2
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Chemicals, continued |
| ||||||
16,825 | Balchem Corp. | $ | 901,146 | |||||
29,450 | Calgon Carbon Corp.* | 657,619 | ||||||
26,183 | Flotek Industries, Inc.* | 842,045 | ||||||
12,485 | Futurefuel Corp. | 207,126 | ||||||
27,706 | H.B. Fuller Co. | 1,332,658 | ||||||
5,218 | Hawkins, Inc. | 193,797 | ||||||
12,129 | Innophos Holdings, Inc. | 698,267 | ||||||
30,663 | Intrepid Potash, Inc.* | 513,912 | ||||||
11,306 | Koppers Holdings, Inc. | 432,455 | ||||||
18,137 | Kraton Performance Polymers, Inc.* | 406,087 | ||||||
10,610 | LSB Industries, Inc.* | 442,119 | ||||||
17,773 | OM Group, Inc. | 576,378 | ||||||
7,335 | Quaker Chemical Corp. | 563,255 | ||||||
10,496 | Stepan Co. | 554,819 | ||||||
13,990 | Tredegar Corp. | 327,506 | ||||||
12,655 | Zep, Inc. | 223,487 | ||||||
|
| |||||||
9,681,815 | ||||||||
|
| |||||||
| Commercial Services & Supplies (2.8%): |
| ||||||
28,811 | ABM Industries, Inc. | 777,321 | ||||||
26,781 | Brink’s Co. (The) | 755,760 | ||||||
13,085 | Encore Capital Group, Inc.* | 594,321 | ||||||
11,032 | G & K Services, Inc., Class A | 574,436 | ||||||
38,864 | Healthcare Services Group, Inc. | 1,144,157 | ||||||
32,380 | Interface, Inc. | 610,039 | ||||||
22,742 | Mobile Mini, Inc. | 1,089,114 | ||||||
27,685 | Portfolio Recovery Associates, Inc.* | 1,648,089 | ||||||
21,632 | Sykes Enterprises, Inc.* | 470,063 | ||||||
35,938 | Tetra Tech, Inc. | 988,295 | ||||||
8,440 | UniFirst Corp. | 894,640 | ||||||
21,803 | United Stationers, Inc. | 904,170 | ||||||
11,322 | Viad Corp. | 269,916 | ||||||
|
| |||||||
10,720,321 | ||||||||
|
| |||||||
| Communications Equipment (1.1%): |
| ||||||
5,599 | Bel Fuse, Inc., Class B | 143,726 | ||||||
8,611 | Black Box Corp. | 201,842 | ||||||
18,695 | Calamp Corp.* | 404,934 | ||||||
8,875 | Comtech Telecommunications Corp. | 331,304 | ||||||
14,014 | Digi International, Inc.* | 132,012 | ||||||
52,387 | Harmonic, Inc.* | 390,807 | ||||||
31,262 | Ixia* | 357,325 | ||||||
20,226 | NETGEAR, Inc.* | 703,258 | ||||||
9,507 | Oplink Communications, Inc.* | 161,334 | ||||||
11,424 | Procera Networks, Inc.*^ | 115,268 | ||||||
23,602 | ViaSat, Inc.* | 1,367,971 | ||||||
|
| |||||||
4,309,781 | ||||||||
|
| |||||||
| Construction & Engineering (0.8%): |
| ||||||
21,014 | Aegion Corp.* | 488,996 | ||||||
20,885 | Comfort Systems USA, Inc. | 329,983 | ||||||
18,782 | Dycom Industries, Inc.* | 588,064 | ||||||
37,209 | Emcor Group, Inc. | 1,656,917 | ||||||
15,122 | Orion Marine Group, Inc.* | 163,771 | ||||||
|
| |||||||
3,227,731 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Construction Materials (0.4%): |
| ||||||
40,590 | Headwaters, Inc.* | $ | 563,795 | |||||
11,876 | Texas Industries, Inc.* | 1,096,867 | ||||||
|
| |||||||
1,660,662 | ||||||||
|
| |||||||
| Consumer Finance (0.6%): |
| ||||||
15,546 | Cash America International, Inc. | 690,709 | ||||||
30,168 | EZCORP, Inc., Class A* | 348,440 | ||||||
16,015 | First Cash Financial Services, Inc.* | 922,304 | ||||||
5,352 | World Acceptance Corp.*^ | 406,538 | ||||||
|
| |||||||
2,367,991 | ||||||||
|
| |||||||
| Containers & Packaging (0.1%): |
| ||||||
14,521 | Myers Industries, Inc. | 291,727 | ||||||
|
| |||||||
| Distributors (0.4%): |
| ||||||
24,848 | Pool Corp. | 1,405,403 | ||||||
10,884 | VOXX International Corp.* | 102,418 | ||||||
|
| |||||||
1,507,821 | ||||||||
|
| |||||||
| Diversified Consumer Services (1.1%): |
| ||||||
9,659 | American Public Education, Inc.* | 332,076 | ||||||
6,036 | Capella Education Co. | 328,298 | ||||||
31,904 | Career Education Corp.* | 149,311 | ||||||
34,713 | Hillenbrand, Inc. | 1,132,337 | ||||||
10,043 | ITT Educational Services, Inc.*^ | 167,618 | ||||||
15,129 | Matthews International Corp., Class A | 628,913 | ||||||
11,276 | Outerwall, Inc.*^ | 669,230 | ||||||
24,233 | Regis Corp. | 341,201 | ||||||
6,002 | Strayer Education, Inc.* | 315,165 | ||||||
11,725 | Universal Technical Institute, Inc. | 142,342 | ||||||
|
| |||||||
4,206,491 | ||||||||
|
| |||||||
| Diversified Financial Services (0.8%): |
| ||||||
21,061 | FXCM, Inc.^ | 315,073 | ||||||
17,074 | Green Dot Corp., Class A* | 324,065 | ||||||
26,614 | Interactive Brokers Group, Inc., Class A | 619,840 | ||||||
20,847 | MarketAxess Holdings, Inc. | 1,126,988 | ||||||
19,804 | ViewPoint Financial Group | 532,926 | ||||||
|
| |||||||
2,918,892 | ||||||||
|
| |||||||
| Diversified Telecommunication Services (0.4%): |
| ||||||
45,587 | 8x8, Inc.* | 368,343 | ||||||
5,549 | Atlantic Tele-Network, Inc. | 321,842 | ||||||
16,138 | Cbeyond, Inc.* | 160,573 | ||||||
115,645 | Cincinnati Bell, Inc.* | 454,484 | ||||||
17,483 | General Communication, Inc., Class A* | 193,712 | ||||||
9,914 | Lumos Networks Corp. | 143,456 | ||||||
|
| |||||||
1,642,410 | ||||||||
|
| |||||||
| Electric Utilities (1.2%): |
| ||||||
21,320 | ALLETE, Inc. | 1,094,782 | ||||||
22,385 | El Paso Electric Co. | 900,101 | ||||||
31,268 | UIL Holdings Corp. | 1,210,384 | ||||||
23,064 | UNS Energy Corp. | 1,393,296 | ||||||
|
| |||||||
4,598,563 | ||||||||
|
| |||||||
| Electrical Equipment (1.8%): |
| ||||||
14,176 | AZZ, Inc. | 653,230 | ||||||
25,467 | Brady Corp., Class A | 760,699 | ||||||
10,314 | Encore Wire Corp. | 505,799 |
Continued
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Electrical Equipment, continued |
| ||||||
25,958 | EnerSys | $ | 1,785,651 | |||||
21,651 | Franklin Electric Co., Inc. | 873,185 | ||||||
26,893 | General Cable Corp. | 690,074 | ||||||
29,786 | II-VI, Inc.* | 430,706 | ||||||
19,929 | Methode Electronics, Inc. | 761,487 | ||||||
5,126 | Powell Industries, Inc. | 335,138 | ||||||
9,945 | Vicor Corp.* | 83,339 | ||||||
|
| |||||||
6,879,308 | ||||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (4.4%): |
| ||||||
7,796 | Agilysys, Inc.* | 109,768 | ||||||
14,815 | Anixter International, Inc. | 1,482,537 | ||||||
7,981 | Badger Meter, Inc. | 420,200 | ||||||
29,823 | Benchmark Electronics, Inc.* | 759,890 | ||||||
23,069 | Checkpoint Systems, Inc.* | 322,735 | ||||||
45,624 | Cognex Corp.* | 1,751,961 | ||||||
13,792 | Coherent, Inc.* | 912,617 | ||||||
18,711 | CTS Corp. | 349,896 | ||||||
21,106 | Daktronics, Inc. | 251,584 | ||||||
9,374 | DTS, Inc.* | 172,575 | ||||||
14,221 | Electro Scientific Industries, Inc. | 96,845 | ||||||
16,325 | Fabrinet* | 336,295 | ||||||
9,513 | FARO Technologies, Inc.* | 467,279 | ||||||
22,628 | Insight Enterprises, Inc.* | 695,585 | ||||||
12,451 | Littlelfuse, Inc. | 1,157,320 | ||||||
8,361 | Measurement Specialties, Inc.* | 719,631 | ||||||
18,417 | Mercury Computer Systems, Inc.* | 208,849 | ||||||
8,369 | MTS Systems Corp. | 567,083 | ||||||
22,058 | Newport Corp.* | 408,073 | ||||||
10,370 | OSI Systems, Inc.* | 692,198 | ||||||
11,591 | Park Electrochemical Corp. | 326,982 | ||||||
18,746 | Plexus Corp.* | 811,514 | ||||||
15,495 | Rofin-Sinar Technologies, Inc.* | 372,500 | ||||||
10,026 | Rogers Corp.* | 665,225 | ||||||
45,553 | Sanmina Corp.* | 1,037,697 | ||||||
15,761 | ScanSource, Inc.* | 600,179 | ||||||
15,138 | SYNNEX Corp.* | 1,102,803 | ||||||
30,461 | TTM Technologies, Inc.* | 249,780 | ||||||
|
| |||||||
17,049,601 | ||||||||
|
| |||||||
| Energy Equipment & Services (2.2%): |
| ||||||
19,364 | Basic Energy Services, Inc.* | 565,816 | ||||||
19,674 | Bristow Group, Inc. | 1,586,119 | ||||||
10,475 | Era Group, Inc.* | 300,423 | ||||||
32,813 | Exterran Holdings, Inc. | 1,476,257 | ||||||
7,268 | Geospace Technologies Corp.* | 400,321 | ||||||
6,808 | Gulf Island Fabrication, Inc. | 146,508 | ||||||
18,048 | Hornbeck Offshore Services, Inc.* | 846,812 | ||||||
70,934 | ION Geophysical Corp.* | 299,341 | ||||||
14,580 | Matrix Service Co.* | 478,078 | ||||||
46,904 | Newpark Resources, Inc.* | 584,424 | ||||||
10,608 | SEACOR Holdings, Inc.* | 872,508 | ||||||
17,757 | Tesco Corp. | 378,934 | ||||||
43,655 | TETRA Technologies, Inc.* | 514,256 | ||||||
|
| |||||||
8,449,797 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Food & Staples Retailing (0.7%): |
| ||||||
14,687 | Andersons, Inc. (The) | $ | 757,555 | |||||
21,281 | Casey’s General Stores, Inc. | 1,495,842 | ||||||
20,887 | SpartanNash Co. | 438,836 | ||||||
|
| |||||||
2,692,233 | ||||||||
|
| |||||||
| Food Products (2.2%): |
| ||||||
9,425 | Annie’s, Inc.* | 318,754 | ||||||
29,697 | B&G Foods, Inc. | 970,795 | ||||||
7,635 | Calavo Growers, Inc. | 258,292 | ||||||
8,295 | Cal-Maine Foods, Inc. | 616,484 | ||||||
91,014 | Darling International, Inc.* | 1,902,192 | ||||||
12,173 | Diamond Foods, Inc.*^ | 343,279 | ||||||
8,081 | J & J Snack Foods Corp. | 760,584 | ||||||
11,241 | Sanderson Farms, Inc. | 1,092,625 | ||||||
3,974 | Seneca Foods Corp., Class A* | 121,604 | ||||||
27,143 | Snyders-Lance, Inc. | 718,204 | ||||||
20,340 | TreeHouse Foods, Inc.* | 1,628,623 | ||||||
|
| |||||||
8,731,436 | ||||||||
|
| |||||||
| Gas Utilities (1.8%): |
| ||||||
23,112 | Laclede Group, Inc. (The) | 1,122,088 | ||||||
23,304 | New Jersey Resources Corp. | 1,332,057 | ||||||
15,013 | Northwest Natural Gas Co. | 707,863 | ||||||
43,222 | Piedmont Natural Gas Co., Inc.^ | 1,616,935 | ||||||
18,241 | South Jersey Industries, Inc. | 1,101,939 | ||||||
25,719 | Southwest Gas Corp. | 1,357,706 | ||||||
|
| |||||||
7,238,588 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (3.4%): |
| ||||||
11,681 | Abaxis, Inc. | 517,585 | ||||||
19,613 | ABIOMED, Inc.* | 493,071 | ||||||
6,840 | Analogic Corp. | 535,162 | ||||||
6,547 | Anika Therapeutics, Inc.* | 303,323 | ||||||
18,567 | Cantel Medical Corp. | 679,924 | ||||||
15,057 | CONMED Corp. | 664,767 | ||||||
14,093 | CryoLife, Inc. | 126,132 | ||||||
13,360 | Cyberonics, Inc.* | 834,466 | ||||||
10,749 | Cynosure, Inc., Class A* | 228,416 | ||||||
13,764 | Greatbatch, Inc.* | 675,262 | ||||||
28,792 | Haemonetics Corp.* | 1,015,781 | ||||||
7,491 | ICU Medical, Inc.* | 455,528 | ||||||
13,153 | Integra LifeSciences Holdings* | 618,980 | ||||||
16,027 | Invacare Corp. | 294,416 | ||||||
28,547 | Masimo Corp.* | 673,709 | ||||||
22,994 | Meridian Bioscience, Inc. | 474,596 | ||||||
22,599 | Merit Medical Systems, Inc.* | 341,245 | ||||||
16,009 | Natus Medical, Inc.* | 402,466 | ||||||
20,283 | Neogen Corp.* | 820,853 | ||||||
25,776 | NuVasive, Inc.* | 916,852 | ||||||
7,552 | Surmodics, Inc.* | 161,764 | ||||||
20,621 | Symmetry Medical, Inc.* | 182,702 | ||||||
39,083 | West Pharmaceutical Services, Inc. | 1,648,520 | ||||||
|
| |||||||
13,065,520 | ||||||||
|
| |||||||
Health Care Providers & Services (3.4%): | ||||||||
19,490 | Air Methods Corp.* | 1,006,659 | ||||||
4,644 | Almost Family, Inc.* | 102,540 |
Continued
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
18,170 | Amedisys, Inc.* | $ | 304,166 | |||||
25,709 | AMN Healthcare Services, Inc.* | 316,221 | ||||||
22,667 | AmSurg Corp.* | 1,032,935 | ||||||
13,594 | Bio-Reference Laboratories, Inc.*^ | 410,811 | ||||||
31,892 | Centene Corp.* | 2,411,353 | ||||||
9,696 | Chemed Corp.^ | 908,709 | ||||||
6,236 | CorVel Corp.* | 281,742 | ||||||
14,963 | Cross Country Healthcare, Inc.* | 97,559 | ||||||
10,923 | Ensign Group, Inc. (The) | 339,487 | ||||||
16,118 | Gentiva Health Services, Inc.* | 242,737 | ||||||
19,481 | Hanger Orthopedic Group, Inc.* | 612,677 | ||||||
19,525 | Healthways, Inc.* | 342,469 | ||||||
9,511 | IPC The Hospitalist Co.* | 420,576 | ||||||
35,239 | Kindred Healthcare, Inc. | 814,021 | ||||||
5,313 | Landauer, Inc. | 223,146 | ||||||
6,847 | LHC Group, Inc.* | 146,320 | ||||||
15,244 | Magellan Health Services, Inc.* | 948,787 | ||||||
15,868 | Molina Healthcare, Inc.* | 708,189 | ||||||
7,113 | MWI Veterinary Supply, Inc.* | 1,009,975 | ||||||
16,596 | PharMerica Corp.* | 474,480 | ||||||
|
| |||||||
13,155,559 | ||||||||
|
| |||||||
| Health Care Technology (0.7%): |
| ||||||
5,823 | Computer Programs & Systems, Inc. | 370,343 | ||||||
11,409 | HealthStream, Inc.* | 277,239 | ||||||
28,134 | Medidata Solutions, Inc.* | 1,204,416 | ||||||
20,253 | Omnicell, Inc.* | 581,463 | ||||||
24,352 | Quality Systems, Inc. | 390,850 | ||||||
|
| |||||||
2,824,311 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (3.5%): |
| ||||||
812 | Biglari Holdings, Inc.* | 343,452 | ||||||
13,885 | BJ’s Restaurants, Inc.* | 484,725 | ||||||
13,658 | Bob Evans Farms, Inc. | 683,583 | ||||||
41,974 | Boyd Gaming Corp.* | 509,145 | ||||||
10,453 | Buffalo Wild Wings, Inc.* | 1,732,166 | ||||||
13,175 | Cracker Barrel Old Country Store, Inc. | 1,311,834 | ||||||
9,004 | DineEquity, Inc. | 715,728 | ||||||
22,040 | Interval Leisure Group, Inc. | 483,558 | ||||||
22,137 | Jack in the Box, Inc. | 1,324,677 | ||||||
10,042 | Marcus Corp. | 183,267 | ||||||
16,375 | Marriott Vacations Worldwide Corp.* | 960,066 | ||||||
5,398 | Monarch Casino & Resort, Inc.* | 81,726 | ||||||
16,386 | Multimedia Games, Inc.* | 485,681 | ||||||
16,881 | Papa John’s International, Inc. | 715,586 | ||||||
32,510 | Pinnacle Entertainment, Inc.* | 818,602 | ||||||
7,189 | Red Robin Gourmet Burgers* | 511,857 | ||||||
31,908 | Ruby Tuesday, Inc.* | 242,182 | ||||||
19,814 | Ruth’s Hospitality Group, Inc. | 244,703 | ||||||
26,547 | Scientific Games Corp., Class A* | 295,203 | ||||||
27,940 | Sonic Corp.* | 616,915 | ||||||
32,728 | Texas Roadhouse, Inc. | 850,928 | ||||||
|
| |||||||
13,595,584 | ||||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Household Durables (1.5%): |
| ||||||
14,446 | Ethan Allen Interiors, Inc. | $ | 357,394 | |||||
14,868 | Helen of Troy, Ltd.* | 901,447 | ||||||
16,310 | iRobot Corp.*^ | 667,895 | ||||||
28,953 | La-Z-Boy, Inc. | 670,841 | ||||||
13,568 | M/I Homes, Inc.* | 329,295 | ||||||
20,343 | Meritage Corp.* | 858,678 | ||||||
25,950 | Ryland Group, Inc. (The) | 1,023,468 | ||||||
83,351 | Standard Pacific Corp.* | 716,819 | ||||||
8,807 | Universal Electronics, Inc.* | 430,486 | ||||||
|
| |||||||
5,956,323 | ||||||||
|
| |||||||
| Household Products (0.2%): |
| ||||||
23,749 | Central Garden & Pet Co., Class A* | 218,491 | ||||||
7,783 | WD-40 Co. | 585,437 | ||||||
|
| |||||||
803,928 | ||||||||
|
| |||||||
| Industrial Conglomerates (0.1%): |
| ||||||
7,070 | Standex International Corp. | 526,574 | ||||||
|
| |||||||
| Insurance (1.9%): |
| ||||||
10,312 | Amerisafe, Inc. | 419,389 | ||||||
10,529 | eHealth, Inc.* | 399,786 | ||||||
17,367 | Employers Holdings, Inc. | 367,833 | ||||||
5,510 | Hci Group, Inc. | 223,706 | ||||||
22,531 | Horace Mann Educators Corp. | 704,544 | ||||||
6,371 | Infinity Property & Casualty Corp. | 428,322 | ||||||
25,863 | Meadowbrook Insurance Group, Inc. | 185,955 | ||||||
5,909 | Navigators Group, Inc.* | 396,198 | ||||||
32,825 | ProAssurance Corp. | 1,457,431 | ||||||
19,046 | RLI Corp. | 871,927 | ||||||
7,105 | Safety Insurance Group, Inc. | 365,055 | ||||||
31,099 | Selective Insurance Group, Inc. | 768,767 | ||||||
11,610 | Stewart Information Services Corp. | 360,026 | ||||||
11,950 | United Fire Group, Inc. | 350,374 | ||||||
16,095 | Universal Insurance Holdings, Inc. | 208,752 | ||||||
|
| |||||||
7,508,065 | ||||||||
|
| |||||||
| Internet & Catalog Retail (0.2%): |
| ||||||
6,693 | Blue Nile, Inc.* | 187,404 | ||||||
10,498 | FTD Cos., Inc.* | 333,731 | ||||||
15,890 | Nutri/System, Inc. | 271,878 | ||||||
11,177 | PetMed Express, Inc.^ | 150,666 | ||||||
|
| |||||||
943,679 | ||||||||
|
| |||||||
| Internet Software & Services (2.1%): |
| ||||||
23,360 | Blucora, Inc.* | 440,803 | ||||||
17,833 | comScore, Inc.* | 632,715 | ||||||
24,288 | DealerTrack Holdings, Inc.* | 1,101,218 | ||||||
20,589 | Dice Holdings, Inc.* | 156,682 | ||||||
15,304 | Digital River, Inc.* | 236,141 | ||||||
24,722 | j2 Global, Inc. | 1,257,361 | ||||||
14,340 | Liquidity Services, Inc.*^ | 225,998 | ||||||
27,419 | LivePerson, Inc.* | 278,303 | ||||||
12,628 | LogMeIn, Inc.* | 588,717 | ||||||
50,303 | Monster Worldwide, Inc.* | 328,982 | ||||||
33,235 | NIC, Inc. | 526,775 | ||||||
13,007 | OpenTable, Inc.* | 1,347,525 | ||||||
19,129 | Perficient, Inc.* | 372,442 |
Continued
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Internet Software & Services, continued |
| ||||||
15,866 | QuinStreet, Inc.* | $ | 87,422 | |||||
8,152 | Stamps.com, Inc.* | 274,641 | ||||||
13,724 | XO Group, Inc.* | 167,707 | ||||||
|
| |||||||
8,023,432 | ||||||||
|
| |||||||
| IT Services (1.9%): |
| ||||||
12,996 | CACI International, Inc., Class A* | 912,449 | ||||||
24,605 | Cardtronics, Inc.* | 838,538 | ||||||
38,086 | CIBER, Inc.* | 188,145 | ||||||
18,829 | CSG Systems International, Inc. | 491,625 | ||||||
16,995 | Exlservice Holdings, Inc.* | 500,503 | ||||||
6,656 | Forrester Research, Inc. | 252,129 | ||||||
19,811 | Heartland Payment Systems, Inc. | 816,411 | ||||||
17,967 | Higher One Holdings, Inc.* | 68,454 | ||||||
16,247 | iGATE Corp.* | 591,228 | ||||||
13,184 | ManTech International Corp., Class A | 389,192 | ||||||
37,439 | Maximus, Inc. | 1,610,627 | ||||||
10,352 | TeleTech Holdings, Inc.* | 300,104 | ||||||
14,367 | Virtusa Corp.* | 514,339 | ||||||
|
| |||||||
7,473,744 | ||||||||
|
| |||||||
| Leisure Products (0.3%): |
| ||||||
7,127 | Arctic Cat, Inc. | 280,946 | ||||||
42,864 | Callaway Golf Co. | 356,628 | ||||||
10,736 | Sturm, Ruger & Co., Inc.^ | 633,532 | ||||||
|
| |||||||
1,271,106 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (0.8%): |
| ||||||
40,246 | Affymetrix, Inc.* | 358,592 | ||||||
10,577 | Albany Molecular Research, Inc.* | 212,809 | ||||||
16,914 | Cambrex Corp.* | 350,120 | ||||||
20,946 | Luminex Corp.* | 359,224 | ||||||
31,454 | PAREXEL International Corp.* | 1,662,029 | ||||||
|
| |||||||
2,942,774 | ||||||||
|
| |||||||
| Machinery (3.3%): |
| ||||||
39,262 | Actuant Corp., Class A | 1,357,287 | ||||||
15,659 | Albany International Corp., Class A | 594,416 | ||||||
10,395 | Astec Industries, Inc. | 456,133 | ||||||
26,055 | Barnes Group, Inc. | 1,004,160 | ||||||
25,865 | Briggs & Stratton Corp. | 529,198 | ||||||
9,769 | CIRCOR International, Inc. | 753,483 | ||||||
12,568 | EnPro Industries, Inc.* | 919,475 | ||||||
14,691 | ESCO Technologies, Inc. | 508,896 | ||||||
34,742 | Federal Signal Corp. | 508,970 | ||||||
15,164 | John Bean Technologies Corp. | 469,932 | ||||||
7,107 | Lindsay Corp.^ | 600,328 | ||||||
9,422 | Lydall, Inc.* | 257,880 | ||||||
31,369 | Mueller Industries, Inc. | 922,562 | ||||||
10,184 | Tennant Co. | 777,243 | ||||||
29,635 | Titan International, Inc.^ | 498,461 | ||||||
30,779 | Toro Co. | 1,957,543 | ||||||
15,750 | Watts Water Technologies, Inc., Class A | 972,248 | ||||||
|
| |||||||
13,088,215 | ||||||||
|
| |||||||
| Marine (0.2%): |
| ||||||
23,751 | Matson, Inc. | 637,477 | ||||||
|
|
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Media (0.3%): |
| ||||||
16,770 | E.W. Scripps Co. (The), Class A* | $ | 354,853 | |||||
24,352 | Harte-Hanks, Inc. | 175,091 | ||||||
14,431 | Scholastic Corp. | 491,953 | ||||||
12,759 | Sizmek, Inc.* | 121,593 | ||||||
|
| |||||||
1,143,490 | ||||||||
|
| |||||||
| Metals & Mining (2.0%): |
| ||||||
9,447 | A.M. Castle & Co.*^ | 104,295 | ||||||
75,658 | AK Steel Holding Corp.* | 602,238 | ||||||
28,519 | Century Aluminum Co.* | 447,178 | ||||||
35,091 | Globe Specialty Metals, Inc. | 729,191 | ||||||
6,871 | Haynes International, Inc. | 388,830 | ||||||
9,974 | Kaiser Aluminum Corp. | 726,805 | ||||||
11,371 | Materion Corp. | 420,613 | ||||||
5,037 | Olympic Steel, Inc. | 124,666 | ||||||
16,986 | RTI International Metals, Inc.* | 451,658 | ||||||
66,262 | Stillwater Mining Co.* | 1,162,898 | ||||||
38,628 | SunCoke Energy, Inc.* | 830,502 | ||||||
29,730 | US Silica Holdings, Inc. | 1,648,231 | ||||||
|
| |||||||
7,637,105 | ||||||||
|
| |||||||
| Multiline Retail (0.2%): |
| ||||||
18,974 | Fred’s, Inc. | 290,112 | ||||||
20,646 | Tuesday Morning Corp.* | 367,912 | ||||||
|
| |||||||
658,024 | ||||||||
|
| |||||||
| Multi-Utilities (0.6%): |
| ||||||
33,280 | Avista Corp. | 1,115,546 | ||||||
21,646 | NorthWestern Corp. | 1,129,704 | ||||||
|
| |||||||
2,245,250 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (2.8%): |
| ||||||
19,532 | Approach Resources, Inc.*^ | 443,962 | ||||||
117,640 | Arch Coal, Inc.^ | 429,386 | ||||||
25,409 | C&J Energy Services, Inc.* | 858,316 | ||||||
22,894 | Carrizo Oil & Gas, Inc.* | 1,585,639 | ||||||
33,708 | Cloud Peak Energy, Inc.* | 620,901 | ||||||
24,628 | Comstock Resources, Inc. | 710,272 | ||||||
8,585 | Contango Oil & Gas Co.* | 363,231 | ||||||
65,993 | Forest Oil Corp.* | 150,464 | ||||||
17,421 | Green Plains Renewable Energy, Inc. | 572,628 | ||||||
31,042 | Northern Oil & Gas, Inc.*^ | 505,674 | ||||||
19,796 | PDC Energy, Inc.* | 1,250,117 | ||||||
29,403 | Penn Virginia Corp.* | 498,381 | ||||||
31,965 | PetroQuest Energy, Inc.* | 240,377 | ||||||
34,717 | Pioneer Energy Services Corp.* | 608,936 | ||||||
30,647 | Stone Energy Corp.* | 1,433,974 | ||||||
24,202 | Swift Energy Co.*^ | 314,142 | ||||||
35,731 | Synergy Resources Corp.* | 473,436 | ||||||
|
| |||||||
11,059,836 | ||||||||
|
| |||||||
| Paper & Forest Products (1.3%): |
| ||||||
17,443 | Boise Cascade Co.* | 499,568 | ||||||
11,289 | Clearwater Paper Corp.* | 696,757 | ||||||
6,191 | Deltic Timber Corp. | 374,060 | ||||||
44,542 | KapStone Paper & Packaging Corp.* | 1,475,677 | ||||||
9,163 | Neenah Paper, Inc. | 487,013 |
Continued
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Paper & Forest Products, continued |
| ||||||
23,827 | P.H. Glatfelter Co. | $ | 632,130 | |||||
16,851 | Schweitzer-Mauduit International, Inc. | 735,715 | ||||||
27,593 | Wausau Paper Corp. | 298,556 | ||||||
|
| |||||||
5,199,476 | ||||||||
|
| |||||||
| Personal Products (0.4%): |
| ||||||
9,440 | Inter Parfums, Inc. | 278,952 | ||||||
6,676 | Medifast, Inc.* | 203,017 | ||||||
28,683 | Prestige Brands Holdings, Inc.* | 972,067 | ||||||
|
| |||||||
1,454,036 | ||||||||
|
| |||||||
| Pharmaceuticals (1.9%): |
| ||||||
39,660 | Akorn, Inc.*^ | 1,318,695 | ||||||
36,037 | Impax Laboratories, Inc.* | 1,080,750 | ||||||
15,545 | Lannett Co., Inc.* | 771,343 | ||||||
35,959 | Medicines Co. (The)* | 1,044,969 | ||||||
31,022 | Questcor Pharmaceuticals, Inc.^ | 2,869,224 | ||||||
11,907 | Sagent Pharmaceuticals, Inc.* | 307,915 | ||||||
|
| |||||||
7,392,896 | ||||||||
|
| |||||||
| Professional Services (1.4%): |
| ||||||
8,054 | CDI Corp. | 116,058 | ||||||
7,250 | Exponent, Inc. | 537,298 | ||||||
8,914 | Heidrick & Struggles International, Inc. | 164,909 | ||||||
12,577 | Insperity, Inc. | 415,041 | ||||||
15,147 | Kelly Services, Inc., Class A | 260,074 | ||||||
27,470 | Korn/Ferry International* | 806,794 | ||||||
27,196 | Navigant Consulting, Inc.* | 474,570 | ||||||
25,843 | On Assignment, Inc.* | 919,235 | ||||||
21,472 | Resources Connection, Inc. | 281,498 | ||||||
22,815 | Trueblue, Inc.* | 629,010 | ||||||
16,701 | Wageworks, Inc.* | 805,155 | ||||||
|
| |||||||
5,409,642 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (7.4%): |
| ||||||
31,738 | Acadia Realty Trust | 891,520 | ||||||
8,239 | Agree Realty Corp. | 249,065 | ||||||
18,272 | American Assets Trust, Inc. | 631,298 | ||||||
31,846 | Associated Estates Realty Corp. | 573,865 | ||||||
50,297 | Capstead Mortgage Corp.^ | 661,406 | ||||||
10,923 | CareTrust REIT, Inc.* | 216,275 | ||||||
37,504 | Cedar Shopping Centers, Inc. | 234,400 | ||||||
27,664 | Chesapeake Lodging Trust | 836,283 | ||||||
11,969 | Coresite Realty Corp. | 395,815 | ||||||
102,061 | Cousins Properties, Inc. | 1,270,659 | ||||||
108,223 | DiamondRock Hospitality, Co. | 1,387,419 | ||||||
17,312 | EastGroup Properties, Inc. | 1,111,950 | ||||||
29,559 | EPR Properties | 1,651,460 | ||||||
48,223 | Franklin Street Properties Corp. | 606,645 | ||||||
40,135 | Geo Group, Inc. (The) | 1,434,024 | ||||||
14,741 | Getty Realty Corp. | 281,258 | ||||||
29,219 | Government Properties Income Trust | 741,870 | ||||||
53,115 | Healthcare Realty Trust, Inc. | 1,350,183 | ||||||
46,378 | Inland Real Estate Corp. | 492,998 | ||||||
72,911 | Kite Realty Group Trust | 447,674 | ||||||
113,376 | Lexington Realty Trust^ | 1,248,270 | ||||||
19,230 | LTC Properties, Inc. | 750,739 |
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Real Estate Investment Trusts (REITs), continued |
| ||||||
95,374 | Medical Properties Trust, Inc. | $ | 1,262,752 | |||||
39,941 | Parkway Properties, Inc. | 824,782 | ||||||
38,029 | Pennsylvania Real Estate Investment Trust | 715,706 | ||||||
30,052 | Post Properties, Inc. | 1,606,580 | ||||||
11,158 | PS Business Parks, Inc. | 931,581 | ||||||
48,339 | Retail Opportunity Investments Corp. | 760,372 | ||||||
26,146 | Sabra Health Care REIT, Inc. | 750,652 | ||||||
7,070 | Saul Centers, Inc. | 343,602 | ||||||
18,217 | Sovran Self Storage, Inc. | 1,407,263 | ||||||
53,005 | Tanger Factory Outlet Centers, Inc. | 1,853,584 | ||||||
6,520 | Universal Health Realty Income Trust | 283,490 | ||||||
13,353 | Urstadt Biddle Properties, Inc., Class A | 278,811 | ||||||
|
| |||||||
28,484,251 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.1%): |
| ||||||
19,231 | Forestar Group, Inc.* | 367,120 | ||||||
|
| |||||||
| Road & Rail (0.8%): |
| ||||||
13,520 | ArcBest Corp. | 588,255 | ||||||
27,642 | Heartland Express, Inc. | 589,880 | ||||||
33,530 | Knight Transportation, Inc. | 797,009 | ||||||
14,053 | Roadrunner Transportation System, Inc.* | 394,889 | ||||||
13,645 | Saia, Inc.* | 599,425 | ||||||
|
| |||||||
2,969,458 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (4.0%): |
| ||||||
20,881 | Advanced Energy Industries, Inc.* | 401,959 | ||||||
36,976 | Brooks Automation, Inc. | 398,232 | ||||||
13,330 | Cabot Microelectronics Corp.* | 595,185 | ||||||
11,595 | CEVA, Inc.* | 171,258 | ||||||
34,290 | Cirrus Logic, Inc.* | 779,755 | ||||||
13,078 | Cohu, Inc. | 139,935 | ||||||
20,158 | Diodes, Inc.* | 583,776 | ||||||
12,230 | DSP Group, Inc.* | 103,833 | ||||||
49,092 | Entropic Communications, Inc.* | 163,476 | ||||||
26,200 | Exar Corp.* | 296,060 | ||||||
75,432 | GT Advanced Technologies, Inc.*^ | 1,403,035 | ||||||
17,351 | Hittite Microwave Corp. | 1,352,510 | ||||||
33,516 | Kopin Corp.* | 109,262 | ||||||
42,442 | Kulicke & Soffa Industries, Inc.* | 605,223 | ||||||
25,013 | Micrel, Inc. | 282,147 | ||||||
52,522 | Microsemi Corp.* | 1,405,488 | ||||||
29,612 | MKS Instruments, Inc. | 925,079 | ||||||
19,449 | Monolithic Power Systems, Inc. | 823,665 | ||||||
12,568 | Nanometrics, Inc.* | 229,366 | ||||||
11,143 | Pericom Semiconductor Corp.* | 100,733 | ||||||
16,825 | Power Integrations, Inc. | 968,111 | ||||||
12,913 | Rubicon Technology, Inc.* | 112,989 | ||||||
18,448 | Rudolph Technologies, Inc.* | 182,266 | ||||||
26,621 | Tessera Technologies, Inc. | 587,792 | ||||||
94,731 | TriQuint Semiconductor, Inc.* | 1,497,696 | ||||||
15,518 | Ultratech, Inc.* | 344,189 | ||||||
22,150 | Veeco Instruments, Inc.* | 825,309 | ||||||
|
| |||||||
15,388,329 | ||||||||
|
|
Continued
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Software (2.7%): |
| ||||||
25,544 | Blackbaud, Inc. | $ | 912,943 | |||||
20,808 | Bottomline Technologies, Inc.* | 622,575 | ||||||
17,854 | Ebix, Inc.^ | 255,491 | ||||||
17,068 | EPIQ Systems, Inc. | 239,805 | ||||||
8,986 | Interactive Intelligence Group* | 504,384 | ||||||
41,901 | Manhattan Associates, Inc.* | 1,442,651 | ||||||
5,002 | MicroStrategy, Inc., Class A* | 703,381 | ||||||
21,867 | Monotype Imaging Holdings, Inc. | 615,993 | ||||||
20,408 | NetScout Systems, Inc.* | 904,891 | ||||||
28,381 | Progress Software Corp.* | 682,279 | ||||||
17,086 | Synchronoss Technologies, Inc.* | 597,327 | ||||||
52,003 | Take-Two Interactive Software, Inc.* | 1,156,547 | ||||||
19,061 | Tangoe, Inc.* | 287,059 | ||||||
16,065 | Tyler Technologies, Inc.* | 1,465,289 | ||||||
16,259 | VASCO Data Security International, Inc.* | 188,604 | ||||||
|
| |||||||
10,579,219 | ||||||||
|
| |||||||
| Specialty Retail (4.1%): |
| ||||||
43,280 | Aeropostale, Inc.*^ | 151,047 | ||||||
20,592 | Barnes & Noble, Inc.* | 469,292 | ||||||
9,859 | Big 5 Sporting Goods Corp. | 120,970 | ||||||
22,947 | Brown Shoe Co., Inc. | 656,514 | ||||||
15,545 | Buckle, Inc. (The)^ | 689,576 | ||||||
14,252 | Cato Corp. | 440,387 | ||||||
12,071 | Children’s Place Retail Stores, Inc. (The) | 599,084 | ||||||
20,151 | Christopher & Banks Corp.* | 176,523 | ||||||
26,674 | Finish Line, Inc. (The), Class A | 793,285 | ||||||
23,366 | Francesca’s Holdings Corp.* | 344,415 | ||||||
13,266 | Genesco, Inc.* | 1,089,536 | ||||||
11,651 | Group 1 Automotive, Inc. | 982,295 | ||||||
11,050 | Haverty Furniture Co., Inc. | 277,687 | ||||||
14,156 | Hibbett Sports, Inc.* | 766,831 | ||||||
8,301 | Kirkland’s, Inc.* | 153,984 | ||||||
12,569 | Lithia Motors, Inc., Class A | 1,182,365 | ||||||
15,170 | Lumber Liquidators Holdings, Inc.*^ | 1,152,161 | ||||||
13,732 | MarineMax, Inc.* | 229,874 | ||||||
25,202 | Men’s Wearhouse, Inc. (The) | 1,406,271 | ||||||
16,558 | Monro Muffler Brake, Inc. | 880,719 | ||||||
29,480 | Pep Boys – Manny, Moe & Jack* | 337,841 | ||||||
29,999 | Select Comfort Corp.* | 619,779 | ||||||
18,904 | Sonic Automotive, Inc., Class A | 504,359 | ||||||
17,559 | Stage Store, Inc. | 328,178 | ||||||
15,677 | Stein Mart, Inc. | 217,754 | ||||||
17,025 | Vitamin Shoppe, Inc.* | 732,416 | ||||||
11,718 | Zumiez, Inc.* | 323,300 | ||||||
|
| |||||||
15,626,443 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (1.0%): |
| ||||||
25,753 | Electronics for Imaging, Inc.* | 1,164,036 | ||||||
13,349 | Intevac, Inc.* | 106,925 | ||||||
48,330 | QLogic Corp.* | 487,650 | ||||||
18,896 | Super Micro Computer, Inc.* | 477,502 | ||||||
19,922 | Synaptics, Inc.*^ | 1,805,730 | ||||||
|
| |||||||
4,041,843 | ||||||||
|
|
Shares or Principal Amount | Fair Value | |||||||
Common Stocks, continued | ||||||||
| Textiles, Apparel & Luxury Goods (1.9%): |
| ||||||
48,389 | Crocs, Inc.* | $ | 727,287 | |||||
9,870 | G-III Apparel Group, Ltd.* | 805,984 | ||||||
26,930 | Iconix Brand Group, Inc.* | 1,156,374 | ||||||
9,940 | Movado Group, Inc. | 414,200 | ||||||
8,021 | Oxford Industries, Inc. | 534,760 | ||||||
6,858 | Perry Ellis International, Inc.* | 119,604 | ||||||
71,625 | Quiksilver Resources, Inc.* | 256,418 | ||||||
21,803 | Skechers U.S.A., Inc., Class A* | 996,397 | ||||||
31,857 | Steven Madden, Ltd.* | 1,092,695 | ||||||
56,092 | Wolverine World Wide, Inc. | 1,461,757 | ||||||
|
| |||||||
7,565,476 | ||||||||
|
| |||||||
| Thrifts & Mortgage Finance (0.8%) |
| ||||||
23,882 | Bank Mutual Corp. | 138,516 | ||||||
6,834 | Bofi Holding, Inc.* | 502,094 | ||||||
39,062 | Brookline Bancorp, Inc. | 366,011 | ||||||
16,322 | Dime Community Bancshares | 257,724 | ||||||
52,360 | Northwest Bancshares, Inc. | 710,525 | ||||||
21,825 | Oritani Financial Corp. | 335,887 | ||||||
29,702 | Provident Financial Services, Inc. | 514,439 | ||||||
52,452 | TrustCo Bank Corp. | 350,379 | ||||||
|
| |||||||
3,175,575 | ||||||||
|
| |||||||
| Tobacco (0.0%): |
| ||||||
45,443 | Alliance One International, Inc.* | 113,608 | ||||||
|
| |||||||
| Trading Companies & Distributors (0.7%): |
| ||||||
14,953 | Aceto Corp. | 271,247 | ||||||
23,096 | Applied Industrial Technologies, Inc. | 1,171,661 | ||||||
5,885 | Dxp Enterprises, Inc.* | 444,553 | ||||||
15,151 | Kaman Corp., Class A | 647,402 | ||||||
|
| |||||||
2,534,863 | ||||||||
|
| |||||||
| Water Utilities (0.2%): |
| ||||||
21,493 | American States Water Co. | 714,212 | ||||||
|
| |||||||
| Wireless Telecommunication Services (0.1%): |
| ||||||
8,445 | NTELOS Holdings Corp.^ | 105,225 | ||||||
11,973 | USA Mobility, Inc. | 184,384 | ||||||
|
| |||||||
289,609 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $251,124,078) | 382,030,454 | ||||||
|
| |||||||
| Right (0.0%): |
| ||||||
| Electronic Equipment, Instruments & Components (0.0%): |
| ||||||
10,537 | Gerber Scientific, Inc.* | — | ||||||
|
| |||||||
| Total Right (Cost $—) | — | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (4.0%): |
| ||||||
$ | 15,655,081 | Allianz Variable Insurance Products Securities Lending Collateral Trust(a) | 15,655,081 | |||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 15,655,081 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.0%): |
| ||||||
3,701,888 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b) | 3,701,888 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company | 3,701,888 | ||||||
|
| |||||||
| Total Investment Securities (Cost $270,481,047)(c) — 103.4% | 401,387,423 | ||||||
| Net other assets (liabilities) — (3.4)% | (13,076,388 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 388,311,035 | |||||
|
|
Continued
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2014.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $15,404,217. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(b) | The rate represents the effective yield at June 30, 2014. |
(c) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as ”—” are either $0 or round to less than $1.
Futures Contracts
Cash of $231,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2014:
Description | Type | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Russell 2000 Mini Index September Futures | Long | 9/19/14 | 57 | $ | 6,784,710 | $ | 108,602 |
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 270,481,047 | |||
|
| ||||
Investment securities, at value* | $ | 401,387,423 | |||
Cash | 732,745 | ||||
Segregated cash for collateral | 231,000 | ||||
Interest and dividends receivable | 381,310 | ||||
Receivable for investments sold | 4,076,680 | ||||
Receivable for variation margin on futures contracts | 36,175 | ||||
Prepaid expenses | 1,710 | ||||
|
| ||||
Total Assets | 406,847,043 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 2,349,194 | ||||
Payable for capital shares redeemed | 280,880 | ||||
Payable for collateral received on loaned securities | 15,655,081 | ||||
Manager fees payable | 81,813 | ||||
Administration fees payable | 13,328 | ||||
Distribution fees payable | 78,666 | ||||
Custodian fees payable | 8,036 | ||||
Administrative and compliance services fees payable | 993 | ||||
Trustee fees payable | 2,122 | ||||
Other accrued liabilities | 65,895 | ||||
|
| ||||
Total Liabilities | 18,536,008 | ||||
|
| ||||
Net Assets | $ | 388,311,035 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 225,942,901 | |||
Accumulated net investment income/(loss) | 3,895,104 | ||||
Accumulated net realized gains/(losses) from investment transactions | 27,458,052 | ||||
Net unrealized appreciation/(depreciation) on investments | 131,014,978 | ||||
|
| ||||
Net Assets | $ | 388,311,035 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 24,098,894 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.11 | |||
|
|
* | Includes securities on loan of $15,404,217. |
For the Six Months Ended June 30, 2014
(Unaudited)
Investment Income: | |||||
Dividends | $ | 2,568,430 | |||
Income from securities lending | 122,109 | ||||
Foreign withholding tax | (132 | ) | |||
|
| ||||
Total Investment Income | 2,690,407 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 485,965 | ||||
Administration fees | 53,862 | ||||
Distribution fees | 467,272 | ||||
Custodian fees | 12,719 | ||||
Administrative and compliance services fees | 3,055 | ||||
Trustee fees | 9,587 | ||||
Professional fees | 9,219 | ||||
Shareholder reports | 12,387 | ||||
Other expenses | 41,272 | ||||
|
| ||||
Total expenses | 1,095,338 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,595,069 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 14,816,068 | ||||
Net realized gains/(losses) on futures contracts | 371,988 | ||||
Change in net unrealized appreciation/depreciation on investments | (5,514,733 | ) | |||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 9,673,323 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 11,268,392 | |||
|
|
See accompanying notes to the financial statements.
10
Statements of Changes in Net Assets
AZL Small Cap Stock Index Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,595,069 | $ | 2,300,037 | ||||||
Net realized gains/(losses) on investment transactions | 15,188,056 | 21,520,628 | ||||||||
Change in unrealized appreciation/depreciation on investments | (5,514,733 | ) | 85,642,048 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 11,268,392 | 109,462,713 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (3,162,887 | ) | |||||||
From net realized gains | — | (4,536,872 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (7,699,759 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 21,092,650 | 47,168,227 | ||||||||
Proceeds from dividends reinvested | — | 7,699,759 | ||||||||
Value of shares redeemed | (27,202,207 | ) | (40,531,433 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (6,109,557 | ) | 14,336,553 | |||||||
|
|
|
| |||||||
Change in net assets | 5,158,835 | 116,099,507 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 383,152,200 | 267,052,693 | ||||||||
|
|
|
| |||||||
End of period | $ | 388,311,035 | $ | 383,152,200 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 3,895,104 | $ | 2,300,035 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 1,380,708 | 3,497,435 | ||||||||
Dividends reinvested | — | 554,338 | ||||||||
Shares redeemed | (1,760,895 | ) | (3,016,965 | ) | ||||||
|
|
|
| |||||||
Change in shares | (380,187 | ) | 1,034,808 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
11
AZL Small Cap Stock Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.65 | $ | 11.39 | $ | 9.87 | $ | 9.90 | $ | 7.94 | $ | 6.36 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | 0.09 | 0.13 | 0.05 | 0.07 | 0.04 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.39 | 4.50 | 1.43 | (0.03 | ) | 1.94 | 1.54 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 0.46 | 4.59 | 1.56 | 0.02 | 2.01 | 1.58 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.19 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.33 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.11 | $ | 15.65 | $ | 11.39 | $ | 9.87 | $ | 9.90 | $ | 7.94 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 2.94 | %(b) | 40.62 | % | 15.82 | % | 0.29 | % | 25.49 | % | 24.84 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 388,311 | $ | 383,152 | $ | 267,053 | $ | 203,895 | $ | 199,967 | $ | 193,665 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.85 | % | 0.71 | % | 1.33 | % | 0.46 | % | 0.62 | % | 0.68 | % | ||||||||||||||||||
Expenses Before Reductions(c) (d) | 0.59 | % | 0.59 | % | 0.61 | % | 0.63 | % | 0.65 | % | 0.67 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 0.59 | % | 0.59 | % | 0.61 | % | 0.62 | % | 0.58 | % | 0.58 | % | ||||||||||||||||||
Portfolio Turnover Rate | 7 | %(b) | 17 | % | 10 | % | 21 | % | 24 | % | 25 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
12
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Small Cap Stock Index Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
13
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $16.7 million for the period ended June 30, 2014. Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $12,035 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2014, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $6.8 million as of June 30, 2014. The monthly average notional amount for these contracts was $5.8 million for the period ended June 30, 2014. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value* | Statement of Assets and Liabilities Location | Total Fair Value* | ||||||||
Equity Contracts | Receivable for variation margin on futures contracts | $ | 108,602 | Payable for variation margin on futures contracts | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts. |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the period ended June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/(Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/ depreciation on investments | $ | 371,988 | $ | (179,539 | ) |
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager.
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Small Cap Stock Index Fund | 0.26 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2014, the contractual reimbursements that are subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2014 | Total | |||||||||
AZL Small Cap Stock Index Fund | $ | 30,975 | $ | 30,975 |
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $2,208 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 382,030,454 | $ | — | $ | 382,030,454 | |||||||||
Right | — | — | ^ | — | ^ | ||||||||||
Securities Held as Collateral for Securities on Loan | — | 15,655,081 | 15,655,081 | ||||||||||||
Unaffiliated Investment Company | 3,701,888 | — | 3,701,888 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | 385,732,342 | 15,655,081 | 401,387,423 | ||||||||||||
|
|
|
|
|
| ||||||||||
Other Financial Instruments:* | |||||||||||||||
Futures Contracts | 108,602 | — | 108,602 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investments | $ | 385,840,944 | $ | 15,655,081 | $ | 401,496,025 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment. |
^ | Represents the interest in securities that were determined to have a value of zero at June 30, 2014. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Small Cap Stock Index Fund | $ | 27,911,177 | $ | 31,049,305 |
6. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $278,438,764. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 138,093,722 | ||
Unrealized depreciation | (15,145,063 | ) | ||
|
| |||
Net unrealized appreciation depreciation | $ | 122,948,659 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term Capital Gains | Total Distributions(a) | |||||||||||||
AZL Small Cap Stock Index Fund | $ | 3,162,887 | $ | 4,536,872 | $ | 7,699,759 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Small Cap Stock Index Fund | $ | 4,434,556 | $ | 19,213,062 | $ | — | $ | 127,452,124 | $ | 151,099,742 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® T. Rowe Price Capital Appreciation Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 9 |
Page 9 |
Statements of Changes in Net Assets Page 10 |
Page 11 |
Notes to the Financial Statements Page 12 |
Page 18 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL T. Rowe Price Capital Appreciation Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,067.60 | $ | 5.18 | 1.01 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 1/1/14 - 6/30/14* | Annualized Expense Ratio During Period 1/1/14 - 6/30/14 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
Portfolio Composition
(Unaudited)
Investments | Percent of net assets | ||||
Common Stocks and Preferred Stocks | 60.3 | % | |||
Corporate Bonds | 14.1 | ||||
Money Market | 10.2 | ||||
U.S. Treasury Obligations | 7.1 | ||||
Floating Rate Loans | 3.6 | ||||
Yankee Dollars | 3.2 | ||||
Convertible Bonds | 1.4 | ||||
Securities Held as Collateral for Securities on Loan | 0.2 | ||||
Foreign Bonds | 0.2 | ||||
|
| ||||
Total Investment Securities | 100.3 | ||||
Net other assets (liabilities) | (0.3 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (60.3%): |
| ||||||
| Aerospace & Defense (3.5%): |
| ||||||
43,700 | Boeing Co. (The) | $ | 5,559,951 | |||||
145,700 | United Technologies Corp. | 16,821,065 | ||||||
|
| |||||||
22,381,016 | ||||||||
|
| |||||||
| Auto Components (2.3%): |
| ||||||
67,300 | Delphi Automotive plc | 4,626,202 | ||||||
103,400 | Johnson Controls, Inc. | 5,162,762 | ||||||
55,500 | TRW Automotive Holdings Corp.* | 4,968,360 | ||||||
|
| |||||||
14,757,324 | ||||||||
|
| |||||||
| Banks (2.3%): |
| ||||||
75,300 | Bank of America Corp. | 1,157,361 | ||||||
172,600 | JPMorgan Chase & Co. | 9,945,212 | ||||||
38,000 | PNC Financial Services Group, Inc. | 3,383,900 | ||||||
|
| |||||||
14,486,473 | ||||||||
|
| |||||||
| Beverages (1.2%): |
| ||||||
86,400 | PepsiCo, Inc. | 7,718,976 | ||||||
|
| |||||||
| Capital Markets (4.7%): |
| ||||||
180,600 | Invesco, Ltd. | 6,817,650 | ||||||
167,100 | State Street Corp. | 11,239,147 | ||||||
354,600 | TD Ameritrade Holding Corp. | 11,116,710 | ||||||
|
| |||||||
29,173,507 | ||||||||
|
| |||||||
| Chemicals (0.4%): |
| ||||||
24,100 | Cytec Industries, Inc. | 2,540,622 | ||||||
|
| |||||||
| Commercial Services & Supplies (1.4%): |
| ||||||
82,900 | Iron Mountain, Inc. | 2,938,805 | ||||||
120,900 | Tyco International, Ltd. | 5,513,040 | ||||||
|
| |||||||
8,451,845 | ||||||||
|
| |||||||
| Electric Utilities (0.1%): |
| ||||||
7,300 | Entergy Corp. | 599,257 | ||||||
|
| |||||||
| Electrical Equipment (0.6%): |
| ||||||
25,100 | Roper Industries, Inc. | 3,664,851 | ||||||
|
| |||||||
| Electronic Equipment, Instruments & Components (0.2%): |
| ||||||
23,600 | TE Connectivity, Ltd. | 1,459,424 | ||||||
|
| |||||||
| Food & Staples Retailing (0.5%): |
| ||||||
45,400 | CVS Caremark Corp. | 3,421,798 | ||||||
|
| |||||||
| Food Products (1.1%): |
| ||||||
25,400 | General Mills, Inc. | 1,334,516 | ||||||
154,600 | Mondelez International, Inc., Class A | 5,814,506 | ||||||
|
| |||||||
7,149,022 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (0.4%): |
| ||||||
58,200 | Abbott Laboratories | 2,380,380 | ||||||
5,000 | DENTSPLY International, Inc. | 236,750 | ||||||
|
| |||||||
2,617,130 | ||||||||
|
| |||||||
| Health Care Providers & Services (3.5%): |
| ||||||
61,900 | DaVita, Inc.* | 4,476,608 | ||||||
22,200 | Henry Schein, Inc.* | 2,634,474 | ||||||
7,400 | Humana, Inc. | 945,128 | ||||||
177,700 | UnitedHealth Group, Inc. | 14,526,975 | ||||||
|
| |||||||
22,583,185 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Household Products (0.6%): |
| ||||||
45,300 | Procter & Gamble Co. (The) | $ | 3,560,127 | |||||
|
| |||||||
| Industrial Conglomerates (3.5%): |
| ||||||
283,500 | Danaher Corp. | 22,319,955 | ||||||
|
| |||||||
| Insurance (3.2%): |
| ||||||
296,200 | Marsh & McLennan Cos., Inc. | 15,349,084 | ||||||
151,036 | XL Group plc, Class B | 4,943,408 | ||||||
|
| |||||||
20,292,492 | ||||||||
|
| |||||||
| Internet Software & Services (0.9%): |
| ||||||
5,100 | Google, Inc., Class C* | 2,933,928 | ||||||
5,100 | Google, Inc., Class A* | 2,981,817 | ||||||
|
| |||||||
5,915,745 | ||||||||
|
| |||||||
| IT Services (3.2%): |
| ||||||
24,400 | Fidelity National Information Services, Inc. | 1,335,656 | ||||||
230,300 | Fiserv, Inc.* | 13,891,696 | ||||||
25,000 | Visa, Inc., Class A | 5,267,750 | ||||||
|
| |||||||
20,495,102 | ||||||||
|
| |||||||
| Life Sciences Tools & Services (2.4%): |
| ||||||
37,200 | Agilent Technologies, Inc. | 2,136,768 | ||||||
113,500 | Thermo Fisher Scientific, Inc. | 13,393,000 | ||||||
|
| |||||||
15,529,768 | ||||||||
|
| |||||||
| Media (1.9%): |
| ||||||
27,300 | Liberty Global plc, Class A* | 1,207,206 | ||||||
74,100 | Liberty Global plc, Series C* | 3,135,171 | ||||||
161,100 | Twenty-First Century Fox, Inc., Class B | 5,514,453 | ||||||
24,500 | Viacom, Inc., Class B | 2,124,885 | ||||||
|
| |||||||
11,981,715 | ||||||||
|
| |||||||
| Multiline Retail (0.6%): |
| ||||||
68,600 | Dollar Tree, Inc.* | 3,735,956 | ||||||
|
| |||||||
| Multi-Utilities (4.0%): |
| ||||||
264,300 | PG&E Corp. | 12,691,686 | ||||||
396,400 | Xcel Energy, Inc. | 12,775,972 | ||||||
|
| |||||||
25,467,658 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (3.1%): |
| ||||||
12,400 | Anadarko Petroleum Corp. | 1,357,428 | ||||||
54,200 | Apache Corp. | 5,453,604 | ||||||
32,100 | Canadian Natural Resources, Ltd. | 1,473,711 | ||||||
83,000 | Chesapeake Energy Corp. | 2,579,640 | ||||||
20,800 | Concho Resources, Inc.* | 3,005,600 | ||||||
12,400 | Pioneer Natural Resources Co. | 2,849,644 | ||||||
35,373 | Range Resources Corp. | 3,075,682 | ||||||
|
| |||||||
19,795,309 | ||||||||
|
| |||||||
| Paper & Forest Products (0.0%): |
| ||||||
488,000 | Sino-Forest Corp.*(a)(b) | — | ||||||
|
| |||||||
| Personal Products (0.1%): |
| ||||||
46,500 | Avon Products, Inc. | 679,365 | ||||||
|
|
Continued
2
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Pharmaceuticals (4.5%): |
| ||||||
67,600 | Allergan, Inc. | $ | 11,439,272 | |||||
40,200 | Perrigo Co. plc | 5,859,552 | ||||||
170,000 | Pfizer, Inc. | 5,045,600 | ||||||
198,300 | Zoetis, Inc. | 6,399,141 | ||||||
|
| |||||||
28,743,565 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.5%): |
| ||||||
107,400 | American Tower Corp. | 9,663,852 | ||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.7%): |
| ||||||
43,900 | Nxp Semiconductors NV* | 2,905,302 | ||||||
165,000 | Texas Instruments, Inc. | 7,885,350 | ||||||
|
| |||||||
10,790,652 | ||||||||
|
| |||||||
| Specialty Retail (3.5%): |
| ||||||
25,300 | AutoZone, Inc.* | 13,566,872 | ||||||
102,300 | Lowe’s Cos., Inc. | 4,909,377 | ||||||
26,900 | O’Reilly Automotive, Inc.* | 4,051,140 | ||||||
|
| |||||||
22,527,389 | ||||||||
|
| |||||||
| Technology Hardware, Storage & Peripherals (0.6%): |
| ||||||
15,700 | Apple, Inc. | 1,459,001 | ||||||
19,200 | Seagate Technology plc | 1,090,944 | ||||||
9,700 | Western Digital Corp. | 895,310 | ||||||
|
| |||||||
3,445,255 | ||||||||
|
| |||||||
| Tobacco (1.0%): |
| ||||||
76,200 | Philip Morris International, Inc. | 6,424,422 | ||||||
|
| |||||||
| Wireless Telecommunication Services (1.8%): |
| ||||||
95,200 | Crown Castle International Corp. | 7,069,552 | ||||||
44,000 | SBA Communications Corp., Class A* | 4,501,200 | ||||||
|
| |||||||
11,570,752 | ||||||||
|
| |||||||
| Total Common Stocks (Cost $340,521,726) | 383,943,509 | ||||||
|
| |||||||
| Preferred Stocks (0.0%): |
| ||||||
| Banks (0.0%): |
| ||||||
9,874 | U.S. Bancorp, Series F, Preferred Shares ^ | 279,039 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (0.0%): |
| ||||||
92 | Chesapeake Energy Corp. | 8,970 | ||||||
|
| |||||||
| Total Preferred Stocks (Cost $273,418) | 288,009 | ||||||
|
| |||||||
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Convertible Bonds (1.4%): |
| ||||||
| Airlines (0.1%): |
| ||||||
$ | 365,000 | United Airlines, Inc., 4.50%, 1/15/15 | 800,491 | |||||
|
| |||||||
| Diversified Telecommunication Services (1.3%): |
| ||||||
8,000,000 | Intelsat Jackson Holding SA, 3.75%, 6/30/19(c) | 8,006,640 | ||||||
|
| |||||||
| Total Convertible Bonds (Cost $8,856,166) | 8,807,131 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Floating Rate Loans (3.6%): |
| ||||||
| Banks (0.2%): |
| ||||||
$ | 746,231 | Pinnacle Foods Finance LLC, 3.25%, 4/29/20(c) | $ | 741,798 | ||||
497,500 | Pinnacle Foods Finance LLC, 3.25%, 4/29/20(c) | 494,545 | ||||||
|
| |||||||
1,236,343 | ||||||||
|
| |||||||
| Chemicals (0.1%): |
| ||||||
544,885 | Kronos, Inc., 4.50%, 10/30/19(c) | 548,699 | ||||||
|
| |||||||
| Diversified Financial Services (0.8%): |
| ||||||
5,000,000 | UPC Financing Partnership, 3.25%, 6/30/21(c) | 4,960,650 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.3%): |
| ||||||
1,989,950 | Telesat Canada, 3.50%, 3/28/19(c) | 1,984,358 | ||||||
|
| |||||||
| Electric Utilities (0.1%): |
| ||||||
450,000 | Texas Competitive Electric Holdings Co. LLC, 0.00%, 5/5/16(c) | 451,125 | ||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
750,000 | Rite Aid Corp., 3.50%, 2/21/20(c) | 748,748 | ||||||
|
| |||||||
| Food Products (1.7%): |
| ||||||
10,696,115 | H.J. Heinz Co., 3.50%, 6/5/20(c) | 10,771,416 | ||||||
|
| |||||||
| Hotels, Restaurants & Leisure (0.3%): |
| ||||||
933,333 | Hilton Worldwide Finance LLC, 3.50%, 10/25/20(c) | 931,392 | ||||||
994,987 | Wendy’s International LLC, 3.25%, 5/15/19(c) | 995,764 | ||||||
|
| |||||||
1,927,156 | ||||||||
|
| |||||||
| Total Floating Rate Loans (Cost $22,713,988) | 22,628,495 | ||||||
|
| |||||||
| Corporate Bonds (14.1%): |
| ||||||
| Airlines (0.1%): |
| ||||||
604,743 | U.S. Airways 2010-1A PTT, Series A, 6.25%, 10/22/24 | 684,872 | ||||||
|
| |||||||
| Auto Components (0.5%): |
| ||||||
950,000 | Delphi Corp., 6.13%, 5/15/21, Callable 5/15/16 @ 103.06 | 1,061,720 | ||||||
2,000,000 | Delphi Corp., 5.00%, 2/15/23, Callable 2/15/18 @ 102.5 | 2,150,000 | ||||||
250,000 | TRW Automotive, Inc., 4.50%, 3/1/21(d) | 263,750 | ||||||
|
| |||||||
3,475,470 | ||||||||
|
| |||||||
| Beverages (0.2%): |
| ||||||
650,000 | SABMiller Holdings, Inc., 2.20%, 8/1/18(d) | 656,859 | ||||||
750,000 | SABMiller Holdings, Inc., 0.92%, 8/1/18 (c)(d) | 754,231 | ||||||
|
| |||||||
1,411,090 | ||||||||
|
| |||||||
| Capital Markets (1.7%): |
| ||||||
1,650,000 | E*TRADE Financial Corp., 6.75%, 6/1/16 | 1,790,250 | ||||||
1,150,000 | E*TRADE Financial Corp., 6.00%, 11/15/17, Callable 11/15/14 @ 103 | 1,196,000 | ||||||
1,450,000 | E*TRADE Financial Corp., 6.38%, 11/15/19, Callable 11/15/15 @ 104.78 | 1,569,625 | ||||||
250,000 | Ford Motor Credit Co. LLC, 4.25%, 2/3/17 | 268,484 | ||||||
500,000 | Ford Motor Credit Co. LLC, 6.63%, 8/15/17 | 575,557 | ||||||
1,800,000 | Ford Motor Credit Co. LLC, 0.80%, 12/6/17(c) | 1,801,184 | ||||||
1,975,000 | Ford Motor Credit Co. LLC, 2.38%, 3/12/19 | 1,984,587 | ||||||
900,000 | Legg Mason, Inc., 5.50%, 5/21/19 | 1,040,166 | ||||||
|
| |||||||
10,225,853 | ||||||||
|
|
Continued
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Commercial Services & Supplies (0.1%): |
| ||||||
$ | 500,000 | International Lease Finance Corp., 2.18%, 6/15/16(c) | $ | 503,125 | ||||
|
| |||||||
| Consumer Finance (0.1%): |
| ||||||
475,000 | Ford Motor Credit Co. LLC, 1.72%, 12/6/17 | 475,193 | ||||||
470,000 | PACCAR Financial Corp., 0.42%, 6/6/17, MTN(c) | 469,997 | ||||||
|
| |||||||
945,190 | ||||||||
|
| |||||||
| Diversified Consumer Services (0.3%): |
| ||||||
1,625,000 | Ford Motor Credit Co. LLC, 5.00%, 5/15/18 | 1,807,733 | ||||||
|
| |||||||
| Diversified Financial Services (0.0%): |
| ||||||
275,000 | CNH Capital LLC, 3.63%, 4/15/18 | 280,844 | ||||||
|
| |||||||
| Diversified Telecommunication Services (0.2%): |
| ||||||
1,480,000 | Verizon Communications, Inc., 0.63%, 6/9/17(c) | 1,481,709 | ||||||
|
| |||||||
| Electric Utilities (0.6%): |
| ||||||
505,000 | Duke Energy Corp., 0.61%, 4/3/17(c) | 506,516 | ||||||
365,000 | ITC Holdings Corp., 3.65%, 6/15/24, Callable 3/15/24 @ 100 | 363,751 | ||||||
300,000 | Northern States Power Co. Wisconsin, 3.30%, 6/15/24, Callable 12/15/23 @ 100 | 300,860 | ||||||
400,000 | Pennsylvania Electricity Co., 4.15%, 4/15/25, Callable 1/15/25 @ 100(d) | 399,382 | ||||||
16,700 | SCE Trust I, 0.95%, Callable 6/15/17 @ 25, Perpetual Bond | 395,790 | ||||||
2,930 | SCE Trust II, 0.94%, Callable 3/15/18 @ 25, Perpetual Bond | 63,874 | ||||||
32,472 | SCE Trust III, 0.87%, Callable 3/15/24 @ 25, Perpetual Bond | 857,260 | ||||||
725,000 | Xcel Energy, Inc., 0.75%, 5/9/16 | 725,740 | ||||||
|
| |||||||
3,613,173 | ||||||||
|
| |||||||
| Food & Staples Retailing (0.1%): |
| ||||||
850,000 | Rite Aid Corp., 8.00%, 8/15/20, Callable 8/15/15 @ 104 | 935,000 | ||||||
|
| |||||||
| Food Products (0.0%): |
| ||||||
250,000 | B&G Foods, Inc., 4.63%, 6/1/21, Callable 6/1/16 @ 103.47 | 250,625 | ||||||
|
| |||||||
| Gas Utilities (0.2%): |
| ||||||
300,000 | Suburban Propane Partners LP, 7.50%, 10/1/18, Callable 10/1/14 @ 103.75 | 314,511 | ||||||
625,000 | Suburban Propane Partners LP, 7.38%, 3/15/20, Callable 3/15/15 @ 103.69 | 665,625 | ||||||
|
| |||||||
980,136 | ||||||||
|
| |||||||
| Health Care Providers & Services (0.4%): |
| ||||||
775,000 | DaVita Healthcare Partners, Inc., 8.50%, 6/19/21, Callable 7/15/15 @ 102.52(c)(e) | 771,125 | ||||||
1,350,000 | DaVita Healthcare Partners, Inc., 5.13%, 7/15/24, Callable 7/15/19 @ 102.56 | 1,358,437 | ||||||
150,000 | DaVita, Inc., 5.75%, 8/15/22, Callable 8/15/17 @ 102.87 | 160,313 | ||||||
|
| |||||||
2,289,875 | ||||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Hotels, Restaurants & Leisure (0.1%): |
| ||||||
$ | 700,000 | Cedar Fair LP, 9.13%, 8/1/18, Callable 8/1/14 @ 104.56 | $ | 736,400 | ||||
200,000 | Cedar Fair LP, 5.25%, 3/15/21, Callable 3/15/16 @ 103.94 | 206,000 | ||||||
|
| |||||||
942,400 | ||||||||
|
| |||||||
| Household Products (0.4%): |
| ||||||
2,275,000 | Procter & Gamble Co. (The), 3.10%, 8/15/23 | 2,293,705 | ||||||
|
| |||||||
| Machinery (0.3%): |
| ||||||
1,425,000 | CNH Capital LLC, 6.25%, 11/1/16 | 1,546,125 | ||||||
550,000 | Xylem, Inc., 3.55%, 9/20/16 | 579,429 | ||||||
|
| |||||||
2,125,554 | ||||||||
|
| |||||||
| Media (0.9%): |
| ||||||
250,000 | Lamar Media Corp., 5.88%, 2/1/22, Callable 2/1/17 @ 102.94 | 267,813 | ||||||
270,000 | Lamar Media Corp., 5.00%, 5/1/23, Callable 5/1/18 @ 102.5 | 271,688 | ||||||
1,525,000 | Univision Communications, Inc., 6.88%, 5/15/19, Callable 5/15/15 @ 103.44(d) | 1,627,937 | ||||||
625,000 | Univision Communications, Inc., 7.88%, 11/1/20, Callable 11/1/15 @ 103.94(d) | 687,500 | ||||||
1,809,000 | Univision Communications, Inc., 6.75%, 9/15/22, Callable 9/15/17 @ 103.38(d) | 2,001,205 | ||||||
750,000 | Univision Communications, Inc., 5.13%, 5/15/23, Callable 5/15/18 @ 102.56(d) | 794,063 | ||||||
|
| |||||||
5,650,206 | ||||||||
|
| |||||||
| Multiline Retail (0.1%): |
| ||||||
75,000 | Amerigas Finance Corp. LLC, 6.75%, 5/20/20, Callable 5/20/16 @ 103.38 | 81,375 | ||||||
525,000 | Amerigas Finance Corp. LLC, 7.00%, 5/20/22, Callable 5/20/17 @ 103.5 | 581,438 | ||||||
|
| |||||||
662,813 | ||||||||
|
| |||||||
| Multi-Utilities (0.1%): |
| ||||||
450,000 | CMS Energy Corp., 8.75%, 6/15/19 | 580,131 | ||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (5.1%): |
| ||||||
1,075,000 | Antero Resources Finance Corp., 6.00%, 12/1/20, Callable 12/1/15 @ 104.03 | 1,152,938 | ||||||
1,000,000 | Antero Resources Finance Corp., 5.38%, 11/1/21, Callable 11/1/16 @ 104.03 | 1,037,500 | ||||||
475,000 | Antero Resources Finance Corp., 5.13%, 12/1/22, Callable 6/1/17 @ 103.84(d) | 488,063 | ||||||
225,000 | Athlon Holdings LP, 6.00%, 5/1/22, Callable 5/1/17 @ 104.5^(d) | 232,875 | ||||||
225,000 | Chesapeake Energy Corp., 3.25%, 3/15/16, Callable 8/4/14 @ 101 | 226,406 | ||||||
1,000,000 | Concho Resources, Inc., 7.00%, 1/15/21, Callable 1/15/16 @ 103.5 | 1,097,500 | ||||||
825,000 | Concho Resources, Inc., 6.50%, 1/15/22, Callable 1/15/17 @ 103.25 | 909,563 | ||||||
100,000 | Concho Resources, Inc., 5.50%, 4/1/23, Callable 10/1/17 @ 102.75 | 107,500 |
Continued
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Oil, Gas & Consumable Fuels, continued |
| ||||||
$ | 700,000 | CONSOL Energy, Inc., 5.88%, 4/15/22, Callable 4/15/17 @ 104.41(d) | $ | 733,250 | ||||
500,000 | Energy Transfer Partners LP, 4.15%, 10/1/20, Callable 8/1/20 @ 100 | 528,612 | ||||||
550,000 | Energy Transfer Partners LP, 4.90%, 2/1/24, Callable 11/1/23 @ 100^ | 590,621 | ||||||
210,000 | EQT Corp., 6.50%, 4/1/18 | 238,572 | ||||||
350,000 | EQT Corp., 8.13%, 6/1/19 | 437,922 | ||||||
2,025,000 | EQT Corp., 4.88%, 11/15/21 | 2,213,149 | ||||||
1,425,000 | Laredo Petroleum, Inc., 9.50%, 2/15/19, Callable 2/15/15 @ 104.75 | 1,563,938 | ||||||
600,000 | Laredo Petroleum, Inc., 5.63%, 1/15/22, Callable 1/15/17 @ 104.22 | 620,250 | ||||||
350,000 | Markwest Energy Partners LP, 6.75%, 11/1/20, Callable 11/1/15 @ 103.38 | 379,750 | ||||||
825,000 | Markwest Energy Partners LP, 6.50%, 8/15/21, Callable 2/15/16 @ 103.25 | 891,000 | ||||||
1,525,000 | Markwest Energy Partners LP, 6.25%, 6/15/22, Callable 12/15/16 @ 103.13 | 1,666,063 | ||||||
2,400,000 | Markwest Energy Partners LP, 5.50%, 2/15/23, Callable 8/15/17 @ 102.75 | 2,556,000 | ||||||
2,575,000 | Markwest Energy Partners LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | 2,626,499 | ||||||
500,000 | Range Resources Corp., 6.75%, 8/1/20, Callable 8/1/15 @ 103.38 | 537,500 | ||||||
2,175,000 | Range Resources Corp., 5.75%, 6/1/21, Callable 6/1/16 @ 102.88 | 2,349,000 | ||||||
2,525,000 | Range Resources Corp., 5.00%, 8/15/22, Callable 2/15/17 @ 102.5 | 2,676,499 | ||||||
3,500,000 | Range Resources Corp., 5.00%, 3/15/23, Callable 3/15/18 @ 102.5 | 3,727,499 | ||||||
875,000 | SM Energy Co., 6.50%, 11/15/21, Callable 11/15/16 @ 103.25 | 947,188 | ||||||
500,000 | Spectra Energy Partners LP, 4.75%, 3/15/24, Callable 12/15/23 @ 100 | 541,706 | ||||||
300,000 | Targa Resources Partners LP, 5.25%, 5/1/23, Callable 11/1/17 @ 102.63 | 313,500 | ||||||
750,000 | Targa Resources Partners LP, 4.25%, 11/15/23, Callable 5/15/18 @ 102.13 | 745,313 | ||||||
|
| |||||||
32,136,176 | ||||||||
|
| |||||||
| Real Estate Investment Trusts (REITs) (1.3%): |
| ||||||
300,000 | American Tower Corp., 5.00%, 2/15/24 | 325,838 | ||||||
1,050,000 | Crown Castle International Corp., 4.88%, 4/15/22 | 1,085,438 | ||||||
6,071,603 | Crown Castle Operating Co., 3.00%, 1/31/21(c) | 6,068,628 | ||||||
|
| |||||||
7,479,904 | ||||||||
|
| |||||||
| Real Estate Management & Development (0.1%): |
| ||||||
750,000 | CBRE Services, Inc., 5.00%, 3/15/23, Callable 3/15/18 @ 102.5 | 757,500 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Corporate Bonds, continued |
| ||||||
| Road & Rail (0.3%): |
| ||||||
$ | 1,900,000 | Burlington Northern Santa Fe LLC, 3.85%, 9/1/23, Callable 6/1/23 @ 100 | $ | 1,979,206 | ||||
130,000 | Burlington Northern Santa Fe LLC, 3.75%, 4/1/24, Callable 1/1/24 @ 100 | 134,161 | ||||||
|
| |||||||
2,113,367 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.1%): |
| ||||||
825,000 | Xilinx, Inc., 3.00%, 3/15/21 | 832,678 | ||||||
|
| |||||||
| Specialty Retail (0.3%): |
| ||||||
50,000 | Group 1 Automotive, Inc., 5.00%, 6/1/22, Callable 6/1/17 @ 103.75(d) | 50,000 | ||||||
350,000 | L Brands, Inc., 6.90%, 7/15/17 | 397,250 | ||||||
250,000 | L Brands, Inc., 8.50%, 6/15/19 | 306,875 | ||||||
250,000 | L Brands, Inc., 7.00%, 5/1/20 | 287,188 | ||||||
500,000 | L Brands, Inc., 6.63%, 4/1/21 | 568,125 | ||||||
525,000 | L Brands, Inc., 5.63%, 2/15/22 | 568,312 | ||||||
|
| |||||||
2,177,750 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (0.5%): |
| ||||||
725,000 | Crown Castle International Corp., 5.25%, 1/15/23 | 755,813 | ||||||
225,000 | SBA Communications Corp., 5.63%, 10/1/19, Callable 10/1/16 @ 102.81 | 238,219 | ||||||
500,000 | �� | SBA Communications Corp., 5.75%, 7/15/20, Callable 7/15/16 @ 102.88 | 530,000 | |||||
1,500,000 | Sprint Nextel Corp., 9.00%, 11/15/18(d) | 1,818,749 | ||||||
|
| |||||||
3,342,781 | ||||||||
|
| |||||||
| Total Corporate Bonds (Cost $88,250,510) | 89,979,660 | ||||||
|
| |||||||
| Foreign Bond (0.2%): |
| ||||||
| Containers & Packaging (0.2%): |
| ||||||
750,000 | Rexam plc, 6.75%, 6/29/67, Callable 6/29/17 @ 100+(c) | 1,084,668 | ||||||
|
| |||||||
| Total Foreign Bond (Cost $1,076,822) | 1,084,668 | ||||||
|
| |||||||
| Yankee Dollars (3.2%): |
| ||||||
| Banks (0.2%): |
| ||||||
1,225,000 | KFW, Series G, 0.50%, 4/19/16 | 1,225,772 | ||||||
|
| |||||||
| Diversified Telecommunication Services (1.1%): |
| ||||||
550,000 | Intelsat Jackson Holding SA, 7.25%, 4/1/19, Callable 4/1/15 @ 103.65 | 585,063 | ||||||
600,000 | Intelsat Jackson Holding SA, 8.50%, 11/1/19, Callable 11/1/14 @ 104.25 | 637,500 | ||||||
2,985,000 | Intelsat Jackson Holding SA, 7.25%, 10/15/20, Callable 10/15/15 @ 103.63 | 3,216,337 | ||||||
1,715,000 | Intelsat Jackson Holding SA, 5.50%, 8/1/23, Callable 8/1/18 @ 102.75 | 1,706,425 | ||||||
530,000 | Telesat Canada, 6.00%, 5/15/17, Callable 8/5/14 @ 103(d) | 546,563 | ||||||
|
| |||||||
6,691,888 | ||||||||
|
|
Continued
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| Yankee Dollars, continued |
| ||||||
| Media (0.3%): |
| ||||||
$ | 1,925,000 | Unitymedia Hessen, 7.50%, 3/15/19, Callable 3/15/15 @ 103.75(d) | $ | 2,054,937 | ||||
250,000 | Unitymedia Hessen, 5.50%, 1/15/23, Callable 1/15/18 @ 103(d) | 258,750 | ||||||
|
| |||||||
2,313,687 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (0.5%): |
| ||||||
800,000 | NXP Funding BV/NXP Funding LLC, 3.75%, 6/1/18(d) | 802,000 | ||||||
725,000 | NXP Funding BV/NXP Funding LLC, 5.75%, 2/15/21, Callable 2/15/17 @ 102.88(d) | 762,156 | ||||||
1,400,000 | NXP Funding BV/NXP Funding LLC, 5.75%, 3/15/23, Callable 3/15/18 @ 102.88(d) | 1,471,750 | ||||||
|
| |||||||
3,035,906 | ||||||||
|
| |||||||
| Wireless Telecommunication Services (1.1%): |
| ||||||
3,055,000 | UPCB Finance III, Ltd., 6.63%, 7/1/20, Callable 7/1/15 @ 103.31(d) | 3,253,575 | ||||||
1,800,000 | UPCB Finance V, Ltd., 7.25%, 11/15/21, Callable 11/15/16 @ 103.63(d) | 1,980,000 | ||||||
1,925,000 | UPCB Finance VI, Ltd., 6.88%, 1/15/22, Callable 1/15/17 @ 103.44(d) | 2,103,063 | ||||||
|
| |||||||
7,336,638 | ||||||||
|
| |||||||
| Total Yankee Dollars (Cost $20,468,144) | 20,603,891 | ||||||
|
|
Contracts, Shares, Notional Amount or Principal Amount | Fair Value | |||||||
| U.S. Treasury Obligations (7.1%): |
| ||||||
| U.S. Treasury Notes (7.1%) |
| ||||||
$ | 10,000,000 | 0.25%, 10/31/15 | $ | 10,008,590 | ||||
4,000,000 | 0.63%, 11/15/16 | 4,000,936 | ||||||
10,525,000 | 2.50%, 8/15/23 | 10,587,497 | ||||||
19,950,000 | 2.75%, 11/15/23 | 20,447,194 | ||||||
|
| |||||||
45,044,217 | ||||||||
|
| |||||||
| Total U.S. Treasury Obligations (Cost $43,987,118) | 45,044,217 | ||||||
|
| |||||||
| Securities Held as Collateral for Securities on Loan (0.2%): |
| ||||||
1,126,559 | Allianz Variable Insurance Products Securities Lending Collateral Trust (f) | 1,126,559 | ||||||
|
| |||||||
| Total Securities Held as Collateral for Securities on Loan | 1,126,559 | ||||||
|
| |||||||
| Unaffiliated Investment Company (10.2%): | |||||||
65,088,209 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(g) | 65,088,209 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $65,088,209) | 65,088,209 | ||||||
|
| |||||||
| Total Investment Securities (Cost $592,362,660)(h) — 100.3% | 638,594,348 | ||||||
| Net other assets (liabilities) — (0.3)% | (1,804,268 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 636,790,080 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
MTN—Medium | Term Note |
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2014. The total value of securities on loan as of June 30, 2014, was $1,088,705. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
(a) | Security issued in connection with a pending litigation settlement. |
(b) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2014, these securities represent 0.00% of the net assets of the fund. |
(c) | Variable rate security. The rate presented represents the rate in effect at June 30, 2014. The date presented represents the final maturity date. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(e) | Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2014. The total of all such securities represent 0.12% of the net assets of the fund. |
(f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2014. |
(g) | The rate represents the effective yield at June 30, 2014. |
(h) | See Federal Tax Information listed in the Notes to the Financial Statements. |
Amounts shown as ”—” are either $0 or round to less than $1.
Continued
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Over-the-counter options written as of June 30, 2014 were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | ||||||||||||||||||
Anadarko Petroleum Corp. | Citibank | Call | USD | 110.00 | 01/16/15 | 29 | $ | (23,507 | ) | |||||||||||||||
Anadarko Petroleum Corp. | Citibank | Call | USD | 115.00 | 01/16/15 | 17 | (10,198 | ) | ||||||||||||||||
Apache Corp. | Morgan Stanley | Call | USD | 90.00 | 01/16/15 | 34 | (43,603 | ) | ||||||||||||||||
Apache Corp. | Morgan Stanley | Call | USD | 92.50 | 01/16/15 | 68 | (74,847 | ) | ||||||||||||||||
Apache Corp. | Morgan Stanley | Call | USD | 95.00 | 01/16/15 | 23 | (21,381 | ) | ||||||||||||||||
Apache Corp. | Morgan Stanley | Call | USD | 95.00 | 01/16/15 | 67 | (62,493 | ) | ||||||||||||||||
CVS Caremark Corp. | Morgan Stanley | Call | USD | 77.50 | 01/16/15 | 19 | (4,997 | ) | ||||||||||||||||
CVS Caremark Corp. | Morgan Stanley | Call | USD | 80.00 | 01/16/15 | 19 | (3,358 | ) | ||||||||||||||||
CVS Caremark Corp. | Morgan Stanley | Call | USD | 77.50 | 08/06/14 | 19 | (1,131 | ) | ||||||||||||||||
CVS Caremark Corp. | Morgan Stanley | Call | USD | 80.00 | 08/06/14 | 19 | (371 | ) | ||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | USD | 80.00 | 01/16/15 | 18 | (6,538 | ) | ||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | USD | 85.00 | 01/16/15 | 18 | (3,213 | ) | ||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | USD | 90.00 | 01/16/15 | 61 | (4,941 | ) | ||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | USD | 80.00 | 09/19/14 | 18 | (3,531 | ) | ||||||||||||||||
Danaher Corp. | JPMorgan Chase | Call | USD | 85.00 | 09/19/14 | 18 | (971 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | Call | USD | 52.50 | 01/16/15 | 14 | (1,504 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | JPMorgan Chase | Call | USD | 55.00 | 01/16/15 | 167 | (10,432 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | Call | USD | 52.50 | 10/17/14 | 14 | (689 | ) | ||||||||||||||||
Lowe’s Cos., Inc. | Morgan Stanley | Call | USD | 55.00 | 10/17/14 | 14 | (307 | ) | ||||||||||||||||
Pfizer, Inc. | Citibank | Call | USD | 32.00 | 01/16/15 | 98 | (4,302 | ) | ||||||||||||||||
Pfizer, Inc. | Citibank | Call | USD | 35.00 | 01/16/15 | 98 | (1,090 | ) | ||||||||||||||||
PNC Financial Services Group | Morgan Stanley | Call | USD | 87.50 | 01/16/15 | 17 | (7,292 | ) | ||||||||||||||||
PNC Financial Services Group | Morgan Stanley | Call | USD | 90.00 | 01/16/15 | 125 | (38,750 | ) | ||||||||||||||||
PNC Financial Services Group | Morgan Stanley | Call | USD | 95.00 | 01/16/15 | 7 | (1,157 | ) | ||||||||||||||||
PNC Financial Services Group | Morgan Stanley | Call | USD | 87.50 | 08/15/14 | 17 | (3,883 | ) | ||||||||||||||||
PNC Financial Services Group | Morgan Stanley | Call | USD | 90.00 | 08/15/14 | 17 | (1,855 | ) | ||||||||||||||||
Procter & Gamble Co. (The) | JPMorgan Chase | Call | USD | 85.00 | 01/16/15 | 106 | (5,198 | ) | ||||||||||||||||
State Street Corp. | Morgan Stanley | Call | USD | 70.00 | 01/16/15 | 21 | (5,614 | ) | ||||||||||||||||
State Street Corp. | Morgan Stanley | Call | USD | 72.50 | 01/16/15 | 21 | (3,848 | ) | ||||||||||||||||
State Street Corp. | Morgan Stanley | Call | USD | 70.00 | 08/15/14 | 21 | (1,593 | ) | ||||||||||||||||
State Street Corp. | Morgan Stanley | Call | USD | 72.50 | 08/15/14 | 21 | (666 | ) | ||||||||||||||||
TE Connectivity, Ltd. | JPMorgan Chase | Call | USD | 65.00 | 07/18/14 | 24 | (788 | ) | ||||||||||||||||
TE Connectivity, Ltd. | JPMorgan Chase | Call | USD | 65.00 | 10/17/14 | 24 | (2,313 | ) | ||||||||||||||||
Texas Instruments, Inc. | Citibank | Call | USD | 45.00 | 01/16/15 | 489 | (192,941 | ) | ||||||||||||||||
Texas Instruments, Inc. | Citibank | Call | USD | 50.00 | 01/16/15 | 215 | (32,483 | ) | ||||||||||||||||
Texas Instruments, Inc. | Citibank | Call | USD | 50.00 | 10/17/14 | 214 | (18,252 | ) | ||||||||||||||||
The Boeing Co. | Citibank | Call | USD | 145.00 | 01/16/15 | 40 | (6,045 | ) | ||||||||||||||||
The Boeing Co. | Citibank | Call | USD | 150.00 | 01/16/15 | 41 | (3,896 | ) | ||||||||||||||||
The Boeing Co. | Citibank | Call | USD | 155.00 | 01/16/15 | 40 | (2,395 | ) | ||||||||||||||||
TRW Automotive Holdings Corp. | JPMorgan Chase | Call | USD | 90.00 | 07/18/14 | 8 | (875 | ) | ||||||||||||||||
TRW Automotive Holdings Corp. | JPMorgan Chase | Call | USD | 95.00 | 07/18/14 | 8 | (203 | ) | ||||||||||||||||
TRW Automotive Holdings Corp. | JPMorgan Chase | Call | USD | 90.00 | 10/17/14 | 8 | (2,947 | ) | ||||||||||||||||
TRW Automotive Holdings Corp. | JPMorgan Chase | Call | USD | 95.00 | 10/17/14 | 8 | (1,480 | ) | ||||||||||||||||
United Technologies Corp. | Citibank | Call | USD | 120.00 | 01/16/15 | 116 | (33,942 | ) | ||||||||||||||||
United Technologies Corp. | Citibank | Call | USD | 125.00 | 01/16/15 | 115 | (18,052 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (669,872 | ) | |||||||||||||||||||||
|
|
Continued
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Exchange-traded options written as of June 30, 2014 were as follows:
Description | Put/ Call | Strike Price | Expiration Date | Contracts | Fair Value | |||||||||||||||
Apache Corp. | Call | USD | 97.50 | 01/16/15 | 26 | $ | (21,060 | ) | ||||||||||||
Apache Corp. | Call | USD | 100.00 | 01/16/15 | 56 | (37,940 | ) | |||||||||||||
Apache Corp. | Call | USD | 105.00 | 01/16/15 | 26 | (11,895 | ) | |||||||||||||
AutoZone, Inc. | Call | USD | 570.00 | 01/16/15 | 1 | (1,505 | ) | |||||||||||||
AutoZone, Inc. | Call | USD | 600.00 | 01/16/15 | 1 | (765 | ) | |||||||||||||
AutoZone, Inc. | Call | USD | 570.00 | 09/19/14 | 1 | (445 | ) | |||||||||||||
AutoZone, Inc. | Call | USD | 600.00 | 09/19/14 | 1 | (110 | ) | |||||||||||||
Google, Inc. | Call | USD | 1280.00 | 01/16/15 | 1 | (2,915 | ) | |||||||||||||
Google, Inc. | Call | USD | 1330.00 | 01/16/15 | 1 | (1,915 | ) | |||||||||||||
Google, Inc. | Call | USD | 1280.00 | 09/19/14 | 1 | (940 | ) | |||||||||||||
Google, Inc. | Call | USD | 1330.00 | 09/19/14 | 1 | (435 | ) | |||||||||||||
JPMorgan Chase & Co. | Call | USD | 60.00 | 01/16/15 | 24 | (3,732 | ) | |||||||||||||
JPMorgan Chase & Co. | Call | USD | 65.00 | 01/16/15 | 24 | (1,020 | ) | |||||||||||||
JPMorgan Chase & Co. | Call | USD | 70.00 | 01/16/15 | 365 | (4,928 | ) | |||||||||||||
JPMorgan Chase & Co. | Call | USD | 60.00 | 09/19/14 | 24 | (1,464 | ) | |||||||||||||
JPMorgan Chase & Co. | Call | USD | 65.00 | 09/19/14 | 24 | (192 | ) | |||||||||||||
Philip Morris International, Inc. | Call | USD | 95.00 | 01/16/15 | 42 | (1,575 | ) | |||||||||||||
Philip Morris International, Inc. | Call | USD | 97.50 | 01/16/15 | 114 | (2,565 | ) | |||||||||||||
Procter & Gamble Co. (The) | Call | USD | 85.00 | 01/16/15 | 330 | (19,140 | ) | |||||||||||||
Texas Instruments, Inc. | Call | USD | 50.00 | 01/16/15 | 62 | (9,641 | ) | |||||||||||||
Texas Instruments, Inc. | Call | USD | 48.00 | 10/17/14 | 31 | (5,224 | ) | |||||||||||||
Texas Instruments, Inc. | Call | USD | 50.00 | 10/17/14 | 31 | (2,790 | ) | |||||||||||||
The Boeing Co. | Call | USD | 135.00 | 01/16/15 | 21 | (7,718 | ) | |||||||||||||
The Boeing Co. | Call | USD | 140.00 | 01/16/15 | 21 | (4,851 | ) | |||||||||||||
The Boeing Co. | Call | USD | 135.00 | 08/15/14 | 21 | (1,649 | ) | |||||||||||||
The Boeing Co. | Call | USD | 140.00 | 08/15/14 | 21 | (630 | ) | |||||||||||||
United Technologies Corp. | Call | USD | 125.00 | 01/16/15 | 12 | (2,028 | ) | |||||||||||||
United Technologies Corp. | Call | USD | 130.00 | 01/16/15 | 12 | (990 | ) | |||||||||||||
United Technologies Corp. | Call | USD | 125.00 | 08/15/14 | 12 | (156 | ) | |||||||||||||
United Technologies Corp. | Call | USD | 130.00 | 08/15/14 | 12 | (36 | ) | |||||||||||||
|
| |||||||||||||||||||
Total | $ | (150,254 | ) | |||||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2014 (Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 592,362,660 | |||
|
| ||||
Investment securities, at value* | $ | 638,594,348 | |||
Interest and dividends receivable | 2,282,457 | ||||
Foreign currency, at value (cost $106,488) | 107,087 | ||||
Receivable for capital shares issued | 1,229,011 | ||||
Receivable for investments sold | 4,656,233 | ||||
Reclaims receivable | 50,919 | ||||
Prepaid expenses | 2,319 | ||||
|
| ||||
Total Assets | 646,922,374 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 7,627,793 | ||||
Written Options (Proceeds received $1,040,513) | 820,126 | ||||
Payable for collateral received on loaned securities | 1,126,559 | ||||
Manager fees payable | 360,637 | ||||
Administration fees payable | 21,727 | ||||
Distribution fees payable | 128,799 | ||||
Custodian fees payable | 11,759 | ||||
Administrative and compliance services fees payable | 2,445 | ||||
Trustee fees payable | 5,746 | ||||
Other accrued liabilities | 26,703 | ||||
|
| ||||
Total Liabilities | 10,132,294 | ||||
|
| ||||
Net Assets | $ | 636,790,080 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 508,142,143 | |||
Accumulated net investment income/(loss) | 4,710,988 | ||||
Accumulated net realized gains/(losses) from investment transactions | 77,479,763 | ||||
Net unrealized appreciation/(depreciation) on investments | 46,457,186 | ||||
|
| ||||
Net Assets | $ | 636,790,080 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 37,665,212 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.91 | |||
|
|
* | Includes securities on loan of $1,088,705. |
Statement of Operations
For the Six Months Ended June 30, 2014 (Unaudited)
Investment Income: | |||||
Dividends | $ | 2,974,684 | |||
Interest | 2,513,081 | ||||
Income from securities lending | 1,303 | ||||
Foreign withholding tax | (23,150 | ) | |||
|
| ||||
Total Investment Income | 5,465,918 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 2,120,740 | ||||
Administration fees | 84,298 | ||||
Distribution fees | 706,913 | ||||
Custodian fees | 14,458 | ||||
Administrative and compliance services fees | 4,959 | ||||
Trustee fees | 15,377 | ||||
Professional fees | 14,905 | ||||
Shareholder reports | 21,144 | ||||
Other expenses | 6,900 | ||||
|
| ||||
Total expenses before reductions | 2,989,694 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (141,387 | ) | |||
|
| ||||
Net expenses | 2,848,307 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,617,611 | ||||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | 10,873,287 | ||||
Net realized gains/(losses) on options contracts | 113,732 | ||||
Net realized gains/(losses) on forward currency contracts | (17,475 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 24,494,213 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 35,463,757 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 38,081,368 | |||
|
|
See accompanying notes to the financial statements.
9
Statements of Changes in Net Assets
AZL T. Rowe Price Capital Appreciation Fund | ||||||||||
For the Six Months Ended June 30, 2014 | For the Year Ended December 31, 2013 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,617,611 | $ | 2,168,561 | ||||||
Net realized gains/(losses) on investment transactions | 10,969,544 | 209,333,841 | ||||||||
Change in unrealized appreciation/depreciation on investments | 24,494,213 | (86,896,119 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 38,081,368 | 124,606,283 | ||||||||
|
|
|
| |||||||
Dividends to Shareholders: | ||||||||||
From net investment income | — | (4,077,861 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from dividends to shareholders | — | (4,077,861 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 118,422,645 | 44,380,761 | ||||||||
Proceeds from dividends reinvested | — | 4,077,861 | ||||||||
Value of shares redeemed | (38,961,684 | ) | (70,733,204 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | 79,460,961 | (22,274,582 | ) | |||||||
|
|
|
| |||||||
Change in net assets | 117,542,329 | 98,253,840 | ||||||||
Net Assets: | ||||||||||
Beginning of period | 519,247,751 | 420,993,911 | ||||||||
|
|
|
| |||||||
End of period | $ | 636,790,080 | $ | 519,247,751 | ||||||
|
|
|
| |||||||
Accumulated net investment income/(loss) | $ | 4,710,988 | $ | 2,093,377 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 7,286,631 | 3,126,962 | ||||||||
Dividends reinvested | — | 276,465 | ||||||||
Shares redeemed | (2,410,847 | ) | (4,879,004 | ) | ||||||
|
|
|
| |||||||
Change in shares | 4,875,784 | (1,475,577 | ) | |||||||
|
|
|
|
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
Six Months Ended June 30, 2014 | Year Ended December 31, 2013 | Year Ended December 31, 2012 | Year Ended December 31, 2011 | Year Ended December 31, 2010 | Year Ended December 31, 2009 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.84 | $ | 12.29 | $ | 10.98 | $ | 11.57 | $ | 10.59 | $ | 8.09 | ||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | 0.07 | 0.13 | 0.09 | 0.14 | 0.16 | ||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | 1.01 | 3.60 | 1.22 | (0.58 | ) | 1.10 | 2.41 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | 1.07 | 3.67 | 1.35 | (0.49 | ) | 1.24 | 2.57 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Dividends to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | (0.04 | ) | (0.10 | ) | (0.26 | ) | (0.07 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.12 | ) | (0.04 | ) | (0.10 | ) | (0.26 | ) | (0.07 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.91 | $ | 15.84 | $ | 12.29 | $ | 10.98 | $ | 11.57 | $ | 10.59 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(a) | 6.76 | %(b) | 29.94 | %(f) | 12.32 | % | (4.20 | )% | 12.05 | % | 31.83 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 636,790 | $ | 519,248 | $ | 420,994 | $ | 364,642 | $ | 425,305 | $ | 573,305 | ||||||||||||||||||
Net Investment Income/(Loss)(c) | 0.93 | % | 0.44 | % | 1.14 | % | 0.71 | % | 0.55 | % | 1.72 | % | ||||||||||||||||||
Expenses Before Reductions(c)(e) | 1.06 | % | 1.06 | % | 1.07 | % | 1.10 | % | 1.08 | % | 1.11 | % | ||||||||||||||||||
Expenses Net of Reductions(c) | 1.01 | % | 1.01 | % | 1.02 | % | 1.06 | % | 1.03 | % | 1.06 | % | ||||||||||||||||||
Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c)(d) | 1.01 | % | 1.01 | % | 1.03 | % | 1.06 | % | 1.03 | % | 1.06 | % | ||||||||||||||||||
Portfolio Turnover Rate | 27 | %(b) | 122 | %(g) | 24 | % | 11 | % | 14 | % | 23 | % |
(a) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(b) | Not annualized. |
(c) | Annualized for periods less than one year. |
(d) | Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See Note 2 in the Notes to the Financial Statements. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | During the year ended December 31, 2013, the Fund received monies related to certain nonrecurring litigation settlements. The corresponding impact to the total return was 0.10%. |
(g) | Effective November 15, 2012, the Subadviser changed from Davis Selected Advisors, LP to T. Rowe Price Associates, Inc. Costs of purchase and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2013 as compared to prior years. |
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
12
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2014 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $0.9 million for the period ended June 30, 2014.
Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund paid securities lending fees of $129 during the period ended June 30, 2014. These fees have been netted against “Income from securities lending” on the Statement of Operations.
Commission Recapture
Certain Funds of the Trust participate in a commission recapture program. The Fund will utilize the recaptured commissions to pay for, in whole or part, certain expenses of the Fund, excluding investment advisory fees. Any amounts received by the Fund, if applicable, are disclosed as “Expenses paid indirectly” on the Statement of Operations.
Effective January 6, 2014, the Manager, on behalf of the Trust, requested the Fund cease participation in the program until further notice.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2014, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.
Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.
Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.
The Fund had the following transactions in written call and put options during the period ended June 30, 2014:
Number of Contracts | Premiums Received | |||||||||
Options outstanding at December 31, 2013 | (1,938 | ) | $ | (826,586 | ) | |||||
Options written | (3,939 | ) | (880,545 | ) | ||||||
Options closed | 1,983 | 666,618 | ||||||||
|
|
|
| |||||||
Options outstanding at June 30, 2014 | (3,894 | ) | $ | (1,040,513 | ) | |||||
|
|
|
|
13
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Fair Value | Statement of Assets and Liabilities Location | Total Fair Value | ||||||||
Equity Contracts | Investment securities, at value (purchased options) | $ | — | Written options | $ | 820,126 |
The following is a summary of the effect of derivative instruments on the Fund’s Statement of Operations, categorized by risk exposure, for the June 30, 2014:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized in Income | Realized Gains/ (Losses) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | |||||||
Equity Contracts | Net realized gains/(losses) on options contracts / Change in unrealized appreciation/depreciation on investments | $ | 113,732 | $ | 367,048 | |||||
Foreign Currency Contracts | Net realized gains/(losses) on forward currency contracts / Change in unrealized appreciation/depreciation on investments | $ | (17,475 | ) | $— |
Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2014. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2014.
As of June 30, 2014, the Fund’s derivative assets and liabilities by type are as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Option Contracts | $ | — | $ | 820,126 | ||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities | — | 820,126 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | (150,252 | ) | |||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | — | $ | 669,874 | ||||||
|
|
|
|
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under MNA and net of the related collateral pledged by the Fund as of June 30, 2014:
Counterparty | Derivative Liabilities by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
Citibank | $ | 347,101 | $ | — | $ | — | $ | — | $ | 347,101 | |||||||||||||||
JPMorgan Chase | 43,430 | — | — | — | 43,430 | ||||||||||||||||||||
Morgan Stanley | 279,343 | — | — | — | 279,343 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 669,874 | $ | — | $ | — | $ | — | $ | 669,874 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with T. Rowe Price Associates, Inc. (“T. Rowe Price”), T. Rowe Price provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | 0.75 | % | 1.20 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $3,216 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 383,943,509 | $ | — | $ | — | $ | 383,943,509 | ||||||||||||
Preferred Stocks+ | 288,009 | — | — | 288,009 | ||||||||||||||||
Convertible Bonds+ | — | 8,807,131 | — | 8,807,131 | ||||||||||||||||
Floating Rate Loans+ | — | 22,628,495 | — | 22,628,495 | ||||||||||||||||
Corporate Bonds | ||||||||||||||||||||
Electric Utilities | 1,316,924 | 2,296,249 | — | 3,613,173 | ||||||||||||||||
Health Care Providers & Services | — | 1,518,750 | 771,125 | 2,289,875 | ||||||||||||||||
All Other Corporate Bonds+ | — | 84,076,612 | — | 84,076,612 | ||||||||||||||||
Foreign Bond+ | — | 1,084,668 | — | 1,084,668 | ||||||||||||||||
Yankee Dollars+ | — | 20,603,891 | — | 20,603,891 | ||||||||||||||||
U.S. Treasury Obligations | — | 45,044,217 | — | 45,044,217 | ||||||||||||||||
Securities Held as Collateral for Securities on Loan | — | 1,126,559 | — | 1,126,559 | ||||||||||||||||
Unaffiliated Investment Company | 65,088,209 | — | — | 65,088,209 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 450,636,651 | $ | 187,186,572 | $ | 771,125 | $ | 638,594,348 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Written Call Options | 229,409 | (9,022 | ) | — | 220,387 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 450,866,060 | $ | 187,177,550 | $ | 771,125 | $ | 638,814,735 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
Other Financial Instruments would include any derivative instruments, such as written options. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.
A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant level 3 investments at the end of the period.
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 191,436,145 | $ | 137,800,736 |
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2014 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares | Fair Value | Percentage of Net Assets | ||||||||||||||||||||
Sino-Forest Corp. | 1/31/13 | $ | — | 488,000 | $ | — | — | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
8. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost for federal income tax purposes at June 30, 2014 is $592,790,616. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 48,337,734 | |||
Unrealized depreciation | (2,534,002 | ) | |||
|
| ||||
Net unrealized appreciation depreciation | $ | 45,803,732 | |||
|
|
During the year ended December 31, 2013, the Fund utilized $139,138,286 in capital loss carry forwards to offset capital gains.
The tax character of dividends paid to shareholders during the year ended December 31, 2013 were as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 4,077,861 | $ | — | $ | 4,077,861 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes. |
As of the latest tax year end December 31, 2013, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ (Depreciation)(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 68,689,324 | $ | — | $ | — | $ | 21,877,245 | $ | 90,566,569 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales. |
The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
17
Other Information (Unaudited)
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Fund of Funds Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
AZL® Wells Fargo Large Cap Growth Fund
Semi-Annual Report
June 30, 2014
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Wells Fargo Large Cap Growth Fund
(Unaudited)
As a shareholder of the AZL Wells Fargo Large Cap Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.
The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 4/28/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 4/28/14 - 6/30/14* | Annualized Expense Ratio During Period 4/28/14 - 6/30/14 | |||||||||||||||||
AZL Wells Fargo Large Cap Growth Fund | $ | 1,000.00 | $ | 1,069.00 | $ | 1.90 | 1.05 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 4/28/14 | Ending Account Value 6/30/14 | Expenses Paid During Period 4/28/14 - 6/30/14* | Annualized Expense Ratio During Period** 4/28/14 - 6/30/14 | |||||||||||||||||
AZL Wells Fargo Large Cap Growth Fund | $ | 1,000.00 | $ | 1,019.59 | $ | 5.26 | 1.05 | % |
* | Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period). |
** | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of the days in the most recent fiscal half-year divided by the number of the days in fiscal year (to reflect one half-year period). Information shown reflects values using the expense ratios for the 64 days of operations during the period, and has been annualized to reflect values for the period April 28, 2014 to June 30, 2014. |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Consumer Discretionary | 26.6 | % | |||
Information Technology | 23.0 | ||||
Health Care | 14.4 | ||||
Industrials | 12.1 | ||||
Consumer Staples | 6.7 | ||||
Energy | 6.4 | ||||
Financials | 5.0 | ||||
Materials | 4.6 | ||||
|
| ||||
Total Common Stock | 98.8 | ||||
Money Market | 1.2 | ||||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | ^ | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
^ | Represents less than 0.05% |
1
AZL Wells Fargo Large Cap Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks (98.8%): |
| ||||||
| Aerospace & Defense (3.9%): |
| ||||||
9,840 | Boeing Co. (The) | $ | 1,251,943 | |||||
4,750 | Precision Castparts Corp. | 1,198,900 | ||||||
13,630 | United Technologies Corp. | 1,573,584 | ||||||
|
| |||||||
4,024,427 | ||||||||
|
| |||||||
| Air Freight & Logistics (1.0%): |
| ||||||
9,980 | United Parcel Service, Inc., Class B | 1,024,547 | ||||||
|
| |||||||
| Airlines (0.5%): |
| ||||||
18,400 | Southwest Airlines Co. | 494,224 | ||||||
|
| |||||||
| Auto Components (0.5%): |
| ||||||
7,420 | Delphi Automotive plc | 510,051 | ||||||
|
| |||||||
| Biotechnology (7.5%): |
| ||||||
13,770 | Alexion Pharmaceuticals, Inc.* | 2,151,562 | ||||||
5,690 | Biogen Idec, Inc.* | 1,794,114 | ||||||
14,900 | Celgene Corp.* | 1,279,612 | ||||||
14,130 | Gilead Sciences, Inc.* | 1,171,518 | ||||||
4,900 | Regeneron Pharmaceuticals, Inc.* | 1,384,103 | ||||||
|
| |||||||
7,780,909 | ||||||||
|
| |||||||
| Capital Markets (2.2%): |
| ||||||
11,740 | Northern Trust Corp. | 753,825 | ||||||
46,910 | TD Ameritrade Holding Corp. | 1,470,629 | ||||||
|
| |||||||
2,224,454 | ||||||||
|
| |||||||
| Chemicals (4.6%): |
| ||||||
12,500 | Ecolab, Inc. | 1,391,750 | ||||||
9,710 | Monsanto Co. | 1,211,225 | ||||||
15,920 | Praxair, Inc. | 2,114,813 | ||||||
|
| |||||||
4,717,788 | ||||||||
|
| |||||||
| Commercial Services & Supplies (0.6%): |
| ||||||
14,410 | Tyco International, Ltd. | 657,096 | ||||||
|
| |||||||
| Communications Equipment (1.6%): |
| ||||||
20,370 | QUALCOMM, Inc. | 1,613,304 | ||||||
|
| |||||||
| Consumer Finance (2.8%): |
| ||||||
16,780 | American Express Co. | 1,591,918 | ||||||
21,220 | Discover Financial Services | 1,315,216 | ||||||
|
| |||||||
2,907,134 | ||||||||
|
| |||||||
| Energy Equipment & Services (1.6%): |
| ||||||
14,350 | Schlumberger, Ltd. | 1,692,583 | ||||||
|
| |||||||
| Food & Staples Retailing (5.1%): |
| ||||||
19,230 | Costco Wholesale Corp. | 2,214,526 | ||||||
22,860 | Walgreen Co. | 1,694,612 | ||||||
35,450 | Whole Foods Market, Inc. | 1,369,434 | ||||||
|
| |||||||
5,278,572 | ||||||||
|
| |||||||
| Health Care Equipment & Supplies (1.2%): |
| ||||||
13,710 | Covidien plc | 1,236,368 | ||||||
|
| |||||||
| Health Care Providers & Services (2.6%): |
| ||||||
13,510 | AmerisourceBergen Corp. | 981,637 | ||||||
9,000 | Catamaran Corp.* | 397,440 | ||||||
24,600 | Cerner Corp.* | 1,268,868 | ||||||
|
| |||||||
2,647,945 | ||||||||
|
| |||||||
| Hotels, Restaurants & Leisure (6.4%): |
| ||||||
2,590 | Chipotle Mexican Grill, Inc.* | 1,534,601 | ||||||
15,790 | Hilton Worldwide Holdings, Inc.* | 367,907 | ||||||
19,240 | Marriott International, Inc., Class A | 1,233,284 |
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Hotels, Restaurants & Leisure, continued |
| ||||||
23,240 | Starbucks Corp. | $ | 1,798,310 | |||||
7,930 | Wynn Resorts, Ltd. | 1,645,951 | ||||||
|
| |||||||
6,580,053 | ||||||||
|
| |||||||
| Household Products (0.9%): |
| ||||||
13,000 | Colgate-Palmolive Co. | 886,340 | ||||||
|
| |||||||
| Industrial Conglomerates (0.9%): |
| ||||||
11,290 | Danaher Corp. | 888,862 | ||||||
|
| |||||||
| Internet & Catalog Retail (4.3%): |
| ||||||
6,750 | Amazon.com, Inc.* | 2,192,265 | ||||||
1,190 | Netflix, Inc.* | 524,314 | ||||||
1,440 | Priceline.com, Inc.* | 1,732,320 | ||||||
|
| |||||||
4,448,899 | ||||||||
|
| |||||||
| Internet Software & Services (7.4%): |
| ||||||
16,430 | eBay, Inc.* | 822,486 | ||||||
28,500 | Facebook, Inc., Class A* | 1,917,765 | ||||||
4,230 | Google, Inc., Class C* | 2,433,434 | ||||||
4,230 | Google, Inc., Class A* | 2,473,153 | ||||||
|
| |||||||
7,646,838 | ||||||||
|
| |||||||
| IT Services (6.7%): |
| ||||||
8,450 | Accenture plc, Class A | 683,098 | ||||||
4,040 | Alliance Data Systems Corp.* | 1,136,250 | ||||||
30,660 | Cognizant Technology Solutions Corp., Class A* | 1,499,581 | ||||||
28,180 | MasterCard, Inc., Class A | 2,070,385 | ||||||
6,730 | Visa, Inc., Class A | 1,418,078 | ||||||
|
| |||||||
6,807,392 | ||||||||
|
| |||||||
| Media (3.8%): |
| ||||||
27,520 | CBS Corp., Class B | 1,710,093 | ||||||
32,690 | Pandora Media, Inc.* | 964,355 | ||||||
14,330 | Walt Disney Co. (The) | 1,228,654 | ||||||
|
| |||||||
3,903,102 | ||||||||
|
| |||||||
| Multiline Retail (3.4%): |
| ||||||
42,570 | Dollar Tree, Inc.* | 2,318,362 | ||||||
17,320 | Nordstrom, Inc. | 1,176,548 | ||||||
|
| |||||||
3,494,910 | ||||||||
|
| |||||||
| Oil, Gas & Consumable Fuels (4.8%): |
| ||||||
7,910 | Antero Resources Corp.* | 519,133 | ||||||
10,340 | Concho Resources, Inc.* | 1,494,130 | ||||||
4,090 | Continental Resources, Inc.* | 646,384 | ||||||
9,720 | Pioneer Natural Resources Co. | 2,233,753 | ||||||
|
| |||||||
4,893,400 | ||||||||
|
| |||||||
| Personal Products (0.7%): |
| ||||||
9,630 | Estee Lauder Co., Inc. (The), Class A | 715,124 | ||||||
|
| |||||||
| Pharmaceuticals (3.1%): |
| ||||||
3,080 | Allergan, Inc. | 521,197 | ||||||
8,270 | Merck & Co., Inc. | 478,420 | ||||||
10,210 | Perrigo Co. plc | 1,488,209 | ||||||
2,970 | Shire plc, ADR | 699,405 | ||||||
|
| |||||||
3,187,231 | ||||||||
|
| |||||||
| Professional Services (0.2%): |
| ||||||
3,440 | Verisk Analytics, Inc., Class A* | 206,469 | ||||||
|
|
Continued
2
AZL Wells Fargo Large Cap Growth Fund
Schedule of Portfolio Investments
June 30, 2014 (Unaudited)
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Road & Rail (3.4%): |
| ||||||
7,000 | Kansas City Southern Industries, Inc. | $ | 752,570 | |||||
11,000 | Norfolk Southern Corp. | 1,133,330 | ||||||
15,880 | Union Pacific Corp. | 1,584,030 | ||||||
|
| |||||||
3,469,930 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment (1.8%): |
| ||||||
28,240 | Microchip Technology, Inc. | 1,378,394 | ||||||
10,750 | Texas Instruments, Inc. | 513,743 | ||||||
|
| |||||||
1,892,137 | ||||||||
|
| |||||||
| Software (3.8%): |
| ||||||
7,070 | Adobe Systems, Inc.* | 511,585 | ||||||
29,560 | Salesforce.com, Inc.* | 1,716,845 | ||||||
16,500 | ServiceNow, Inc.* | 1,022,340 | ||||||
11,000 | Splunk, Inc.* | 608,630 | ||||||
|
| |||||||
3,859,400 | ||||||||
|
| |||||||
| Specialty Retail (4.1%): |
| ||||||
33,250 | CarMax, Inc.* | 1,729,333 | ||||||
9,650 | O’Reilly Automotive, Inc.* | 1,453,290 | ||||||
16,320 | Tractor Supply Co. | 985,728 | ||||||
|
| |||||||
4,168,351 | ||||||||
|
|
Shares | Fair Value | |||||||
| Common Stocks, continued |
| ||||||
| Technology Hardware, Storage & Peripherals (1.7%): |
| ||||||
18,890 | Apple, Inc. | $ | 1,755,448 | |||||
|
| |||||||
| Textiles, Apparel & Luxury Goods (4.1%): |
| ||||||
9,060 | Michael Kors Holdings, Ltd.* | 803,169 | ||||||
23,940 | Nike, Inc., Class B | 1,856,547 | ||||||
24,280 | V.F. Corp. | 1,529,640 | ||||||
|
| |||||||
4,189,356 | ||||||||
|
| |||||||
| Trading Companies & Distributors (1.6%): |
| ||||||
6,530 | W.W. Grainger, Inc. | 1,660,383 | ||||||
|
| |||||||
| Total Common Stocks (Cost $95,216,765) | 101,463,027 | ||||||
|
| |||||||
| Unaffiliated Investment Company (1.2%): |
| ||||||
1,234,807 | Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(a) | 1,234,807 | ||||||
|
| |||||||
| Total Unaffiliated Investment Company (Cost $1,234,807) | 1,234,807 | ||||||
|
| |||||||
| Total Investment Securities (Cost $96,451,572)(b) — 100.0% | 102,697,834 | ||||||
| Net other assets (liabilities) — 0.0% | (44,097 | ) | |||||
|
| |||||||
| Net Assets — 100.0% | $ | 102,653,737 | |||||
|
|
Percentages indicated are based on net assets as of June 30, 2014.
ADR—American Depositary Receipt
* | Non-income producing security. |
(a) | The rate represents the effective yield at June 30, 2014. |
(b) | See Federal Tax Information listed in the Notes to the Financial Statements. |
See accompanying notes to the financial statements.
3
AZL Wells Fargo Large Cap Growth Fund
Statement of Assets and Liabilities
June 30, 2014
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 96,451,572 | |||
|
| ||||
Investment securities, at value | $ | 102,697,834 | |||
Interest and dividends receivable | 35,791 | ||||
Receivable for investments sold | 274,177 | ||||
|
| ||||
Total Assets | 103,007,802 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 258,354 | ||||
Manager fees payable | 58,493 | ||||
Administration fees payable | 31 | ||||
Distribution fees payable | 20,891 | ||||
Custodian fees payable | 2,052 | ||||
Administrative and compliance services fees payable | 1,489 | ||||
Trustee fees payable | 4,386 | ||||
Other accrued liabilities | 8,369 | ||||
|
| ||||
Total Liabilities | 354,065 | ||||
|
| ||||
Net Assets | $ | 102,653,737 | |||
|
| ||||
Net Assets Consist of: | |||||
Capital | $ | 96,455,461 | |||
Accumulated net investment income/(loss) | (7,091 | ) | |||
Accumulated net realized gains/(losses) from investment transactions | (40,895 | ) | |||
Net unrealized appreciation/(depreciation) on investments | 6,246,262 | ||||
|
| ||||
Net Assets | $ | 102,653,737 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 9,602,117 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.69 | |||
|
|
For the Period Ended June 30, 2014(a)
(Unaudited)
Investment Income: | |||||
Dividends | $ | 171,066 | |||
Income from securities lending | 206 | ||||
|
| ||||
Total Investment Income | 171,272 | ||||
|
| ||||
Expenses: | |||||
Manager fees | 135,896 | ||||
Administration fees | 1,201 | ||||
Distribution fees | 42,467 | ||||
Administrative and compliance services fees | 1,752 | ||||
Trustee fees | 5,159 | ||||
Professional fees | 5,900 | ||||
Shareholder reports | 1,988 | ||||
Other expenses | 987 | ||||
|
| ||||
Total expenses before reductions | 195,350 | ||||
Less expenses voluntarily waived/reimbursed by the Manager | (16,987 | ) | |||
|
| ||||
Net expenses | 178,363 | ||||
|
| ||||
Net Investment Income/(Loss) | (7,091 | ) | |||
|
| ||||
Realized and Unrealized Gains/(Losses) on Investments: | |||||
Net realized gains/(losses) on securities transactions | (40,895 | ) | |||
Change in net unrealized appreciation/depreciation on investments | 6,246,262 | ||||
|
| ||||
Net Realized/Unrealized Gains/(Losses) on Investments | 6,205,367 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 6,198,276 | |||
|
|
(a) | For the period April 28, 2014 (commencement of operations) to June 30, 2014. |
See accompanying notes to the financial statements.
4
Statement of Changes in Net Assets
AZL Wells Fargo Large Cap Growth Fund | |||||
April 28, 2014 through June 30, 2014 (a) | |||||
(Unaudited) | |||||
Change In Net Assets: | |||||
Operations: | |||||
Net investment income/(loss) | $ | (7,091 | ) | ||
Net realized gains/(losses) on investment transactions | (40,895 | ) | |||
Change in unrealized appreciation/depreciation on investments | 6,246,262 | ||||
|
| ||||
Change in net assets resulting from operations | 6,198,276 | ||||
|
| ||||
Capital Transactions: | |||||
Proceeds from shares issued | 97,198,882 | ||||
Value of shares redeemed | (743,421 | ) | |||
|
| ||||
Change in net assets resulting from capital transactions | 96,455,461 | ||||
|
| ||||
Change in net assets | 102,653,737 | ||||
Net Assets: | |||||
Beginning of period | — | ||||
|
| ||||
End of period | $ | 102,653,737 | |||
|
| ||||
Accumulated net investment income/(loss) | $ | (7,091 | ) | ||
|
| ||||
Share Transactions: | |||||
Shares issued | 9,673,041 | ||||
Shares redeemed | (70,924 | ) | |||
|
| ||||
Change in shares | 9,602,117 | ||||
|
|
(a) | Period from commencement of operations. |
See accompanying notes to the financial statements.
5
AZL Wells Fargo Large Cap Growth Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated)
April 28, 2014 to June 30, 2014 (a) | |||||
(Unaudited) | |||||
Net Asset Value, Beginning of Period | $ | 10.00 | |||
|
| ||||
Investment Activities: | |||||
Net Investment Income/(Loss) | — | (b) | |||
Net Realized and Unrealized Gains/(Losses) on Investments | 0.69 | ||||
|
| ||||
Total from Investment Activities | 0.69 | ||||
|
| ||||
Net Asset Value, End of Period | 10.69 | ||||
|
| ||||
Total Return(c) | 6.90 | %(d) | |||
Ratios to Average Net Assets/Supplemental Data: | |||||
Net Assets, End of Period (000’s) | $ | 102,654 | |||
Net Investment Income/(Loss)(d) | (0.04 | )% | |||
Expenses Before Reductions(d)(f) | 1.15 | % | |||
Expenses Net of Reductions(d) | 1.05 | % | |||
Portfolio Turnover Rate | 4 | %(d) |
(a) | Period from commencement of operations. |
(b) | Represents less than $0.005. |
(c) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(d) | Not annualized. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
6
AZL Wells Fargo Large Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
1. Organization
The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940. The Trust consists of 30 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Wells Fargo Large Cap Growth Fund (the “Fund”), and 29 are presented in separate reports.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.
Dividends to Shareholders
Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.
7
AZL Wells Fargo Large Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
3. Related Party Transactions
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Wells Capital Management Incorporated (“Wells Capital”), Wells Capital provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2015.
For the period ended June 30, 2014, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Wells Fargo Large Cap Growth Fund | 0.80 | % | 1.15 | % |
Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2014, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.
In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.
Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $75 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator, transfer agent, and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. In addition, the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”
In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2014, $75 was paid from the Fund relating to these fees and expenses.
Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2014, actual Trustee compensation was $456,400 in total for both trusts.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
— | Level 1 — quoted prices in active markets for identical assets |
— | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
— | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
8
AZL Wells Fargo Large Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
For the period ended June 30, 2014, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.
The following is a summary of the valuation inputs used as of June 30, 2014 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Total | ||||||||||||
Common Stocks+ | $ | 101,463,027 | $ | — | $ | 101,463,027 | |||||||||
Unaffiliated Investment Company | 1,234,807 | — | 1,234,807 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Investment Securities | $ | 102,697,834 | $ | — | $ | 102,697,834 | |||||||||
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2014, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Wells Fargo Large Cap Growth Fund | $ | 98,535,246 | $ | 3,277,585 |
6. Investment Risks
Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
7. Federal Tax Information
It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
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AZL Wells Fargo Large Cap Growth Fund
Notes to the Financial Statements
June 30, 2014 (Unaudited)
Cost for federal income tax purposes at June 30, 2014 is $96,598,532. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:
Unrealized appreciation | $ | 6,931,097 | ||
Unrealized depreciation | (831,795 | ) | ||
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Net unrealized appreciation depreciation | $ | 6,099,302 | ||
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The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2014.
8. Ownership and Principal Holders
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2014, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.
9. Subsequent Events
Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.
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A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
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Approval of Investment Advisory and Subadvisory Agreement (Unaudited)
The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 30 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.
In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.
The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds which have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.
In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.
As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.
The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement, a Compliance Services Agreement, and a Chief Compliance Officer Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.
The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.
The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.
The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.
At an “in-person” Board of Trustees meeting held February 19, 2014, the Board authorized the creation of the AZL Wells Fargo Large Cap Growth Fund (the “Wells Fargo Fund”) as a new series of the Trust.
The Advisory and Subadvisory Agreements pertaining to the Wells Fargo Fund (collectively, the “Agreements”) were approved at the Board of Trustees meeting of February 19, 2014. (The Subadvisory Agreement is between the Manager and Wells Capital Management Incorporated (“WellsCap”), the Subadviser to the Wells Fargo Fund.) At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2015. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives to that of the Wells Fargo Fund, derived from data compiled by an independent third party provider and other sources believed to be reliable by
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the Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the Wells Fargo Fund, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.
An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:
(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser. The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.
The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.
The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the February 19, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the Wells Fargo Fund under the Agreements.
(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. For example, in connection with the Board of Trustees meeting held February 19, 2014 the Manager reported that for a fund managed by WellsCap with investment objectives and policies similar to those of the Wells Fargo Fund, for the one, three, and five year periods ended December 31, 2013, such fund’s total returns were in the 42nd, 31st, and 29th percentiles respectively. At the Board of Trustees meeting held February 19, 2014, the Trustees determined that the overall investment performance of such Fund was acceptable.
(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the Wells Fargo Fund is subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth “contractual” advisory fees and “actual” fees after taking expense caps into account. Based upon the information provided, the “actual” management fee payable by the Wells Fargo Fund to the Manager would be in the 47th percentile. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the Wells Fargo Fund is not unreasonable.
The Manager also supplied information to the Board of Trustees pertaining to total anticipated Wells Fargo Fund expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by the Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the Wells Fargo Fund based upon 2013 data would have placed such Fund in the 52nd percentile.
The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the Wells Fargo Fund was not unreasonable.
At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. (The Wells Fargo Fund did not commence until February 19, 2014.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2014, the Trustees will receive information on the Manager’s level of profitability from its relationship with the Wells Fargo Fund.
The Manager, on behalf of the Board of Trustees, endeavored to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager was unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it were negotiated on an “arm’s length” basis, so that arguably, such profitability information should be less relevant. At the February 19, 2014 meeting, the Trustees were provided with certain information on the profitability to WellsCap from managing a fund similar to the Wells Fargo Fund. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization. Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to WellsCap from being the Subadviser to the Wells Fargo Fund was excessive.
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(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the Wells Fargo Fund does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the Wells Fargo Fund had no assets as of February 19, 2014.
The Trustees noted that the Manager has agreed to temporarily “cap” Fund expenses at certain levels, which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2014, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.
Having taken these factors into account, the Trustees concluded at the February 19, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the Wells Fargo Fund was acceptable under the circumstances.
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The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0614 8/14 |
Item 2. | Code of Ethics. |
Not applicable – only for annual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable – only for annual reports.
Item 4. | Principal Accountant Fees and Services. |
Not applicable – only for annual reports.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) The Schedule of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR.
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
Not applicable.
Item 11. | Controls and Procedures. |
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Exhibits. |
(a)(1) Not applicable – only for annual reports.
(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(a)(3) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Allianz Variable Insurance Products Trust |
By (Signature and Title) | /s/ Brian Muench | |||
Brian Muench, President | ||||
Date August 26, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Brian Muench | |||
Brian Muench, President | ||||
Date August 26, 2014 |
By (Signature and Title)* | /s/ Steve Rudden | |||
Steve Rudden, Treasurer | ||||
Date August 26, 2014 |