UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09491
Allianz Variable Insurance Products Trust
(Exact name of registrant as specified in charter)
5701 Golden Hills Drive, Minneapolis, MN 55416-1297
(Address of principal executive offices) (Zip code)
Citi Fund Services Ohio, Inc., 4400 Easton Commons, Suite 200, Columbus, OH 43219-8000
(Name and address of agent for service)
Registrant’s telephone number, including area code: 800-624-0197
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
Item 1. Reports to Stockholders.
AZL® DFA Five-Year Global Fixed Income Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA Five-Year Global Fixed Income Fund
(Unaudited)
As a shareholder of the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 938.90 | $ | 3.80 | 0.79 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,000.00 | $ | 1,020.88 | $ | 3.96 | 0.79 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Yankee Debt Obligations | 43.2 | % | |||
U.S. Treasury Obligations | 19.7 | ||||
Foreign Bonds | 19.5 | ||||
Corporate Bonds | 15.9 | ||||
Unaffiliated Investment Company | 2.2 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 2.0 | ||||
|
| ||||
Total Investment Securities | 102.5 | ||||
Net other assets (liabilities) | (2.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds (15.9%): | ||||||||
Capital Markets (1.3%): | ||||||||
$ | 2,250,000 | National Securities Clearing Corp., 0.75%, 12/7/25, Callable 11/7/25 @ 100 | $ | 2,041,484 | ||||
3,000,000 | National Securities Clearing Corp., 0.75%, 12/7/25, Callable 11/7/25 @ 100(a) | 2,721,978 | ||||||
|
| |||||||
4,763,462 | ||||||||
|
| |||||||
Diversified Financial Services (1.4%): | ||||||||
5,144,000 | Berkshire Hathaway, Inc., 3.13%, 3/15/26, Callable 12/15/25 @ 100 | 5,050,338 | ||||||
|
| |||||||
Food & Staples Retailing (0.9%): | ||||||||
3,600,000 | Walmart, Inc., 1.05%, 9/17/26, Callable 8/17/26 @ 100 | 3,281,936 | ||||||
|
| |||||||
Food Products (0.7%): | ||||||||
2,550,000 | Nestle Holdings, Inc., 0.63%, 1/15/26, Callable 12/15/25 @ 100(a) | 2,299,460 | ||||||
|
| |||||||
Health Care (0.6%): | ||||||||
2,000,000 | Roche Holdings, Inc., 3.35%, 9/30/24, Callable 6/30/24 @ 100(a) | 1,999,070 | ||||||
|
| |||||||
Household Products (1.2%): | ||||||||
4,827,000 | Procter & Gamble Co. (The), 1.00%, 4/23/26 | 4,420,562 | ||||||
|
| |||||||
Internet & Direct Marketing Retail (2.7%): | ||||||||
2,000,000 | Amazon.com, Inc., Class A, 2.73%, 4/13/24 | 1,988,022 | ||||||
1,500,000 | Amazon.com, Inc., 0.45%, 5/12/24 | 1,426,920 | ||||||
6,725,000 | Amazon.com, Inc., 1.00%, 5/12/26, Callable 4/12/26 @ 100 | 6,123,852 | ||||||
|
| |||||||
9,538,794 | ||||||||
|
| |||||||
IT Services (0.5%): | ||||||||
1,682,000 | Visa, Inc., 3.15%, 12/14/25, Callable 9/14/25 @ 100 | 1,661,935 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.6%): | ||||||||
100,000 | Chevron Corp., 1.55%, 5/11/25, Callable 4/11/25 @ 100 | 94,914 | ||||||
1,000,000 | Chevron Corp., 2.95%, 5/16/26, Callable 2/16/26 @ 100 | 978,269 | ||||||
1,000,000 | Chevron USA, Inc., 0.69%, 8/12/25, Callable 7/12/25 @ 100 | 920,664 | ||||||
200,000 | Exxon Mobil Corp., 0.14%, 6/26/24, Callable 5/26/24 @ 100 | 202,997 | ||||||
|
| |||||||
2,196,844 | ||||||||
|
| |||||||
Pharmaceuticals (2.9%): | ||||||||
1,000,000 | Johnson & Johnson, 0.55%, 9/1/25, Callable 8/1/25 @ 100 | 918,829 | ||||||
1,060,000 | Merck & Co., Inc., 0.75%, 2/24/26, Callable 1/24/26 @ 100 | 961,150 | ||||||
400,000 | Novartis Capital Corp., 3.40%, 5/6/24 | 401,980 | ||||||
2,000,000 | Novartis Capital Corp., 3.00%, 11/20/25, Callable 8/20/25 @ 100 | 1,974,592 | ||||||
2,400,000 | Roche Holdings, Inc., 1.88%, 3/8/24(a) | 2,343,410 | ||||||
1,754,000 | Roche Holdings, Inc., 0.99%, 3/5/26, Callable 2/5/26 @ 100(a) | 1,602,404 | ||||||
2,200,000 | Roche Holdings, Inc., 2.63%, 5/15/26, Callable 2/15/26 @ 100(a) | 2,120,331 | ||||||
|
| |||||||
10,322,696 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (3.1%): | ||||||||
1,000,000 | Apple, Inc., 2.51%, 8/19/24, Callable 6/19/24 @ 100 | 758,197 | ||||||
674,000 | Apple, Inc., 1.13%, 5/11/25, Callable 4/11/25 @ 100 | 633,825 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
$ | 3,376,000 | Apple, Inc., 0.70%, 2/8/26, Callable 1/8/26 @ 100 | $ | 3,073,747 | ||||
6,701,000 | Apple, Inc., 3.25%, 2/23/26, Callable 11/23/25 @ 100 | 6,657,075 | ||||||
|
| |||||||
11,122,844 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $60,781,576) | 56,657,941 | |||||||
|
| |||||||
Foreign Bonds (19.5%): | ||||||||
Banking (0.1%): | ||||||||
500,000 | Royal Bank of Canada, 4.20%, 6/22/26, MTN+ | 339,566 | ||||||
|
| |||||||
Banks (3.6%): | ||||||||
700,000 | Bank of Montreal, 2.70%, 9/11/24+ | 531,141 | ||||||
1,200,000 | Bank of Nova Scotia (The), 2.29%, 6/28/24+ | 904,242 | ||||||
700,000 | Dexia Credit Local SA, 1.25%, 11/26/24+ | 731,209 | ||||||
200,000 | National Australia Bank, Ltd., 0.25%, 5/20/24, MTN+ | 203,477 | ||||||
600,000 | Nordic Investment Bank, 3.40%, 2/6/26, MTN+ | 404,676 | ||||||
8,000,000 | Royal Bank of Canada, 4.93%, 7/16/25+ | 6,367,863 | ||||||
100,000 | Svenska Handelsbanken AB, 0.13%, 6/18/24, MTN+ | 101,549 | ||||||
2,500,000 | Toronto-Dominion Bank (The), 3.23%, 7/24/24+ | 1,916,919 | ||||||
2,400,000 | Westpac Banking Corp., 4.13%, 6/4/26, MTN+ | 1,630,596 | ||||||
|
| |||||||
12,791,672 | ||||||||
|
| |||||||
Capital Markets (0.9%): | ||||||||
1,000,000 | International Finance Corp., 4.00%, 4/3/25, MTN+ | 694,086 | ||||||
3,500,000 | International Finance Corp., 3.20%, 7/22/26, MTN+ | 2,340,660 | ||||||
|
| |||||||
3,034,746 | ||||||||
|
| |||||||
Diversified Financial Services (1.9%): | ||||||||
700,000 | BNG Bank NV, 3.25%, 7/15/25, MTN+ | 473,088 | ||||||
700,000 | European Financial Stability Facility, 2.13%, 2/19/24, MTN+ | 747,543 | ||||||
49,000 | European Financial Stability Facility, 1.75%, 6/27/24, MTN+ | 52,029 | ||||||
200,000 | European Financial Stability Facility, 0.40%, 2/17/25, MTN+ | 205,185 | ||||||
7,000,000 | European Investment Bank, 0.75%, 9/9/24, MTN+ | 678,997 | ||||||
200,000 | European Investment Bank, 0.88%, 9/13/24, MTN+ | 208,366 | ||||||
140,000 | European Investment Bank, 0.00%, 3/25/25, MTN+ | 141,755 | ||||||
2,000,000 | European Investment Bank, 1.25%, 5/12/25, MTN+ | 188,038 | ||||||
800,000 | European Stability Mechanism, 0.00%, 12/16/24+ | 815,491 | ||||||
900,000 | European Stability Mechanism, 0.00%, 3/14/25+ | 912,693 | ||||||
1,900,000 | Kreditanstalt fuer Wiederaufbau, 4.00%, 2/27/25, MTN+ | 1,319,931 | ||||||
500,000 | Kreditanstalt fuer Wiederaufbau, 3.20%, 9/11/26, MTN+ | 333,786 | ||||||
1,100,000 | Landwirtschaftliche Rentenbank, 4.75%, 5/6/26, MTN+ | 778,776 | ||||||
|
| |||||||
6,855,678 | ||||||||
|
| |||||||
Financial Services (0.6%): | ||||||||
1,000,000 | OMERS Finance Trust, 0.45%, 5/13/25+ | 1,013,422 | ||||||
950,000 | Ontario Teachers’ Finance Trust, 0.50%, 5/6/25+ | 965,031 | ||||||
|
| |||||||
1,978,453 | ||||||||
|
| |||||||
Financials (0.0%†): | ||||||||
150,000 | Euroclear Bank SA, 0.13%, 7/7/25, MTN+ | 148,396 | ||||||
|
| |||||||
Health Care (0.1%): | ||||||||
100,000 | Novo Nordisk Finance Netherlands BV, 0.75%, 3/31/25, Callable 2/28/25 @ 100, MTN+ | 102,206 |
See accompanying notes to the financial statements.
2
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Foreign Bonds, continued | ||||||||
Health Care, continued | ||||||||
$ | 200,000 | Roche Finance Europe BV, 0.88%, 2/25/25, Callable 11/25/24 @ 100, MTN+ | $ | 206,171 | ||||
|
| |||||||
308,377 | ||||||||
|
| |||||||
Industrial Services (0.2%): | ||||||||
800,000 | Societe Nationale SNCF SA, 4.13%, 2/19/25, MTN+ | 886,733 | ||||||
|
| |||||||
Insurance (0.1%): | ||||||||
400,000 | UNEDIC ASSEO, 0.13%, 11/25/24, MTN+ | 407,871 | ||||||
|
| |||||||
National (0.8%): | ||||||||
1,200,000 | Agence Francaise de Developpement EPIC, 0.00%, 3/25/25, MTN+ | 1,214,422 | ||||||
200,000 | Bpifrance SACA, 0.75%, 11/25/24+ | 207,198 | ||||||
200,000 | Bpifrance SACA, 0.50%, 5/25/25, MTN+ | 204,447 | ||||||
400,000 | Kreditanstalt fuer Wiederaufbau, 0.13%, 10/4/24+ | 411,128 | ||||||
540,000 | Kreditanstalt fuer Wiederaufbau, 0.00%, 11/15/24, MTN+ | 552,323 | ||||||
200,000 | Kreditanstalt fuer Wiederaufbau, 0.00%, 2/18/25, MTN+ | 203,649 | ||||||
159,000 | Kreditanstalt fuer Wiederaufbau, 0.38%, 4/23/25+ | 163,063 | ||||||
|
| |||||||
2,956,230 | ||||||||
|
| |||||||
Oil & Gas (0.1%): | ||||||||
300,000 | Shell International Finance BV, 0.50%, 5/11/24, MTN+ | 308,233 | ||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
100,000 | Abbott Ireland Financing DAC, 0.10%, 11/19/24, Callable 10/19/24 @ 100+ | 100,663 | ||||||
100,000 | Sanofi, 0.88%, 4/6/25, Callable 3/6/25 @ 100+ | 102,398 | ||||||
|
| |||||||
203,061 | ||||||||
|
| |||||||
Regional & Local (1.7%): | ||||||||
8,000,000 | Kommuninvest I Sverige AB, 1.00%, 10/2/24, MTN+ | 755,979 | ||||||
1,000,000 | Province of Alberta Canada, 0.50%, 4/16/25+ | 1,020,118 | ||||||
700,000 | Province of Alberta Canada, 0.63%, 4/18/25+ | 715,894 | ||||||
200,000 | Province of Quebec Canada, 0.88%, 1/15/25+ | 206,488 | ||||||
4,000,000 | Queensland Treasury Corp., 3.25%, 7/21/26+(a) | 2,716,059 | ||||||
500,000 | South Australian Government Financing Authority, 2.25%, 8/15/24+ | 337,554 | ||||||
500,000 | Western Australian Treasury Corp., 2.50%, 7/23/24+ | 340,405 | ||||||
|
| |||||||
6,092,497 | ||||||||
|
| |||||||
Sovereign Bond (9.1%): | ||||||||
500,000 | African Development Bank, 4.75%, 3/6/24, MTN+ | 351,256 | ||||||
1,000,000 | Asian Development Bank, 3.75%, 3/12/25, MTN+ | 689,932 | ||||||
1,000,000 | Asian Development Bank, 0.50%, 5/5/26, MTN+ | 603,539 | ||||||
8,000,000 | Australia Government Bond, 0.25%, 11/21/25+ | 4,996,639 | ||||||
1,500,000 | Australia Government Bond, 4.25%, 4/21/26+ | 1,070,683 | ||||||
1,000,000 | Australia Government Bond, 0.50%, 9/21/26+ | 614,215 | ||||||
24,000,000 | Denmark Government Bond, 0.00%, 11/15/24+ | 3,306,240 | ||||||
100,000 | European Union, 0.50%, 4/4/25, MTN+ | 102,936 | ||||||
420,000 | European Union, 0.80%, 7/4/25+ | 435,244 | ||||||
1,500,000 | French Republic Government Bond OAT, 0.00%, 2/25/25+ | 1,528,636 | ||||||
300,000 | Inter-American Development Bank, 2.75%, 10/30/25, MTN+ | 199,715 | ||||||
300,000 | Inter-American Development Bank, 4.25%, 6/11/26, MTN+ | 208,361 |
Principal Amount | Value | |||||||
Foreign Bonds, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 2,500,000 | International Bank for Reconstruction & Development, 0.50%, 5/18/26, MTN+ | $ | 1,506,846 | ||||
300,000 | Kingdom of Belgium Government Bond, 0.50%, 10/22/24+(a) | 311,763 | ||||||
900,000 | Kingdom of Belgium Government Bond, 0.80%, 6/22/25+(a) | 935,476 | ||||||
1,100,000 | Netherlands Government Bond, 2.00%, 7/15/24+(a) | 1,181,626 | ||||||
300,000 | Netherlands Government Bond, 0.25%, 7/15/25+(a) | 307,236 | ||||||
9,200,000 | New South Wales Treasury Corp., 4.00%, 5/20/26+ | 6,415,436 | ||||||
4,500,000 | New Zealand Local Government Funding Agency Bond, 2.25%, 4/15/24+ | 2,722,207 | ||||||
500,000 | New Zealand Local Government Funding Agency Bond, 2.75%, 4/15/25+ | 300,552 | ||||||
11,100,000 | Norway Government Bond, 1.75%, 3/13/25+(a) | 1,092,491 | ||||||
500,000 | Province of Ontario Canada, 3.10%, 8/26/25, MTN+ | 335,343 | ||||||
1,000,000 | Sweden Government Bond, 2.50%, 5/12/25+ | 99,432 | ||||||
5,200,000 | Treasury Corp. of Victoria, 0.50%, 11/20/25, MTN+ | 3,227,289 | ||||||
|
| |||||||
32,543,093 | ||||||||
|
| |||||||
Supranationals (0.2%): | ||||||||
438,000 | Council Of Europe Development Bank, 0.38%, 3/27/25, MTN+ | 446,490 | ||||||
100,000 | Eurofima Europaeische Gesellschaft fuer die Finanzierung von Eisenbahnmaterial, 0.25%, 2/9/24, MTN+ | 103,202 | ||||||
|
| |||||||
549,692 | ||||||||
|
| |||||||
Total Foreign Bonds (Cost $76,725,520) | 69,404,298 | |||||||
|
| |||||||
Yankee Debt Obligations (43.2%): | ||||||||
Banks (8.9%): | ||||||||
1,000,000 | Bank of New Zealand, 1.00%, 3/3/26(a) | 893,934 | ||||||
2,400,000 | Commonwealth Bank of Australia, 1.13%, 6/15/26(a) | 2,150,299 | ||||||
300,000 | Cooperatieve Rabobank UA, 1.38%, 1/10/25^ | 282,573 | ||||||
1,400,000 | Dexia Credit Local SA, 0.50%, 7/16/24 | 1,327,610 | ||||||
400,000 | Dexia Credit Local SA, 1.13%, 4/9/26(a) | 369,472 | ||||||
1,716,000 | Dexia Credit Local SA, 1.13%, 4/9/26 | 1,585,033 | ||||||
400,000 | National Australia Bank, Ltd., 1.39%, 1/12/25(a) | 377,851 | ||||||
1,000,000 | National Australia Bank, Ltd., 3.38%, 1/14/26 | 981,356 | ||||||
3,000,000 | Nordea Bank Abp, 0.75%, 8/28/25(a) | 2,712,636 | ||||||
2,000,000 | Skandinaviska Enskilda Banken AB, 0.85%, 9/2/25(a) | 1,813,664 | ||||||
7,100,000 | Skandinaviska Enskilda Banken AB, 1.20%, 9/9/26(a) | 6,356,602 | ||||||
1,250,000 | Svenska Handelsbanken AB, 0.55%, 6/11/24(a) | 1,174,135 | ||||||
3,860,000 | Toronto-Dominion Bank (The), 0.75%, 1/6/26, MTN^ | 3,452,280 | ||||||
19,000 | Toronto-Dominion Bank (The), 1.20%, 6/3/26 | 17,026 | ||||||
1,000,000 | Westpac Banking Corp., 1.02%, 11/18/24 | 939,552 | ||||||
2,891,000 | Westpac Banking Corp., 2.35%, 2/19/25 | 2,789,939 | ||||||
1,000,000 | Westpac Banking Corp., 2.85%, 5/13/26 | 959,600 | ||||||
3,490,000 | Westpac Banking Corp., 1.15%, 6/3/26 | 3,135,203 | ||||||
|
| |||||||
31,318,765 | ||||||||
|
| |||||||
Capital Markets (1.8%): | ||||||||
1,000,000 | Erste Abwicklungsanstalt, 0.25%, 3/1/24, MTN | 955,010 | ||||||
2,400,000 | Erste Abwicklungsanstalt, 0.88%, 10/30/24, MTN | 2,282,016 | ||||||
1,000,000 | PSP Capital, Inc., 0.50%, 9/15/24 | 944,900 | ||||||
2,228,000 | PSP Capital, Inc., 1.00%, 6/29/26(a) | 2,032,509 | ||||||
|
| |||||||
6,214,435 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Diversified Financial Services (13.5%): | ||||||||
$ | 7,200,000 | Agence Francaise de Developpement Epic, 0.63%, 1/22/26, MTN | $ | 6,575,040 | ||||
2,894,000 | Bng Bank NV, 0.50%, 11/24/25, MTN | 2,646,835 | ||||||
668,000 | Bng Bank NV, 0.88%, 5/18/26, MTN | 611,828 | ||||||
674,000 | BNG Bank NV, 2.38%, 3/16/26 | 658,228 | ||||||
3,644,000 | BNG Bank NV, 0.88%, 5/18/26(a) | 3,337,612 | ||||||
1,000,000 | CPPIB Capital, Inc., 1.25%, 3/4/25 | 952,780 | ||||||
9,650,000 | CPPIB Capital, Inc., 0.88%, 9/9/26(a) | 8,756,892 | ||||||
2,626,000 | European Bank for Reconstruction & Development, 0.50%, 1/28/26 | 2,395,424 | ||||||
200,000 | European Investment Bank, 3.25%, 1/29/24 | 200,858 | ||||||
1,388,000 | Kommunalbanken AS, 2.13%, 4/23/25 | 1,349,025 | ||||||
648,000 | Kommunalbanken AS, 0.38%, 9/11/25 | 593,929 | ||||||
1,000,000 | Kommunalbanken AS, 0.50%, 1/13/26, MTN | 911,598 | ||||||
2,800,000 | Kommunalbanken AS, 0.60%, 6/1/26, MTN | 1,685,821 | ||||||
1,244,000 | Kommunalbanken AS, 1.13%, 10/26/26(a) | 1,143,119 | ||||||
3,470,000 | Kommunekredit, 0.50%, 1/28/26, MTN | 3,157,665 | ||||||
1,834,000 | Kreditanstalt fuer Wiederaufbau, 0.25%, 3/8/24 | 1,752,000 | ||||||
4,747,000 | Landwirtschaftliche Rentenbank, 0.88%, 3/30/26 | 4,365,560 | ||||||
1,227,000 | Nrw Bank, 0.88%, 3/9/26, MTN | 1,124,941 | ||||||
5,857,000 | Ontario Teachers’ Finance Trust, 0.88%, 9/21/26(a) | 5,237,915 | ||||||
300,000 | Shell International Finance BV, 3.25%, 5/11/25 | 296,735 | ||||||
390,000 | Shell International Finance BV, 2.88%, 5/10/26 | 377,733 | ||||||
|
| |||||||
48,131,538 | ||||||||
|
| |||||||
National (2.2%): | ||||||||
465,000 | Export Development Canada, 2.63%, 2/21/24 | 462,482 | ||||||
1,000,000 | Kommunalbanken AS, 2.00%, 6/19/24, MTN | 978,960 | ||||||
750,000 | Nederlandse Waterschapsbank NV, 1.13%, 3/15/24, MTN | 725,520 | ||||||
2,402,000 | Oesterreichische Kontrollbank AG, 0.50%, 9/16/24 | 2,271,446 | ||||||
2,000,000 | Oesterreichische Kontrollbank AG, 0.38%, 9/17/25 | 1,832,282 | ||||||
2,000,000 | Svensk Exportkredit AB, 0.38%, 3/11/24 | 1,911,368 | ||||||
|
| |||||||
8,182,058 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.2%): | ||||||||
4,000,000 | Equinor ASA, 1.75%, 1/22/26, Callable 12/22/25 @ 100 | 3,733,716 | ||||||
700,000 | Shell International Finance BV, 2.00%, 11/7/24, Callable 10/7/24 @ 100 | 679,591 | ||||||
|
| |||||||
4,413,307 | ||||||||
|
| |||||||
Regional & Local (2.2%): | ||||||||
1,000,000 | Kommuninvest I Sverige AB, 1.38%, 5/8/24(a) | 968,834 | ||||||
3,000,000 | Kommuninvest I Sverige AB, 1.38%, 5/8/24, MTN | 2,906,502 | ||||||
1,486,000 | Kommuninvest I Sverige AB, 2.88%, 7/3/24(a) | 1,476,824 | ||||||
2,581,000 | Landeskreditbank Baden-Wuerttemberg Foerderbank, 2.00%, 7/23/24, MTN | 2,527,031 | ||||||
|
| |||||||
7,879,191 | ||||||||
|
| |||||||
Sovereign Bond (12.7%): | ||||||||
1,457,000 | African Development Bank, 0.88%, 3/23/26 | 1,341,466 | ||||||
950,000 | African Development Bank, 0.88%, 7/22/26 | 869,069 | ||||||
2,215,000 | Asian Development Bank, 1.00%, 4/14/26 | 2,048,784 | ||||||
844,000 | Asian Infrastructure Investment Bank (The), 2.25%, 5/16/24 | 830,084 | ||||||
7,687,000 | Asian Infrastructure Investment Bank (The), 0.50%, 1/27/26^ | 6,978,482 | ||||||
741,000 | Inter-American Development Bank, 0.88%, 4/20/26 | 682,629 |
Shares or Principal | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 489,000 | Inter-American Investment Corp., 0.63%, 2/10/26, MTN | $ | 445,254 | ||||
3,714,000 | International Bank for Reconstruction & Development, 2.50%, 3/19/24 | 3,685,280 | ||||||
2,578,000 | Kuntarahoitus OYJ, 0.63%, 3/20/26, MTN | 2,350,772 | ||||||
1,000,000 | Province of Manitoba Canada, 2.60%, 4/16/24 | 990,917 | ||||||
2,000,000 | Province of Ontario Canada, 3.05%, 1/29/24 | 1,999,144 | ||||||
3,650,000 | Province of Ontario Canada, 0.63%, 1/21/26^ | 3,329,070 | ||||||
4,521,000 | Province of Ontario Canada, 1.05%, 4/14/26 | 4,163,814 | ||||||
5,120,000 | Province of Quebec Canada, 2.50%, 4/9/24 | 5,067,018 | ||||||
5,200,000 | SFIL SA, 0.63%, 2/9/26, MTN | 4,733,196 | ||||||
3,400,000 | State of North Rhine-Westphalia Germany, 1.00%, 4/21/26, MTN | 3,136,296 | ||||||
2,800,000 | Svensk Exportkredit AB, 0.38%, 7/30/24 | 2,647,817 | ||||||
|
| |||||||
45,299,092 | ||||||||
|
| |||||||
Supranationals (0.7%): | ||||||||
857,000 | Asian Infrastructure Investment Bank (The), 0.50%, 10/30/24 | 807,003 | ||||||
400,000 | Inter-American Development Bank, 3.00%, 2/21/24 | 400,200 | ||||||
324,000 | Inter-American Investment Corp., 1.75%, 10/2/24 | 314,332 | ||||||
1,000,000 | International Bank for Reconstruction & Development, 2.25%, 3/28/24 | 987,640 | ||||||
|
| |||||||
2,509,175 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $164,632,037) | 153,947,561 | |||||||
|
| |||||||
U.S. Treasury Obligations (19.7%): | ||||||||
U.S. Treasury Notes (19.7%) | ||||||||
3,500,000 | 0.13%, 12/15/23 | 3,360,000 | ||||||
10,000,000 | 0.75%, 12/31/23 | 9,678,125 | ||||||
3,000,000 | 2.50%, 1/31/24 | 2,978,906 | ||||||
8,500,000 | 0.88%, 1/31/24 | 8,229,063 | ||||||
3,000,000 | 2.75%, 2/15/24 | 2,991,094 | ||||||
6,700,000 | 0.13%, 2/15/24 | 6,403,734 | ||||||
4,000,000 | 2.13%, 2/29/24 | 3,947,500 | ||||||
11,000,000 | 2.38%, 2/29/24 | 10,902,031 | ||||||
12,000,000 | 0.25%, 3/15/24 | 11,461,875 | ||||||
7,000,000 | 0.38%, 4/15/24 | 6,686,094 | ||||||
4,000,000 | 0.63%, 10/15/24 | 3,792,500 | ||||||
|
| |||||||
70,430,922 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $71,079,138) | 70,430,922 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (2.0%): | ||||||||
7,081,492 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(b)(c) | 7,081,492 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 7,081,492 | ||||||
|
| |||||||
Unaffiliated Investment Company (2.2%): | ||||||||
Money Markets (2.2%): | ||||||||
7,723,988 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 7,723,988 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $7,723,988) | 7,723,988 | |||||||
|
| |||||||
Total Investment Securities (Cost $388,023,751) — 102.5% | 365,246,202 | |||||||
Net other assets (liabilities) — (2.5)% | (8,821,341 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 356,424,861 | ||||||
|
|
See accompanying notes to the financial statements.
4
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2022.
MTN—Medium Term Note
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $6,916,061. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | 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, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Australia | 9.0 | % | ||
Austria | 1.1 | % | ||
Belgium | 0.4 | % | ||
Canada | 14.3 | % | ||
Denmark | 1.8 | % | ||
Finland | 1.4 | % | ||
France | 5.4 | % | ||
Germany | 5.4 | % | ||
Ireland | — | %† | ||
Luxembourg | 0.3 | % | ||
Netherlands | 3.3 | % | ||
New Zealand | 1.1 | % | ||
Norway | 3.1 | % | ||
Supranational | 9.0 | % | ||
Sweden | 5.5 | % | ||
United States | 38.9 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
Forward Currency Contracts
At June 30, 2022, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
U.S. Dollar | 604,704 | Swedish Krona | 5,891,445 | HSBC | 7/5/22 | $ | 28,376 | |||||||||||||
U.S. Dollar | 5,769,630 | New Zealand Dollar | 9,096,818 | UBS | 7/12/22 | 91,138 | ||||||||||||||
U.S. Dollar | 875,102 | Australian Dollar | 1,257,332 | ANZ Banking Group | 7/21/22 | 7,286 | ||||||||||||||
U.S. Dollar | 35,811,193 | Australian Dollar | 48,949,671 | HSBC | 7/21/22 | 2,025,912 | ||||||||||||||
U.S. Dollar | 252,129 | Norwegian Krone | 2,467,858 | HSBC | 8/11/22 | 1,235 | ||||||||||||||
U.S. Dollar | 5,474,827 | Canadian Dollar | 7,000,718 | Bank of America | 8/23/22 | 34,562 | ||||||||||||||
Canadian Dollar | 141,635 | U.S. Dollar | 109,947 | Citigroup | 8/23/22 | 118 | ||||||||||||||
Canadian Dollar | 247,921 | U.S. Dollar | 192,573 | Bank of America | 8/24/22 | 88 | ||||||||||||||
U.S. Dollar | 5,886,537 | Canadian Dollar | 7,572,111 | State Street | 8/24/22 | 2,203 | ||||||||||||||
U.S. Dollar | 795,184 | European Euro | 753,646 | Bank of America | 9/7/22 | 1,497 | ||||||||||||||
U.S. Dollar | 1,002,378 | European Euro | 943,287 | Bank of America | 9/7/22 | 8,975 | ||||||||||||||
U.S. Dollar | 310,447 | European Euro | 293,057 | Bank of America | 9/7/22 | 1,820 | ||||||||||||||
U.S. Dollar | 442,596 | European Euro | 418,448 | Bank of America | 9/7/22 | 1,916 | ||||||||||||||
U.S. Dollar | 1,096,220 | European Euro | 1,020,023 | Bank of America | 9/7/22 | 22,004 | ||||||||||||||
U.S. Dollar | 634,409 | European Euro | 595,983 | Bank of America | 9/7/22 | 6,762 | ||||||||||||||
U.S. Dollar | 840,931 | European Euro | 793,201 | Barclays Bank | 9/7/22 | 5,588 | ||||||||||||||
U.S. Dollar | 621,933 | European Euro | 581,617 | HSBC | 9/7/22 | 9,415 |
See accompanying notes to the financial statements.
5
AZL DFA Five-Year Global Fixed Income Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
U.S. Dollar | 215,329 | European Euro | 199,936 | State Street | 9/7/22 | $ | 4,771 | |||||||||||||
U.S. Dollar | 820,293 | European Euro | 771,614 | State Street | 9/7/22 | 7,683 | ||||||||||||||
U.S. Dollar | 1,155,558 | European Euro | 1,073,600 | State Street | 9/7/22 | 24,919 | ||||||||||||||
U.S. Dollar | 1,765,936 | European Euro | 1,670,110 | State Street | 9/7/22 | 7,095 | ||||||||||||||
U.S. Dollar | 381,633 | European Euro | 360,615 | State Street | 9/7/22 | 1,859 | ||||||||||||||
Danish Krone | 39,652 | U.S. Dollar | 5,593 | Bank of America | 9/12/22 | 27 | ||||||||||||||
U.S. Dollar | 561,083 | Danish Krone | 3,901,560 | HSBC | 9/12/22 | 8,127 | ||||||||||||||
U.S. Dollar | 410,493 | Danish Krone | 2,883,899 | HSBC | 9/12/22 | 1,768 | ||||||||||||||
U.S. Dollar | 137,916 | Danish Krone | 964,643 | HSBC | 9/12/22 | 1,200 | ||||||||||||||
U.S. Dollar | 718,846 | Norwegian Krone | 6,866,217 | HSBC | 9/12/22 | 20,226 | ||||||||||||||
U.S. Dollar | 153,972 | Danish Krone | 1,080,180 | UBS | 9/12/22 | 882 | ||||||||||||||
U.S. Dollar | 276,190 | Danish Krone | 1,938,402 | UBS | 9/12/22 | 1,466 | ||||||||||||||
U.S. Dollar | 193,313 | Swedish Krona | 1,953,880 | Bank of America | 9/15/22 | 1,559 | ||||||||||||||
U.S. Dollar | 98,686 | Swedish Krona | 991,310 | Citigroup | 9/15/22 | 1,399 | ||||||||||||||
|
| |||||||||||||||||||
$ | 2,331,876 | |||||||||||||||||||
|
| |||||||||||||||||||
New Zealand Dollar | 936,521 | U.S. Dollar | 592,870 | ANZ Banking Group | 7/12/22 | (8,267 | ) | |||||||||||||
New Zealand Dollar | 935,705 | U.S. Dollar | 589,552 | ANZ Banking Group | 7/12/22 | (5,459 | ) | |||||||||||||
New Zealand Dollar | 863,801 | U.S. Dollar | 549,161 | ANZ Banking Group | 7/12/22 | (9,952 | ) | |||||||||||||
New Zealand Dollar | 666,464 | U.S. Dollar | 419,516 | ANZ Banking Group | 7/12/22 | (3,490 | ) | |||||||||||||
New Zealand Dollar | 861,370 | U.S. Dollar | 560,186 | HSBC | 7/12/22 | (22,495 | ) | |||||||||||||
Australian Dollar | 721,243 | U.S. Dollar | 505,406 | Bank of America | 7/21/22 | (7,601 | ) | |||||||||||||
Australian Dollar | 507,513 | U.S. Dollar | 358,081 | Bank of America | 7/21/22 | (7,793 | ) | |||||||||||||
U.S. Dollar | 438,289 | Australian Dollar | 637,666 | Bank of America | 7/21/22 | (1,831 | ) | |||||||||||||
Australian Dollar | 1,127,055 | U.S. Dollar | 813,354 | HSBC | 7/21/22 | (35,458 | ) | |||||||||||||
U.S. Dollar | 685,100 | Norwegian Krone | 6,775,703 | Citigroup | 8/11/22 | (3,749 | ) | |||||||||||||
Canadian Dollar | 498,464 | U.S. Dollar | 392,467 | Bank of America | 8/24/22 | (5,108 | ) | |||||||||||||
Canadian Dollar | 162,069 | U.S. Dollar | 129,215 | HSBC | 8/24/22 | (3,270 | ) | |||||||||||||
U.S. Dollar | 2,204,000 | European Euro | 2,100,213 | State Street | 9/7/22 | (7,796 | ) | |||||||||||||
U.S. Dollar | 293,148 | European Euro | 279,803 | State Street | 9/7/22 | (1,521 | ) | |||||||||||||
U.S. Dollar | 842,534 | European Euro | 803,342 | State Street | 9/7/22 | (3,489 | ) | |||||||||||||
U.S. Dollar | 2,012,227 | European Euro | 1,919,840 | UBS | 9/7/22 | (9,613 | ) | |||||||||||||
U.S. Dollar | 273,661 | Danish Krone | 1,931,040 | Bank of America | 9/12/22 | (19 | ) | |||||||||||||
U.S. Dollar | 145,401 | Norwegian Krone | 1,436,505 | Citigroup | 9/12/22 | (759 | ) | |||||||||||||
U.S. Dollar | 953,681 | Danish Krone | 6,757,247 | HSBC | 9/12/22 | (4,002 | ) | |||||||||||||
U.S. Dollar | 542,368 | Danish Krone | 3,849,668 | HSBC | 9/12/22 | (3,233 | ) | |||||||||||||
U.S. Dollar | 183,179 | Swedish Krona | 1,869,050 | UBS | 9/15/22 | (249 | ) | |||||||||||||
U.S. Dollar | 574,505 | Swedish Krona | 5,911,455 | Bank of America | 9/29/22 | (6,029 | ) | |||||||||||||
U.S. Dollar | 3,571,174 | European Euro | 3,386,781 | State Street | 9/29/22 | (1,291 | ) | |||||||||||||
|
| |||||||||||||||||||
$ | (152,474 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | 2,179,402 | |||||||||||||||||
|
|
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
Unrealized Appreciation | Unrealized Depreciation | |||||||||
Forward currency contracts | $ | 2,331,876 | $ | (152,474 | ) |
See accompanying notes to the financial statements.
6
AZL DFA Five-Year Global Fixed Income Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 388,023,751 | |||
|
| ||||
Investment securities, at value(a) | $ | 365,246,202 | |||
Cash | 4,328 | ||||
Interest and dividends receivable | 1,518,409 | ||||
Foreign currency, at value (cost $22,136) | 22,037 | ||||
Unrealized appreciation on forward currency contracts | 2,331,876 | ||||
Receivable for capital shares issued | 894 | ||||
Receivable for investments sold | 7,806,999 | ||||
Prepaid expenses | 1,046 | ||||
|
| ||||
Total Assets | 376,931,791 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 152,474 | ||||
Payable for investments purchased | 12,871,322 | ||||
Payable for capital shares redeemed | 115,825 | ||||
Payable for collateral received on loaned securities | 7,081,492 | ||||
Manager fees payable | 147,790 | ||||
Administration fees payable | 46,930 | ||||
Distribution fees payable | 73,895 | ||||
Custodian fees payable | 3,297 | ||||
Administrative and compliance services fees payable | 499 | ||||
Transfer agent fees payable | 1,173 | ||||
Trustee fees payable | 4,164 | ||||
Other accrued liabilities | 8,069 | ||||
|
| ||||
Total Liabilities | 20,506,930 | ||||
|
| ||||
Net Assets | $ | 356,424,861 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 382,347,576 | |||
Total distributable earnings | (25,922,715 | ) | |||
|
| ||||
Net Assets | $ | 356,424,861 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 40,002,831 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.91 | |||
|
|
(a) | Includes securities on loan of $6,916,061. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 2,477,528 | |||
Dividends | 3,773 | ||||
Income from securities lending | 2,659 | ||||
|
| ||||
Total Investment Income | 2,483,960 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,148,929 | ||||
Administration fees | 41,747 | ||||
Distribution fees | 478,718 | ||||
Custodian fees | 10,279 | ||||
Administrative and compliance services fees | 2,147 | ||||
Transfer agent fees | 2,511 | ||||
Trustee fees | 8,496 | ||||
Professional fees | 6,884 | ||||
Shareholder reports | 2,352 | ||||
Other expenses | 3,593 | ||||
|
| ||||
Total expenses | 1,705,656 | ||||
Less Management fees contractually waived | (191,486 | ) | |||
|
| ||||
Net expenses | 1,514,170 | ||||
|
| ||||
Net Investment Income/(Loss) | 969,790 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (13,631,237 | ) | |||
Net realized gains/(losses) on forward currency contracts | 20,671 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (14,781,980 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | 2,338,212 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (26,054,334 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (25,084,544 | ) | ||
|
|
See accompanying notes to the financial statements.
7
AZL DFA Five-Year Global Fixed Income Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 969,790 | $ | (412,020 | ) | |||||
Net realized gains/(losses) on investments | (13,610,566 | ) | 8,366,939 | |||||||
Change in unrealized appreciation/depreciation on investments | (12,443,768 | ) | (14,804,697 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (25,084,544 | ) | (6,849,778 | ) | ||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 730,696 | 27,868,290 | ||||||||
Value of shares redeemed | (38,341,711 | ) | (12,268,944 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (37,611,015 | ) | 15,599,346 | |||||||
|
|
|
| |||||||
Change in net assets | (62,695,559 | ) | 8,749,568 | |||||||
Net Assets: | ||||||||||
Beginning of period | 419,120,420 | 410,370,852 | ||||||||
|
|
|
| |||||||
End of period | $ | 356,424,861 | $ | 419,120,420 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 80,834 | 2,894,674 | ||||||||
Shares redeemed | (4,228,017 | ) | (1,276,633 | ) | ||||||
|
|
|
| |||||||
Change in shares | (4,147,183 | ) | 1,618,041 | |||||||
|
|
|
|
See accompanying notes to the financial statements.
8
AZL DFA Five-Year Global Fixed Income Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 9.49 | $ | 9.65 | $ | 9.82 | $ | 10.06 | $ | 10.00 | $ | 9.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | (a) | (0.01 | )(a) | (0.03 | )(a) | 0.01 | (a) | 0.06 | 0.11 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (0.60 | ) | (0.15 | ) | 0.09 | 0.34 | 0.06 | 0.05 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (0.58 | ) | (0.16 | ) | 0.06 | 0.35 | 0.12 | 0.16 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | — | (0.23 | ) | (0.59 | ) | (0.06 | ) | (0.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | — | (0.23 | ) | (0.59 | ) | (0.06 | ) | (0.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 8.91 | $ | 9.49 | $ | 9.65 | $ | 9.82 | $ | 10.06 | $ | 10.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (6.11 | )%(c) | (1.66 | )% | 0.57 | % | 3.50 | % | 1.17 | % | 1.57 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 356,425 | $ | 419,120 | $ | 410,371 | $ | 434,284 | $ | 460,894 | $ | 506,088 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.51 | % | (0.10 | )% | (0.34 | )% | 0.12 | % | 0.45 | % | 1.11 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.89 | % | 0.91 | % | 0.93 | % | 0.92 | % | 0.91 | % | 0.90 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.79 | % | 0.81 | % | 0.83 | % | 0.82 | % | 0.81 | % | 0.80 | % | ||||||||||||||||||
Portfolio Turnover Rate | 57 | %(c) | 122 | % | 62 | % | 35 | % | 69 | % | 83 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
9
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 on the cash collateral
10
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $257 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $7,081,492 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $4.9 million and the monthly average notional amount for short contracts was $79.9 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Foreign Exchange Risk | ||||||||||||
Forward Currency Contracts | Receivable for variation margin on forward currency contracts* | $ | 2,331,876 | Payable for variation margin on forward currency contracts* | $ | 152,474 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | $ | 20,671 | $2,338,212 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2022. 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, 2022.
11
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
As of June 30, 2022, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 2,331,876 | $ | 152,474 | ||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 2,331,876 | 152,474 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
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|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 2,331,876 | $ | 152,474 | ||||||
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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, 2022:
Counterparty | Derivative Assets Subject to a MNA by Counterparty | Derivatives Available for Offset | Non-cash Collateral Received* | Cash Collateral Received* | Net Amount of Derivative | ||||||||||||||||||||
ANZ Banking Group | $ | 7,286 | $ | (7,286) | $ | — | $ | — | $ | — | |||||||||||||||
Bank of America | 79,210 | (28,381 | ) | — | — | 50,829 | |||||||||||||||||||
Barclays Bank | 5,588 | — | — | — | 5,588 | ||||||||||||||||||||
Citigroup | 1,517 | (1,517 | ) | — | — | — | |||||||||||||||||||
HSBC | 2,096,259 | (68,458 | ) | — | — | 2,027,801 | |||||||||||||||||||
State Street | 48,530 | (14,097 | ) | — | — | 34,433 | |||||||||||||||||||
UBS | 93,486 | (9,862 | ) | — | — | 83,624 | |||||||||||||||||||
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|
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|
| ||||||||||||||||
Total | $ | 2,331,876 | $ | (129,601 | ) | $ | — | $ | — | $ | 2,202,275 | ||||||||||||||
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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 received by the Fund as of June 30, 2022:
Counterparty | Derivative Liabilities by Counterparty | Derivatives Available for Offset | Non-cash Collateral Pledged* | Cash Collateral Pledged* | Net Amount of Derivative Liabilities | ||||||||||||||||||||
ANZ Banking Group | $ | 27,168 | $ | (7,286 | ) | $ | — | $ | — | $ | 19,882 | ||||||||||||||
Bank of America | 28,381 | (28,381 | ) | — | — | — | |||||||||||||||||||
Citigroup | 4,508 | (1,517 | ) | — | — | 2,991 | |||||||||||||||||||
HSBC | 68,458 | (68,458 | ) | — | — | — | |||||||||||||||||||
State Street | 14,097 | (14,097 | ) | — | — | — | |||||||||||||||||||
UBS | 9,862 | (9,862 | ) | — | — | — | |||||||||||||||||||
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| ||||||||||||||||
Total | $ | 152,474 | $ | (129,601 | ) | $ | — | $ | — | $ | 22,873 | ||||||||||||||
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* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | 0.60 | % | 0.95 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.50% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
12
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Management fees which the Manager waived prior to any application of expense limit 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 Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy.
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.
13
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Corporate Bonds+ | $ | — | $ | 56,657,941 | $ | — | $ | 56,657,941 | ||||||||||||
Foreign Bonds+ | — | 69,404,298 | — | 69,404,298 | ||||||||||||||||
Yankee Debt Obligations+ | — | 153,947,561 | — | 153,947,561 | ||||||||||||||||
U.S. Treasury Obligations | — | 70,430,922 | — | 70,430,922 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 7,081,492 | — | — | 7,081,492 | ||||||||||||||||
Unaffiliated Investment Company | 7,723,988 | — | — | 7,723,988 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 14,805,480 | 350,440,722 | — | 365,246,202 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Forward Currency Contracts | — | 2,179,402 | — | 2,179,402 | ||||||||||||||||
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Total Investments | $ | 14,805,480 | $ | 352,620,124 | $ | — | $ | 367,425,604 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally presented in the financial statements at the unrealized gain or loss on the investment. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 220,332,631 | $ | 256,660,013 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 120,277,054 | $ | 120,173,644 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
14
AZL DFA Five-Year Global Fixed Income Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $435,242,727. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 172,673 | ||
Unrealized (depreciation) | (8,181,137 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | (8,008,464 | ) | |
|
|
As of the end of its tax year ended December 31, 2021, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
During the year ended December 31, 2021, the Fund utilized $1,035,176 in CLCFs to offset capital gains.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 1,403,790 | $ | 5,911,737 | $ | 7,315,527 |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | — | $ | — | $ | — |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA Five-Year Global Fixed Income Fund | $ | 14,502,306 | $ | — | $ | (7,315,527 | ) | $ | (8,024,950 | ) | $ | (838,171 | ) |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 85% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
16
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
17
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® DFA International Core Equity Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 34 |
Page 34 |
Statements of Changes in Net Assets Page 35 |
Page 36 |
Notes to the Financial Statements Page 37 |
Page 42 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 43 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA International Core Equity Fund
(Unaudited)
As a shareholder of the AZL DFA International Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 823.10 | $ | 5.02 | 1.11 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA International Core Equity Fund | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 | 1.11 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 17.8 | % | |||
Financials | 16.2 | ||||
Consumer Discretionary | 12.1 | ||||
Materials | 11.5 | ||||
Health Care | 7.9 | ||||
Consumer Staples | 7.6 | ||||
Energy | 7.4 | ||||
Information Technology | 6.5 | ||||
Communication Services | 6.0 | ||||
Utilities | 3.6 | ||||
Real Estate | 2.4 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.0 | ||||
Rights | — | † | |||
Short-Term Security Held as Collateral for Securities on Loan | 1.5 | ||||
Unaffiliated Investment Company | 0.1 | ||||
|
| ||||
Total Investment Securities | 100.6 | ||||
Net other assets (liabilities) | (0.6 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (98.7%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
3,667 | Airbus SE | $ | 360,003 | |||||
512 | Avon Rubber plc | 6,161 | ||||||
33,225 | BAE Systems plc | 335,985 | ||||||
1,060 | Bombardier, Inc.* | 15,912 | ||||||
1,689 | CAE, Inc.* | 41,628 | ||||||
3,081 | Chemring Group plc | 11,835 | ||||||
350 | Dassault Aviation SA | 54,630 | ||||||
116 | Elbit Systems, Ltd. | 26,608 | ||||||
89 | Facc AG* | 635 | ||||||
386 | Hensoldt AG | 9,748 | ||||||
865 | Kongsberg Gruppen ASA | 31,136 | ||||||
9,452 | Leonardo SpA | 95,934 | ||||||
1,132 | LISI | 21,684 | ||||||
19,535 | Meggitt plc* | 187,601 | ||||||
392 | MTU Aero Engines AG | 71,347 | ||||||
19,005 | QinetiQ Group plc | 85,145 | ||||||
72,100 | Rolls-Royce Holdings plc* | 72,904 | ||||||
1,467 | Saab AB | 60,668 | ||||||
330 | Safran SA | 33,008 | ||||||
15,312 | Senior plc* | 21,574 | ||||||
17,800 | Singapore Technologies Engineering, Ltd. | 52,385 | ||||||
1,841 | Thales SA | 225,797 | ||||||
2,146 | Ultra Electronics Holdings plc | 90,687 | ||||||
|
| |||||||
1,913,015 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
4,417 | BPOST SA | 26,104 | ||||||
2,399 | Cia de Distribucion Integral Logista Holdings SA | 46,922 | ||||||
6,355 | CTT-Correios de Portugal SA^ | 20,790 | ||||||
8,562 | Deutsche Post AG | 320,733 | ||||||
4,733 | Freightways, Ltd. | 27,010 | ||||||
73 | ID Logistics Group* | 20,246 | ||||||
37,500 | Kerry Network, Ltd. | 80,783 | ||||||
1,800 | Kintetsu World Express, Inc. | 55,361 | ||||||
1,800 | Konoike Transport Co., Ltd. | 16,850 | ||||||
449 | Mainfreight, Ltd. | 19,568 | ||||||
900 | Maruwa Unyu Kikan Co., Ltd. | 8,889 | ||||||
1,800 | Mitsui-Soko Holdings Co., Ltd. | 38,262 | ||||||
1,146 | Oesterreichische Post AG^ | 32,684 | ||||||
16,046 | PostNL NV | 48,962 | ||||||
26,724 | Royal Mail plc | 88,335 | ||||||
900 | SBS Holdings, Inc. | 18,090 | ||||||
3,000 | SG Holdings Co., Ltd. | 50,658 | ||||||
27,700 | Singapore Post, Ltd. | 12,973 | ||||||
5,312 | Wincanton plc | 22,428 | ||||||
5,100 | Yamato Holdings Co., Ltd. | 81,519 | ||||||
|
| |||||||
1,037,167 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
1,500 | Air Canada* | 18,695 | ||||||
80,763 | Air New Zealand, Ltd.* | 28,733 | ||||||
1,200 | ANA Holdings, Inc.* | 22,128 | ||||||
33,347 | Cathay Pacific Airways, Ltd.* | 36,561 | ||||||
6,007 | Deutsche Lufthansa AG* | 35,030 | ||||||
5,559 | easyJet plc* | 24,848 | ||||||
1,128 | Exchange Income Corp. | 36,934 | ||||||
2,400 | Japan Airlines Co., Ltd.* | 42,054 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Airlines, continued | ||||||||
2,549 | JET2 plc* | $ | 28,136 | |||||
12,200 | Singapore Airlines, Ltd.* | 44,859 | ||||||
|
| |||||||
317,978 | ||||||||
|
| |||||||
Auto Components (1.8%): | ||||||||
1,000 | Aisan Industry Co., Ltd. | 5,261 | ||||||
3,500 | Aisin Sieki Co., Ltd. | 108,457 | ||||||
7,300 | Akebono Brake Industry Co., Ltd.* | 8,345 | ||||||
1,027 | Akwel | 17,251 | ||||||
1,388 | Arb Corp., Ltd. | 26,978 | ||||||
202 | Autoneum Holding AG | 19,162 | ||||||
3,367 | Brembo SpA | 32,876 | ||||||
5,800 | Bridgestone Corp. | 211,772 | ||||||
1,647 | Bulten AB | 10,318 | ||||||
1,998 | Cie Automotive SA | 49,640 | ||||||
16,348 | Cie Generale des Etablissements Michelin SCA | 449,460 | ||||||
12,732 | CIR SpA-Compagnie Industriali* | 5,378 | ||||||
2,222 | Continental AG | 154,822 | ||||||
2,800 | Daido Metal Co., Ltd. | 10,740 | ||||||
2,400 | Daikyonishikawa Corp. | 9,224 | ||||||
1,300 | Denso Corp. | 69,160 | ||||||
8,224 | Dometic Group AB(a) | 48,337 | ||||||
1,800 | Eagle Industry Co., Ltd. | 13,010 | ||||||
673 | Edag Engineering Group AG | 8,260 | ||||||
1,724 | ElringKlinger AG | 13,007 | ||||||
1,500 | Exco Technologies, Ltd. | 9,312 | ||||||
1,700 | Exedy Corp. | 21,578 | ||||||
4,682 | Faurecia SA | 94,605 | ||||||
627 | Faurecia SE | 12,505 | ||||||
2,300 | FCC Co., Ltd. | 22,868 | ||||||
1,000 | F-Tech, Inc. | 3,882 | ||||||
4,000 | Futaba Industrial Co., Ltd. | 11,331 | ||||||
1,400 | G-Tekt Corp. | 13,157 | ||||||
6,206 | Gud Holdings, Ltd. | 34,249 | ||||||
1,600 | Hi-Lex Corp. | 13,299 | ||||||
700 | H-One Co., Ltd. | 3,077 | ||||||
300 | Imasen Electric Industrial | 1,294 | ||||||
19,355 | Johnson Electric Holdings, Ltd. | 25,186 | ||||||
6,700 | JTEKT Corp. | 50,429 | ||||||
1,800 | Kasai Kogyo Co., Ltd.* | 3,506 | ||||||
258 | Kendrion NV | 4,250 | ||||||
900 | Koito Manufacturing Co., Ltd. | 28,595 | ||||||
25,060 | Kongsberg Automotive ASA* | 6,107 | ||||||
1,000 | KYB Corp. | 22,833 | ||||||
1,544 | Leoni AG*^ | 11,096 | ||||||
1,933 | Linamar Corp. | 81,916 | ||||||
3,438 | Magna International, Inc. | 188,746 | ||||||
3,413 | Magna Internationl, Inc. | 187,437 | ||||||
4,266 | Martinrea International, Inc. | 27,545 | ||||||
2,000 | Mitsuba Corp. | 5,903 | ||||||
2,500 | Musashi Seimitsu Industry Co., Ltd. | 25,662 | ||||||
4,800 | NGK Spark Plug Co., Ltd. | 87,221 | ||||||
6,600 | NHK SPRING Co., Ltd. | 43,491 | ||||||
600 | Nichirin Co., Ltd. | 6,768 | ||||||
2,300 | Nifco, Inc. | 53,719 | ||||||
2,200 | Nippon Seiki Co., Ltd. | 13,963 | ||||||
2,700 | NOK Corp. | 21,995 | ||||||
4,876 | Nokian Renkaat OYJ | 53,373 |
See accompanying notes to the financial statements.
2
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
2,600 | Pacific Industrial Co., Ltd. | $ | 20,124 | |||||
13,329 | Pirelli & C SpA(a) | 54,503 | ||||||
1,743 | Plastic Omnium SA | 30,226 | ||||||
6,300 | Press Kogyo Co., Ltd. | 18,544 | ||||||
3,582 | PWR Holdings, Ltd. | 15,636 | ||||||
400 | Riken Corp. | 6,903 | ||||||
2,542 | SAF-Holland SE | 16,831 | ||||||
1,900 | Sanoh Industrial Co., Ltd. | 9,168 | ||||||
2,535 | Schaeffler AG | 14,345 | ||||||
700 | Shoei Co., Ltd. | 27,428 | ||||||
3,000 | Stanley Electric Co., Ltd. | 49,333 | ||||||
11,700 | Sumitomo Electric Industries, Ltd. | 129,415 | ||||||
2,900 | Sumitomo Riko Co., Ltd. | 12,601 | ||||||
7,700 | Sumitomo Rubber Industries, Ltd. | 65,841 | ||||||
300 | T RAD Co., Ltd. | 5,796 | ||||||
1,400 | Tachi-S Co., Ltd. | 11,309 | ||||||
800 | Taiho Kogyo Co., Ltd. | 3,928 | ||||||
8,119 | TI Fluid Systems plc(a) | 14,934 | ||||||
2,500 | Tokai Rika Co., Ltd. | 27,301 | ||||||
2,500 | Topre Corp. | 18,351 | ||||||
4,500 | Toyo Tire Corp. | 56,251 | ||||||
1,700 | Toyoda Gosei Co., Ltd. | 26,875 | ||||||
2,900 | Toyota Boshoku Corp. | 43,121 | ||||||
700 | Toyota Industries Corp. | 43,396 | ||||||
1,500 | TPR Co., Ltd. | 13,300 | ||||||
2,800 | TS Tech Co., Ltd. | 29,059 | ||||||
2,000 | Unipres Corp. | 11,820 | ||||||
6,199 | Valeo SA | 121,315 | ||||||
384 | Vitesco Technologies Group AG* | 14,848 | ||||||
5,200 | Yokohama Rubber Co., Ltd. (The) | 70,143 | ||||||
600 | Yorozu Corp. | 3,922 | ||||||
|
| |||||||
3,448,923 | ||||||||
|
| |||||||
Automobiles (1.9%): | ||||||||
3,944 | Bayerische Motoren Werke AG (BMW) | 303,594 | ||||||
12,614 | Daimler AG, Registered Shares | 729,867 | ||||||
730 | Ferrari NV | 133,940 | ||||||
630 | Honda Motor Co., Ltd., ADR | 15,215 | ||||||
11,100 | Honda Motor Co., Ltd. | 268,544 | ||||||
11,100 | Isuzu Motors, Ltd. | 122,399 | ||||||
9,700 | Mazda Motor Corp. | 79,445 | ||||||
8,800 | Mitsubishi Motors Corp.* | 29,806 | ||||||
20,000 | Nissan Motor Co., Ltd. | 77,966 | ||||||
2,700 | Nissan Shatai Co., Ltd. | 11,433 | ||||||
8,981 | Piaggio & C SpA | 21,103 | ||||||
4,600 | Renault SA* | 116,399 | ||||||
40,724 | Stellantis NV | 510,013 | ||||||
538 | Stellantis NV | 6,699 | ||||||
9,200 | Subaru Corp. | 163,690 | ||||||
2,300 | Suzuki Motor Corp. | 72,374 | ||||||
57,920 | Toyota Motor Corp. | 892,140 | ||||||
504 | Volkswagen AG | 91,838 | ||||||
7,200 | Yamaha Motor Co., Ltd. | 132,057 | ||||||
|
| |||||||
3,778,522 | ||||||||
|
| |||||||
Banks (8.2%): | ||||||||
3,000 | 77th Bank | 40,158 | ||||||
6,309 | ABN AMRO Group NV(a) | 70,920 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
15,084 | AIB Group plc | $ | 34,398 | |||||
500 | Aichi Bank, Ltd. (The) | 19,502 | ||||||
1,500 | Akita Bank, Ltd. (The) | 18,318 | ||||||
2,146 | Aktia Bank OYJ | 20,555 | ||||||
3,300 | Aozora Bank, Ltd. | 64,173 | ||||||
15,471 | Australia & New Zealand Banking Group, Ltd. | 235,339 | ||||||
1,000 | Awa Bank, Ltd. (The) | 14,904 | ||||||
19,504 | Banca Monte dei Paschi di Siena SpA* | 11,064 | ||||||
21,166 | Banca Popolare di Sondrio SCPA | 73,383 | ||||||
20,370 | Banco Bilbao Vizcaya Argentaria SA | 92,440 | ||||||
29,969 | Banco Bilbao Vizcaya Argentaria SA, ADR | 135,460 | ||||||
44,790 | Banco Bpm SpA | 128,493 | ||||||
106,975 | Banco Comercial Portugues SA, Class R | 18,690 | ||||||
238,968 | Banco de Sabadell SA | 192,835 | ||||||
6,287 | Banco Santander SA, ADR | 17,604 | ||||||
107,881 | Banco Santander SA | 304,176 | ||||||
8,101 | Bank Hapoalim BM | 68,134 | ||||||
16,026 | Bank Leumi Le-Israel BM | 143,519 | ||||||
37,836 | Bank of East Asia, Ltd. (The) | 53,579 | ||||||
974 | Bank of Georgia Group plc | 15,482 | ||||||
29,096 | Bank of Ireland Group plc | 183,914 | ||||||
900 | Bank of Iwate, Ltd. (The) | 13,327 | ||||||
1,200 | Bank of Kyoto, Ltd. (The) | 51,158 | ||||||
1,756 | Bank of Montreal | 168,887 | ||||||
6,126 | Bank of Montreal | 589,137 | ||||||
500 | Bank of Nagoya, Ltd. (The) | 11,486 | ||||||
9,618 | Bank of Nova Scotia | 569,482 | ||||||
16,987 | Bank of Queensland, Ltd. | 78,228 | ||||||
2,000 | Bank of The Ryukyus, Ltd. | 11,638 | ||||||
16,597 | Bankinter SA | 103,632 | ||||||
71 | Banque Cantonale de Geneve | 12,868 | ||||||
916 | Banque Cantonale Vaudois, Registered Shares | 71,916 | ||||||
23,543 | Barclays plc, ADR | 178,927 | ||||||
15,237 | Barclays plc | 28,521 | ||||||
943 | BAWAG Group AG(a) | 39,742 | ||||||
13,509 | Bendigo & Adelaide Bank, Ltd. | 84,526 | ||||||
218 | Berner Kantonalbank AG | 49,340 | ||||||
6,853 | BNP Paribas SA | 326,245 | ||||||
27,542 | BOC Hong Kong Holdings, Ltd. | 109,013 | ||||||
34,804 | BPER Banca | 57,253 | ||||||
65,100 | CaixaBank SA | 226,512 | ||||||
6,788 | Canadian Imperial Bank of Commerce^ | 329,490 | ||||||
228 | Canadian Imperial Bank of Commerce | 11,074 | ||||||
4,227 | Canadian Western Bank | 85,492 | ||||||
5,000 | Chiba Bank, Ltd. (The) | 27,338 | ||||||
6,200 | Chugoku Bank, Ltd. (The) | 44,920 | ||||||
700 | Chukyo Bank, Ltd. (The) | 8,714 | ||||||
31,551 | Commerzbank AG* | 221,031 | ||||||
7,457 | Commonwealth Bank of Australia | 465,378 | ||||||
12,500 | Concordia Financial Group, Ltd. | 43,325 | ||||||
7,042 | Credit Agricole SA | 64,499 | ||||||
5,165 | Credito Emiliano SpA | 28,440 | ||||||
16,000 | Dah Sing Banking Group, Ltd. | 12,967 | ||||||
5,600 | Dah Sing Financial Holdings, Ltd. | 15,983 | ||||||
1,900 | Daishi Hokuetsu Financial Group, Inc. | 35,142 | ||||||
9,027 | Danske Bank A/S | 127,961 | ||||||
8,992 | DBS Group Holdings, Ltd. | 192,510 |
See accompanying notes to the financial statements.
3
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
5,245 | DNB Bank ASA | $ | 94,437 | |||||
1,600 | Ehime Bank, Ltd. (The) | 10,607 | ||||||
2,450 | Erste Group Bank AG | 62,225 | ||||||
650 | Fidea Holdings Co., Ltd. | 6,164 | ||||||
4,911 | Finecobank Banca Fineco SpA | 59,192 | ||||||
3,600 | First Bank of Toyama, Ltd. (The) | 10,990 | ||||||
1,247 | First International Bank of Israel | 46,712 | ||||||
1,000 | Fukui Bank, Ltd. (The) | 9,941 | ||||||
4,900 | Fukuoka Financial Group, Inc. | 88,306 | ||||||
13,200 | Gunma Bank, Ltd. (The) | 37,268 | ||||||
9,200 | Hachijuni Bank, Ltd. (The) | 33,924 | ||||||
3,905 | Hang Seng Bank, Ltd. | 68,997 | ||||||
21,103 | Heartland Group Holdings Npv | 25,029 | ||||||
11,800 | Hirogin Holdings, Inc. | 54,994 | ||||||
1,000 | Hokkoku Financial Holdings, Inc. | 34,063 | ||||||
6,000 | Hokuhoku Financial Group, Inc. | 37,057 | ||||||
23,429 | HSBC Holdings plc, ADR^ | 765,425 | ||||||
9,400 | Hyakugo Bank, Ltd. (The) | 22,740 | ||||||
1,000 | Hyakujushi Bank, Ltd. (The) | 12,484 | ||||||
757 | Illimity Bank SpA* | 8,285 | ||||||
17,920 | ING Groep NV | 177,822 | ||||||
93,838 | Intesa Sanpaolo SpA | 176,408 | ||||||
20,697 | Isreal Discount Bank | 108,440 | ||||||
9,500 | Iyo Bank, Ltd. (The) | 46,660 | ||||||
620 | Jimoto Holdings, Inc. | 2,579 | ||||||
1,200 | Juroku Financial Group, Inc. | 20,708 | ||||||
2,048 | Jyske Bank A/S* | 100,315 | ||||||
2,269 | KBC Group NV | 127,441 | ||||||
5,800 | Keiyo Bank, Ltd. (The) | 20,405 | ||||||
400 | Kita-Nippon Bank, Ltd. (The) | 4,716 | ||||||
2,500 | Kiyo Bank, Ltd. (The) | 24,578 | ||||||
16,490 | Kyushu Financial Group, Inc. | 47,191 | ||||||
1,296 | Laurentian Bank of Canada | 38,950 | ||||||
562 | Liechtensteinische Landesbank AG | 30,921 | ||||||
35,782 | Lloyds Banking Group plc | 18,454 | ||||||
111,585 | Lloyds TSB Group plc, ADR | 227,633 | ||||||
113 | Luzerner Kantonalbank AG | 49,139 | ||||||
24,670 | Mebuki Financial Group, Inc. | 48,563 | ||||||
11,475 | Mediobanca SpA | 99,877 | ||||||
62,500 | Mitsubishi UFJ Financial Group, Inc. | 334,455 | ||||||
800 | Miyazaki Bank, Ltd. (The) | 12,342 | ||||||
2,075 | Mizrahi Tefahot Bank, Ltd. | 69,092 | ||||||
12,880 | Mizuho Financial Group, Inc. | 146,483 | ||||||
1,300 | Musashino Bank, Ltd. (The) | 17,101 | ||||||
1,300 | Nanto Bank, Ltd. (The) | 19,080 | ||||||
24,789 | National Australia Bank, Ltd. | 468,707 | ||||||
5,532 | National Bank of Canada^ | 363,083 | ||||||
35,183 | Natwest Group plc | 93,577 | ||||||
4,800 | Nishi-Nippon Holdings, Inc. | 26,555 | ||||||
19,269 | Nordea Bank AB | 169,788 | ||||||
7,300 | North Pacific Bank, Ltd. | 12,005 | ||||||
1,800 | Ogaki Kyoritsu Bank, Ltd. (The) | 22,841 | ||||||
1,000 | Oita Bank, Ltd. (The) | 13,771 | ||||||
820 | Okinawa Financial Group, Inc. | 13,287 | ||||||
17,046 | Oversea-Chinese Banking Corp., Ltd. | 139,998 | ||||||
1,522 | Procrea Holdings, Inc.* | 21,816 | ||||||
28,000 | Public Financial Holdings, Ltd. | 8,784 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
6,482 | Raiffeisen International Bank-Holding AG | $ | 70,366 | |||||
24,175 | Resona Holdings, Inc. | 90,582 | ||||||
1,156 | Ringkjoebing Landbobank A/S | 126,171 | ||||||
11,418 | Royal Bank of Canada | 1,105,491 | ||||||
3,753 | Royal Bank of Canada | 363,461 | ||||||
1,190 | San Ju San Financial Group, Inc. | 12,231 | ||||||
6,200 | San-In Godo Bank, Ltd. (The) | 29,905 | ||||||
11,600 | Senshu Ikeda Holdings, Inc. | 17,083 | ||||||
24,500 | Seven Bank, Ltd. | 46,780 | ||||||
1,300 | Shiga Bank, Ltd. (The) | 26,509 | ||||||
1,000 | Shikoku Bank, Ltd. (The) | 6,223 | ||||||
400 | Shimizu Bank, Ltd. (The) | 4,327 | ||||||
5,900 | Shizuoka Bank, Ltd. (The) | 35,455 | ||||||
7,610 | Skandinaviska Enskilda Banken AB, Class A | 74,817 | ||||||
9,761 | Societe Generale | 214,043 | ||||||
3,426 | Spar Nord Bank A/S | 36,308 | ||||||
2,847 | Sparebank 1 Sr-Bank ASA | 30,941 | ||||||
121 | St. Galler Kantonalbank AG | 55,661 | ||||||
36,263 | Standard Chartered plc | 273,370 | ||||||
7,000 | Sumitomo Mitsui Financial Group, Inc. | 207,924 | ||||||
3,300 | Sumitomo Mitsui Trust Holdings, Inc. | 101,689 | ||||||
8,000 | Suruga Bank, Ltd. | 21,674 | ||||||
8,201 | Svenska Handelsbanken AB, Class A | 70,184 | ||||||
4,382 | Swedbank AB, Class A | 55,471 | ||||||
2,561 | Sydbank A/S | 78,604 | ||||||
6,500 | Toho Bank, Ltd. (The) | 9,969 | ||||||
1,100 | Tokyo Kiraboshi Financial Group, Inc. | 18,347 | ||||||
7,500 | Tomony Holdings, Inc. | 17,259 | ||||||
7,456 | Toronto-Dominion Bank (The) | 488,964 | ||||||
1,900 | Toronto-Dominion Bank (The) | 124,615 | ||||||
2,100 | Towa Bank, Ltd. (The) | 7,975 | ||||||
6,200 | Tsukuba Bank, Ltd. | 8,825 | ||||||
48,238 | Unicaja Banco SA(a) | 47,659 | ||||||
13,288 | Unicredit SpA | 127,400 | ||||||
7,627 | United Overseas Bank, Ltd. | 144,426 | ||||||
405 | Valiant Holding AG | 35,623 | ||||||
764 | Van Lanschot Kempen NV | 17,821 | ||||||
34,734 | Virgin Money UK plc | 55,322 | ||||||
239 | Walliser Kantonalbank | 27,666 | ||||||
18,223 | Westpac Banking Corp. | 245,362 | ||||||
1,600 | Yamagata Bank, Ltd. (The) | 10,607 | ||||||
7,200 | Yamaguchi Financial Group, Inc. | 39,499 | ||||||
1,800 | Yamanashi Chuo Bank, Ltd. (The) | 15,078 | ||||||
6 | Zuger Kantonalbank AG | 45,017 | ||||||
|
| |||||||
15,908,251 | ||||||||
|
| |||||||
Beverages (1.1%): | ||||||||
1,900 | Andrew Peller, Ltd. | 8,636 | ||||||
6,745 | Anheuser-Busch InBev NV | 363,791 | ||||||
2,000 | Asahi Breweries, Ltd. | 65,567 | ||||||
10,973 | Britvic plc | 108,402 | ||||||
13,700 | Budweiser Brewing Co. APAC, Ltd.(a) | 41,092 | ||||||
14,772 | C&C Group plc* | 33,138 | ||||||
1,234 | Carlsberg A/S, Class B | 157,435 | ||||||
2,200 | Coca-Cola Bottlers Japan Holdings, Inc. | 26,291 | ||||||
2,675 | Coca-Cola European Partners plc | 137,294 | ||||||
2,705 | Coca-Cola HBC AG | 60,052 | ||||||
3,646 | David Campari-Milano NV | 38,491 |
See accompanying notes to the financial statements.
4
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
2,283 | Diageo plc, ADR | $ | 397,516 | |||||
812 | Fevertree Drinks plc | 12,151 | ||||||
1,423 | Heineken NV | 130,302 | ||||||
700 | ITO EN, Ltd. | 31,347 | ||||||
2,300 | Kirin Holdings Co., Ltd. | 36,254 | ||||||
109 | Laurent-Perrier | 11,124 | ||||||
653 | Olvi OYJ | 22,134 | ||||||
412 | Pernod Ricard SA | 76,306 | ||||||
4,250 | Primo Water Corp. | 56,766 | ||||||
194 | Remy Cointreau SA | 34,160 | ||||||
1,456 | Royal Unibrew A/S | 129,784 | ||||||
1,600 | Sapporo Breweries, Ltd. | 35,512 | ||||||
700 | Suntory Beverage & Food, Ltd. | 26,482 | ||||||
4,200 | Takara Holdings, Inc. | 31,136 | ||||||
6,474 | Treasury Wine Estates, Ltd. | 50,676 | ||||||
|
| |||||||
2,121,839 | ||||||||
|
| |||||||
Biotechnology (0.4%): | ||||||||
143 | Argenx SE* | 53,963 | ||||||
1,271 | Bavarian Nordic A/S* | 42,233 | ||||||
1,455 | BioGaia AB | 14,725 | ||||||
1,830 | CSL, Ltd. | 339,954 | ||||||
765 | Galapagos NV* | 42,654 | ||||||
573 | Genmab A/S* | 185,895 | ||||||
402 | Genus plc | 12,280 | ||||||
2,347 | Grifols SA* | 44,388 | ||||||
5,747 | Knight Therapeutics, Inc.* | 23,845 | ||||||
6,442 | Mesoblast, Ltd.*^ | 2,713 | ||||||
1,700 | Peptidream, Inc.* | 17,844 | ||||||
1,829 | Swedish Orphan Biovitrum AB* | 39,606 | ||||||
1,100 | Takara Bio, Inc. | 15,612 | ||||||
1,155 | Zealand Pharma A/S* | 15,153 | ||||||
|
| |||||||
850,865 | ||||||||
|
| |||||||
Building Products (1.1%): | ||||||||
4,400 | AGC, Inc. | 154,841 | ||||||
1,100 | AICA Kogyo Co., Ltd. | 22,981 | ||||||
2,028 | Arbonia AG | 27,134 | ||||||
1,761 | ASSA Abloy AB, Class B | 37,706 | ||||||
173 | Belimo Holding AG, Class R | 60,969 | ||||||
2,400 | Bunka Shutter Co., Ltd. | 17,665 | ||||||
1,800 | Central Glass Co., Ltd. | 40,952 | ||||||
6,649 | Cie de Saint-Gobain | 288,781 | ||||||
1,000 | Daikin Industries, Ltd. | 160,519 | ||||||
114 | dorma kaba Holding AG | 49,784 | ||||||
9,425 | Fletcher Building, Ltd. | 29,651 | ||||||
451 | Geberit AG, Registered Shares | 216,954 | ||||||
5,784 | Genuit Group plc | 27,103 | ||||||
12,753 | Gwa Group, Ltd. | 17,286 | ||||||
3,298 | Inrom Construction Industries, Ltd. | 14,541 | ||||||
2,938 | Inwido AB | 32,427 | ||||||
2,153 | Kingspan Group plc | 129,505 | ||||||
2,801 | Lindab International AB | 40,669 | ||||||
4,900 | Lixil Corp. | 91,843 | ||||||
2,012 | Nibe Industrier AB, Class B | 15,134 | ||||||
2,700 | Nichias Corp. | 44,935 | ||||||
1,100 | Nichiha Corp. | 21,424 | ||||||
1,552 | Nordic Waterproofing Holding AB | 21,304 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
1,500 | Noritz Corp. | $ | 16,011 | |||||
1,400 | Okabe Co., Ltd. | 6,279 | ||||||
8,716 | Reliance Worldwide Corp., Ltd. | 24,325 | ||||||
232 | ROCKWOOL A/S, Class B | 52,460 | ||||||
144 | Rockwool International A/S | 32,497 | ||||||
1,900 | Sankyo Tateyama, Inc. | 7,708 | ||||||
6,100 | Sanwa Holdings Corp. | 58,509 | ||||||
47 | Schweiter Technologies AG | 44,640 | ||||||
900 | Shin Nippon Air Technologies Co., Ltd. | 12,214 | ||||||
1,800 | Sinko Industries, Ltd. | 21,693 | ||||||
3,824 | Systemair AB* | 18,642 | ||||||
1,800 | Takara Standard Co., Ltd. | 16,592 | ||||||
1,000 | TOTO, Ltd. | 33,061 | ||||||
7,093 | Tyman plc | 20,600 | ||||||
2,971 | Uponor OYJ | 41,044 | ||||||
40,000 | Xinyi Glass Holdings, Ltd. | 96,280 | ||||||
533 | Zehnder Group AG | 31,740 | ||||||
|
| |||||||
2,098,403 | ||||||||
|
| |||||||
Capital Markets (2.6%): | ||||||||
12,253 | 3i Group plc | 165,505 | ||||||
24,792 | ABG Sundal Collier Holding ASA | 14,853 | ||||||
3,200 | AGF Management, Ltd. | 15,938 | ||||||
1,600 | Aizawa Securities Co., Ltd. | 8,486 | ||||||
2,242 | AJ Bell plc | 7,330 | ||||||
143 | Alantra Partners SA | 2,008 | ||||||
903 | Altamir | 23,252 | ||||||
817 | Amundi SA(a) | 45,219 | ||||||
7,128 | Anima Holding SpA(a) | 26,291 | ||||||
5,351 | Ashmore Group plc | 14,452 | ||||||
670 | ASX, Ltd. | 37,805 | ||||||
1,222 | Avanza Bank Holding AB | 20,542 | ||||||
4,260 | Azimut Holding SpA | 74,530 | ||||||
600 | Banca Generali SpA | 17,060 | ||||||
521 | Bellevue Group AG | 17,658 | ||||||
8,900 | Brewin Dolphin Holdings plc | 55,448 | ||||||
800 | Brookfield Asset Management, Inc., Class A | 35,593 | ||||||
614 | Brookfield Asset Management, Inc., Class A | 27,305 | ||||||
2,383 | Bure Equity AB | 47,646 | ||||||
2,497 | Canaccord Genuity Group, Inc. | 16,356 | ||||||
7,682 | CI Financial Corp. | 81,595 | ||||||
119 | Cie Financiere Tradition SA | 13,102 | ||||||
5,230 | Close Brothers Group plc | 65,272 | ||||||
5,668 | CMC Markets PLC(a) | 18,914 | ||||||
4,319 | Credit Suisse Group AG, ADR | 24,489 | ||||||
20,849 | Credit Suisse Group AG | 118,733 | ||||||
18,300 | Daiwa Securities Group, Inc. | 81,785 | ||||||
4,462 | Dea Capital SpA | 5,184 | ||||||
12,602 | Deutsche Bank AG | 109,792 | ||||||
10,467 | Deutsche Bank AG, Registered Shares | 91,482 | ||||||
552 | Deutsche Beteiligungs AG | 14,635 | ||||||
692 | Deutsche Boerse AG | 115,723 | ||||||
329 | DWS Group GmbH Co. KGaA(a) | 8,606 | ||||||
5,622 | EFG International AG | 41,379 | ||||||
258,000 | Emperor Capital Group, Ltd.* | 1,842 | ||||||
1,726 | Euronext NV(a) | 141,397 | ||||||
2,000 | Fiera Capital Corp. | 14,452 | ||||||
1,407 | Flow Traders(a) | 40,270 |
See accompanying notes to the financial statements.
5
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
10,649 | GAM Holding AG* | $ | 8,817 | |||||
2,674 | Georgia Capital plc* | 19,733 | ||||||
824 | Gimv NV | 45,518 | ||||||
2,400 | GMO Financial Holdings, Inc.^ | 13,752 | ||||||
1,175 | Guardian Capital Group, Ltd., Class A | 27,663 | ||||||
142,000 | Guotai Junan International Hol | 16,995 | ||||||
148,767 | Haitong International Securities | 21,248 | ||||||
4,181 | Hargreaves Lansdown plc | 40,132 | ||||||
6,594 | Hong Kong Exchanges & Clearing, Ltd. | 329,169 | ||||||
2,100 | iFAST Corp., Ltd. | 6,268 | ||||||
8,570 | IG Group Holdings plc | 72,339 | ||||||
1,732 | IGM Financial, Inc. | 46,429 | ||||||
647 | Impax Asset Management Group plc | 4,773 | ||||||
21,365 | Insignia Financial, Ltd. | 39,690 | ||||||
2,872 | IntegraFin Holdings plc | 7,858 | ||||||
5,770 | Intermediate Capital Group plc | 92,063 | ||||||
22,533 | Investec plc | 123,092 | ||||||
60,525 | IP Group plc | 51,593 | ||||||
1,700 | IwaiCosmo Holdings, Inc. | 15,733 | ||||||
3,400 | JAFCO Group Co., Ltd. | 41,045 | ||||||
4,800 | Japan Exchange Group, Inc. | 69,333 | ||||||
4,910 | Julius Baer Group, Ltd. | 226,878 | ||||||
17,082 | Jupiter Fund Management plc | 30,826 | ||||||
138,000 | Kingston Financial Group, Ltd.* | 4,141 | ||||||
800 | Kyokuto Securities Co., Ltd. | 4,071 | ||||||
957 | London Stock Exchange Group plc | 88,947 | ||||||
500 | M&A Capital Partners Co., Ltd.* | 13,156 | ||||||
1,241 | Macquarie Group, Ltd. | 141,013 | ||||||
2,194 | Magellan Financial Group, Ltd. | 19,581 | ||||||
50,276 | Man Group plc/Jersey | 153,011 | ||||||
2,300 | Marusan Securities Co., Ltd. | 8,285 | ||||||
1,180,000 | Mason Group Holdings, Ltd.* | 3,473 | ||||||
2,600 | Matsui Securities Co., Ltd. | 15,432 | ||||||
2,900 | Mito Securities Co., Ltd. | 5,561 | ||||||
3,035 | MLP SE | 18,190 | ||||||
5,700 | Monex Group, Inc. | 17,763 | ||||||
4,905 | Navigator Global Investments, Ltd. | 4,213 | ||||||
3,008 | Netwealth Group, Ltd. | 25,222 | ||||||
14,364 | Ninety One plc | 34,578 | ||||||
19,100 | Nomura Holdings, Inc. | 69,870 | ||||||
931 | Nordnet AB Publ | 12,189 | ||||||
15,528 | NZX, Ltd. | 11,922 | ||||||
3,800 | Okasan Securities Group, Inc. | 9,474 | ||||||
253 | Partners Group Holding AG | 228,269 | ||||||
9,039 | Pendal Group, Ltd. | 27,594 | ||||||
1,616 | Perpetual, Ltd. | 32,228 | ||||||
11,593 | Platinum Asset Management, Ltd. | 13,929 | ||||||
2,595 | Polar Capital Holdings plc | 16,117 | ||||||
38,911 | Quilter PLC(a) | 49,003 | ||||||
1,470 | Rathbones Group plc | 34,753 | ||||||
9,785 | Ratos AB, Class B | 41,694 | ||||||
1,549 | Rothschild & Co. | 52,376 | ||||||
4,200 | SBI Holdings, Inc. | 82,264 | ||||||
1,783 | Schroders plc | 58,047 | ||||||
1,029 | Schroders plc | 28,216 | ||||||
8,200 | Singapore Exchange, Ltd. | 55,911 | ||||||
4,200 | Sparx Group Co., Ltd. | 8,210 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
5,446 | St. James Place plc | $ | 73,181 | |||||
700 | Strike Co., Ltd. | 17,564 | ||||||
388 | Swissquote Group Holding SA | 39,444 | ||||||
2,584 | Tamburi Investment Partners SP | 19,872 | ||||||
375 | Tikehau Capital SCA | 7,618 | ||||||
531 | TMX Group, Ltd. | 54,049 | ||||||
8,500 | Tokai Tokyo Financial Holdings, Inc. | 23,193 | ||||||
4,000 | Toyo Securities Co., Ltd. | 5,757 | ||||||
30,858 | TP ICAP Group plc | 42,197 | ||||||
15,471 | UBS Group AG | 249,774 | ||||||
20,430 | Uob-Kay Hian Holdings, Ltd. | 21,185 | ||||||
1,000 | Uzabase, Inc.* | 5,775 | ||||||
22,000 | Value Partners Group, Ltd. | 8,317 | ||||||
1,052 | Vontobel Holding AG | 73,968 | ||||||
245 | Vp Bank AG, Registered Shares | 23,099 | ||||||
550 | VZ Holding AG | 39,877 | ||||||
29,400 | Yangzijiang Financial Holding, Ltd.* | 8,678 | ||||||
|
| |||||||
5,115,127 | ||||||||
|
| |||||||
Chemicals (3.9%): | ||||||||
900 | Achilles Corp. | 8,913 | ||||||
3,300 | Adeka Corp. | 57,052 | ||||||
1,775 | Air Liquide SA | 239,878 | ||||||
7,800 | Air Water, Inc. | 98,053 | ||||||
2,028 | Akzo Nobel NV | 133,968 | ||||||
700 | Arakawa Chemical Industries, Ltd. | 5,116 | ||||||
2,608 | Arkema SA | 235,005 | ||||||
26,600 | Asahi Kasei Corp. | 203,310 | ||||||
1,100 | ASAHI YUKIZAI Corp. | 16,216 | ||||||
9,846 | BASF SE | 428,399 | ||||||
1,939 | Borregaard ASA | 31,709 | ||||||
52,400 | China Sunsine Chemical Holdings, Ltd. | 16,623 | ||||||
1,971 | Christian Hansen Holding A/S | 143,822 | ||||||
1,600 | CI Takiron Corp. | 6,361 | ||||||
8,231 | Clariant AG* | 156,963 | ||||||
1,435 | Corbion NV | 43,605 | ||||||
6,863 | Covestro AG(a) | 237,161 | ||||||
752 | Croda International plc | 59,293 | ||||||
1,000 | Dai Nippon Toryo Co., Ltd. | 5,229 | ||||||
7,200 | Daicel Corp. | 44,564 | ||||||
900 | Dainichiseika Color & Chemical | 11,568 | ||||||
2,800 | Dainippon Ink & Chemicals, Inc. | 49,677 | ||||||
3,100 | Denka Co., Ltd. | 75,120 | ||||||
18,377 | Elementis plc* | 22,134 | ||||||
2,854 | Elkem ASA(a) | 9,148 | ||||||
58 | EMS-Chemie Holding AG | 43,216 | ||||||
8,516 | Ercros SA | 33,571 | ||||||
9,485 | Essentra plc | 28,689 | ||||||
3,851 | Evonik Industries AG | 82,209 | ||||||
2,023 | FUCHS PETROLUB SE | 56,384 | ||||||
701 | FUCHS PETROLUB SE | 17,124 | ||||||
300 | Fujimori Kogyo Co., Ltd. | 7,690 | ||||||
700 | Fuso Chemical Co., Ltd. | 18,337 | ||||||
77 | Givaudan SA, Registered Shares | 272,177 | ||||||
200 | Gurit Holding AG | 21,405 | ||||||
6,252 | Hexpol AB | 53,291 | ||||||
700 | Hodogaya Chemical Co., Ltd. | 17,042 | ||||||
3,950 | ICL Group, Ltd. | 36,098 |
See accompanying notes to the financial statements.
6
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
28,614 | Incitec Pivot, Ltd. | $ | 65,813 | |||||
1,500 | Ishihara Sangyo Kaisha, Ltd. | 11,069 | ||||||
1,000 | JCU Corp. | 24,971 | ||||||
3,467 | Johnson Matthey plc | 81,351 | ||||||
700 | Jsp Corp. | 7,201 | ||||||
1,200 | JSR Corp. | 31,171 | ||||||
5,723 | K+S AG, Registered Shares | 139,126 | ||||||
2,000 | Kaneka Corp. | 49,281 | ||||||
1,300 | Kansai Paint Co., Ltd. | 16,596 | ||||||
3,300 | Kanto Denka Kogyo Co., Ltd. | 21,502 | ||||||
4,999 | Kemira OYJ | 61,119 | ||||||
1,400 | Kh Neochem Co., Ltd. | 25,694 | ||||||
1,500 | Koatsu Gas Kogyo Co., Ltd. | 7,303 | ||||||
1,120 | Koninklijke DSM NV | 161,770 | ||||||
1,000 | Konishi Co., Ltd. | 11,348 | ||||||
11,800 | Kuraray Co., Ltd. | 95,309 | ||||||
600 | Kureha Corp. | 42,159 | ||||||
3,226 | Lanxess AG | 115,536 | ||||||
379 | Lenzing AG | 30,703 | ||||||
1,300 | Lintec Corp. | 22,045 | ||||||
929 | Methanex Corp. | 35,516 | ||||||
700 | Methanex Corp. | 26,744 | ||||||
28,100 | Mitsubishi Chemical Holdings Corp. | 152,369 | ||||||
3,000 | Mitsubishi Gas Chemical Co., Inc. | 43,274 | ||||||
5,700 | Mitsui Chemicals, Inc. | 121,547 | ||||||
12,400 | Nanofilm Technologies International, Ltd. | 20,825 | ||||||
800 | Nihon Kagaku Sangyo Co., Ltd. | 6,028 | ||||||
2,300 | Nihon Nohyaku Co., Ltd. | 11,775 | ||||||
2,600 | Nihon Parkerizing Co., Ltd. | 17,090 | ||||||
600 | Nippon Chemical Industrial Co., Ltd. | 8,531 | ||||||
5,500 | Nippon Kayaku Co., Ltd. | 44,347 | ||||||
2,100 | Nippon Paint Holdings Co., Ltd. | 15,671 | ||||||
1,400 | Nippon Pillar Packing Co., Ltd. | 28,060 | ||||||
3,000 | Nippon Sanso Holdings Corp. | 47,871 | ||||||
700 | Nippon Shokubai Co., Ltd. | 27,107 | ||||||
800 | Nippon Soda Co., Ltd. | 25,755 | ||||||
1,500 | Nissan Chemical Corp. | 69,192 | ||||||
1,900 | Nitto Denko Corp. | 123,090 | ||||||
1,000 | NOF Corp. | 37,114 | ||||||
1,377 | Novozymes A/S, Class B | 82,933 | ||||||
8,438 | Nufarm, Ltd. | 29,616 | ||||||
3,137 | Nutrien, Ltd.^ | 249,988 | ||||||
1,935 | Nutrien, Ltd. | 154,123 | ||||||
1,928 | OCI NV | 63,566 | ||||||
500 | Okamoto Industries, Inc. | 14,031 | ||||||
600 | Okura Industrial Co., Ltd. | 7,519 | ||||||
4,527 | Orica, Ltd. | 49,176 | ||||||
900 | Osaka Organic Chemical Industry, Ltd. | 14,693 | ||||||
2,613 | Recticel SA | 39,013 | ||||||
2,800 | Riken Technos Corp. | 8,881 | ||||||
500 | Sakai Chemical Industry Co., Ltd. | 6,963 | ||||||
2,400 | Sakata Inx Corp. | 16,180 | ||||||
700 | Sanyo Chemical Industries, Ltd. | 24,550 | ||||||
900 | Sekisui Plastics Co., Ltd. | 2,708 | ||||||
1,100 | Shikoku Chemicals Corp. | 10,070 | ||||||
2,000 | Shin-Etsu Chemical Co., Ltd. | 225,812 | ||||||
1,800 | Shin-Etsu Polymer Co., Ltd. | 15,686 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
5,600 | Showa Denko K.K. | $ | 95,293 | |||||
733 | Sika AG | 169,126 | ||||||
1,754 | SOL SpA | 30,288 | ||||||
1,994 | Solvay SA | 161,749 | ||||||
400 | Stella Chemifa Corp. | 7,041 | ||||||
900 | Sumitomo Bakelite Co., Ltd. | 26,999 | ||||||
30,600 | Sumitomo Chemical Co., Ltd. | 119,473 | ||||||
300 | Sumitomo Seika Chemicals Co. Ltd. | 6,389 | ||||||
514 | Symrise AG | 55,930 | ||||||
13,110 | Synthomer plc | 35,929 | ||||||
700 | T Hasegawa Co., Ltd. | 14,248 | ||||||
1,200 | T&K Toka Co., Ltd. | 7,151 | ||||||
600 | Taiyo Holdings Co., Ltd. | 12,604 | ||||||
600 | Takasago International Corp. | 10,771 | ||||||
600 | Tayca Corp. | 5,332 | ||||||
7,900 | Teijin, Ltd. | 82,330 | ||||||
500 | Tenma Corp. | 8,482 | ||||||
625 | Tessenderlo Group SA* | 19,774 | ||||||
4,900 | Toagosei Co., Ltd. | 36,475 | ||||||
6,900 | Tokai Carbon Co., Ltd. | 52,654 | ||||||
2,900 | Tokuyama Corp. | 36,926 | ||||||
600 | Tokyo Ohka Kogyo Co., Ltd. | 29,399 | ||||||
21,000 | Toray Industries, Inc. | 117,919 | ||||||
5,100 | Tosoh Corp. | 63,394 | ||||||
1,200 | Toyo Ink SC Holdings Co., Ltd. | 16,833 | ||||||
3,400 | Toyobo Co., Ltd. | 25,130 | ||||||
4,800 | Ube Industries, Ltd. | 71,408 | ||||||
3,116 | Umicore SA | 108,904 | ||||||
1,051 | Victrex plc | 22,764 | ||||||
329 | Wacker Chemie AG | 47,470 | ||||||
1,428 | Yara International ASA | 59,955 | ||||||
2,900 | Zeon Corp. | 28,116 | ||||||
|
| |||||||
7,510,857 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.3%): | ||||||||
800 | AEON Delight Co., Ltd. | 17,506 | ||||||
23,247 | Babcock International Group plc* | 87,747 | ||||||
581 | Befesa SA(a) | 28,247 | ||||||
13,069 | Biffa plc(a) | 59,661 | ||||||
896 | Bilfinger SE | 26,290 | ||||||
1,670 | Black Diamond Group, Ltd. | 4,827 | ||||||
14,490 | Brambles, Ltd. | 107,012 | ||||||
3,076 | Bravida Holding AB(a) | 26,808 | ||||||
200 | Calian Group, Ltd. | 9,800 | ||||||
2,850 | Caverion Corp. | 13,190 | ||||||
300 | Central Security Patrols Co., Ltd. | 5,998 | ||||||
338 | Cewe Stiftung & Co. KGAA | 28,501 | ||||||
46,000 | Cleanaway Waste Management, Ltd. | 80,048 | ||||||
10,948 | Collection House, Ltd.* | 515 | ||||||
1,829 | Coor Service Management Holding AB(a) | 14,362 | ||||||
2,400 | CTS Co., Ltd. | 14,143 | ||||||
3,200 | Dai Nippon Printing Co., Ltd. | 69,068 | ||||||
6,041 | De La Rue plc* | 5,751 | ||||||
3,731 | Derichebourg SA | 21,790 | ||||||
2,180 | Dexterra Group, Inc. | 9,367 | ||||||
25,208 | Downer EDI, Ltd. | 87,907 | ||||||
1,100 | Duskin Co., Ltd. | 23,456 | ||||||
7,850 | Elis SA | 105,705 |
See accompanying notes to the financial statements.
7
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
300 | GDI Integrated Facility Services, Inc.* | $ | 10,643 | |||||
435 | GL Events* | 7,078 | ||||||
12,057 | HomeServe plc | 171,956 | ||||||
900 | Inaba Seisakusho Co., Ltd. | 9,218 | ||||||
2,297 | Intrum AB | 43,881 | ||||||
5,989 | ISS A/S* | 95,165 | ||||||
1,800 | Itoki Corp. | 4,846 | ||||||
1,900 | Japan Elevator Service Holdings Co., Ltd. | 19,803 | ||||||
3,300 | Kokuyo Co., Ltd. | 41,817 | ||||||
400 | Kyodo Printing Co., Ltd. | 7,329 | ||||||
2,302 | Lassila & Tikanoja OYJ | 25,902 | ||||||
3,325 | Loomis AB | 81,331 | ||||||
700 | Matsuda Sangyo Co., Ltd. | 10,386 | ||||||
5,449 | Mears Group plc | 12,579 | ||||||
51,653 | Mitie Group plc | 35,248 | ||||||
1,400 | NAC Co., Ltd. | 10,101 | ||||||
15,900 | Nippon Parking Development Co., Ltd. | 19,979 | ||||||
1,600 | Okamura Corp. | 14,306 | ||||||
1,100 | Oyo Corp. | 13,451 | ||||||
2,700 | Park24 Co., Ltd.* | 37,391 | ||||||
2,696 | PayPoint plc | 18,423 | ||||||
1,100 | Pilot Corp. | 39,232 | ||||||
2,400 | Prestige International, Inc. | 11,971 | ||||||
13,654 | Prosegur Cia de Seguridad SA | 24,100 | ||||||
1,158 | Renewi plc* | 10,190 | ||||||
20,405 | Rentokil Initial plc | 117,917 | ||||||
2,500 | Ritchie Bros Auctioneers, Inc. | 162,685 | ||||||
3,299 | RPS Group plc | 4,154 | ||||||
900 | Sato Holdings Corp. | 12,390 | ||||||
700 | Secom Co., Ltd. | 43,277 | ||||||
7,978 | Securitas AB, Class B | 69,303 | ||||||
14,890 | Serco Group plc | 31,584 | ||||||
3,267 | Smartgroup Corp., Ltd. | 13,816 | ||||||
787 | Societe BIC SA | 43,155 | ||||||
1,400 | Sohgo Security Services Co., Ltd. | 38,932 | ||||||
4,477 | Spie SA | 97,892 | ||||||
700 | Studio Alice Co., Ltd. | 12,274 | ||||||
1,392 | TOMRA Systems ASA | 25,936 | ||||||
3,280 | TOPPAN, INC. | 54,847 | ||||||
1,612 | TRE Holdings Corp. | 22,391 | ||||||
200 | Waste Connections, Inc. | 24,802 | ||||||
580 | Waste Connections, Inc. | 71,897 | ||||||
|
| |||||||
2,471,277 | ||||||||
|
| |||||||
Communications Equipment (0.3%): | ||||||||
2,792 | Adva Optical Networking SE* | 38,098 | ||||||
700 | Aiphone Co., Ltd. | 8,915 | ||||||
700 | DKK Co., Ltd. | 12,024 | ||||||
737 | HMS Networks AB | 31,492 | ||||||
500 | Icom, Inc. | 8,991 | ||||||
13,669 | Nokia Oyj, ADR | 63,014 | ||||||
28,303 | Nokia OYJ | 131,822 | ||||||
10,200 | Quarterhill, Inc. | 14,741 | ||||||
418 | RTX A/S* | 8,135 | ||||||
600 | Sierra Wireless, Inc.* | 14,056 | ||||||
10,363 | Spirent Communications plc | 31,359 | ||||||
684 | Telefonaktiebolaget LM Ericsson, Class A | 5,572 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
28,485 | Telefonaktiebolaget LM Ericsson, Class B | $ | 212,718 | |||||
5,700 | VTech Holdings, Ltd. | 45,135 | ||||||
|
| |||||||
626,072 | ||||||||
|
| |||||||
Construction & Engineering (2.0%): | ||||||||
733 | Ackermans & Van Haaren NV | 109,509 | ||||||
4,970 | ACS Actividades de Construccion y Servicios SA | 120,556 | ||||||
3,353 | Aecon Group, Inc. | 34,207 | ||||||
1,375 | AF Gruppen ASA | 22,043 | ||||||
2,520 | Arcadis NV | 85,339 | ||||||
300 | Asanuma Corp. | 11,857 | ||||||
1,130 | Ashtrom Group, Ltd. | 25,000 | ||||||
1,410 | Badger Infrastructure Solutions, Ltd. | 30,939 | ||||||
20,372 | Balfour Beatty plc | 63,059 | ||||||
519 | Bauer AG* | 4,919 | ||||||
1,400 | Bird Construction, Inc. | 8,126 | ||||||
1,831 | Boskalis Westminster | 61,415 | ||||||
16,800 | Boustead Singapore, Ltd. | 11,554 | ||||||
7,647 | Bouygues SA | 236,459 | ||||||
209 | Burkhalter Holding AG | 16,472 | ||||||
4,600 | Chiyoda Corp.* | 14,603 | ||||||
1,700 | Chudenko Corp. | 26,802 | ||||||
494 | Cie d’Entreprises CFE SA* | 4,297 | ||||||
1,721 | ComSys Holdings Corp. | 32,884 | ||||||
6,098 | Costain Group plc* | 2,538 | ||||||
500 | Dai-Dan Co., Ltd. | 7,791 | ||||||
900 | Daiho Corp. | 30,562 | ||||||
3,389 | Eiffage SA | 307,728 | ||||||
2,783 | Elecnor SA | 31,954 | ||||||
44 | Electra, Ltd./Israel | 24,573 | ||||||
7,737 | Eltel AB*(a) | 6,008 | ||||||
37,002 | Empresas ICA SAB de C.V.* | 156 | ||||||
3,070 | Ferrovial SA | 78,275 | ||||||
1,664 | FLSmidth & Co. A/S | 41,072 | ||||||
2,002 | Fomento de Construcciones y Contratas SA | 19,782 | ||||||
440 | Fudo Tetra Corp. | 5,004 | ||||||
4,141 | Fugro NV* | 52,280 | ||||||
200 | Fukuda Corp. | 6,877 | ||||||
4,363 | Galliford Try Holdings plc | 9,028 | ||||||
6,000 | Hazama Ando Corp. | 37,298 | ||||||
1,929 | Heijmans NV | 21,524 | ||||||
600 | Hibiya Engineering, Ltd. | 8,592 | ||||||
173 | Hochtief AG | 8,427 | ||||||
1,093 | Implenia AG* | 25,022 | ||||||
6,236 | INFRONEER Holdings, Inc. | 44,379 | ||||||
3,147 | Instalco AB | 13,031 | ||||||
4,300 | JGC Holdings Corp. | 55,893 | ||||||
10,188 | Johns Lyng Group, Ltd. | 40,316 | ||||||
5,400 | Kajima Corp. | 62,014 | ||||||
3,000 | Kandenko Co., Ltd. | 18,716 | ||||||
3,807 | Keller Group plc | 33,724 | ||||||
2,500 | Kinden Corp. | 28,891 | ||||||
15,900 | Koninklijke BAM Groep NV* | 37,874 | ||||||
1,600 | Kumagai Gumi Co., Ltd. | 32,459 | ||||||
2,500 | Kyowa Exeo Corp. | 39,146 | ||||||
1,700 | Kyudenko Corp. | 34,403 | ||||||
9,546 | Maire Tecnimont SpA | 27,540 | ||||||
21,000 | MECOM Power And Construction, Ltd. | 6,353 |
See accompanying notes to the financial statements.
8
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
1,700 | Meisei Industrial Co., Ltd. | $ | 8,827 | |||||
3,300 | Mirait Holdings Corp. | 38,878 | ||||||
1,475 | Monadelphous Group, Ltd. | 10,120 | ||||||
1,922 | Morgan Sindall Group plc | 42,663 | ||||||
3,087 | NCC AB, Class B | 31,089 | ||||||
1,000 | Nichireki Co., Ltd. | 9,570 | ||||||
1,600 | Nippon Densetsu Kogyo Co., Ltd. | 20,749 | ||||||
700 | Nippon Koei Co., Ltd. | 16,808 | ||||||
100 | Nippon Road Co., Ltd. (The) | 4,682 | ||||||
1,900 | Nishimatsu Construction Co., Ltd. | 56,956 | ||||||
20,879 | NRW Holdings, Ltd. | 24,406 | ||||||
9,100 | Obayashi Corp. | 66,116 | ||||||
6,495 | Obrascon Huarte Lain SA* | 3,999 | ||||||
1,100 | Okumura Corp. | 24,439 | ||||||
8,600 | Oriental Shiraishi Corp. | 15,157 | ||||||
5,969 | Peab AB | 34,940 | ||||||
8,700 | Penta-Ocean Construction Co., Ltd. | 47,105 | ||||||
726 | Per Aarsleff Holding A/S | 21,779 | ||||||
2,400 | Raiznext Corp. | 20,251 | ||||||
24,100 | Sacyr SA | 57,978 | ||||||
1,900 | Sanki Engineering Co., Ltd. | 21,520 | ||||||
1,700 | Seikitokyu Kogyo Co., Ltd. | 10,193 | ||||||
40,165 | Service Stream, Ltd.* | 24,234 | ||||||
3,211 | Shapir Engineering And Indus | 26,367 | ||||||
4,339 | Shikun & Binui, Ltd.* | 17,774 | ||||||
6,700 | Shimizu Corp. | 37,065 | ||||||
1,500 | Shinnihon Corp. | 7,821 | ||||||
4,094 | Skanska AB, Class B | 62,855 | ||||||
3,001 | SNC-Lavalin Group, Inc. | 51,626 | ||||||
881 | Strabag Se* | 37,446 | ||||||
6,980 | Sumitomo Mitsui Construction | 23,780 | ||||||
3,299 | Sweco AB | 34,323 | ||||||
700 | Taihei Dengyo Kaisha, Ltd. | 15,234 | ||||||
800 | Taikisha, Ltd. | 18,765 | ||||||
2,400 | Taisei Corp. | 74,790 | ||||||
1,400 | Takamatsu Construction Group C | 21,321 | ||||||
400 | Tekken Corp. | 5,292 | ||||||
900 | TOA Corp. | 16,492 | ||||||
400 | TOA Road Corp. | 16,874 | ||||||
1,630 | Tobishima Corp. | 12,261 | ||||||
6,900 | Toda Corp. | 36,647 | ||||||
400 | Toenec Corp. | 10,314 | ||||||
1,000 | Tokyo Energy & Systems, Inc. | 7,139 | ||||||
5,100 | Tokyu Construction Co., Ltd. | 24,039 | ||||||
1,100 | Totetsu Kogyo Co., Ltd. | 19,658 | ||||||
4,300 | Toyo Construction Co., Ltd. | 28,091 | ||||||
2,100 | Toyo Engineering Corp.* | 9,993 | ||||||
3,109 | Veidekke ASA | 28,291 | ||||||
4,239 | Vinci SA | 380,780 | ||||||
555 | WSP Global, Inc. | 62,762 | ||||||
1,700 | Yahagi Construction Co., Ltd. | 9,478 | ||||||
3,849 | YIT OYJ | 12,833 | ||||||
1,200 | Yokogawa Bridge Holdings Corp. | 17,286 | ||||||
1,200 | Yurtec Corp. | 6,532 | ||||||
|
| |||||||
3,865,658 | ||||||||
|
| |||||||
Construction Materials (0.7%): | ||||||||
13,883 | Adbri, Ltd. | 23,200 | ||||||
1,800 | Asia Pile Holdings Corp. | 6,062 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials, continued | ||||||||
2,976 | Brickworks, Ltd. | $ | 38,095 | |||||
2,431 | Buzzi Unicem SpA | 39,955 | ||||||
10,867 | CRH plc, ADR | 378,389 | ||||||
22,791 | CSR, Ltd. | 63,896 | ||||||
3,367 | Forterra PLC(a) | 10,963 | ||||||
1,160 | H+H International A/S, Class B* | 21,742 | ||||||
3,574 | HeidelbergCement AG | 171,663 | ||||||
6,293 | Holcim, Ltd. | 269,589 | ||||||
13,005 | Ibstock plc(a) | 26,212 | ||||||
1,243 | Imerys SA | 38,220 | ||||||
3,617 | James Hardie Industries SE | 79,209 | ||||||
400 | Krosaki Harima Corp. | 12,656 | ||||||
600 | Maeda Kosen Co., Ltd. | 13,009 | ||||||
5,422 | Marshalls plc | 29,554 | ||||||
2,500 | Nippon Concrete Industries Co., Ltd. | 4,922 | ||||||
405 | Rhi Magnesita NV | 9,818 | ||||||
500 | Shinagawa Refractories Co., Ltd. | 13,146 | ||||||
123 | STO SE & Co KGaA | 17,974 | ||||||
1,500 | Sumitomo Osaka Cement Co., Ltd. | 37,226 | ||||||
3,800 | Taiheiyo Cement Corp. | 56,586 | ||||||
1,300 | TYK Corp. | 2,618 | ||||||
998 | Vicat | 27,528 | ||||||
1,393 | Wienerberger AG | 29,919 | ||||||
|
| |||||||
1,422,151 | ||||||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
10,300 | ACOM Co., Ltd. | 24,082 | ||||||
3,700 | AEON Financial Service Co., Ltd. | 34,878 | ||||||
7,800 | Aiful Corp. | 20,136 | ||||||
8,198 | Axactor SE* | 4,963 | ||||||
974 | Cembra Money Bank AG | 69,973 | ||||||
1,607 | Credit Corp. Group, Ltd. | 22,513 | ||||||
5,500 | Credit Saison Co., Ltd. | 63,181 | ||||||
18,226 | Eclipx Group, Ltd.* | 29,085 | ||||||
873 | Gruppo MutuiOnline SpA | 22,075 | ||||||
2,616 | H&T Group plc | 10,188 | ||||||
5,740 | Hoist Finance AB*(a) | 15,608 | ||||||
17,800 | Hong Leong Finance, Ltd. | 31,018 | ||||||
14,415 | International Personal Finance | 13,427 | ||||||
2,917 | Isracard, Ltd. | 10,438 | ||||||
4,300 | J Trust Co., Ltd. | 13,992 | ||||||
1,300 | Jaccs Co., Ltd. | 32,171 | ||||||
8,673 | Money3 Corp., Ltd. | 11,722 | ||||||
15,200 | Orient Corp. | 14,347 | ||||||
213,600 | Oshidori International Holdings, Ltd.* | 12,935 | ||||||
700 | Premium Group Co., Ltd. | 20,115 | ||||||
4,742 | Provident Financial plc | 11,520 | ||||||
4,452 | Resurs Holding AB(a) | 8,841 | ||||||
38,000 | Sun Hung Kai & Co., Ltd. | 17,786 | ||||||
|
| |||||||
514,994 | ||||||||
|
| |||||||
Containers & Packaging (0.7%): | ||||||||
3,618 | BillerudKorsnas AB | 42,496 | ||||||
4,231 | Cascades, Inc. | 33,302 | ||||||
1,780 | CCL Industries, Inc. | 84,146 | ||||||
31,429 | DS Smith plc | 106,199 | ||||||
1,600 | FP Corp. | 33,446 | ||||||
1,900 | Fuji Seal International, Inc. | 20,659 |
See accompanying notes to the financial statements.
9
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
1,000 | Hokkan Holdings, Ltd. | $ | 9,048 | |||||
3,405 | Huhtamaki OYJ | 135,003 | ||||||
3,327 | Intertape Polymer Group, Inc. | 104,644 | ||||||
149 | Mayr Melnhof Karton AG | 25,317 | ||||||
28,458 | Orora, Ltd. | 71,521 | ||||||
6,607 | Pact Group Holdings, Ltd. | 8,233 | ||||||
8,600 | Rengo Co., Ltd. | 46,582 | ||||||
7,369 | SIG Combibloc Group AG | 162,392 | ||||||
8,090 | Smurfit Kappa Group plc | 272,955 | ||||||
500 | Taisei Lamick Co., Ltd. | 9,670 | ||||||
600 | Tomoku Co., Ltd. | 6,637 | ||||||
4,000 | Toyo Seikan Group Holdings, Ltd. | 41,869 | ||||||
3,570 | Transcontinental, Inc. | 42,468 | ||||||
2,064 | Verallia SA(a) | 49,313 | ||||||
750 | Vetropack Holding AG | 31,039 | ||||||
753 | Vidrala SA | 54,601 | ||||||
700 | Winpak, Ltd. | 23,926 | ||||||
|
| |||||||
1,415,466 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
600 | Arata Corp. | 17,228 | ||||||
11,493 | Bapcor, Ltd. | 48,183 | ||||||
1,300 | Central Automotive Products, Ltd. | 22,491 | ||||||
564 | D’ieteren Group | 82,616 | ||||||
1,000 | Doshisha Co., Ltd. | 11,586 | ||||||
4,313 | Headlam Group plc | 15,599 | ||||||
16,112 | Inchcape plc | 136,544 | ||||||
3,365 | John Menzies plc* | 24,460 | ||||||
400 | Paltac Corp. | 12,393 | ||||||
85 | Tadiran Group, Ltd. | 11,390 | ||||||
1,725 | Uni-Select, Inc.* | 38,333 | ||||||
|
| |||||||
420,823 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
3,986 | Academedia AB(a) | 17,776 | ||||||
2,000 | Benesse Holdings, Inc. | 32,404 | ||||||
3,227 | Dignity plc* | 15,868 | ||||||
8,000 | EC Healthcare | 8,089 | ||||||
44,648 | G8 Education, Ltd. | 32,489 | ||||||
1,700 | IBJ, Inc. | 9,483 | ||||||
2,039 | IDP Education, Ltd. | 33,466 | ||||||
1,407 | InvoCare, Ltd. | 10,162 | ||||||
400 | Park Lawn Corp. | 10,580 | ||||||
25,000 | Perfect Medical Health Management, Ltd. | 13,464 | ||||||
900 | QB Net Holdings Co., Ltd. | 8,903 | ||||||
2,600 | Riso Kyoiku Co., Ltd. | 6,117 | ||||||
|
| |||||||
198,801 | ||||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
1,439 | ABC arbitrage | 10,585 | ||||||
84,183 | AMP, Ltd.* | 55,521 | ||||||
3,396 | Banca Farmafactoring SpA(a) | 22,847 | ||||||
5,878 | Banca Mediolanum SpA | 38,922 | ||||||
4,759 | Burford Capital, Ltd. | 46,628 | ||||||
16,703 | Challenger, Ltd. | 78,914 | ||||||
2,280 | doValue SpA(a) | 13,530 | ||||||
5,800 | Ecn Capital Corp. | 24,831 | ||||||
800 | eGuarantee, Inc. | 12,648 | ||||||
16,244 | Element Fleet Management Corp. | 169,382 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services, continued | ||||||||
926 | Eurazeo SE | $ | 57,844 | |||||
900 | Fuyo General Lease Co., Ltd. | 51,117 | ||||||
565 | GRENKE AG | 13,836 | ||||||
20,600 | G-Resources Group, Ltd. | 6,305 | ||||||
88 | Hypoport SE* | 17,454 | ||||||
140 | Jackson Financial, Inc., Class A | 3,745 | ||||||
800 | Japan Investment Adviser Co., Ltd. | 7,588 | ||||||
4,600 | Japan Securities Finance Co., Ltd. | 28,942 | ||||||
40,597 | M&G plc | 96,202 | ||||||
24,220 | Mitsubishi HC Capital, Inc. | 111,820 | ||||||
1,000 | Mizuho Leasing Co., Ltd. | 22,900 | ||||||
900 | NEC Capital Solutions, Ltd. | 13,533 | ||||||
16,085 | Ofx Group, Ltd.* | 25,750 | ||||||
7,289 | Omni Bridgeway, Ltd.* | 17,940 | ||||||
2,247 | Onex Corp. | 111,913 | ||||||
14,700 | ORIX Corp. | 246,808 | ||||||
4,583 | Plus500, Ltd. | 93,330 | ||||||
1,100 | Ricoh Leasing Co., Ltd. | 28,350 | ||||||
45,834 | Standard Life Aberdeen plc | 89,288 | ||||||
1,500 | Tokyo Century Corp. | 49,690 | ||||||
1,700 | Zenkoku Hosho Co., Ltd. | 53,288 | ||||||
|
| |||||||
1,621,451 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.6%): | ||||||||
900 | ARTERIA Networks Corp. | 8,111 | ||||||
974 | BCE, Inc. | 47,901 | ||||||
44 | BCE, Inc. | 2,163 | ||||||
36,348 | Bezeq Israeli Telecommunication Corp., Ltd. (The) | 56,679 | ||||||
203,849 | BT Group plc | 462,495 | ||||||
686 | Cellnex Telecom SAU(a) | 26,720 | ||||||
20,039 | Chorus, Ltd. | 90,177 | ||||||
90,000 | CITIC Telecom International Holdings, Ltd. | 29,862 | ||||||
46,971 | Deutsche Telekom AG | 932,460 | ||||||
3,188 | Elisa OYJ | 179,170 | ||||||
2,209 | Gamma Communications plc | 28,904 | ||||||
7,634 | Helios Towers PLC* | 11,235 | ||||||
27,500 | HKBN, Ltd. | 31,226 | ||||||
98,295 | HKT Trust & HKT, Ltd. | 132,085 | ||||||
3,856 | Infrastrutture Wireless Italiane SpA(a) | 39,224 | ||||||
1,400 | Internet Initiative Japan, Inc. | 49,022 | ||||||
69,090 | Koninklijke KPN NV | 246,417 | ||||||
3,548 | Liberty Global plc, Class C* | 78,375 | ||||||
41,300 | NetLink NBN Trust | 28,847 | ||||||
5,000 | Nippon Telegraph & Telephone Corp. | 143,582 | ||||||
35,613 | Orange SA | 418,743 | ||||||
132,202 | PCCW, Ltd. | 70,185 | ||||||
5,067 | Proximus SADP | 74,695 | ||||||
14,900 | Singapore Telecommunications, Ltd. | 27,161 | ||||||
16,483 | Spark New Zealand, Ltd. | 49,387 | ||||||
13,084 | Speedcast International, Ltd.* | — | ||||||
12,209 | Superloop, Ltd.* | 6,070 | ||||||
761 | Swisscom AG | 421,300 | ||||||
334,376 | Telecom Italia SpA* | 87,602 | ||||||
210,041 | Telecom Italia SpA* | 52,485 | ||||||
45,006 | Telefonica Deutschland Holding AG | 129,243 | ||||||
117,308 | Telefonica SA | 597,808 | ||||||
4,768 | Telekom Austria AG* | 31,750 | ||||||
4,475 | Telenor ASA | 59,638 |
See accompanying notes to the financial statements.
10
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
40,221 | Telia Co AB | $ | 154,186 | |||||
34,939 | Telstra Corp., Ltd. | 92,785 | ||||||
4,669 | TPG Telecom, Ltd. | 19,230 | ||||||
7,091 | Tuas, Ltd.* | 5,429 | ||||||
3,566 | United Internet AG, Registered Shares | 101,746 | ||||||
3,751 | Uniti Group, Ltd.* | 12,741 | ||||||
900 | Usen-Next Holdings Co., Ltd. | 12,883 | ||||||
|
| |||||||
5,049,722 | ||||||||
|
| |||||||
Electric Utilities (1.4%): | ||||||||
829 | Acciona SA | 153,172 | ||||||
334 | BKW AG | 34,911 | ||||||
5,400 | Chubu Electric Power Co., Inc. | 54,384 | ||||||
2,800 | Chugoku Electric Power Co., Inc. (The) | 18,044 | ||||||
7,000 | CK Infrastructure Holdings, Ltd. | 43,008 | ||||||
6,064 | CLP Holdings, Ltd. | 50,344 | ||||||
3,804 | Contact Energy, Ltd. | 17,272 | ||||||
21,672 | EDP — Energias de Portugal SA | 101,274 | ||||||
5,097 | Electricite de France | 41,713 | ||||||
675 | Elia Group SA/NV | 95,738 | ||||||
2,200 | Emera, Inc. | 103,077 | ||||||
4,746 | Endesa SA^ | 89,547 | ||||||
47,239 | Enel SpA | 259,607 | ||||||
240 | Energiedienst Holding AG, Registered Shares | 10,057 | ||||||
1,538 | EVN AG | 32,578 | ||||||
1,708 | Fortis, Inc. | 80,737 | ||||||
915 | Fortis, Inc. | 43,262 | ||||||
2,642 | Fortum OYJ | 39,688 | ||||||
15,470 | Genesis Energy, Ltd. | 25,591 | ||||||
30,000 | HK Electric Investments, Ltd. | 27,532 | ||||||
7,700 | Hokkaido Electric Power Co., Inc. | 28,000 | ||||||
3,500 | Hokuriku Electric Power Co. | 13,731 | ||||||
1,200 | Hydro One, Ltd.(a) | 32,270 | ||||||
34,462 | Iberdrola SA | 357,555 | ||||||
6,227 | Infratil, Ltd. | 29,825 | ||||||
3,500 | Kansai Electric Power Co., Inc. (The) | 34,682 | ||||||
7,200 | Kyushu Electric Power Co., Inc. | 46,283 | ||||||
1,800 | Okinawa Electric Power Co., Inc. (The) | 17,412 | ||||||
24,174 | Origin Energy, Ltd. | 96,265 | ||||||
730 | Orsted A/S(a) | 76,345 | ||||||
11,500 | Power Assets Holdings, Ltd. | 72,436 | ||||||
7,033 | Red Electrica Corp SA | 133,138 | ||||||
11 | Romande Energie Holding SA, Registered Shares | 13,499 | ||||||
13,134 | Scottish & Southern Energy plc | 259,616 | ||||||
3,300 | Shikoku Electric Power Co., Inc. | 19,246 | ||||||
10,948 | Terna SpA | 86,035 | ||||||
3,900 | Tohoku Electric Power Co., Inc. | 20,913 | ||||||
13,500 | Tokyo Electric Power Co. Holdings, Inc.* | 56,442 | ||||||
284 | Verbund AG, Class A | 27,799 | ||||||
|
| |||||||
2,743,028 | ||||||||
|
| |||||||
Electrical Equipment (1.2%): | ||||||||
22,112 | ABB, Ltd. | 591,059 | ||||||
600 | Chiyoda Integre Co., Ltd. | 8,504 | ||||||
1,300 | Denyo Co., Ltd. | 15,246 | ||||||
1,500 | Fuji Electric Co., Ltd. | 62,219 | ||||||
12,400 | Fujikura, Ltd. | 70,381 | ||||||
3,100 | Furukawa Electric Co., Ltd. (The) | 50,956 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
1,200 | Futaba Corp. | $ | 5,886 | |||||
485 | GARO AB | 6,181 | ||||||
38 | Gavazzi Carlo Holding AG | 11,509 | ||||||
3,000 | GS Yuasa Corp. | 46,996 | ||||||
3,515 | Hexatronic Group AB | 26,238 | ||||||
400 | Hirakawa Hewtech Corp. | 3,178 | ||||||
553 | Huber & Suhner AG | 44,151 | ||||||
1,600 | Idec Corp./Japan | 33,010 | ||||||
1,557 | Legrand SA | 115,862 | ||||||
800 | Mabuchi Motor Co., Ltd. | 20,625 | ||||||
346 | Mersen | 10,326 | ||||||
9,100 | Mitsubishi Electric Corp. | 97,418 | ||||||
1,227 | Nexans SA | 95,988 | ||||||
1,300 | Nidec Corp. | 80,396 | ||||||
500 | Nippon Carbon Co., Ltd. | 14,714 | ||||||
1,500 | Nitto Kogyo Corp. | 25,966 | ||||||
1,094 | NKT A/S* | 46,642 | ||||||
3,878 | Nordex Se* | 33,060 | ||||||
17 | Phoenix Mecano AG | 6,413 | ||||||
2,550 | PNE AG | 35,484 | ||||||
2,643 | Prysmian SpA | 72,929 | ||||||
400 | Sanyo Denki Co., Ltd. | 15,404 | ||||||
942 | Schneider Electric SA | 111,581 | ||||||
200 | SEC Carbon, Ltd. | 7,492 | ||||||
2,150 | SGL Carbon SE* | 13,482 | ||||||
4,943 | Siemens Energy AG | 72,480 | ||||||
701 | Siemens Gamesa Renewable Energy* | 13,232 | ||||||
3,816 | Signify NV(a) | 127,594 | ||||||
1,000 | Sinfonia Technology Co., Ltd. | 9,871 | ||||||
224 | Somfy SA | 29,126 | ||||||
1,500 | SwCC Showa Holdings Co., Ltd. | 18,861 | ||||||
900 | Takaoka Toko Co., Ltd. | 11,246 | ||||||
1,055 | Tera Light, Ltd.* | 1,684 | ||||||
1,490 | TKH Group NV | 56,359 | ||||||
600 | Toyo Tanso Co., Ltd. | 12,507 | ||||||
3,300 | Ushio, Inc. | 40,865 | ||||||
140 | Varta AG | 11,617 | ||||||
4,284 | Vestas Wind Systems A/S | 90,799 | ||||||
527 | XP Power, Ltd. | 18,281 | ||||||
|
| |||||||
2,293,818 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.4%): | ||||||||
600 | Ai Holdings Corp. | 6,861 | ||||||
7,060 | Alps Alpine Co., Ltd. | 71,730 | ||||||
288 | ALSO Holding AG, Registered Shares | 56,866 | ||||||
1,800 | Amano Corp. | 31,006 | ||||||
3,300 | Anritsu Corp. | 35,675 | ||||||
1,200 | Arisawa Manufacturing Co., Ltd. | 8,851 | ||||||
1,280 | Austria Technologie & Systemte | 68,486 | ||||||
225 | Basler AG | 18,046 | ||||||
900 | Canon Electronics, Inc. | 10,149 | ||||||
1,300 | Canon Marketing Japan, Inc. | 27,020 | ||||||
5,004 | Celestica, Inc.* | 48,679 | ||||||
157 | Cicor Technologies, Ltd.* | 7,515 | ||||||
9,300 | Citizen Watch Co., Ltd. | 37,660 | ||||||
3,400 | CMK Corp. | 10,737 | ||||||
3,981 | Codan, Ltd./Australia | 19,141 | ||||||
1,300 | Conexio Corp. | 12,730 |
See accompanying notes to the financial statements.
11
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
4,100 | Daiwabo Holdings Co., Ltd. | $ | 53,508 | |||||
1,700 | Dexerials Corp. | 44,881 | ||||||
972 | Dicker Data, Ltd. | 7,409 | ||||||
1,100 | Elematec Corp. | 10,206 | ||||||
700 | Evertz Technologies, Ltd. | 7,098 | ||||||
7,452 | Fingerprint Cards AB* | 6,526 | ||||||
2,100 | Furuno Electric Co., Ltd. | 15,645 | ||||||
400 | Hagiwara Electric Co., Ltd. | 5,944 | ||||||
500 | Hakuto Co., Ltd. | 9,336 | ||||||
511 | Halma plc | 12,595 | ||||||
900 | Hamamatsu Photonics KK | 34,998 | ||||||
2,429 | Hexagon AB, Class B | 25,271 | ||||||
200 | Hirose Electric Co., Ltd. | 26,415 | ||||||
1,200 | Hochiki Corp. | 11,399 | ||||||
800 | Horiba, Ltd. | 33,893 | ||||||
2,600 | Hosiden Corp. | 23,562 | ||||||
2,300 | Ibiden Co., Ltd. | 64,290 | ||||||
47 | Inficon Holding AG | 37,066 | ||||||
400 | I-PEX, Inc. | 3,754 | ||||||
300 | Iriso Electronics Co., Ltd. | 7,071 | ||||||
2,300 | Japan Aviation Electronics Industry, Ltd. | 34,668 | ||||||
1,100 | Japan Cash Machine Co., Ltd. | 5,413 | ||||||
1,679 | Jenoptik AG | 37,428 | ||||||
1,000 | Kaga Electronics Co., Ltd. | 22,355 | ||||||
300 | Keyence Corp. | 102,684 | ||||||
1,200 | Koa Corp. | 14,319 | ||||||
1,400 | Kyocera Corp. | 74,948 | ||||||
3,500 | Kyosan Electric Manufacturing Co., Ltd. | 11,153 | ||||||
3,313 | Lagercrantz Group AB | 26,863 | ||||||
527 | Landis+Gyr Group AG | 27,653 | ||||||
18 | Lem Holding SA, Registered Shares | 34,412 | ||||||
1,700 | Macnica Fuji Electronics Holdings | 32,806 | ||||||
200 | Maruwa Co., Ltd./Aichi | 22,695 | ||||||
900 | Meiko Electronics Co., Ltd. | 20,912 | ||||||
978 | Micronic Mydata AB | 13,774 | ||||||
2,156 | Midwich Group plc | 15,391 | ||||||
4,600 | Murata Manufacturing Co., Ltd. | 249,175 | ||||||
267 | Nederland Apparatenfabriek | 16,730 | ||||||
2,800 | Nichicon Corp. | 26,011 | ||||||
600 | Nippon Chemi-Con Corp.* | 7,518 | ||||||
2,100 | Nippon Electric Glass Co., Ltd. | 40,006 | ||||||
3,400 | Nippon Signal Co., Ltd. | 24,650 | ||||||
1,800 | Nissha Co., Ltd. | 19,537 | ||||||
600 | Nohmi Bosai, Ltd. | 8,168 | ||||||
3,600 | OKI Electric Industry Co., Ltd. | 19,679 | ||||||
500 | Omron Corp. | 25,430 | ||||||
3,000 | Osaki Electric Co., Ltd. | 10,798 | ||||||
1,627 | Oxford Instruments plc | 39,137 | ||||||
3,149 | Pricer AB | 4,744 | ||||||
324 | Renishaw plc | 14,071 | ||||||
1,100 | Restar Holdings Corp. | 15,471 | ||||||
1,400 | Ryoden Corp. | 16,364 | ||||||
1,100 | Ryosan Co., Ltd. | 17,785 | ||||||
185 | Sensirion Holding AG*(a) | 18,779 | ||||||
63 | Sesa SpA | 8,004 | ||||||
400 | Shibaura Electronics Co., Ltd. | 14,744 | ||||||
1,600 | Shimadzu Corp. | 50,649 | ||||||
1,200 | Shinko Shoji Co., Ltd. | 7,797 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
2,000 | Siix Corp. | $ | 14,035 | |||||
3,154 | Smart Metering Systems plc | 31,441 | ||||||
1,318 | Spectris plc | 43,829 | ||||||
6,120 | Strix Group plc | 12,452 | ||||||
2,000 | Sumida Corp. | 11,777 | ||||||
700 | Tachibana Eletech Co., Ltd. | 7,852 | ||||||
1,700 | Taiyo Yuden Co., Ltd. | 57,852 | ||||||
2,500 | Tamura Corp. | 10,352 | ||||||
7,600 | TDK Corp. | 235,075 | ||||||
2,600 | Topcon Corp. | 33,929 | ||||||
1,300 | Toyo Corp. | 10,601 | ||||||
7,103 | TT Electronics plc | 15,239 | ||||||
100 | V Technology Co., Ltd. | 2,060 | ||||||
312 | Vaisala OYJ, Class A | 13,371 | ||||||
4,400 | Venture Corp., Ltd. | 52,758 | ||||||
44,000 | Vstecs Holdings, Ltd. | 35,199 | ||||||
2,200 | Yokogawa Electric Corp. | 36,099 | ||||||
1,100 | Yokowo Co., Ltd. | 16,896 | ||||||
|
| |||||||
2,705,557 | ||||||||
|
| |||||||
Energy Equipment & Services (0.4%): | ||||||||
7,314 | Akastor ASA* | 6,197 | ||||||
5,393 | Aker Solutions ASA | 14,582 | ||||||
2,991 | BW Offshore, Ltd. | 8,102 | ||||||
5,874 | Ces Energy Solutions Corp. | 10,634 | ||||||
29,491 | CGG SA* | 25,717 | ||||||
4,726 | Computer Modelling Group, Ltd. | 17,846 | ||||||
6,058 | Enerflex, Ltd. | 28,572 | ||||||
8,606 | Ensign Energy Services, Inc.* | 22,535 | ||||||
6,704 | Hunting plc | 17,619 | ||||||
18,612 | John Wood Group plc* | 35,340 | ||||||
8,257 | Lamprell plc* | 873 | ||||||
1,000 | Modec, Inc. | 8,581 | ||||||
2,400 | North American Construction Group, Ltd. | 26,350 | ||||||
7,269 | Odfjell Drilling, Ltd.* | 17,045 | ||||||
1,211 | Odfjell Technology, Ltd.* | 2,512 | ||||||
1,450 | Pason Systems, Inc. | 16,438 | ||||||
7,745 | Petrofac, Ltd.* | 10,568 | ||||||
18,993 | Petroleum Geo-Services ASA* | 12,911 | ||||||
818 | Precision Drilling Corp.* | 52,569 | ||||||
320 | Saipem SpA*^ | 860 | ||||||
5,417 | SBM Offshore NV | 73,661 | ||||||
174 | Schoeller-Blackman Oilfield Equipment AG | 9,794 | ||||||
8,377 | Secure Energy Services, Inc. | 39,054 | ||||||
3,900 | ShawCor, Ltd.* | 17,303 | ||||||
5,516 | Subsea 7 SA | 44,408 | ||||||
5,044 | Technip Energies NV | 62,917 | ||||||
1,677 | Tecnicas Reunidas SA* | 12,399 | ||||||
1,044 | Tenaris SA, ADR | 26,820 | ||||||
1,938 | Tenaris SA | 24,895 | ||||||
2,965 | TGS ASA | 41,906 | ||||||
421 | The Drilling Co of 1972 A/S* | 17,329 | ||||||
900 | Total Energy Services, Inc. | 5,224 | ||||||
400 | Toyo Kanetsu KK | 7,812 | ||||||
13,311 | Trican Well Service, Inc.* | 38,164 | ||||||
2,831 | Vallourec SA* | 33,814 | ||||||
6,393 | Worley, Ltd. | 62,485 | ||||||
|
| |||||||
853,836 | ||||||||
|
|
See accompanying notes to the financial statements.
12
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment (0.5%): | ||||||||
800 | Akatsuki, Inc. | $ | 16,058 | |||||
900 | Avex, Inc. | 8,949 | ||||||
11,278 | Bollore, Inc. | 52,607 | ||||||
2,427 | Borussia Dortmund GMBH & Co. KGaA* | 9,102 | ||||||
2,800 | Capcom Co., Ltd. | 68,055 | ||||||
268 | CTS Eventim AG & Co. KGaA* | 14,041 | ||||||
1,900 | DeNA Co., Ltd. | 26,472 | ||||||
2,590 | Event Hospitality And Entertainment, Ltd.* | 23,344 | ||||||
1,590 | Gungho Online Enetertainment, Inc. | 28,090 | ||||||
38,000 | IGG, Inc. | 16,743 | ||||||
82 | Kinepolis Group NV* | 3,940 | ||||||
1,300 | KLab, Inc.* | 5,745 | ||||||
1,100 | Konami Holdings Corp. | 60,931 | ||||||
3,270 | Modern Times Group Mortgage AB* | 26,296 | ||||||
1,100 | Nexon Co., Ltd. | 22,541 | ||||||
700 | Nintendo Co., Ltd. | 302,579 | ||||||
700 | Square Enix Holdings Co., Ltd. | 31,031 | ||||||
510 | Technicolor SA* | 1,509 | ||||||
100 | Toei Animation Co., Ltd. | 7,971 | ||||||
200 | Toei Co., Ltd. | 26,224 | ||||||
2,585 | UbiSoft Entertainment SA* | 114,167 | ||||||
2,949 | Universal Music Group NV | 59,574 | ||||||
700 | UUUM, Inc.* | 6,981 | ||||||
6,474 | Vivendi Universal SA | 66,061 | ||||||
5,570 | WildBrain, Ltd.* | 10,647 | ||||||
|
| |||||||
1,009,658 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%†): | ||||||||
1,160 | CDL Hospitality Trusts | 1,061 | ||||||
34,955 | SPH REIT | 23,533 | ||||||
|
| |||||||
24,594 | ||||||||
|
| |||||||
Food & Staples Retailing (2.2%): | ||||||||
5,600 | AEON Co., Ltd. | 97,227 | ||||||
500 | Ain Holdings, Inc. | 26,729 | ||||||
7,272 | Alimentation Couche-Tard, Inc. | 283,704 | ||||||
702 | Amsterdam Commodities NV | 16,630 | ||||||
1,200 | Arcs Co., Ltd. | 17,706 | ||||||
1,537 | Axfood AB | 44,239 | ||||||
800 | Axial Retailing, Inc. | 18,409 | ||||||
600 | Belc Co., Ltd. | 22,872 | ||||||
16,561 | Carrefour SA | 293,800 | ||||||
1,395 | Casino Guichard-Perrachon SA*^ | 18,063 | ||||||
1,100 | Cawachi, Ltd. | 17,382 | ||||||
8,111 | Coles Group, Ltd. | 99,732 | ||||||
1,589 | Colruyt SA | 43,205 | ||||||
500 | Cosmos Pharmaceutical Corp. | 48,195 | ||||||
1,300 | Create SD Holdings Co., Ltd. | 28,680 | ||||||
500 | Daikokutenbussan Co., Ltd. | 14,383 | ||||||
4,900 | Dairy Farm International Holdings, Ltd. | 14,369 | ||||||
2,391 | Empire Co., Ltd., Class A | 73,662 | ||||||
9,117 | Endeavour Group, Ltd. | 47,645 | ||||||
500 | Fuji Co., Ltd./Ehime | 7,837 | ||||||
500 | Genky Drugstores Co., Ltd. | 12,372 | ||||||
1,093 | George Weston, Ltd. | 127,704 | ||||||
1,600 | Heiwado Co., Ltd. | 23,561 | ||||||
1,765 | HelloFresh SE* | 57,105 | ||||||
200 | Itochu-Shokuhin Co., Ltd. | 7,226 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
43,950 | J Sainsbury plc | $ | 109,155 | |||||
968 | Jeronimo Martins SGPS SA | 21,037 | ||||||
600 | JM Holdings Co., Ltd. | 7,026 | ||||||
600 | Kato Sangyo Co., Ltd. | 14,403 | ||||||
6,632 | Kesko Oyj, Class B | 156,539 | ||||||
2,295 | Kesko OYJ, Class A | 49,679 | ||||||
1,700 | Kobe Bussan Co., Ltd. | 41,620 | ||||||
23,360 | Koninklijke Ahold Delhaize NV | 608,715 | ||||||
400 | Kusuri NO Aoki Holdings Co., Ltd. | 17,110 | ||||||
900 | LAWSON, Inc. | 29,929 | ||||||
800 | Life Corp. | 15,276 | ||||||
2,011 | Loblaw Cos., Ltd. | 181,396 | ||||||
215 | M Yochananof & Sons, Ltd. | 12,923 | ||||||
780 | Matsumotokiyoshi Holdings Co., Ltd. | 31,551 | ||||||
25,319 | Metcash, Ltd. | 74,039 | ||||||
5,881 | METRO AG* | 49,625 | ||||||
3,317 | Metro, Inc. | 178,067 | ||||||
600 | Ministop Co., Ltd. | 6,472 | ||||||
900 | Mitsubishi Shokuhin Co., Ltd. | 25,229 | ||||||
1,200 | Nihon Chouzai Co., Ltd. | 11,646 | ||||||
1,801 | North West Co., Inc. | 46,585 | ||||||
821 | Ocado Group plc* | 7,807 | ||||||
10,925 | Olam Group, Ltd.* | 11,970 | ||||||
1,200 | Qol Holdings Co., Ltd. | 12,492 | ||||||
1,094 | Rallye SA* | 3,187 | ||||||
337 | Rami Levy Chain Stores Hashikm | 24,157 | ||||||
1,000 | Retail Partners Co., Ltd. | 8,408 | ||||||
600 | San-A Co., Ltd. | 18,139 | ||||||
6,400 | Seven & I Holdings Co., Ltd. | 248,129 | ||||||
28,900 | Sheng Siong Group, Ltd. | 31,630 | ||||||
4,880 | Shufersal, Ltd. | 32,150 | ||||||
1,454 | Sligro Food Group NV* | 27,564 | ||||||
38,447 | Sonae SGPS SA | 47,333 | ||||||
900 | Sugi Holdings Co., Ltd. | 39,455 | ||||||
1,800 | Sundrug Co., Ltd. | 40,338 | ||||||
59,682 | Tesco plc | 185,600 | ||||||
1,300 | Tsuruha Holdings, Inc. | 70,589 | ||||||
2,100 | United Supermarkets Holdings | 16,522 | ||||||
2,200 | Valor Holdings Co., Ltd. | 29,614 | ||||||
1,400 | Watahan & Co., Ltd. | 14,122 | ||||||
1,400 | Welcia Holdings Co., Ltd. | 28,055 | ||||||
7,800 | Woolworths Group, Ltd. | 191,568 | ||||||
800 | YAKUODO Holdings Co., Ltd. | 12,354 | ||||||
700 | Yamatane Corp. | 8,253 | ||||||
700 | Yaoko Co., Ltd. | 31,374 | ||||||
2,800 | Yokorei Co., Ltd. | 18,169 | ||||||
|
| |||||||
4,309,438 | ||||||||
|
| |||||||
Food Products (2.6%): | ||||||||
5,898 | A2 Milk Co., Ltd.* | 18,083 | ||||||
509 | AAK AB | 8,313 | ||||||
364 | Agrana Beteiligungs AG | 6,488 | ||||||
4,500 | Ajinomoto Co., Inc. | 109,521 | ||||||
44,180 | Aryzta AG* | 49,132 | ||||||
3,902 | Associated British Foods plc | 75,419 | ||||||
772 | Atria OYJ | 7,022 | ||||||
2,327 | Austevoll Seafood ASA | 27,328 | ||||||
363 | Bakkafrost P/F | 23,291 |
See accompanying notes to the financial statements.
13
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
79 | Barry Callebaut AG, Registered Shares | $ | 176,960 | |||||
8,561 | Bega Cheese, Ltd. | 22,527 | ||||||
125 | Bell AG | 33,079 | ||||||
854 | Bonduelle S.C.A. | 13,924 | ||||||
2,000 | Calbee, Inc. | 40,348 | ||||||
1 | Chocoladefabriken Lindt & Spruengli AG | 104,867 | ||||||
800 | Chubu Shiryo Co., Ltd. | 6,163 | ||||||
12,278 | Cloetta AB | 25,183 | ||||||
15,071 | Costa Group Holdings, Ltd. | 29,759 | ||||||
1,411 | Cranswick plc | 52,867 | ||||||
3,414 | Danone SA | 191,836 | ||||||
1,700 | Delfi, Ltd. | 919 | ||||||
10,007 | Devro plc | 22,339 | ||||||
500 | DyDo Group Holdings, Inc. | 18,545 | ||||||
2,372 | Ebro Foods SA | 40,031 | ||||||
4,736 | Elders, Ltd. | 41,164 | ||||||
80 | Emmi AG | 77,939 | ||||||
400 | Ezaki Glico Co., Ltd. | 11,576 | ||||||
108,669 | First Pacific Co., Ltd. | 42,154 | ||||||
27,100 | First Resources, Ltd. | 31,831 | ||||||
1,616 | Forfarmers NV | 4,503 | ||||||
9,500 | Fraser & Neave, Ltd. | 9,028 | ||||||
1,700 | Fuji Oil Holdings, Inc. | 26,856 | ||||||
3,286 | Glanbia plc | 35,567 | ||||||
260,400 | Golden Agri-Resources, Ltd. | 46,934 | ||||||
11,957 | GrainCorp, Ltd. | 79,103 | ||||||
17,127 | Greencore Group plc* | 20,701 | ||||||
1,502 | Grieg Seafood ASA | 21,421 | ||||||
1,100 | High Liner Foods, Inc. | 10,282 | ||||||
1,923 | Hilton Food Group plc | 23,914 | ||||||
1,600 | Hokuto Corp. | 22,802 | ||||||
700 | House Foods Group, Inc. | 14,592 | ||||||
15,498 | Inghams Group, Ltd. | 27,603 | ||||||
2,700 | Itoham Yonekyu Holdings, Inc. | 13,732 | ||||||
300 | Iwatsuka Confectionery Co., Ltd. | 8,823 | ||||||
900 | JDE Peet’s NV | 25,690 | ||||||
600 | J-Oil Mills, Inc. | 7,114 | ||||||
800 | Kagome Co., Ltd. | 19,529 | ||||||
800 | Kakiyasu Honten Co., Ltd. | 14,163 | ||||||
400 | Kameda Seika Co., Ltd. | 14,213 | ||||||
700 | Kenko Mayonnaise Co., Ltd. | 7,469 | ||||||
506 | Kerry Group plc, Class A | 48,465 | ||||||
2,800 | Kewpie Corp. | 47,364 | ||||||
900 | Kikkoman Corp. | 47,808 | ||||||
163 | KWS Saat SE | 9,649 | ||||||
500 | Kyokuyo Co., Ltd. | 12,739 | ||||||
147 | Lassonde Industries, Inc. | 13,599 | ||||||
3,154 | Leroy Seafood Group ASA | 22,470 | ||||||
17 | Lotus Bakeries | 93,327 | ||||||
2,349 | Maple Leaf Foods, Inc. | 46,195 | ||||||
1,200 | Marudai Food Co., Ltd. | 13,582 | ||||||
2,100 | Maruha Nichiro Corp. | 39,552 | ||||||
1,700 | Megmilk Snow Brand Co., Ltd. | 22,739 | ||||||
41 | Mehadrin, Ltd.* | 1,771 | ||||||
1,500 | Meiji Holdings Co., Ltd. | 73,654 | ||||||
800 | Mitsui Sugar Co., Ltd. | 11,243 | ||||||
1,300 | Morinaga & Co., Ltd. | 41,675 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
1,100 | Morinaga Milk Industry Co., Ltd. | $ | 39,385 | |||||
2,770 | Mowi ASA | 63,225 | ||||||
9,118 | Nestle SA | 1,069,903 | ||||||
389 | Neto Malinda Trading, Ltd.* | 15,639 | ||||||
2,400 | NH Foods, Ltd. | 75,135 | ||||||
2,600 | Nichirei Corp. | 45,228 | ||||||
1,200 | Nippn Corp. | 14,439 | ||||||
800 | Nippon Beet Sugar Manufacturing Co., Ltd. | 10,070 | ||||||
12,400 | Nippon Suisan Kaisha, Ltd. | 52,398 | ||||||
1,200 | Nisshin Oillio Group, Ltd. (The) | 27,737 | ||||||
2,700 | Nisshin Seifun Group, Inc. | 31,616 | ||||||
300 | Nissin Foods Holdings Co., Ltd. | 20,714 | ||||||
326 | Orior AG | 27,261 | ||||||
3,996 | Orkla ASA, Class A | 32,000 | ||||||
30,027 | Premier Foods plc | 41,334 | ||||||
505 | Premium Brands Holdings Corp. | 36,606 | ||||||
1,300 | Prima Meat Packers, Ltd. | 21,829 | ||||||
11,830 | Ridley Corp., Ltd. | 14,620 | ||||||
4,400 | Rogers Sugar, Inc. | 20,684 | ||||||
600 | S Foods, Inc. | 13,784 | ||||||
482 | Salmar ASA | 34,022 | ||||||
2,346 | Sanford, Ltd.* | 6,025 | ||||||
2,356 | Saputo, Inc. | 51,385 | ||||||
127 | Savencia SA | 8,006 | ||||||
3,496 | Scales Corp., Ltd. | 9,472 | ||||||
3,767 | Scandi Standard AB* | 13,449 | ||||||
619 | Schouw & Co. | 43,179 | ||||||
2,906 | Select Harvests, Ltd. | 9,493 | ||||||
800 | Showa Sangyo Co., Ltd. | 14,965 | ||||||
306 | Sipef SA | 20,366 | ||||||
114 | Societe LDC SA | 10,655 | ||||||
600 | Starzen Co., Ltd. | 8,804 | ||||||
1,353 | Strauss Group, Ltd. | 33,310 | ||||||
2,659 | Suedzucker AG | 42,863 | ||||||
2,839 | Synlait Milk, Ltd.* | 5,515 | ||||||
11,672 | Tassal Group, Ltd. | 38,776 | ||||||
12,165 | Tate & Lyle PLC | 110,961 | ||||||
1,100 | Toyo Suisan Kaisha, Ltd. | 42,914 | ||||||
58 | UIE PLC | 17,178 | ||||||
13,688 | United Malt Grp, Ltd. | 30,873 | ||||||
217 | Vilmorin & Cie SA | 9,154 | ||||||
1,635 | Viscofan SA | 90,181 | ||||||
22,000 | Vitasoy International Holdings, Ltd. | ^ 38,501 | ||||||
400 | Warabeya Nichiyo Holdings Co., Ltd. | 5,218 | ||||||
253,915 | WH Group, Ltd.(a) | 196,457 | ||||||
35,600 | Wilmar International, Ltd. | 103,605 | ||||||
600 | Yakult Honsha Co., Ltd. | 34,643 | ||||||
3,700 | Yamazaki Baking Co., Ltd. | 45,199 | ||||||
|
| |||||||
5,057,255 | ||||||||
|
| |||||||
Gas Utilities (0.5%): | ||||||||
7,684 | AltaGas, Ltd. | 162,158 | ||||||
9,887 | APA Group | 76,846 | ||||||
2,571 | Brookfield Infrastructure Corp., Class A | 109,133 | ||||||
7,976 | Enagas SA | 176,153 | ||||||
39,850 | Hong Kong & China Gas Co., Ltd. | 42,932 | ||||||
10,984 | Italgas SpA | 64,134 | ||||||
800 | K&O Energy Group, Inc. | 8,844 |
See accompanying notes to the financial statements.
14
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
387 | Naturgy Energy Group SA | $ | 11,146 | |||||
3,400 | Nippon Gas Co., Ltd. | 48,243 | ||||||
2,900 | Osaka Gas Co., Ltd. | 55,706 | ||||||
1,605 | Rubis SCA | 37,731 | ||||||
1,300 | Saibu Gas Co., Ltd. | 18,092 | ||||||
1,300 | Shizuoka Gas Co. Ltd. | 8,715 | ||||||
15,996 | Snam SpA | 83,945 | ||||||
3,450 | Superior Plus Corp. | 30,452 | ||||||
1,100 | Toho Gas Co., Ltd. | 26,534 | ||||||
2,200 | Tokyo Gas Co., Ltd. | 45,523 | ||||||
|
| |||||||
1,006,287 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.3%): | ||||||||
2,536 | Alcon, Inc. | 177,178 | ||||||
1,289 | Alcon, Inc. | 90,088 | ||||||
1,070 | Ambu A/S, Class B^ | 10,459 | ||||||
3,762 | Ansell, Ltd. | 57,763 | ||||||
2,637 | Arjo AB, Class B | 16,695 | ||||||
1,200 | Asahi Intecc Co., Ltd. | 18,094 | ||||||
724 | BioMerieux | 70,707 | ||||||
230 | Carl Zeiss Meditec AG | 27,462 | ||||||
246 | Cellavision AB | 8,158 | ||||||
434 | Cochlear, Ltd. | 59,551 | ||||||
597 | Coloplast A/S, Class B | 68,198 | ||||||
251 | Coltene Holding AG | 21,648 | ||||||
15,236 | Convatec Group plc(a) | 41,818 | ||||||
1,946 | Demant A/S* | 73,060 | ||||||
419 | DiaSorin SpA | 55,026 | ||||||
238 | Draegerwerk AG & Co. KGaA | 10,542 | ||||||
509 | Draegerwerk AG & Co. KGaA | 26,551 | ||||||
458 | Eckert & Ziegler AG | 17,491 | ||||||
2,223 | Elekta AB, Class B^ | 15,365 | ||||||
2,090 | Fisher & Paykel Healthcare Corp., Ltd. | 26,027 | ||||||
300 | Fukuda Denshi Co., Ltd. | 16,404 | ||||||
1,212 | Getinge AB, Class B | 28,046 | ||||||
4,399 | GN Store Nord A/S | 155,203 | ||||||
405 | Guerbet | 9,449 | ||||||
800 | Hogy Medical Co., Ltd. | 17,763 | ||||||
2,300 | Hoya Corp. | 196,644 | ||||||
500 | Jeol, Ltd. | 19,311 | ||||||
710 | Koninklijke Philips Electronics NV, NYS | 15,286 | ||||||
5,281 | Koninklijke Philips NV | 114,568 | ||||||
700 | Mani, Inc. | 6,812 | ||||||
105 | Medacta Group SA(a) | 10,026 | ||||||
849 | Medmix AG(a) | 18,824 | ||||||
1,600 | Menicon Co., Ltd. | 36,778 | ||||||
10 | Metall Zug AG | 20,020 | ||||||
1,200 | Nakanishi, Inc. | 21,121 | ||||||
1,600 | Nihon Kohden Corp. | 32,741 | ||||||
7,000 | Nipro Corp. | 55,089 | ||||||
7,100 | Olympus Corp. | 142,808 | ||||||
1,800 | Paramount Bed Holdings Co., Ltd. | 29,233 | ||||||
457 | Revenio Group OYJ | 20,375 | ||||||
16,500 | Riverstone Holdings, Ltd. | 8,797 | ||||||
174 | Sartorius AG | 60,771 | ||||||
645 | Siemens Healthineers AG(a) | 32,783 | ||||||
1,648 | Smith & Nephew plc | 23,037 | ||||||
2,012 | Smith & Nephew plc, ADR | 56,175 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
520 | Sonova Holding AG | $ | 165,631 | |||||
360 | Stratec Se | 32,894 | ||||||
710 | Straumann Holding AG, Class R | 85,421 | ||||||
1,200 | Sysmex Corp. | 72,316 | ||||||
1,400 | Terumo Corp. | 42,223 | ||||||
180 | Ypsomed Holding AG | 24,447 | ||||||
|
| |||||||
2,462,877 | ||||||||
|
| |||||||
Health Care Providers & Services (0.8%): | ||||||||
3,400 | Alfresa Holdings Corp. | 45,710 | ||||||
2,772 | Amplifon SpA | 85,327 | ||||||
18,908 | Arvida Group, Ltd. | 17,468 | ||||||
200 | As One Corp. | 7,895 | ||||||
6,164 | Attendo AB*(a) | 13,314 | ||||||
700 | BML, Inc. | 18,200 | ||||||
3,715 | CareTech Holdings plc | 33,544 | ||||||
862 | CVS Group plc | 17,375 | ||||||
1,249 | Ebos Group, Ltd. | 30,374 | ||||||
1,000 | Elan Corp. | 7,711 | ||||||
4,012 | Extendicare, Inc. | 21,385 | ||||||
3,112 | Fagron | 50,373 | ||||||
1,400 | France Bed Holdings Co., Ltd. | 9,363 | ||||||
2,579 | Fresenius Medical Care AG & Co., KGaA | 128,788 | ||||||
5,366 | Fresenius SE & Co. KGaA | 162,568 | ||||||
1,900 | H.U. Group Holdings, Inc. | 41,278 | ||||||
20,914 | Healius, Ltd. | 52,835 | ||||||
2,572 | Humana AB* | 11,223 | ||||||
4,771 | Integral Diagnostics, Ltd. | 9,973 | ||||||
2,000 | Japan Lifeline Co., Ltd. | 13,485 | ||||||
1,000 | Japan Medical Dynamic Marketing, Inc. | 11,749 | ||||||
2,704 | Korian SA | 40,522 | ||||||
225 | Lna Sante | 7,945 | ||||||
3,204 | Medical Facilities Corp. | 21,758 | ||||||
15,698 | Mediclinic International plc* | 87,798 | ||||||
1,044 | Medicover AB, Class B | 13,614 | ||||||
3,500 | Medipal Holdings Corp. | 49,394 | ||||||
3,565 | Mediterranean Towers, Ltd. | 9,712 | ||||||
1,110 | NMC Health plc* | — | ||||||
11,023 | Novolog, Ltd. | 9,871 | ||||||
22,209 | Oceania Healthcare, Ltd. | 12,893 | ||||||
6,310 | Oriola Oyj, Class B | 12,541 | ||||||
1,066 | Orpea | 25,979 | ||||||
24,015 | Raffles Medical Group, Ltd. | 19,379 | ||||||
1,997 | Ramsay Health Care, Ltd. | 100,972 | ||||||
7,784 | Regis Healthcare, Ltd. | 9,933 | ||||||
2,814 | Ryman Healthcare, Ltd. | 15,614 | ||||||
2,100 | Ship Healthcare Holdings, Inc. | 37,381 | ||||||
59,044 | Sigma Healthcare, Ltd. | 23,640 | ||||||
1,900 | Solasto Corp. | 10,218 | ||||||
6,966 | Sonic Healthcare, Ltd. | 158,771 | ||||||
8,887 | Spire Healthcare Group plc*(a) | 25,432 | ||||||
6,678 | Summerset Group Holdings, Ltd. | 39,971 | ||||||
1,500 | Suzuken Co., Ltd. | 42,381 | ||||||
1,422 | Terveystalo OYJ(a) | 15,233 | ||||||
1,800 | Toho Holdings Co., Ltd. | 27,796 | ||||||
500 | Tokai Corp./Gifu | 6,139 | ||||||
3,655 | Virtus Health, Ltd. | 19,926 | ||||||
2,800 | Vital Ksk Holdings, Inc. | 14,289 | ||||||
|
| |||||||
1,649,040 | ||||||||
|
|
See accompanying notes to the financial statements.
15
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology (0.2%): | ||||||||
7,980 | AGFA-Gevaert NV* | $ | 29,403 | |||||
1,026 | Ascom Holding AG | 7,226 | ||||||
857 | CompuGroup Medical SE & Co KgaA | 36,509 | ||||||
2,389 | Emis Group plc | 54,238 | ||||||
2,400 | M3, Inc. | 69,060 | ||||||
700 | MedPeer, Inc.* | 9,582 | ||||||
133 | Nexus AG | 6,965 | ||||||
800 | Nnit A/S*(a) | 8,291 | ||||||
94 | Pharmagest Interactive | 7,511 | ||||||
1,258 | Pro Medicus, Ltd. | 36,712 | ||||||
1,213 | Raysearch Laboratories AB* | 6,458 | ||||||
3,335 | Sectra AB, Class B* | 44,890 | ||||||
|
| |||||||
316,845 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.5%): | ||||||||
2,190 | 888 Holdings plc | 4,494 | ||||||
2,915 | Accor SA* | 80,046 | ||||||
600 | AEON Fantasy Co., Ltd. | 11,877 | ||||||
1,000 | Airtrip Corp.* | 18,777 | ||||||
1,000 | Arcland Service Holdings Co., Ltd. | 15,480 | ||||||
23,206 | Ardent Leisure Group, Ltd.* | 22,427 | ||||||
4,661 | Aristocrat Leisure, Ltd. | 110,672 | ||||||
614 | Basic-Fit NV*(a) | 23,398 | ||||||
3,095 | Betsson AB* | 18,724 | ||||||
20,000 | Cafe de Coral Holdings, Ltd. | 32,185 | ||||||
1,533 | Carnival plc, ADR* | 12,111 | ||||||
72,000 | Century City International Holdings, Ltd.* | 2,907 | ||||||
970 | Cie des Alpes* | 14,656 | ||||||
4,935 | Collins Foods, Ltd. | 33,773 | ||||||
700 | Colowide Co., Ltd. | 9,479 | ||||||
9,845 | Compass Group plc | 201,521 | ||||||
553 | Corporate Travel Management, Ltd.* | 7,053 | ||||||
3,200 | Create Restaurants Holdings In | 22,043 | ||||||
2,300 | Curves Holdings Co., Ltd. | 11,200 | ||||||
799 | Domino’s Pizza Enterprises, Ltd. | 37,464 | ||||||
10,911 | Domino’s Pizza Group plc | 37,087 | ||||||
1,600 | Doutor Nichires Holdings Co., Ltd. | 18,170 | ||||||
4,906 | Elior Group*(a) | 10,900 | ||||||
3,030 | Entain plc* | 45,970 | ||||||
253 | Evolution AB(a) | 23,048 | ||||||
6,500 | Fairwood Holdings, Ltd. | 11,795 | ||||||
87 | Fattal Holdings 1998, Ltd.* | 9,084 | ||||||
1,821 | Flight Centre Travel Group, Ltd.* | 21,788 | ||||||
2,342 | Flutter Entertainment plc* | 235,259 | ||||||
495 | Flutter Entertainment plc* | 50,105 | ||||||
2,000 | Food & Life Cos., Ltd. | 42,658 | ||||||
500 | Fuji Kyuko Co., Ltd. | 15,492 | ||||||
557 | Fuller Smith & Turner plc, Class A | 4,081 | ||||||
7,000 | Galaxy Entertainment Group, Ltd. | 41,889 | ||||||
200 | Genki Sushi Co., Ltd. | 3,746 | ||||||
78,300 | Genting Singapore, Ltd. | 40,652 | ||||||
3,888 | Greggs plc | 86,128 | ||||||
2,921 | Hollywood Bowl Group PLC | 7,398 | ||||||
18,230 | Hongkong & Shanghai Hotels (The)* | 16,786 | ||||||
1,499 | InterContinental Hotels Group plc, ADR | 81,021 | ||||||
2,484 | JD Wetherspoon plc* | 18,866 | ||||||
868 | Jumbo Interactive, Ltd. | 8,509 | ||||||
1,100 | KFC Holdings Japan, Ltd. | 23,056 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
6,856 | Kindred Group plc | $ | 57,056 | |||||
1,700 | Komeda Holdings Co., Ltd. | 28,845 | ||||||
1,667 | La Francaise des Jeux SAEM(a) | 58,066 | ||||||
21,530 | Lottery Corp., Ltd. (The)* | 67,157 | ||||||
33,812 | Marston’s plc* | 21,192 | ||||||
500 | McDonald’s Holdings Co., Ltd. | 18,206 | ||||||
23,000 | Melco International Development Ltd.* | 17,025 | ||||||
2,819 | Melia Hotels International SA* | 17,910 | ||||||
14,000 | Miramar Hotel & Investment | 25,293 | ||||||
11,969 | Mitchells & Butlers plc* | 26,844 | ||||||
400 | Monogatari Corp. (The) | 17,293 | ||||||
313 | MTY Food Group, Inc. | 12,464 | ||||||
46,000 | NagaCorp, Ltd.* | 37,631 | ||||||
200 | Oriental Land Co., Ltd. | 27,858 | ||||||
2,702 | Pandox AB* | 30,338 | ||||||
900 | Pizza Pizza Royalty Corp. | 8,497 | ||||||
10,182 | PlayTech plc* | 67,109 | ||||||
600 | Pollard Banknote, Ltd. | 9,403 | ||||||
12,439 | Rank Group plc* | 12,965 | ||||||
1,500 | Resorttrust, Inc. | 24,508 | ||||||
2,049 | Restaurant Brands International, Inc. | 102,757 | ||||||
400 | Restaurant Brands International, Inc. | 20,068 | ||||||
3,018 | Restaurant Brands New Zealand, Ltd. | 20,376 | ||||||
19,755 | Restaurant Group plc (The)* | 10,826 | ||||||
1,200 | Saint Marc Holdings Co., Ltd. | 14,008 | ||||||
3,788 | Sands China, Ltd.* | 9,250 | ||||||
5,463 | Scandic Hotels Group AB*^(a) | 21,116 | ||||||
44,000 | Shangri-La Asia, Ltd.* | 35,679 | ||||||
78,868 | SJM Holdings, Ltd.* | 35,909 | ||||||
1,360 | SkiStar AB | 18,448 | ||||||
28,026 | Sky City Entertainment Group, Ltd. | 50,922 | ||||||
6,100 | Skylark Holdings Co., Ltd.^ | 71,475 | ||||||
1,782 | Sodexo SA | 126,431 | ||||||
13,126 | SSP Group plc* | 37,210 | ||||||
30,737 | Star Entertainment Group, Ltd. (The)* | 59,213 | ||||||
21,530 | Tabcorp Holdings, Ltd. | 15,831 | ||||||
581 | The Gym Group plc*(a) | 1,345 | ||||||
137 | Tivoli A/S* | 15,518 | ||||||
800 | Tokyotokeiba Co., Ltd.^ | 23,162 | ||||||
2,200 | Toridoll Holding Corp. | 37,420 | ||||||
7,408 | TUI AG* | 11,962 | ||||||
2,698 | Whitbread plc | 81,495 | ||||||
500 | Young & Co.’s Brewery plc, Class A | 6,913 | ||||||
2,100 | Zensho Holdings Co., Ltd. | 50,416 | ||||||
|
| |||||||
3,007,185 | ||||||||
|
| |||||||
Household Durables (1.6%): | ||||||||
5,875 | Azorim-Investment Development & Construction Co., Ltd. | 22,226 | ||||||
4,812 | Bang & Olufsen A/S*^ | 9,448 | ||||||
14,363 | Barratt Developments plc | 80,048 | ||||||
3,181 | Bellway plc | 83,162 | ||||||
2,165 | Berkeley Group Holdings plc* | 98,216 | ||||||
1,566 | Bigben Interactive | 26,335 | ||||||
3,728 | Bonava AB | 10,824 | ||||||
6,992 | Bovis Homes Group plc | 71,121 | ||||||
1,520 | Breville Group, Ltd. | 18,888 | ||||||
27,975 | Cairn Home plc | 29,181 |
See accompanying notes to the financial statements.
16
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
4,900 | Casio Computer Co., Ltd. | $ | 45,515 | |||||
600 | Chofu Seisakusho Co., Ltd. | 7,800 | ||||||
9,695 | Countryside Properties plc*(a) | 29,297 | ||||||
6,556 | Crest Nicholson Holdings plc | 19,437 | ||||||
1,076 | De’Longhi | 20,112 | ||||||
7,507 | DFS Furniture plc | 14,362 | ||||||
1,000 | Dorel Industries, Inc. | 5,019 | ||||||
2,152 | Duni AB* | 17,176 | ||||||
4,630 | Electrolux AB, Class B | 62,396 | ||||||
1,200 | Es-Con Japan, Ltd. | 6,770 | ||||||
2,053 | Fiskars OYJ Abp | 38,617 | ||||||
36 | Forbo Holding AG | 47,994 | ||||||
1,600 | Fuji Corp., Ltd. | 7,728 | ||||||
900 | Fujitsu General, Ltd. | 17,859 | ||||||
25,820 | Glenveagh Properties PLC*(a) | 25,312 | ||||||
9,100 | Haseko Corp. | 106,662 | ||||||
2,710 | Henry Boot plc | 9,568 | ||||||
700 | Hoosiers Holdings | 4,134 | ||||||
2,100 | Iida Group Holdings Co., Ltd. | 32,351 | ||||||
2,147 | JM AB | 35,585 | ||||||
10,600 | Jvc Kenwood Corp. | 13,806 | ||||||
958 | Kaufman & Broad SA | 26,118 | ||||||
1,300 | LEC, Inc. | 6,136 | ||||||
540 | Leifheit AG | 11,210 | ||||||
43,200 | Man Wah Holdings, Ltd. | 46,738 | ||||||
313 | Nacon SA* | 1,938 | ||||||
1,363 | Neinor Homes SA(a) | 17,081 | ||||||
3,300 | Nikon Corp. | 38,207 | ||||||
5,576 | Nobia AB | 14,956 | ||||||
1,200 | Open House Co., Ltd. | 47,804 | ||||||
25,900 | Panasonic Holdings Corp. | 209,550 | ||||||
4,900 | Persimmon plc | 111,211 | ||||||
1,200 | Pressance Corp. | 13,366 | ||||||
6,708 | Redrow plc | 39,968 | ||||||
600 | Rinnai Corp. | 41,300 | ||||||
1,300 | Sangetsu Corp. | 14,937 | ||||||
864 | SEB SA | 83,346 | ||||||
5,900 | Sekisui Chemical Co., Ltd. | 80,834 | ||||||
6,500 | Sekisui House, Ltd. | 113,777 | ||||||
3,000 | Sharp Corp. | 23,222 | ||||||
10,000 | Sony Group Corp. | 817,359 | ||||||
4,800 | Sumitomo Forestry Co., Ltd. | 68,101 | ||||||
328 | Surteco Group SE | 7,735 | ||||||
1,100 | Tama Home Co., Ltd. | 19,874 | ||||||
1,100 | Tamron Co., Ltd. | 20,397 | ||||||
84,968 | Taylor Wimpey plc | 120,761 | ||||||
805 | The Vitec Group plc | 12,860 | ||||||
1,000 | TOA Corp. | 5,553 | ||||||
3,468 | TomTom NV* | 25,673 | ||||||
100 | V-ZUG Holding AG* | 9,322 | ||||||
|
| |||||||
3,066,283 | ||||||||
|
| |||||||
Household Products (0.3%): | ||||||||
300 | Earth Corp. | 11,506 | ||||||
636 | Essity AB | 16,581 | ||||||
2,414 | Essity AB, Class B | 63,061 | ||||||
605 | Henkel AG & Co. KGaA | 37,020 | ||||||
4,400 | Lion Corp. | 48,543 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
14,255 | Mcbride plc* | $ | 2,688 | |||||
2,000 | Pigeon Corp. | 27,457 | ||||||
5,635 | PZ Cussons plc | 13,497 | ||||||
3,246 | Reckitt Benckiser Group plc | 243,769 | ||||||
1,600 | Unicharm Corp. | 53,577 | ||||||
|
| |||||||
517,699 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.6%): | ||||||||
2,251 | 7C Solarparken AG | 10,991 | ||||||
1,528 | Albioma SA | 79,908 | ||||||
1,551 | Boralex, Inc., Class A | 51,676 | ||||||
1,800 | Capital Power Corp. | 62,951 | ||||||
4,606 | ContourGlobal plc(a) | 14,107 | ||||||
18,267 | Drax Group plc | 143,060 | ||||||
2,483 | EDP Renovaveis SA | 58,662 | ||||||
1,700 | EF-ON, Inc. | 6,858 | ||||||
1,300 | Electric Power Development Co., Ltd. | 21,499 | ||||||
1,200 | Encavis AG | 22,006 | ||||||
2,646 | Energix-Renewable Energies, Ltd. | 8,045 | ||||||
9,491 | Enlight Renewable Energy, Ltd.* | 18,109 | ||||||
1,000 | eRex Co., Ltd. | 16,192 | ||||||
1,756 | ERG SpA | 54,672 | ||||||
501 | Greenvolt-Energias Renovaveis SA* | 3,859 | ||||||
2,055 | Innergex Renewable Energy, Inc. | 27,624 | ||||||
690 | Kenon Holdings, Ltd. | 27,912 | ||||||
2,800 | New Energy Solar, Ltd. | 1,549 | ||||||
5,078 | Northland Power, Inc. | 151,196 | ||||||
2,264 | OPC Energy, Ltd.* | 22,292 | ||||||
1,500 | Polaris Infrastructure, Inc. | 22,692 | ||||||
500 | Renova, Inc.* | 9,013 | ||||||
1,250 | Scatec ASA(a) | 10,796 | ||||||
1,714 | Solaria Energia y Medio Ambiente SA* | 36,376 | ||||||
11,642 | Transalta Corp. | 132,883 | ||||||
2,200 | Transalta Renewables, Inc. | 28,120 | ||||||
1,431 | Uniper SE | 21,232 | ||||||
910 | West Holdings Corp. | 24,501 | ||||||
|
| |||||||
1,088,781 | ||||||||
|
| |||||||
Industrial Conglomerates (1.1%): | ||||||||
182 | Aker ASA, Class A Shares | 14,020 | ||||||
865 | Bonheur ASA | 31,472 | ||||||
1,015 | Chargeurs SA | 15,713 | ||||||
8,000 | Chevalier International Holdings Ltd. | 9,461 | ||||||
16,930 | CK Hutchison Holdings, Ltd. | 115,140 | ||||||
1,711 | DCC plc | 106,893 | ||||||
2,000 | Guoco Group, Ltd. | 20,162 | ||||||
8,900 | Hitachi, Ltd. | 421,755 | ||||||
822 | Indus Holding AG | 19,126 | ||||||
515 | Italmobiliare SpA | 14,230 | ||||||
2,700 | Jardine Cycle & Carriage, Ltd. | 55,032 | ||||||
1,500 | Katakura Industries Co., Ltd. | 22,398 | ||||||
1,700 | Keihan Holdings Co., Ltd. | 42,384 | ||||||
18,500 | Keppel Corp., Ltd. | 86,513 | ||||||
1,149 | Lifco AB, Class B | 18,485 | ||||||
51,933 | Melrose Industries plc | 94,811 | ||||||
5,400 | Nisshinbo Holdings, Inc. | 40,667 | ||||||
6,522 | Nolato AB, Class B | 35,109 | ||||||
1,300 | Noritsu Koki Co., Ltd. | 22,038 |
See accompanying notes to the financial statements.
17
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
49,000 | NWS Holdings, Ltd. | $ | 46,573 | |||||
1,821 | Rheinmetall AG | 420,439 | ||||||
3,900 | Seibu Holdings, Inc. | 41,082 | ||||||
70,000 | Shun Tak Holdings, Ltd.* | 14,140 | ||||||
2,024 | Siemens AG | 205,969 | ||||||
6,191 | Smiths Group plc | 105,558 | ||||||
5,400 | Tokai Holdings Corp. | 35,318 | ||||||
1,300 | Toshiba Corp. | 52,881 | ||||||
|
| |||||||
2,107,369 | ||||||||
|
| |||||||
Industrial Services (0.0%†): | ||||||||
494 | Dredging Environmental Marine Engineering NV* | 54,349 | ||||||
|
| |||||||
Insurance (4.1%): | ||||||||
2,838 | Admiral Group plc | 77,554 | ||||||
33,091 | Aegon NV | 144,208 | ||||||
3,360 | Ageas NV | 147,909 | ||||||
77,240 | AIA Group, Ltd. | 848,437 | ||||||
41,090 | Alm Brand A/S | 60,393 | ||||||
5,951 | ASR Nederland NV | 241,919 | ||||||
7,114 | Assicurazioni Generali SpA | 113,926 | ||||||
1,493 | AUB Group, Ltd. | 18,247 | ||||||
38,980 | Aviva plc | 190,403 | ||||||
10,959 | AXA SA | 249,006 | ||||||
999 | Baloise Holding AG | 164,009 | ||||||
12,901 | Beazley plc | 78,946 | ||||||
4 | Brookfield Asset Management Reinsurance Partners, Ltd., Class A | 178 | ||||||
7,384 | Chesnara plc | 25,218 | ||||||
2,213 | Clal Insurance Enterprises Holdings, Ltd.* | 39,603 | ||||||
5,028 | Coface SA | 52,556 | ||||||
4,900 | Dai-ichi Life Holdings, Inc. | 90,471 | ||||||
39,884 | Direct Line Insurance Group plc | 122,226 | ||||||
82 | E-L Financial Corp., Ltd. | 50,334 | ||||||
498 | Fairfax Financial Holdings, Ltd. | 263,936 | ||||||
1,054 | FBD Holdings plc | 10,669 | ||||||
1,341 | Gjensidige Forsikring ASA | 27,247 | ||||||
500 | Great Eastern Holdings, Ltd. | 7,057 | ||||||
1,464 | Great-West Lifeco, Inc. | 35,753 | ||||||
1,465 | Grupo Catalana Occidente SA | 45,701 | ||||||
539 | Hannover Rueck SE | 78,184 | ||||||
4,262 | Harel Insurance Investments & | 41,786 | ||||||
1,758 | Helvetia Holding AG | 205,905 | ||||||
6,718 | Hiscox, Ltd. | 77,092 | ||||||
3,319 | IA Financial Corp., Inc. | 165,099 | ||||||
506 | IDI Insurance Co., Ltd. | 13,203 | ||||||
18,382 | Insurance Australia Group, Ltd. | 55,334 | ||||||
1,256 | Intact Financial Corp. | 177,187 | ||||||
6,700 | Japan Post Holdings Co., Ltd. | 47,878 | ||||||
1,900 | Japan Post Insurance Co., Ltd. | 30,412 | ||||||
52,851 | Just Group plc | 45,899 | ||||||
7,487 | Lancashire Holdings, Ltd. | 36,784 | ||||||
58,863 | Legal & General Group plc | 171,796 | ||||||
16,597 | Linea Directa Aseguradora SA Cia de Seguros y Reaseguros | 21,891 | ||||||
10,482 | Manulife Financial Corp. | 181,653 | ||||||
1,683 | Manulife Financial Corp. | 29,188 | ||||||
25,567 | Mapfre SA | 45,096 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
40,419 | Medibank Private, Ltd. | $ | 90,696 | |||||
1,055 | Menora Mivtachim Holdings, Ltd.* | 19,410 | ||||||
16,641 | Migdal Insurance & Financial Holding, Ltd. | 24,830 | ||||||
2,100 | MS&AD Insurance Group Holdings, Inc. | 64,393 | ||||||
702 | Muenchener Rueckversicherungs-Gesellschaft AG | 164,946 | ||||||
17,124 | NIB Holdings, Ltd. | 87,247 | ||||||
3,574 | NN Group NV | 163,440 | ||||||
8,508 | Phoenix Group Holdings plc | 61,190 | ||||||
6,171 | Phoenix Holdings, Ltd. (The) | 61,309 | ||||||
5,968 | Poste Italiane SpA(a) | 56,058 | ||||||
1,147 | Protector Forsikring ASA | 11,953 | ||||||
2,817 | Prudential plc, ADR | 70,735 | ||||||
18,200 | QBE Insurance Group, Ltd. | 152,687 | ||||||
3,005 | Sabre Insurance Group plc(a) | 7,517 | ||||||
3,822 | Saga plc* | 8,290 | ||||||
5,219 | Sampo Oyj, Class A | 227,241 | ||||||
5,815 | SCOR SA | 125,011 | ||||||
445 | Solid Forsakring AB* | 1,738 | ||||||
2,600 | Sompo Holdings, Inc. | 114,723 | ||||||
14,897 | Steadfast Group, Ltd. | 51,625 | ||||||
5,818 | Storebrand ASA | 41,650 | ||||||
1,421 | Sun Life Financial, Inc. | 65,121 | ||||||
3,075 | Sun Life Financial, Inc. | 140,866 | ||||||
15,987 | Suncorp Group, Ltd. | 121,197 | ||||||
434 | Swiss Life Holding AG | 211,624 | ||||||
2,645 | Swiss Re AG | 205,152 | ||||||
5,900 | T&D Holdings, Inc. | 70,526 | ||||||
974 | Talanx AG | 37,056 | ||||||
3,300 | Tokio Marine Holdings, Inc. | 192,334 | ||||||
1,470 | Topdanmark A/S | 76,570 | ||||||
92 | Trisura Group, Ltd.* | 2,383 | ||||||
2,899 | Tryg A/S | 65,147 | ||||||
15,269 | Unipol Gruppo Finanziario SpA | 69,771 | ||||||
14,182 | UnipolSai Assicurazioni SpA | 34,059 | ||||||
5,733 | Uniqa Insurance Group AG | 40,524 | ||||||
54 | Vaudoise Assurances Holding SA | 22,970 | ||||||
1,638 | Vienna Insurance Group AG Wiener Versicherung Gruppe | 37,419 | ||||||
1,796 | Wuestenrot & Wuerttembergische AG | 31,757 | ||||||
876 | Zurich Insurance Group AG | 381,342 | ||||||
|
| |||||||
7,942,800 | ||||||||
|
| |||||||
Interactive Media & Services (0.3%): | ||||||||
13,958 | Auto Trader Group plc(a) | 94,371 | ||||||
400 | Bengo4.com, Inc.* | 11,242 | ||||||
575 | Better Collective A/S* | 7,692 | ||||||
643 | carsales Com, Ltd. | 8,168 | ||||||
2,673 | carsales.com, Ltd. | 33,956 | ||||||
1,200 | Dip Corp. | 33,249 | ||||||
5,418 | Domain Holdings Australia, Ltd. | 11,264 | ||||||
2,200 | Kakaku.com, Inc. | 36,335 | ||||||
2,000 | mixi, Inc. | 33,222 | ||||||
135 | New Work SE | 19,257 | ||||||
437 | REA Group, Ltd. | 33,681 | ||||||
11,094 | Rightmove plc | 76,754 | ||||||
897 | Scout24 AG(a) | 46,080 | ||||||
1,561 | Seek, Ltd. | 22,647 |
See accompanying notes to the financial statements.
18
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services, continued | ||||||||
2,124 | Solocal Group* | $ | 2,139 | |||||
6,000 | Z Holdings Corp. | 17,556 | ||||||
|
| |||||||
487,613 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.3%): | ||||||||
1,600 | ASKUL Corp. | 19,091 | ||||||
1,900 | Belluna Co., Ltd. | 10,440 | ||||||
621 | BHG Group AB* | 1,992 | ||||||
18,446 | Boohoo Group plc* | 12,466 | ||||||
1,898 | Cazoo Group, Ltd.* | 1,367 | ||||||
264 | Delivery Hero SE*(a) | 9,895 | ||||||
4,443 | Dustin Group AB(a) | 25,458 | ||||||
2,462 | eDreams ODIGEO SA* | 13,354 | ||||||
800 | Enigmo, Inc. | 2,816 | ||||||
10,000 | Hong Kong Technology Venture Co., Ltd. | 7,873 | ||||||
788 | Just Eat Takeaway.com NV*(a) | 12,393 | ||||||
500 | Media Do Co., Ltd. | 6,174 | ||||||
22,749 | Moneysupermarket.com Group plc | 48,207 | ||||||
6,515 | N Brown Group plc* | 1,883 | ||||||
1,100 | Oisix ra daichi, Inc.* | 13,382 | ||||||
5,176 | On The Beach Group plc*(a) | 8,971 | ||||||
2,438 | Prosus NV | 161,100 | ||||||
6,100 | Rakuten, Inc. | 27,547 | ||||||
1,817 | Takkt AG | 28,565 | ||||||
6,523 | Webjet, Ltd.*^ | 24,065 | ||||||
1,397 | Zalando SE*(a) | 36,533 | ||||||
1,200 | ZOZO, Inc. | 21,651 | ||||||
|
| |||||||
495,223 | ||||||||
|
| |||||||
IT Services (1.6%): | ||||||||
4,024 | Addnode Group AB | 32,841 | ||||||
45 | Adyen NV*(a) | 66,141 | ||||||
370 | Allgeier SE* | 13,064 | ||||||
597 | Alten SA | 65,649 | ||||||
1,611 | Amadeus IT Group SA* | 90,500 | ||||||
733 | Appen, Ltd. | 2,817 | ||||||
2,661 | Atea ASA | 27,737 | ||||||
2,869 | Atos SE* | 38,496 | ||||||
180 | Aubay | 9,133 | ||||||
1,328 | Bechtle AG | 54,292 | ||||||
1,800 | Bell System24 Holdings, Inc. | 18,391 | ||||||
1,490 | Bouvet ASA | 8,927 | ||||||
171 | Cancom SE | 5,751 | ||||||
1,318 | Capgemini SA | 227,888 | ||||||
2,724 | CGI, Inc.* | 216,994 | ||||||
4,933 | Columbus A/S | 5,484 | ||||||
2,733 | Computacenter plc | 78,122 | ||||||
5,311 | Computershare, Ltd. | 90,376 | ||||||
1,100 | Comture Corp. | 21,289 | ||||||
7,824 | Data#3, Ltd. | 25,109 | ||||||
500 | Densan System Holdings Co., Ltd. | 8,349 | ||||||
500 | Digital Garage, Inc. | 13,541 | ||||||
1,400 | DTS Corp. | 31,135 | ||||||
8,624 | Econocom Group SA/NV | 30,160 | ||||||
2,927 | Edenred | 138,678 | ||||||
1,000 | E-Guardian, Inc. | 20,607 | ||||||
5,345 | EML Payments, Ltd.* | 4,497 | ||||||
558 | Enea AB* | 6,333 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
3,891 | Fdm Group Holdings plc | $ | 40,408 | |||||
348 | Formula Systems 1985, Ltd. | 31,580 | ||||||
1,400 | Fujitsu, Ltd. | 175,267 | ||||||
800 | Future Corp. | 8,165 | ||||||
1,075 | GFT Technologies SE | 42,643 | ||||||
6,665 | Global Dominion Access SA(a) | 28,991 | ||||||
2,200 | GMO Internet, Inc. | 37,482 | ||||||
400 | GMO Payment Gateway, Inc. | 28,203 | ||||||
1,200 | ID Holdings Corp. | 7,309 | ||||||
4,290 | Indra Sistemas SA* | 40,923 | ||||||
1,200 | Infocom Corp. | 17,999 | ||||||
900 | Information Services Internati | 26,462 | ||||||
2,776 | Iomart Group plc | 5,860 | ||||||
1,100 | Itochu Techno-Solutions Corp. | 26,825 | ||||||
3,504 | Kainos Group plc | 47,829 | ||||||
400 | Kanematsu Electronics, Ltd. | 11,888 | ||||||
816 | Knowit AB | 22,803 | ||||||
19,489 | Link Administration Holdings, Ltd. | 50,945 | ||||||
896 | Matrix It, Ltd. | 20,875 | ||||||
300 | Mitsubishi Research Institute | 9,078 | ||||||
370 | Nagarro SE* | 42,011 | ||||||
7,286 | NCC Group plc | 16,608 | ||||||
1,700 | NEC Networks & System Integrat | 23,002 | ||||||
1,300 | NET One Systems Co., Ltd. | 28,778 | ||||||
5,103 | NEXTDC, Ltd.* | 37,269 | ||||||
2,100 | Nihon Unisys, Ltd. | 41,836 | ||||||
2,056 | Nomura Research Institute, Ltd. | 54,762 | ||||||
800 | NS Solutions Corp. | 21,363 | ||||||
2,200 | Nsd Co., Ltd. | 38,378 | ||||||
5,500 | NTT Data Corp. | 75,533 | ||||||
4,539 | Ordina NV | 22,653 | ||||||
1,400 | Otsuka Corp. | 41,363 | ||||||
1,200 | Poletowin Pitcrew Holdings, Inc. | 8,172 | ||||||
9,052 | Pushpay Holdings, Ltd.* | 7,136 | ||||||
2,400 | Relia, Inc. | 18,945 | ||||||
209 | Reply SpA | 25,461 | ||||||
2,400 | SCSK Corp. | 40,419 | ||||||
200 | SHIFT, Inc.* | 25,798 | ||||||
650 | Shopify, Inc., Class A* | 20,306 | ||||||
219 | Societe Pour l’Informatique Industrielle | 9,149 | ||||||
800 | Softbank Technology Corp. | 12,809 | ||||||
3,194 | Softcat plc | 51,203 | ||||||
678 | Sopra Steria Group | 102,257 | ||||||
16,000 | Sunevision Holdings, Ltd. | 12,199 | ||||||
1,200 | TDC Soft, Inc. | 9,392 | ||||||
1,700 | TechMatrix Corp. | 21,067 | ||||||
2,278 | Tieto OYJ | 56,275 | ||||||
3,000 | TIS, Inc. | 78,676 | ||||||
315 | Wavestone | 14,514 | ||||||
2,809 | Worldline SA*(a) | 103,898 | ||||||
|
| |||||||
3,095,068 | ||||||||
|
| |||||||
Leisure Products (0.3%): | ||||||||
1,100 | Bandai Namco Holdings, Inc. | 77,729 | ||||||
1,496 | Beneteau SA | 15,118 | ||||||
606 | BRP, Inc. | 37,302 | ||||||
1,042 | Catana Group | 6,813 | ||||||
891 | Games Workshop Group plc | 72,491 |
See accompanying notes to the financial statements.
19
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
1,000 | Globeride, Inc. | $ | 15,702 | |||||
72,000 | Goodbaby International Holdings, Ltd.* | 9,372 | ||||||
178 | Harvia OYJ | 5,052 | ||||||
2,500 | Heiwa Corp. | 37,110 | ||||||
500 | Mars Group Holdings Corp. | 6,083 | ||||||
1,659 | Maytronics, Ltd. | 23,537 | ||||||
562 | MIPS AB | 24,570 | ||||||
800 | Mizuno Corp. | 13,812 | ||||||
26,132 | Photo-Me International plc | 24,428 | ||||||
300 | Roland Corp. | 8,928 | ||||||
1,200 | Sankyo Co., Ltd. | 36,287 | ||||||
1,700 | Sega Sammy Holdings, Inc. | 27,311 | ||||||
300 | Shimano, Inc. | 50,755 | ||||||
700 | Spin Master Corp.*(a) | 22,849 | ||||||
1,169 | Technogym SpA(a) | 7,654 | ||||||
2,105 | Thule Group AB (The)(a) | 51,803 | ||||||
3,300 | Tomy Co., Ltd. | 33,177 | ||||||
385 | Trigano SA | 38,121 | ||||||
700 | Universal Entertainment Corp.* | 7,503 | ||||||
500 | Yamaha Corp. | 20,584 | ||||||
|
| |||||||
674,091 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.4%): | ||||||||
1,444 | Addlife AB, Class B | 21,722 | ||||||
275 | Bachem Holding AG, Registered B | 19,118 | ||||||
840 | Biotage AB | 14,895 | ||||||
223 | Chemometec A/S | 23,869 | ||||||
600 | Cmic Holdings Co., Ltd. | 6,345 | ||||||
2,030 | Eurofins Scientific SE | 160,460 | ||||||
1,196 | Gerresheimer AG | 77,730 | ||||||
335 | Lonza Group AG | 178,658 | ||||||
3,092 | Qiagen NV* | 145,942 | ||||||
174 | Sartorius Stedim Biotech | 55,080 | ||||||
1,600 | Shin Nippon Biomedical Laborat | 23,353 | ||||||
97 | Siegfried Holding AG | 62,045 | ||||||
153 | Tecan Group AG | 44,756 | ||||||
|
| |||||||
833,973 | ||||||||
|
| |||||||
Machinery (3.6%): | ||||||||
3,060 | Aalberts NV | 120,298 | ||||||
2,600 | Aichi Corp. | 16,453 | ||||||
2,100 | Aida Engineering, Ltd. | 14,084 | ||||||
781 | Alfa Laval AB | 18,858 | ||||||
1,607 | Alimak Group AB(a) | 12,169 | ||||||
900 | Alinco, Inc. | 5,681 | ||||||
1,780 | Alstom SA | 40,739 | ||||||
8,100 | Amada Holdings Co., Ltd. | 59,586 | ||||||
2,314 | Andritz AG | 93,281 | ||||||
2,000 | Anest Iwata Corp. | 13,365 | ||||||
2,700 | Asahi Diamond Industrial Co., Ltd. | 12,527 | ||||||
17,476 | Atlas Copco AB, Class A* | 163,620 | ||||||
9,476 | Atlas Copco AB, Class B* | 79,409 | ||||||
1,149 | ATS Automation Tooling Systems, Inc.* | 31,560 | ||||||
1,300 | Bando Chemical Industries, Ltd. | 8,832 | ||||||
2,296 | Beijer Alma AB | 37,842 | ||||||
183 | Bobst Group SA | 11,783 | ||||||
4,886 | Bodycote plc | 31,326 | ||||||
243 | Bucher Industries AG | 85,049 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
66 | Burckhardt Compression Holding AG | $ | 27,695 | |||||
56 | Bystronic AG | 40,730 | ||||||
459 | Cargotec OYJ | 12,076 | ||||||
14,452 | CNH Industrial NV | 167,712 | ||||||
1,560 | Concentric AB | 26,937 | ||||||
1,110 | Construcc y Aux de Ferrocarr SA | 32,696 | ||||||
178 | Daetwyler Holding AG | 36,810 | ||||||
700 | Daifuku Co., Ltd. | 40,097 | ||||||
6,307 | Daimler Truck Holding AG* | 164,582 | ||||||
2,100 | Daiwa Industries, Ltd. | 17,041 | ||||||
745 | Danieli & C Officine Meccaniche SpA | 15,242 | ||||||
1,585 | Danieli & C Officine Meccaniche SpA | 22,315 | ||||||
3,954 | Deutz AG | 15,246 | ||||||
4,700 | DMG Mori Co., Ltd. | 58,274 | ||||||
694 | Duerr AG | 15,968 | ||||||
800 | Ebara Corp. | 29,990 | ||||||
4,630 | Electrolux Professional AB, Class B | 24,919 | ||||||
2,202 | Epiroc AB, Class A | 34,056 | ||||||
1,755 | Epiroc AB, Class B | 23,749 | ||||||
200 | FANUC Corp. | 31,353 | ||||||
342 | Feintool International Holding AG | 6,736 | ||||||
19,282 | Fincantieri SpA*^ | 10,713 | ||||||
1,579 | Fluidra SA | 32,041 | ||||||
13,800 | Frencken Group, Ltd. | 11,049 | ||||||
2,000 | Fuji Corp. | 29,517 | ||||||
1,700 | Furukawa Co., Ltd. | 15,021 | ||||||
1,887 | GEA Group AG | 65,018 | ||||||
3,040 | Georg Fischer AG | 149,776 | ||||||
371 | Gesco AG* | 9,292 | ||||||
2,000 | Glory, Ltd. | 30,213 | ||||||
2,253 | Haldex AB* | 14,435 | ||||||
600 | Harmonic Drive Systems, Inc.^ | 17,511 | ||||||
8,175 | Heidelberger Druckmaschinen AG* | 12,216 | ||||||
5,448 | Hexagon Composites ASA* | 14,964 | ||||||
9,100 | Hino Motors, Ltd. | 46,794 | ||||||
500 | Hirata Corp. | 15,511 | ||||||
1,200 | Hisaka Works, Ltd. | 7,408 | ||||||
1,700 | Hitachi Construction Machinery Co., Ltd. | 37,695 | ||||||
9,200 | Hitachi Zosen Corp. | 57,961 | ||||||
400 | Hoshizaki Corp. | 11,935 | ||||||
1,000 | Hosokawa Micron Corp. | 19,194 | ||||||
679 | Husqvarna AB, Class A Shares | 5,182 | ||||||
6,964 | Husqvarna AB, Class B | 51,276 | ||||||
2,400 | IHI Corp. | 64,344 | ||||||
8,589 | IMI plc | 122,631 | ||||||
17 | Interroll Holding AG, Registered Shares | 38,146 | ||||||
1,300 | Iseki & Co., Ltd. | 11,247 | ||||||
3,448 | Iveco Group NV* | 18,241 | ||||||
885 | JOST Werke AG(a) | 33,038 | ||||||
2,512 | Jungheinrich AG | 54,712 | ||||||
197 | Kardex Holding AG | 32,780 | ||||||
900 | Kato Works Co., Ltd. | 5,317 | ||||||
5,700 | Kawasaki Heavy Industries, Ltd. | 107,044 | ||||||
2,612 | Kion Group AG | 108,316 | ||||||
400 | Kitagawa Iron Works Co., Ltd. | 4,077 | ||||||
1,400 | Kito Corp. | 27,324 | ||||||
5,100 | Kitz Corp. | 23,817 |
See accompanying notes to the financial statements.
20
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
637 | Knorr-Bremse AG | $ | 36,337 | |||||
572 | Koenig & Bauer AG* | 8,204 | ||||||
5,000 | Komatsu, Ltd. | 111,321 | ||||||
115 | Komax Holding AG | 28,221 | ||||||
2,900 | Komori Corp. | 17,501 | ||||||
2,683 | Kone Oyj, Class B | 128,275 | ||||||
1,994 | Konecranes OYJ | 46,477 | ||||||
362 | Krones AG | 27,614 | ||||||
3,000 | Kubota Corp. | 44,876 | ||||||
900 | Kurita Water Industries, Ltd. | 32,741 | ||||||
1,000 | Kyokuto Kaihatsu Kogyo Co., Ltd. | 10,602 | ||||||
1,200 | Maezawa Kyuso Industries Co., Ltd. | 7,884 | ||||||
700 | Makino Milling Machine Co., Ltd. | 21,767 | ||||||
2,100 | Makita Corp. | 52,410 | ||||||
586 | Manitou Bf SA | 11,002 | ||||||
800 | Max Co., Ltd. | 9,506 | ||||||
1,800 | Meidensha Corp. | 26,426 | ||||||
800 | Metawater Co., Ltd. | 11,872 | ||||||
9,279 | Metso Outotec Oyj | 69,641 | ||||||
4,832 | MINEBEA MITSUMI, Inc. | 82,398 | ||||||
1,600 | Misumi Group, Inc. | 33,773 | ||||||
1,200 | Mitsubishi Heavy Industries, Ltd. | 42,008 | ||||||
1,000 | Mitsubishi Logisnext Co., Ltd. | 6,419 | ||||||
700 | Mitsuboshi Belting Co., Ltd. | 14,583 | ||||||
2,900 | Mitsui Engineering & Shipbuilding Co., Ltd.* | 7,193 | ||||||
1,100 | Miura Co., Ltd. | 21,774 | ||||||
12,954 | Morgan Advanced Materials plc | 43,389 | ||||||
1,500 | Morita Holdings Corp. | 14,573 | ||||||
1,800 | Nabtesco Corp. | 42,105 | ||||||
800 | Nachi-Fujikoshi Corp. | 20,478 | ||||||
2,000 | Namura Shipbuilding Co., Ltd.* | 6,095 | ||||||
1,456 | NFI Group, Inc. | 15,148 | ||||||
2,500 | NGK Insulators, Ltd. | 33,718 | ||||||
2,300 | Nikkiso Co., Ltd. | 13,607 | ||||||
1,267 | Nilfisk Holding A/S* | 26,949 | ||||||
3,900 | Nippon Thompson Co., Ltd. | 14,851 | ||||||
400 | Nissei ASB Machine Co., Ltd. | 10,447 | ||||||
800 | Nitta Corp. | 16,293 | ||||||
500 | Nitto Kohki Co., Ltd. | 5,505 | ||||||
1,900 | Nitto Seiko Co., Ltd. | 6,601 | ||||||
300 | Noritake Co., Ltd. | 8,918 | ||||||
995 | Norma Group SE | 22,208 | ||||||
7,700 | NSK, Ltd. | 41,476 | ||||||
14,800 | NTN Corp.* | 28,287 | ||||||
7,984 | OC Oerlikon Corp. AG | 55,642 | ||||||
1,700 | Oiles Corp. | 19,134 | ||||||
600 | Okuma Corp. | 22,491 | ||||||
400 | Organo Corp. | 25,052 | ||||||
2,800 | OSG Corp. | 32,559 | ||||||
692 | Palfinger AG | 15,813 | ||||||
174 | Pfeiffer Vacuum Technology AG | 27,362 | ||||||
150 | Plasson Industries, Ltd. | 7,882 | ||||||
118 | Rational AG | 68,601 | ||||||
70 | Rieter Holding AG | 8,086 | ||||||
16,905 | Rotork plc | 49,540 | ||||||
1,800 | Ryobi, Ltd. | 13,758 | ||||||
9,572 | Sandvik AB | 155,478 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
364 | Schindler Holding AG, Registered Shares | $ | 65,514 | |||||
188,100 | SembCorp Marine, Ltd.* | 14,682 | ||||||
564 | SFS Group AG | 57,045 | ||||||
100 | Shibaura Machine Co., Ltd. | 1,949 | ||||||
1,200 | Shima Seiki Manufacturing, Ltd. | 18,496 | ||||||
1,900 | Shinmaywa Industries, Ltd. | 15,136 | ||||||
78,000 | Singamas Container Holdings, Ltd. | 11,937 | ||||||
2,200 | Sintokogio, Ltd. | 10,953 | ||||||
3,528 | Skellerup Holdings, Ltd. | 11,642 | ||||||
892 | SKF AB | 15,450 | ||||||
9,178 | SKF AB, Class B | 135,294 | ||||||
100 | SMC Corp. | 44,630 | ||||||
2,300 | Sodick Co., Ltd. | 13,812 | ||||||
796 | Spirax-Sarco Engineering plc | 95,788 | ||||||
891 | Stabilus SA | 43,569 | ||||||
1,600 | Star Micronics Co., Ltd. | 19,155 | ||||||
849 | Sulzer AG, Registered Shares | 52,823 | ||||||
3,700 | Sumitomo Heavy Industries, Ltd. | 81,749 | ||||||
3,900 | Tadano, Ltd. | 25,697 | ||||||
900 | Takeuchi Manufacturing Co., Ltd. | 15,412 | ||||||
1,300 | Takuma Co., Ltd. | 12,737 | ||||||
478 | Technotrans SE | 13,223 | ||||||
9,687 | Techtronic Industries Co., Ltd. | 101,276 | ||||||
1,500 | THK Co., Ltd. | 28,201 | ||||||
2,100 | Tocalo Co., Ltd. | 19,108 | ||||||
1,400 | Torishima Pump Manufacturing Co., Ltd. | 13,228 | ||||||
3,641 | Trelleborg AB | 73,486 | ||||||
1,098 | Troax Group AB | 19,023 | ||||||
1,100 | Tsubaki Nakashima Co., Ltd. | 7,329 | ||||||
1,400 | Tsubakimoto Chain Co. | 31,365 | ||||||
1,800 | Tsugami Corp. | 14,986 | ||||||
1,200 | Tsukishima Kikai Co., Ltd. | 7,717 | ||||||
600 | Tsurumi Manufacturing Co., Ltd. | 8,225 | ||||||
6,627 | Valmet Corp. | 162,756 | ||||||
686 | VAT Group AG(a) | 163,841 | ||||||
1,074 | VBG Group AB, Class B | 12,291 | ||||||
6,862 | Vesuvius plc | 25,411 | ||||||
3,392 | Volvo AB, Class A | 54,669 | ||||||
25,593 | Volvo AB, Class B | 396,923 | ||||||
229 | Vossloh AG | 7,280 | ||||||
1,416 | Wacker Neuson SE | 24,463 | ||||||
7,232 | Wartsila Oyj Abp, Class B | 56,370 | ||||||
560 | Washtec AG | 26,118 | ||||||
3,157 | Weir Group plc (The) | 52,377 | ||||||
3,000 | Yamabiko Corp. | 25,337 | ||||||
29,400 | Yangzijiang Shipbuilding Holdings, Ltd. | 19,706 | ||||||
1,700 | Yaskawa Electric Corp. | 54,836 | ||||||
|
| |||||||
6,982,328 | ||||||||
|
| |||||||
Marine (0.6%): | ||||||||
22 | A.P. Moeller — Maersk A/S, Class A | 51,019 | ||||||
30 | A.P. Moeller — Maersk A/S, Class B | 70,473 | ||||||
1,600 | Algoma Central Corp. | 19,941 | ||||||
3,578 | American Shipping Co. ASA | 14,954 | ||||||
556 | Clarkson plc | 20,370 | ||||||
1,333 | D/S Norden A/S | 46,280 | ||||||
1,307 | DFDS A/S | 39,654 | ||||||
945 | Golden Ocean Group, Ltd. | 11,056 |
See accompanying notes to the financial statements.
21
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Marine, continued | ||||||||
371 | Hapag-Lloyd AG(a) | $ | 96,066 | |||||
3,300 | Iino Kaiun Kaisha, Ltd. | 16,652 | ||||||
5,897 | Irish Continental Group | 21,947 | ||||||
2,300 | Japan Transcity Corp. | 8,346 | ||||||
600 | Kawasaki Kisen Kaisha, Ltd. | 36,714 | ||||||
725 | Kuehne + Nagel International AG | 171,674 | ||||||
3,600 | Mitsui O.S.K. Lines, Ltd. | 82,693 | ||||||
7,091 | MPC Container Ships As | 14,106 | ||||||
1,500 | Nippon Yusen KK | 102,916 | ||||||
600 | NS United Kaiun Kaisha, Ltd. | 16,358 | ||||||
3,500 | Orient Overseas International, Ltd. | 93,102 | ||||||
215,000 | Pacific Basin Shipping, Ltd. | 83,272 | ||||||
29,000 | SITC International Holdings Co., Ltd. | 82,173 | ||||||
1,962 | Stolt-Nielsen, Ltd. | 41,673 | ||||||
1,677 | Wallenius Wilhelmsen ASA | 9,087 | ||||||
|
| |||||||
1,150,526 | ||||||||
|
| |||||||
Materials (0.0%†): | ||||||||
1,334 | Aclara Resources, Inc.* | 415 | ||||||
|
| |||||||
Media (1.3%): | ||||||||
734 | 4imprint Group plc | 20,736 | ||||||
3,715 | Aimia, Inc.* | 13,278 | ||||||
65 | APG SGA SA | 11,986 | ||||||
14,475 | Arnoldo Mondadori Editore SpA | 26,013 | ||||||
2,124 | Ascential plc* | 6,708 | ||||||
4,886 | Atresmedia Corp. de Medios de Comuicacion SA | 16,940 | ||||||
1,951 | Bloomsbury Publishing plc | 8,989 | ||||||
701 | Cogeco Communications, Inc. | 47,425 | ||||||
400 | Cogeco, Inc. | 21,212 | ||||||
5,394 | Corus Entertainment, Inc. | 14,795 | ||||||
5,200 | Cyberagent, Inc. | 51,843 | ||||||
1,600 | Dentsu Group, Inc. | 48,100 | ||||||
3,391 | Euromoney Institutional Investor plc | 55,504 | ||||||
7,511 | Eutelsat Communications SA | 84,845 | ||||||
1,700 | F@n Communications, Inc. | 4,827 | ||||||
2,800 | Fuji Media Holdings, Inc. | 23,730 | ||||||
557 | Future plc | 11,784 | ||||||
4,700 | Hakuhodo DY Holdings, Inc. | 43,179 | ||||||
8,376 | HT&E, Ltd. | 6,517 | ||||||
8,773 | Hyve Group plc* | 7,886 | ||||||
12,288 | Informa plc* | 79,177 | ||||||
2,000 | Intage Holdings, Inc. | 18,826 | ||||||
1,711 | Ipsos | 81,270 | ||||||
94,559 | ITV plc | 75,185 | ||||||
9,582 | Ive Group, Ltd. | 11,366 | ||||||
3,011 | JCDecaux SA* | 50,610 | ||||||
1,600 | Kadokawa Corp. | 34,497 | ||||||
2,312 | Kin And Carta plc* | 4,938 | ||||||
1,449 | Liberty Global plc, Class A* | 30,501 | ||||||
1,664 | M6 Metropole Television SA | 24,582 | ||||||
1,300 | Macromill, Inc. | 8,606 | ||||||
8,183 | Mediaset Espana Comunicacion SA* | 33,637 | ||||||
10,230 | MFE-MediaForEurope NV, Class A*^ | 4,696 | ||||||
10,230 | MFE-MediaForEurope NV, Class B^ | 7,211 | ||||||
1,563 | Next Fifteen Communications Group PLC | 17,122 | ||||||
48,195 | Nine Entertainment Co. Holdings, Ltd. | 60,739 | ||||||
961 | Nordic Entertainment Group AB, Class B* | 19,744 | ||||||
12,519 | NOS SGPS SA | 50,332 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
1,307 | NRJ Group | $ | 8,517 | |||||
19,083 | Ooh!media, Ltd. | 15,946 | ||||||
30 | Otello Corp. ASA* | 76 | ||||||
10,294 | Pearson plc | 94,008 | ||||||
2,872 | Pearson plc, ADR | 26,480 | ||||||
68,000 | PICO Far East Holdings, Ltd. | 9,749 | ||||||
2,702 | ProSiebenSat.1 Media SE | 24,943 | ||||||
1,300 | Proto Corp. | 9,761 | ||||||
3,123 | Publicis Groupe SA | 154,156 | ||||||
3,026 | Quebecor, Inc., Class B | 64,682 | ||||||
4,571 | RAI Way SpA(a) | 24,426 | ||||||
12,118 | Reach plc | 14,795 | ||||||
1,406 | RTL Group | 58,691 | ||||||
1,116 | S4 Capital plc* | 3,118 | ||||||
3,469 | Sanoma OYJ | 48,311 | ||||||
214 | Schibsted ASA, Class A | 3,843 | ||||||
239 | Schibsted ASA, Class B | 3,923 | ||||||
14,211 | SES Global, Class A | 124,872 | ||||||
60,999 | Seven West Media, Ltd.* | 17,240 | ||||||
7,456 | Shaw Communications, Inc. | 219,654 | ||||||
7,455 | Sky Network Television, Ltd.* | 10,938 | ||||||
7,900 | SKY Perfect JSAT Holdings, Inc. | 31,458 | ||||||
4,175 | Societe Television Francaise 1 | 29,568 | ||||||
15,013 | Southern Cross Media Group, Ltd. | 10,304 | ||||||
1,167 | Stroeer SE & Co. KGaA | 52,647 | ||||||
1,900 | TBS Holdings, Inc. | 23,812 | ||||||
1,294 | Telenet Group Holding NV | 26,933 | ||||||
15,000 | Television Broadcasts, Ltd.* | 8,250 | ||||||
1,400 | TV Asahi Holdings Corp. | 15,262 | ||||||
500 | TV Tokyo Holdings Corp. | 7,190 | ||||||
232 | TX Group AG | 27,964 | ||||||
1,000 | ValueCommerce Co., Ltd. | 23,142 | ||||||
500 | Wowow, Inc. | 5,545 | ||||||
9,140 | WPP plc | 91,834 | ||||||
700 | Zenrin Co., Ltd. | 4,766 | ||||||
|
| |||||||
2,436,140 | ||||||||
|
| |||||||
Metals & Mining (5.5%): | ||||||||
3,860 | Acerinox SA* | 37,399 | ||||||
4,870 | Agnico Eagle Mines, Ltd. | 222,953 | ||||||
1,039 | Agnico Eagle Mines, Ltd. | 47,545 | ||||||
400 | Aichi Steel Corp. | 6,141 | ||||||
14,995 | Alamos Gold, Inc., Class A | 105,210 | ||||||
7,742 | Allkem, Ltd.* | 55,091 | ||||||
25,386 | Alumina, Ltd. | 25,926 | ||||||
723 | Amg Advanced Metallurgical Group N.V. | 18,837 | ||||||
14,717 | Anglo American plc | 525,380 | ||||||
5,620 | Antofagasta plc | 79,013 | ||||||
1,842 | Aperam SA | 51,547 | ||||||
4,677 | ArcelorMittal SA | 106,183 | ||||||
6,800 | ArcelorMittal SA, NYS | 153,680 | ||||||
12,400 | Argonaut Gold, Inc.* | 4,336 | ||||||
2,200 | Asahi Holdings, Inc. | 34,540 | ||||||
16,100 | Ascot Resources, Ltd.* | 6,255 | ||||||
85,942 | Aurelia Metals, Ltd.* | 15,106 | ||||||
1,613 | Aurubis AG | 109,451 | ||||||
25,622 | AVZ Minerals, Ltd.* | 14,328 | ||||||
38,815 | B2Gold Corp. | 131,494 |
See accompanying notes to the financial statements.
22
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
10,885 | Barrick Gold Corp. | $ | 192,496 | |||||
1,629 | Bekaert NV | 53,083 | ||||||
28,371 | BHP Group, Ltd. | 816,979 | ||||||
8,146 | BHP Group, Ltd., ADR | 457,642 | ||||||
11,697 | BlueScope Steel, Ltd. | 128,298 | ||||||
5,425 | Boliden AB | 172,650 | ||||||
4,719 | Capricorn Metals, Ltd.* | 9,998 | ||||||
10,300 | Capstone Copper Corp.* | 26,010 | ||||||
65,537 | Centamin plc | 62,379 | ||||||
8,200 | Centerra Gold, Inc. | 55,622 | ||||||
4,374 | Central Asia Metals plc | 11,797 | ||||||
6,803 | Champion Iron, Ltd. | 25,813 | ||||||
16,254 | China Gold International Resources Corp., Ltd. | 45,339 | ||||||
1,300 | Daido Steel Co., Ltd. | 33,517 | ||||||
1,400 | Daiki Aluminium Industry Co., Ltd. | 12,337 | ||||||
11,513 | Deterra Royalties, Ltd. | 34,100 | ||||||
1,900 | DOWA Mining Co. | 63,129 | ||||||
7,500 | Dundee Precious Metals, Inc. | 37,354 | ||||||
4,662 | Eldorado Gold Corp.* | 29,740 | ||||||
6,693 | Endeavour Mining plc | 138,488 | ||||||
1,907 | Equinox Gold Corp.* | 8,505 | ||||||
539 | Eramet | 56,040 | ||||||
2,899 | Ero Copper Corp.* | 24,485 | ||||||
26,259 | Evolution Mining, Ltd. | 42,225 | ||||||
7,778 | EVRAZ plc(b) | 9 | ||||||
15,230 | Ferrexpo plc | 24,183 | ||||||
2,800 | First Majestic Silver Corp. | 20,081 | ||||||
4,500 | First Quantum Minerals, Ltd. | 85,385 | ||||||
20,862 | Fortescue Metals Group, Ltd. | 256,556 | ||||||
400 | Franco-Nevada Corp. | 52,625 | ||||||
4,440 | Fresnillo plc | 41,432 | ||||||
8,215 | Galiano Gold, Inc.* | 3,383 | ||||||
103,826 | Glencore plc | 562,524 | ||||||
1,100 | Godo Steel, Ltd.* | 10,881 | ||||||
20,226 | Gold Road Resources, Ltd. | 15,443 | ||||||
3,589 | Granges AB | 26,842 | ||||||
2,043 | Hill & Smith Holdings plc | 28,796 | ||||||
2,300 | Hitachi Metals, Ltd.* | 34,783 | ||||||
9,715 | Hochschild Mining plc | 11,411 | ||||||
8,995 | Hudbay Minerals, Inc. | 36,693 | ||||||
3,880 | i-80 Gold Corp.* | 6,994 | ||||||
15,631 | IAMGOLD Corp.* | 25,141 | ||||||
14,533 | IGO, Ltd. | 100,886 | ||||||
7,176 | Iluka Resources, Ltd. | 46,685 | ||||||
14,498 | Imdex, Ltd. | 18,464 | ||||||
3,605 | Ivanhoe Mines, Ltd., Class A* | 20,756 | ||||||
10,500 | JFE Holdings, Inc. | 110,462 | ||||||
50,009 | Jupiter Mines, Ltd. | 6,813 | ||||||
42,633 | Kinross Gold Corp. | 151,716 | ||||||
10,600 | Kobe Steel, Ltd. | 48,147 | ||||||
1,800 | Kyoei Steel, Ltd. | 18,348 | ||||||
1,500 | Labrador Iron Ore Royalty Corp. | 33,042 | ||||||
14,207 | Lucara Diamond Corp.* | 6,734 | ||||||
2,700 | Lundin Gold, Inc.* | 19,385 | ||||||
19,726 | Lundin Mining Corp. | 125,069 | ||||||
3,551 | Lynas Rare Earths, Ltd.* | 21,388 | ||||||
14,393 | MACA, Ltd. | 6,599 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
48,387 | Macmahon Holdings, Ltd. | $ | 4,506 | |||||
1,600 | Major Drilling Group International, Inc.* | 11,226 | ||||||
1,400 | Maruichi Steel Tube, Ltd. | 29,615 | ||||||
176,000 | Midas Holdings, Ltd.*(b) | — | ||||||
2,719 | Mineral Resources, Ltd. | 91,978 | ||||||
3,300 | Mitsubishi Materials Corp. | 47,171 | ||||||
500 | Mitsubishi Steel Manufacturing Co., Ltd. | 3,478 | ||||||
2,500 | Mitsui Mining & Smelting Co., Ltd. | 58,358 | ||||||
27,183 | Mount Gibson Iron, Ltd. | 10,120 | ||||||
2,200 | Neturen Co., Ltd. | 10,597 | ||||||
27,410 | New Gold, Inc.* | 29,178 | ||||||
11,300 | Newcrest Mining, Ltd. | 160,651 | ||||||
1,924 | Newcrest Mining, Ltd. | 26,974 | ||||||
19,275 | Nickel Industries, Ltd. | 12,953 | ||||||
6,200 | Nippon Denko Co., Ltd. | 15,869 | ||||||
2,700 | Nippon Light Metal Holdings Co. | 29,751 | ||||||
9,195 | Nippon Steel Corp. | 128,358 | ||||||
930 | Nippon Yakin Kogyo Co., Ltd. | 14,495 | ||||||
200 | Nittetsu Mining Co., Ltd. | 7,557 | ||||||
9,959 | Norsk Hydro ASA | 56,167 | ||||||
14,937 | Northern Star Resources, Ltd. | 68,868 | ||||||
34,228 | OceanaGold Corp.* | 65,690 | ||||||
21,175 | OM Holdings, Ltd. | 11,148 | ||||||
500 | Osaka Steel Co., Ltd. | 5,455 | ||||||
3,265 | Osisko Gold Royalties, Ltd. | 32,929 | ||||||
3,354 | Osisko Mining, Inc.* | 7,974 | ||||||
10,428 | Outokumpu OYJ | 43,180 | ||||||
10,015 | OZ Minerals, Ltd. | 122,610 | ||||||
900 | Pacific Metals Co., Ltd. | 15,634 | ||||||
5,017 | Pan American Silver Corp. | 98,586 | ||||||
33,353 | Perenti Global, Ltd. | 15,048 | ||||||
55,326 | Perseus Mining, Ltd. | 59,327 | ||||||
15,210 | Pilbara Minerals, Ltd.* | 23,985 | ||||||
23,878 | Ramelius Resources, Ltd. | 14,095 | ||||||
38,407 | Regis Resources, Ltd. | 33,594 | ||||||
47,236 | Resolute Mining, Ltd.* | 7,433 | ||||||
1,698 | Rio Tinto plc | 101,515 | ||||||
13,055 | Rio Tinto plc, Registered Shares, ADR^ | 796,355 | ||||||
5,001 | Rio Tinto, Ltd. | 358,179 | ||||||
6,000 | Sabina Gold & Silver Corp.* | 4,942 | ||||||
1,335 | Salzgitter AG | 32,480 | ||||||
16,356 | Sandfire Resources, Ltd. | 50,965 | ||||||
4,142 | Sandstorm Gold, Ltd. | 24,588 | ||||||
21,718 | Schmolz + Bickenbach AG* | 5,411 | ||||||
1,200 | Seabridge Gold, Inc.* | 14,872 | ||||||
32,896 | Silver Lake Resources, Ltd.* | 26,903 | ||||||
5,690 | Sims, Ltd. | 54,856 | ||||||
46,147 | South32, Ltd. | 127,361 | ||||||
6,151 | SSAB AB, Class A | 26,853 | ||||||
12,955 | SSAB AB, Class B | 53,691 | ||||||
7,749 | SSR Mining, Inc. | 129,451 | ||||||
30,000 | St. Barbara, Ltd. | 15,149 | ||||||
700 | Stelco Holdings, Inc. | 17,503 | ||||||
3,700 | Straits Trading Co., Ltd. | 7,622 | ||||||
1,700 | Sumitomo Metal & Mining Co., Ltd. | 53,283 | ||||||
26,588 | Syrah Resources, Ltd.* | 23,051 | ||||||
5,674 | Taseko Mines, Ltd.* | 6,216 |
See accompanying notes to the financial statements.
23
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
11,838 | Teck Cominco, Ltd., Class B | $ | 362,039 | |||||
12,945 | ThyssenKrupp AG* | 73,433 | ||||||
1,900 | Toho Titanium Co., Ltd. | 30,960 | ||||||
700 | Toho Zinc Co., Ltd. | 11,091 | ||||||
300 | Tokyo Rope Manufacturing Co. Ltd. | 2,056 | ||||||
2,300 | Tokyo Steel Manufacturing Co., Ltd. | 25,314 | ||||||
4,685 | Torex Gold Resources, Inc.* | 36,184 | ||||||
969 | Trevali Mining Corp.* | 350 | ||||||
3,324 | Turquoise Hill Resources, Ltd.* | 89,053 | ||||||
1,500 | UACJ Corp. | 22,852 | ||||||
3,908 | Voestalpine AG | 83,150 | ||||||
4,200 | Wesdome Gold Mines, Ltd.* | 36,387 | ||||||
13,685 | West African Resources, Ltd.* | 11,211 | ||||||
14,470 | Westgold Resources, Ltd. | 11,575 | ||||||
704 | Wheaton Precious Metals Corp. | 25,370 | ||||||
31,047 | Yamana Gold, Inc. | 144,500 | ||||||
1,600 | Yamato Kogyo Co., Ltd. | 52,831 | ||||||
800 | Yodogawa Steel Works, Ltd. | 13,288 | ||||||
|
| |||||||
10,603,545 | ||||||||
|
| |||||||
Multiline Retail (0.7%): | ||||||||
16,302 | B&M European Value Retail SA | 73,027 | ||||||
1,096 | Canadian Tire Corp., Class A | 138,299 | ||||||
2,909 | Dollarama, Inc. | 167,533 | ||||||
6,286 | Europris ASA(a) | 29,449 | ||||||
3,300 | H2O Retailing Corp. | 25,584 | ||||||
15,674 | Harvey Norman Holdings, Ltd. | 40,160 | ||||||
6,800 | Isetan Mitsukoshi Holdings, Ltd. | 55,175 | ||||||
1,000 | Izumi Co., Ltd. | 22,531 | ||||||
6,000 | J. Front Retailing Co., Ltd. | 51,340 | ||||||
24,500 | Lifestyle International Holdings, Ltd.* | 9,933 | ||||||
73,250 | Marks & Spencer Group plc* | 121,495 | ||||||
2,200 | Marui Group Co., Ltd. | 38,548 | ||||||
30,000 | Metro Holdings, Ltd. | 16,323 | ||||||
47,139 | Myer Holdings, Ltd. | 10,577 | ||||||
1,643 | Next plc | 117,288 | ||||||
5,300 | Pan Pacific International Holdings Corp. | 84,636 | ||||||
6,500 | Ryohin Keikaku Co., Ltd. | 66,332 | ||||||
1,000 | Seria Co., Ltd. | 17,811 | ||||||
4,800 | Takashimaya Co., Ltd. | 47,088 | ||||||
2,195 | Tokmanni Group Corp. | 25,842 | ||||||
3,646 | Warehouse Group, Ltd. (The) | 7,683 | ||||||
4,918 | Wesfarmers, Ltd. | 142,317 | ||||||
4,000 | Wing On Company International, Ltd. | 8,564 | ||||||
|
| |||||||
1,317,535 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
2,232 | Acea SpA | 33,076 | ||||||
5,356 | AGL Energy, Ltd. | 30,504 | ||||||
4,833 | Algonquin Power & Utilities Corp. | 64,966 | ||||||
1,505 | Atco, Ltd. | 51,570 | ||||||
1,466 | Canadian Utilities, Ltd., Class A | 43,729 | ||||||
253,408 | Centrica plc* | 248,274 | ||||||
44,319 | E.ON SE | 371,782 | ||||||
22,086 | Engie Group | 256,303 | ||||||
23,363 | Hera SpA | 67,804 | ||||||
11,786 | Iren SpA* | 25,820 | ||||||
33,157 | ITL AEM SpA | 42,252 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Multi-Utilities, continued | ||||||||
84,623 | Keppel Infrastructure Trust | $ | 34,736 | |||||
2,361 | National Grid plc, ADR | 152,733 | ||||||
11,914 | Ren — Redes Energeticas Nacion | 35,916 | ||||||
6,785 | RWE AG | 250,033 | ||||||
24,600 | SembCorp Industries, Ltd. | 50,520 | ||||||
3,114 | Telecom Plus plc | 74,595 | ||||||
6,489 | Vector, Ltd. | 16,926 | ||||||
5,040 | Veolia Environnement SA* | 124,671 | ||||||
|
| |||||||
1,976,210 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (7.0%): | ||||||||
9,181 | Advantage Energy, Ltd.* | 57,069 | ||||||
24,155 | Africa Oil Corp. | 38,663 | ||||||
3,154 | Aker BP ASA^ | 109,053 | ||||||
3,921 | Ampol, Ltd. | 92,126 | ||||||
7,200 | Anglo Pacific Group plc | 12,693 | ||||||
22,637 | ARC Resources, Ltd. | 285,469 | ||||||
18,809 | Athabasca Oil Corp.* | 36,390 | ||||||
2,249 | Baytex Energy Corp.* | 10,922 | ||||||
2,064 | Baytex Energy Corp.* | 10,051 | ||||||
71,371 | Beach Energy, Ltd. | 84,475 | ||||||
17,741 | Birchcliff Energy, Ltd. | 120,617 | ||||||
10,317 | BP plc | 48,584 | ||||||
24,597 | BP plc, ADR | 697,325 | ||||||
173,000 | Brightoil Petroleum Holdings, Ltd.* | 6,202 | ||||||
636 | BW Energy, Ltd.* | 1,660 | ||||||
2,656 | BW LPG, Ltd.(a) | 19,731 | ||||||
22,053 | Cairn Energy plc* | 58,643 | ||||||
789 | Cameco Corp. | 16,589 | ||||||
1,947 | Cameco Corp. | 40,926 | ||||||
7,637 | Canacol Energy, Ltd. | 14,954 | ||||||
13,622 | Canadian Natural Resources, Ltd. | 731,229 | ||||||
2,732 | Canadian Natural Resources, Ltd. | 146,832 | ||||||
3,012 | Cardinal Energy, Ltd. | 16,921 | ||||||
14,953 | Cenovus Energy, Inc. | 284,537 | ||||||
2,956 | Cenovus Energy, Inc. | 56,194 | ||||||
13,100 | China Aviation Oil Singapore Corp., Ltd. | 8,255 | ||||||
24,415 | Cooper Energy, Ltd.*(b) | 4,130 | ||||||
40,015 | Cooper Energy, Ltd.* | 6,769 | ||||||
2,400 | Cosmo Energy Holdings Co., Ltd. | 66,690 | ||||||
8,781 | Crescent Point Energy | 62,521 | ||||||
7,561 | Crescent Point Energy Corp. | 53,755 | ||||||
8,223 | Crew Energy, Inc.* | 29,518 | ||||||
854 | CropEnergies AG | 11,368 | ||||||
252 | Delek Group, Ltd.* | 32,576 | ||||||
20,320 | DNO ASA | 28,039 | ||||||
6,087 | Enbridge, Inc. | 257,101 | ||||||
79,400 | ENEOS Holdings, Inc. | 299,779 | ||||||
1,394 | Energean PLC* | 18,684 | ||||||
7,800 | Enerplus Corp. | 103,091 | ||||||
29,660 | ENI SpA | 352,304 | ||||||
120,434 | EnQuest plc* | 34,393 | ||||||
10,152 | Equinor ASA | 353,299 | ||||||
1,004 | Equital, Ltd.* | 31,722 | ||||||
1,390 | Etablissements Maurel et Prom SA* | 6,489 | ||||||
9,112 | Euronav NV | 109,707 | ||||||
1,579 | Exmar NV | 8,381 | ||||||
1,267 | FLEX LNG, Ltd. | 35,255 |
See accompanying notes to the financial statements.
24
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
3,700 | Freehold Royalties, Ltd.^ | $ | 36,626 | |||||
1,400 | Frontera Energy Corp.* | 11,259 | ||||||
3,784 | Frontline, Ltd.* | 33,665 | ||||||
3,100 | Fuji Oil Co., Ltd. | 7,466 | ||||||
13,793 | Galp Energia SGPS SA | 161,659 | ||||||
891 | Gaztransport et Technigaz SA | 111,639 | ||||||
6,249 | Genel Energy plc | 10,679 | ||||||
5,650 | Gibson Energy, Inc. | 104,659 | ||||||
22,100 | Golden Energy Resources, Ltd.* | 7,138 | ||||||
19,607 | Gran Tierra Energy, Inc.* | 22,547 | ||||||
14,984 | Gulf Keystone Petroleum, Ltd. | 47,418 | ||||||
5,643 | Harbour Energy plc | 25,006 | ||||||
6,000 | Idemitsu Kosan Co., Ltd. | 144,147 | ||||||
1,132 | Imperial Oil, Ltd. | 53,372 | ||||||
14,400 | INPEX Corp. | 155,436 | ||||||
2,244 | International Petroleum Corp.* | 21,429 | ||||||
2,823 | International Petroleum Corp. / Sweden* | 27,467 | ||||||
3,600 | Itochu Enex Co., Ltd. | 27,884 | ||||||
1,500 | Iwatani Corp. | 57,858 | ||||||
1,000 | Japan Petroleum Exploration Co., Ltd. | 23,544 | ||||||
24,713 | Karoon Energy, Ltd.* | 29,533 | ||||||
7,300 | Kelt Exploration, Ltd.* | 34,713 | ||||||
3,301 | Keyera Corp. | 75,407 | ||||||
1,732 | Koninklijke Vopak NV | 43,901 | ||||||
2,011 | Lundin Energy AB | 1,372 | ||||||
10,707 | MEG Energy Corp.* | 148,251 | ||||||
1,700 | Mitsuuroko Holdings Co., Ltd. | 11,638 | ||||||
1,502 | Naphtha Israel Petroleum Corp.* | 9,920 | ||||||
2,178 | Neste Oyj | 96,492 | ||||||
14,065 | New Hope Corp., Ltd. | 33,914 | ||||||
7,392 | New Zealand Refining Co., Ltd. (The)* | 5,310 | ||||||
64,000 | NewOcean Energy Holdings, Ltd.* | 326 | ||||||
21,200 | Nippon Coke & Engineering Co., Ltd. | 18,118 | ||||||
7,654 | Nuvista Energy, Ltd.* | 61,375 | ||||||
104,047 | Oil Refineries, Ltd. | 37,375 | ||||||
2,717 | OMV AG | 127,578 | ||||||
41,785 | Paladin Energy, Ltd.* | 16,690 | ||||||
1,307 | Paramount Resouces, Ltd., Class A | 31,218 | ||||||
5,263 | Parex Resources, Inc. | 89,148 | ||||||
5,000 | Parkland Corp. | 135,820 | ||||||
300 | Paz Oil Co., Ltd.* | 36,023 | ||||||
1,584 | Pembina Pipeline Corp. | 55,994 | ||||||
2,501 | Pembina Pipeline Corp. | 88,419 | ||||||
6,660 | Peyto Exploration & Development Corp. | 62,305 | ||||||
12,892 | Pharos Energy plc* | 3,448 | ||||||
5,032 | Prairiesky Royalty, Ltd. | 63,379 | ||||||
31,937 | Repsol SA | 470,201 | ||||||
1,600 | Sala Corp. | 8,318 | ||||||
3,100 | San-Ai Oil Co., Ltd. | 22,016 | ||||||
38,505 | Santos, Ltd. | 196,253 | ||||||
23,460 | Saras SpA* | 34,184 | ||||||
8,575 | Serica Energy plc | 29,745 | ||||||
31,089 | Shell PLC, ADR | 1,625,644 | ||||||
400 | Sinanen Holdings Co., Ltd. | 10,059 | ||||||
15,527 | Stobart Group, Ltd.* | 1,777 | ||||||
9,472 | Suncor Energy, Inc. | 332,183 | ||||||
9,878 | Suncor Energy, Inc. | 346,613 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
16,600 | Tamarack Valley Energy, Ltd. | $ | 55,849 | |||||
1,817 | TC Energy Corp. | 94,139 | ||||||
403 | TC Energy Corp. | 20,880 | ||||||
13,400 | Tidewater Midstream and Infrastructure, Ltd. | 13,639 | ||||||
1,559 | Torm plc* | 21,090 | ||||||
31,387 | TotalEnergies SE | 1,654,235 | ||||||
7,730 | Tourmaline Oil Corp. | 401,996 | ||||||
64,721 | Tullow Oil plc* | 36,961 | ||||||
542 | Verbio Vereinigte Bioenergie AG | 27,265 | ||||||
5,883 | Vermilion Energy, Inc. | 111,992 | ||||||
24,351 | Viva Energy Group, Ltd.(a) | 48,916 | ||||||
17,452 | Whitecap Resources, Inc. | 121,228 | ||||||
31,393 | Whitehaven Coal, Ltd. | 105,905 | ||||||
2,943 | Woodside Energy Group, Ltd., ADR | 63,451 | ||||||
17,225 | Woodside Energy Group, Ltd. | 377,128 | ||||||
|
| |||||||
13,551,913 | ||||||||
|
| |||||||
Paper & Forest Products (0.7%): | ||||||||
2,718 | Altri SGPS SA | 18,156 | ||||||
3,429 | Canfor Corp.* | 59,814 | ||||||
600 | Daiken Corp. | 8,106 | ||||||
3,000 | Daio Paper Corp. | 31,311 | ||||||
8,317 | Ence Energia y Celulosa S.A | 28,451 | ||||||
301 | Hadera Paper, Ltd. | 23,933 | ||||||
6,700 | Hokuetsu Corp. | 34,519 | ||||||
1,316 | Holmen AB, B Shares | 53,455 | ||||||
3,427 | Interfor Corp.* | 69,073 | ||||||
5,272 | Metsa Board OYJ | 43,949 | ||||||
7,998 | Mondi plc | 141,855 | ||||||
11,089 | Navigator Co. SA (The) | 44,591 | ||||||
4,800 | Nippon Paper Industries Co., Ltd. | 34,051 | ||||||
19,700 | Oji Holdings Corp. | 85,422 | ||||||
1,998 | Stella-Jones, Inc. | 50,455 | ||||||
9,661 | Stora Enso Oyj, Class R | 151,667 | ||||||
2,882 | Svenska Cellulosa AB SCA, Class B | 43,112 | ||||||
600 | Tokushu Tokai Paper Co., Ltd. | 13,958 | ||||||
7,592 | UPM-Kymmene Oyj | 232,198 | ||||||
2,454 | West Fraser Timber Co., Ltd. | 188,331 | ||||||
24,618 | Western Forest Products, Inc. | 27,736 | ||||||
|
| |||||||
1,384,143 | ||||||||
|
| |||||||
Personal Products (0.7%): | ||||||||
495 | Beiersdorf AG | 50,557 | ||||||
3,201 | Best World International, Ltd.* | 3,134 | ||||||
306 | Blackmores, Ltd. | 14,858 | ||||||
800 | Fancl Corp. | 14,648 | ||||||
167 | Interparfums SA | 7,907 | ||||||
1,514 | Jamieson Wellness, Inc.(a) | 42,126 | ||||||
3,900 | Kao Corp. | 157,414 | ||||||
300 | Kobayashi Pharmaceutical Co., Ltd. | 18,500 | ||||||
200 | Kose Corp. | 18,213 | ||||||
10,500 | L’occitane International SA | 32,869 | ||||||
580 | L’Oreal SA | 200,366 | ||||||
1,600 | Mandom Corp. | 18,801 | ||||||
400 | Milbon Co., Ltd. | 14,060 | ||||||
600 | Noevir Holdings Co., Ltd. | 25,487 | ||||||
2,645 | Ontex Group NV* | 20,698 | ||||||
1,200 | Pola Orbis Holdings, Inc. | 14,796 |
See accompanying notes to the financial statements.
25
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Personal Products, continued | ||||||||
1,600 | Rohto Pharmaceutical Co., Ltd. | $ | 46,262 | |||||
800 | Shiseido Co., Ltd. | 32,146 | ||||||
12,653 | Unilever plc, ADR | 579,887 | ||||||
1,324 | Unilever plc | 60,250 | ||||||
1,300 | Ya-Man, Ltd. | 16,571 | ||||||
|
| |||||||
1,389,550 | ||||||||
|
| |||||||
Pharmaceuticals (4.7%): | ||||||||
3,440 | Alk Abello A/S* | 59,842 | ||||||
15,687 | Alliance Pharma plc | 21,789 | ||||||
1,963 | Almirall SA | 21,877 | ||||||
2,600 | Astellas Pharma, Inc. | 40,516 | ||||||
4,345 | AstraZeneca plc, ADR | 287,074 | ||||||
491 | Aurora Cannabis, Inc.* | 649 | ||||||
1,145 | Bausch Health Cos., Inc.* | 9,572 | ||||||
1,200 | Bausch Health Cos., Inc.* | 10,033 | ||||||
10,652 | Bayer AG, Registered Shares | 632,783 | ||||||
900 | Canopy Growth Corp.* | 2,559 | ||||||
3,200 | Chugai Pharmaceutical Co., Ltd. | 81,904 | ||||||
900 | Daiichi Sankyo Co., Ltd. | 22,723 | ||||||
300 | Daito Pharmaceutical Co., Ltd. | 6,159 | ||||||
501 | Dechra Pharmaceuticals plc | 21,097 | ||||||
324 | Dermapharm Holding SE | 16,131 | ||||||
500 | Eisai Co., Ltd. | 21,115 | ||||||
192 | Euroapi Sasu* | 3,029 | ||||||
11,707 | Faes Farma SA | 47,627 | ||||||
700 | Fuji Pharma Co., Ltd. | 4,873 | ||||||
500 | Fuso Pharmaceutical Industries. Ltd. | 7,910 | ||||||
1,668 | Galenica AG(a) | 128,152 | ||||||
14,120 | GlaxoSmithKline plc, ADR | 614,644 | ||||||
6,497 | GSK plc | 139,677 | ||||||
5,536 | H Lundbeck A/S* | 26,936 | ||||||
1,384 | H Lundbeck A/S* | 6,643 | ||||||
3,600 | Haw Par Corp., Ltd. | 28,492 | ||||||
4,157 | Hikma Pharmaceuticals plc | 81,842 | ||||||
800 | Hisamitsu Pharmaceutical Co., Inc. | 20,624 | ||||||
26,202 | Indivior plc* | 98,668 | ||||||
943 | Ipsen SA | 89,012 | ||||||
900 | JCR Pharmaceuticals Co., Ltd. | 15,372 | ||||||
1,000 | Kaken Pharmaceutical Co., Ltd. | 28,134 | ||||||
1,000 | Kissei Pharmaceutical Co., Ltd. | 19,575 | ||||||
900 | Kyowa Kirin Co., Ltd. | 20,248 | ||||||
166 | Laboratorios Farmaceuticos Rovi SA | 10,224 | ||||||
98,378 | Mayne Pharma Group, Ltd.* | 17,248 | ||||||
271 | Merck KGaA | 45,733 | ||||||
400 | Mochida Pharmaceutical Co., Ltd. | 9,601 | ||||||
3,200 | Nichi-Iko Pharmaceutical Co., Ltd. | 8,282 | ||||||
300 | Nippon Shinyaku Co., Ltd. | 18,257 | ||||||
4,379 | Novartis AG, ADR | 370,157 | ||||||
11,822 | Novartis AG, Registered Shares | 1,000,202 | ||||||
11,360 | Novo Nordisk A/S, Class B | 1,261,066 | ||||||
1,700 | Ono Pharmaceutical Co., Ltd. | 43,650 | ||||||
4,216 | Orion Oyj, Class B | 188,286 | ||||||
1,037 | Orion OYJ | 46,072 | ||||||
1,300 | Otsuka Holdings Co., Ltd. | 46,195 | ||||||
2,502 | Recordati SpA | 109,309 | ||||||
4,734 | Roche Holding AG | 1,580,588 | ||||||
163 | Roche Holding AG | 62,945 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
4,419 | Sanofi | $ | 446,811 | |||||
7,000 | Santen Pharmaceutical Co., Ltd. | 54,939 | ||||||
800 | Sawai Group Holdings Co., Ltd. | 24,277 | ||||||
1,300 | Seikagaku Corp. | 7,823 | ||||||
500 | Shionogi & Co., Ltd. | 25,279 | ||||||
3,200 | Sumitomo Dainippon Pharma Co., Ltd. | 25,748 | ||||||
28,320 | Sundial Growers, Inc.* | 9,235 | ||||||
800 | Taisho Pharmaceutical Holdings Co., Ltd. | 31,622 | ||||||
21,200 | Takeda Pharmacuetical Co., Ltd. | 595,862 | ||||||
8,303 | Teva Pharmaceutical Industries, Ltd., ADR* | 62,439 | ||||||
800 | Torii Pharmaceutical Co., Ltd. | 18,937 | ||||||
1,200 | Towa Pharmaceutical Co., Ltd. | 21,710 | ||||||
1,400 | Tsumura & Co. | 31,442 | ||||||
951 | UCB SA | 80,534 | ||||||
26,000 | United Laboratories International Holdings, Ltd. | 15,441 | ||||||
65 | Vetoquinol SA | 7,958 | ||||||
1,434 | Vifor Pharma AG | 248,648 | ||||||
146 | Virbac SA | 56,863 | ||||||
|
| |||||||
9,220,664 | ||||||||
|
| |||||||
Professional Services (1.8%): | ||||||||
3,499 | Adecco Group AG | 119,041 | ||||||
1,864 | AFRY AB | 25,617 | ||||||
6,883 | ALS, Ltd. | 50,769 | ||||||
770 | Altech Corp. | 10,102 | ||||||
111 | Amadeus Fire AG | 13,839 | ||||||
1,825 | Applus Services SA | 12,630 | ||||||
200 | Baycurrent Consulting, Inc. | 53,297 | ||||||
1,100 | Benefit One, Inc. | 14,812 | ||||||
372 | Bertrandt AG | 13,941 | ||||||
3,973 | Bureau Veritas SA | 101,849 | ||||||
26,624 | Capita plc* | 8,249 | ||||||
180 | Danel Adir Yeoshua, Ltd. | 22,813 | ||||||
1,445 | DKSH Holding, Ltd. | 119,371 | ||||||
900 | en Japan, Inc. | 11,762 | ||||||
5,711 | Experian plc | 167,390 | ||||||
1,200 | FULLCAST Holdings Co., Ltd. | 19,195 | ||||||
900 | Funai Soken Holdings, Inc. | 14,321 | ||||||
175 | Groupe Crit | 10,820 | ||||||
22,373 | Hays plc | 30,685 | ||||||
2,075 | Intertek Group plc | 106,310 | ||||||
3,227 | Intertrust NV*(a) | 64,718 | ||||||
4,646 | IPH, Ltd. | 26,182 | ||||||
300 | IR Japan Holdings, Ltd. | 4,502 | ||||||
1,000 | Jac Recruitment Co., Ltd. | 12,821 | ||||||
1,497 | LifeWorks, Inc. | 35,919 | ||||||
3,994 | McMillan Shakespeare, Ltd. | 26,834 | ||||||
1,500 | Meitec Corp. | 24,199 | ||||||
4,300 | Nihon M&A Center, Inc. | 45,811 | ||||||
3,000 | Outsourcing, Inc. | 22,921 | ||||||
8,516 | Pagegroup plc | 41,452 | ||||||
1,400 | Pasona Group, Inc. | 19,425 | ||||||
2,100 | Persol Holdings Co., Ltd. | 38,229 | ||||||
3,572 | Randstad NV | 174,171 | ||||||
7,800 | Recruit Holdings Co., Ltd. | 230,051 | ||||||
5,236 | RELX plc, ADR | 141,058 | ||||||
7,938 | RELX plc | 214,321 | ||||||
2,833 | Ricardo plc | 12,467 |
See accompanying notes to the financial statements.
26
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
3,902 | Robert Walters plc | $ | 22,319 | |||||
2,331 | RWS Holdings plc | 9,812 | ||||||
77 | SGS SA, Registered Shares | 176,411 | ||||||
2,000 | SMS Co., Ltd. | 39,482 | ||||||
600 | Stantec, Inc. | 26,289 | ||||||
1,621 | Stantec, Inc. | 70,984 | ||||||
7,669 | SThree plc | 33,277 | ||||||
1,100 | Tanseisha Co., Ltd. | 6,621 | ||||||
2,900 | Technopro Holdings, Inc. | 58,159 | ||||||
780 | Teleperformance | 239,918 | ||||||
2,878 | Thomson Reuters Corp. | 299,916 | ||||||
1,065 | Tinexta SpA | 24,987 | ||||||
1,100 | UT Group Co., Ltd. | 18,142 | ||||||
3,630 | Wolters Kluwer NV | 353,082 | ||||||
|
| |||||||
3,441,293 | ||||||||
|
| |||||||
Real Estate Management & Development (2.4%): | ||||||||
697 | Aedas Homes SA(a) | 15,557 | ||||||
1,700 | AEON Mall Co., Ltd. | 20,800 | ||||||
206 | AFI Properties, Ltd. | 9,945 | ||||||
1,001 | Airport City, Ltd.* | 17,170 | ||||||
2,300 | Airport Facilities Co., Ltd. | 9,074 | ||||||
372 | Allreal Holding AG | 61,721 | ||||||
1,972 | Alony Hetz Properties & Invest | 24,856 | ||||||
492 | Alrov Properties And Lodgings, Ltd. | 30,536 | ||||||
700 | Altus Group, Ltd. | 24,253 | ||||||
2,393 | Amot Investments, Ltd. | 14,460 | ||||||
2,116 | Annehem Fastigheter AB* | 4,646 | ||||||
11,406 | Aroundtown SA | 36,262 | ||||||
28,100 | Ascendas India Trust | 23,689 | ||||||
46,000 | Asia Standard International Group, Ltd. | 4,356 | ||||||
1,281 | Atrium Ljungberg AB, Class B | 16,787 | ||||||
233 | Azrieli Group | 16,412 | ||||||
210 | Big Shopping Centers, Ltd. | 25,971 | ||||||
116 | Blue Square Real Estate, Ltd. | 8,026 | ||||||
59 | Brack Capital Properties NV* | 5,914 | ||||||
3,700 | Bukit Sembawang Estates, Ltd. | 13,167 | ||||||
695 | CA Immobilien Anlagen AG | 22,039 | ||||||
4,800 | Capitaland Investment, Ltd. | 13,220 | ||||||
1,420 | Castellum AB | 18,270 | ||||||
626 | Catena AB | 22,744 | ||||||
2,946 | Cedar Woods Properties, Ltd. | 7,578 | ||||||
18,000 | Chinese Estates Holdings, Ltd.* | 5,139 | ||||||
52,000 | Chuang’s Consortium International, Ltd. | 6,761 | ||||||
7,300 | City Developments, Ltd. | 42,872 | ||||||
1,684 | Citycon OYJ | 11,437 | ||||||
16,175 | CK Asset Holdings, Ltd. | 114,575 | ||||||
3,803 | CLS Holdings plc | 9,373 | ||||||
127 | Colliers International Group | 13,933 | ||||||
12,641 | Corem Property Group AB, Class B | 14,200 | ||||||
340,000 | CSI Properties, Ltd. | 8,291 | ||||||
1,000 | Daito Trust Construction Co., Ltd. | 86,250 | ||||||
8,200 | Daiwa House Industry Co., Ltd. | 191,275 | ||||||
887 | Deutsche Euroshop AG* | 20,608 | ||||||
1,139 | Dic Asset AG | 12,585 | ||||||
2,651 | Dios Fastigheter AB | 18,439 | ||||||
1,450 | DREAM Unlimited Corp. | 35,884 | ||||||
145 | Duniec Brothers, Ltd. | 7,844 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
34,000 | Emperor International Holdings | $ | 3,592 | |||||
7,600 | ESR Cayman, Ltd.*(a) | 20,569 | ||||||
2,062 | Fabege AB | 19,494 | ||||||
74,718 | Far East Consortium International, Ltd. | 23,827 | ||||||
3,102 | Fastighets AB Balder, B Shares* | 14,883 | ||||||
862 | FastPartner AB, Class A | 4,995 | ||||||
867 | FirstService Corp. | 105,080 | ||||||
11,092 | Foxtons Group plc | 4,435 | ||||||
16,000 | Frasers Property, Ltd. | 12,212 | ||||||
2,231 | Gav-Yam Lands Corp., Ltd. | 18,591 | ||||||
1,100 | Goldcrest Co., Ltd. | 13,961 | ||||||
17,039 | Grainger plc | 58,343 | ||||||
1,873 | Grand City Properties SA | 25,283 | ||||||
10,516 | Great Eagle Holdings, Ltd. | 23,599 | ||||||
17,100 | GuocoLand, Ltd. | 19,472 | ||||||
28,000 | Hang Lung Group, Ltd. | 53,111 | ||||||
29,984 | Hang Lung Properties, Ltd. | 56,911 | ||||||
1,200 | Heiwa Real Estate Co., Ltd. | 34,428 | ||||||
5,154 | Helical plc | 23,480 | ||||||
17,706 | Henderson Land Development Co., Ltd. | 66,646 | ||||||
37,840 | HKR International, Ltd. | 13,995 | ||||||
9,400 | Ho Bee Land, Ltd. | 18,753 | ||||||
18,500 | Hong Fok Corp., Ltd. | 12,867 | ||||||
8,100 | Hongkong Land Holdings, Ltd. | 40,731 | ||||||
2,049 | Hufvudstaden AB | 22,658 | ||||||
6,800 | Hulic Co., Ltd. | 52,677 | ||||||
11,000 | Hysan Development Co., Ltd. | 33,139 | ||||||
8,200 | Ichigo, Inc. | 18,932 | ||||||
242 | Immobel SA | 15,296 | ||||||
218 | Ina Invest Holding AG* | 4,344 | ||||||
1,253 | Instone Real Estate Group AG(a) | 14,934 | ||||||
29 | Intershop Holdings AG | 18,751 | ||||||
2,000 | Invesque, Inc.* | 2,460 | ||||||
164 | Investis Holding SA | 17,639 | ||||||
1,643 | Israel Canada T.R, Ltd. | 6,369 | ||||||
29,717 | IWG plc* | 67,753 | ||||||
25,000 | K Wah International Holdings Ltd. | 9,214 | ||||||
1,500 | Katitas Co., Ltd. | 32,343 | ||||||
22,225 | Kerry Properties, Ltd. | 61,796 | ||||||
2,347 | K-fast Holding AB* | 4,659 | ||||||
1,455 | Kojamo Oyj | 25,104 | ||||||
26,000 | Kowloon Development Co., Ltd. | 32,262 | ||||||
17,100 | Lai Sun Development Co., Ltd.* | 9,776 | ||||||
112,800 | Landing International Development, Ltd.* | 3,176 | ||||||
44,500 | Langham Hospitality Investment | 5,481 | ||||||
944 | LEG Immobilien SE | 78,249 | ||||||
7,615 | Lend Lease Group | 47,902 | ||||||
883 | Lifestyle Communities, Ltd. | 8,278 | ||||||
8,000 | Liu Chong Hing Investment, Ltd. | 7,521 | ||||||
4,644 | LSL Property Services plc | 18,983 | ||||||
276 | Mega Or Holdings, Ltd. | 8,323 | ||||||
463 | Melisron, Ltd.* | 31,079 | ||||||
59,000 | Mingfa Group International Co., Ltd.* | 2,522 | ||||||
3,100 | Mirainovate Co., Ltd. | 3,769 | ||||||
4,800 | Mitsubishi Estate Co., Ltd. | 69,713 | ||||||
5,100 | Mitsui Fudosan Co., Ltd. | 109,763 | ||||||
9,306 | Mivne Real Estate KD, Ltd. | 27,230 |
See accompanying notes to the financial statements.
27
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
280 | Mobimo Holding AG, Registered Shares | $ | 68,091 | |||||
100 | Morguard Corp. | 8,469 | ||||||
28,087 | New World Development Co., Ltd. | 101,386 | ||||||
1,539 | Nexity SA | 41,449 | ||||||
800 | Nippon Commercial Development Co., Ltd. | 11,934 | ||||||
1,700 | Nisshin Group Holdings Co., Ltd. | 5,517 | ||||||
2,200 | Nomura Real Estate Holdings, Inc. | 53,959 | ||||||
3,463 | Nyfosa AB | 25,926 | ||||||
17,900 | Oue, Ltd. | 16,497 | ||||||
54,608 | Oxley Holdings, Ltd. | 6,650 | ||||||
25,655 | Pacific Century Premium Developments, Ltd.* | 1,637 | ||||||
522 | PATRIZIA AG | 6,165 | ||||||
1,195 | Platzer Fastigheter Holding AB, Class B | 7,743 | ||||||
222 | Prashkovsky Investments And Construction, Ltd. | 6,948 | ||||||
779 | PSP Swiss Property AG | 86,677 | ||||||
700 | Raysum Co., Ltd. | 5,779 | ||||||
3,244 | Real Matters, Inc.* | 12,805 | ||||||
2,300 | Relo Group, Inc. | 37,126 | ||||||
914 | Sagax AB, Class B | 16,889 | ||||||
7,058 | Samhallsbyggnadsbolaget i Norden AB^ | 11,773 | ||||||
1,200 | SAMTY Co., Ltd. | 17,842 | ||||||
5,801 | Savills plc | 71,511 | ||||||
1,875 | Selvaag Bolig ASA | 6,778 | ||||||
2,600 | Shinoken Group Co., Ltd. | 18,731 | ||||||
795 | Shurgard Self Storage SA | 37,045 | ||||||
100,800 | Sinarmas Land, Ltd. | 14,369 | ||||||
50,839 | Sino Land Co., Ltd. | 75,081 | ||||||
11,926 | Sirius Real Estate, Ltd. | 12,951 | ||||||
5,000 | Soundwill Holdings, Ltd. | 4,340 | ||||||
200 | SRE Holdings Corp.* | 3,365 | ||||||
1,800 | Starts Corp., Inc. | 37,006 | ||||||
2,500 | Sumitomo Realty & Development Co., Ltd. | 66,087 | ||||||
1,493 | Summit Real Estate Holdings, Ltd. | 23,899 | ||||||
1,800 | Sun Frontier Fudousan Co., Ltd. | 14,842 | ||||||
5,921 | Sun Hung Kai Properties, Ltd. | 70,063 | ||||||
10,646 | Swire Pacific, Ltd., Class A | 63,971 | ||||||
17,500 | Swire Pacific, Ltd., Class B | 17,578 | ||||||
8,600 | Swire Properties, Ltd. | 21,381 | ||||||
2,374 | Swiss Prime Site AG | 208,382 | ||||||
2,596 | TAG Immobilien AG | 29,614 | ||||||
21,000 | TAI Cheung Holdings, Ltd. | 11,993 | ||||||
4,200 | Takara Leben Co., Ltd. | 11,152 | ||||||
2,900 | Toc Co., Ltd. | 15,381 | ||||||
6,400 | Tokyo Tatemono Co., Ltd. | 88,229 | ||||||
17,000 | Tokyu Fudosan Holdings Corp. | 89,553 | ||||||
2,400 | Tosei Corp. | 22,304 | ||||||
4,220 | Tricon Residential, Inc. | 42,790 | ||||||
213 | UBM Development AG | 7,662 | ||||||
7,900 | UOL Group, Ltd. | 41,889 | ||||||
193 | VGP NV | 30,770 | ||||||
3,672 | Vonovia SE | 113,145 | ||||||
3,836 | Wallenstam AB* | 16,791 | ||||||
6 | Warteck Invest AG | 13,710 | ||||||
6,203 | Watkin Jones plc | 16,616 | ||||||
9,829 | Wharf Real Estate Investment Co., Ltd. | 46,860 | ||||||
4,068 | Wihlborgs Fastigheter AB | 28,489 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
20,700 | Wing Tai Holdings, Ltd. | $ | 25,945 | |||||
16,000 | Wing Tai Properties, Ltd. | 8,218 | ||||||
148 | YH Dimri Construction & Development, Ltd. | 11,341 | ||||||
17 | Zug Estates Holding AG | 35,443 | ||||||
|
| |||||||
4,654,809 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
52,525 | Aurizon Holdings, Ltd. | 138,000 | ||||||
3,054 | Canadian National Railway Co. | 343,483 | ||||||
1,007 | Canadian Pacific Railway, Ltd.^ | 70,329 | ||||||
600 | Central Japan Railway Co. | 69,276 | ||||||
1,200 | Chilled & Frozen Logistics Holdings Co., Ltd. | 9,373 | ||||||
41,300 | ComfortDelGro Corp., Ltd. | 41,666 | ||||||
789 | DSV A/S | 110,493 | ||||||
1,300 | East Japan Railway Co. | 66,525 | ||||||
16,195 | FirstGroup plc* | 25,122 | ||||||
1,200 | Fukuyama Transporting Co., Ltd. | 27,269 | ||||||
3,244 | Go-Ahead Group plc* | 62,831 | ||||||
1,000 | Hamakyorex Co., Ltd. | 21,137 | ||||||
2,400 | Hankyu Hanshin Holdings, Inc. | 65,504 | ||||||
600 | Hitachi Transport System, Ltd. | 37,740 | ||||||
1,100 | Ichinen Holdings Co., Ltd. | 9,922 | ||||||
206 | Jungfraubahn Holding AG, Registered Shares* | 27,616 | ||||||
2,500 | Keikyu Corp. | 27,417 | ||||||
700 | Keio Corp. | 25,071 | ||||||
1,200 | Keisei Electric Railway Co., Ltd. | 33,109 | ||||||
1,500 | Kintetsu Group Holdings Co., Ltd. | 46,681 | ||||||
1,000 | Kyushu Railway Co. | 20,856 | ||||||
400 | Maruzen Showa Unyu Co., Ltd. | 9,013 | ||||||
7,711 | MTR Corp., Ltd. | 40,301 | ||||||
4,500 | Mullen Group, Ltd. | 39,475 | ||||||
2,300 | Nagoya Railroad Co., Ltd. | 35,453 | ||||||
1,600 | Nankai Electric Railway Co., Ltd. | 31,721 | ||||||
13,705 | National Express Group plc* | 32,443 | ||||||
2,200 | Nikkon Holdings Co., Ltd. | 34,908 | ||||||
1,800 | Nippon Express Holdings Co., Ltd. | 97,853 | ||||||
1,300 | Nishi-Nippon Railroad Co., Ltd. | 27,818 | ||||||
147 | NTG Nordic Transport Group A/S* | 5,249 | ||||||
2,000 | Odakyu Electric Railway Co., Ltd. | 26,928 | ||||||
11,036 | Redde Northgate plc | 45,310 | ||||||
500 | Sakai Moving Service Co., Ltd. | 16,723 | ||||||
2,300 | Sankyu, Inc. | 66,180 | ||||||
4,500 | Seino Holdings Co., Ltd. | 36,049 | ||||||
6,400 | Senko Group Holdings Co., Ltd. | 41,441 | ||||||
483 | Sixt SE | 30,231 | ||||||
368 | Sixt SE | 37,739 | ||||||
1,000 | Sotetsu Holdings, Inc. | 17,310 | ||||||
278 | Stef S.A. | 24,118 | ||||||
1,298 | TFI International, Inc. | 104,213 | ||||||
1,500 | Tobu Railway Co., Ltd. | 34,306 | ||||||
3,400 | Tokyu Corp. | 40,075 | ||||||
300 | Tonami Holdings Co., Ltd. | 7,776 | ||||||
3,913 | Tourism Holdings, Ltd.* | 5,664 | ||||||
400 | Trancom Co., Ltd. | 20,145 | ||||||
15,330 | Transport International Holdings, Ltd. | 23,123 | ||||||
1,600 | West Japan Railway Co. | 58,904 | ||||||
|
| |||||||
2,269,889 | ||||||||
|
|
See accompanying notes to the financial statements.
28
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (1.7%): | ||||||||
1,500 | Advantest Corp. | $ | 79,713 | |||||
9,500 | Aem Holdings, Ltd. | 28,378 | ||||||
7,502 | ams AG* | 67,682 | ||||||
276 | ASM International NV | 69,690 | ||||||
9,019 | ASM Pacific Technology, Ltd. | 76,809 | ||||||
2,411 | ASML Holding NV, NYS | 1,147,347 | ||||||
1,796 | BE Semiconductor Industries NV | 86,469 | ||||||
25,000 | BOE Varitronix, Ltd. | 51,259 | ||||||
300 | Disco Corp. | 70,681 | ||||||
185 | Elmos Semiconductor SE | 7,055 | ||||||
1,700 | Ferrotec Holdings Corp. | 31,879 | ||||||
438 | First Sensor AG | 24,601 | ||||||
5,554 | Infineon Technologies AG | 134,361 | ||||||
2,200 | Japan Material Co., Ltd. | 31,451 | ||||||
500 | Lasertec Corp. | 59,045 | ||||||
500 | Megachips Corp. | 11,645 | ||||||
879 | Melexis NV | 62,901 | ||||||
800 | Mimasu Semiconductor Industry | 12,331 | ||||||
500 | Mitsui High-Tec, Inc. | 31,080 | ||||||
473 | Nordic Semiconductor ASA* | 7,423 | ||||||
241 | Nova Measuring Instruments, Ltd.* | 21,219 | ||||||
1,100 | Optorun Co., Ltd. | 14,610 | ||||||
9,700 | Renesas Electronics Corp.* | 87,525 | ||||||
700 | ROHM Co., Ltd. | 48,484 | ||||||
300 | Rorze Corp. | 18,558 | ||||||
900 | Sanken Electric Co., Ltd. | 31,290 | ||||||
500 | SCREEN Holdings Co., Ltd. | 33,537 | ||||||
300 | Shindengen Electric Manufacturing Co., Ltd. | 7,506 | ||||||
1,100 | Shinko Electric Industries Co., Ltd. | 28,164 | ||||||
992 | Siltronic AG | 73,669 | ||||||
162 | Soitec* | 23,290 | ||||||
5,416 | STMicroelectronics NV | 172,166 | ||||||
409 | SUESS MicroTec SE | 5,789 | ||||||
4,600 | SUMCO Corp. | 59,200 | ||||||
1,000 | Tokyo Electron, Ltd. | 324,411 | ||||||
800 | Tokyo Seimitsu Co., Ltd. | 26,148 | ||||||
1,000 | Towa Corp. | 12,725 | ||||||
2,902 | Tower Semiconductor, Ltd.* | 134,014 | ||||||
1,200 | Tri Chemical Laboratories, Inc. | 19,266 | ||||||
144 | u-blox Holding AG* | 14,554 | ||||||
1,000 | Ulvac, Inc. | 33,738 | ||||||
24,700 | UMS Holdings, Ltd. | 19,706 | ||||||
1,200 | Yamaichi Electronics Co., Ltd. | 14,969 | ||||||
|
| |||||||
3,316,338 | ||||||||
|
| |||||||
Software (0.9%): | ||||||||
1,800 | Access Co., Ltd.* | 9,866 | ||||||
1,000 | Altium, Ltd. | 18,596 | ||||||
50 | Atoss Software AG | 6,338 | ||||||
1,040 | AVEVA Group plc | 28,414 | ||||||
4,889 | BlackBerry, Ltd.* | 26,363 | ||||||
10,573 | Bravura Solutions, Ltd. | 10,329 | ||||||
4,900 | Broadleaf Co., Ltd. | 15,946 | ||||||
3,501 | Bytes Technology Group PLC | 17,830 | ||||||
500 | Computer Engineering & Consulting, Ltd. | 4,221 | ||||||
101 | Constellation Software, Inc. | 149,960 | ||||||
464 | Crayon Group Holding ASA*(a) | 5,935 | ||||||
1,400 | Cresco, Ltd. | 19,414 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
1,200 | Cybozu, Inc. | $ | 8,236 | |||||
1,150 | Dassault Systemes SE | 42,605 | ||||||
564 | Descartes Systems Group, Inc.* | 35,002 | ||||||
300 | Digital Arts, Inc. | 12,861 | ||||||
1,000 | Enghouse Systems, Ltd. | 22,090 | ||||||
1,966 | F-Secure Oyj* | 10,300 | ||||||
400 | Fuji Soft, Inc. | 22,895 | ||||||
8,509 | Hansen Technology, Ltd. | 30,549 | ||||||
690 | Hilan, Ltd. | 36,496 | ||||||
3,100 | Infomart Corp. | 8,501 | ||||||
16,011 | Infomedia, Ltd. | 18,459 | ||||||
7,858 | Integrated Research, Ltd.*^ | 2,275 | ||||||
3,230 | IRESS, Ltd. | 25,677 | ||||||
600 | Justsystems Corp. | 16,882 | ||||||
200 | Kinaxis, Inc.* | 21,594 | ||||||
570 | Lectra | 20,885 | ||||||
172 | Linedata Services | 7,335 | ||||||
1,195 | Magic Software Enterprises, Ltd. | 21,019 | ||||||
8,235 | Micro Focus International plc, ADR | 27,752 | ||||||
500 | Miroku Jyoho Service Co., Ltd. | 4,388 | ||||||
1,498 | Nemetschek SE | 90,659 | ||||||
340 | Netcompany Group A/S*(a) | 18,609 | ||||||
145 | Nice, Ltd.* | 27,963 | ||||||
400 | OBIC Business Consultants Co., Ltd. | 13,691 | ||||||
3,485 | Open Text Corp. | 131,872 | ||||||
200 | Open Text Corp. | 7,566 | ||||||
400 | Oracle Corp. | 23,104 | ||||||
65 | QT Group Oyj* | 4,802 | ||||||
900 | Rakus Co., Ltd. | 10,633 | ||||||
7,104 | Sage Group plc (The) | 54,934 | ||||||
1,413 | SAP SE | 128,710 | ||||||
1,391 | SimCorp A/S | 101,119 | ||||||
949 | Sinch AB*(a) | 3,079 | ||||||
1,484 | Software AG | 49,167 | ||||||
500 | SRA Holdings | 10,185 | ||||||
8,400 | Systena Corp. | 24,422 | ||||||
1,774 | TeamViewer AG*(a) | 17,654 | ||||||
8,525 | Technology One, Ltd. | 63,075 | ||||||
1,295 | Temenos AG | 110,541 | ||||||
1,900 | Trend Micro, Inc. | 92,497 | ||||||
12,001 | Vista Group International, Ltd.* | 12,667 | ||||||
568 | WiseTech Global, Ltd. | 14,730 | ||||||
423 | Xero, Ltd.* | 22,501 | ||||||
|
| |||||||
1,743,193 | ||||||||
|
| |||||||
Specialty Retail (1.4%): | ||||||||
400 | ABC-Mart, Inc. | 17,701 | ||||||
16,866 | Accent Group, Ltd. | 14,421 | ||||||
10,695 | Adairs, Ltd. | 14,096 | ||||||
1,300 | Adastria Co., Ltd. | 21,474 | ||||||
900 | Alpen Co., Ltd. | 13,415 | ||||||
2,600 | Aoki Holdings, Inc. | 13,368 | ||||||
2,800 | Aoyama Trading Co., Ltd. | 18,634 | ||||||
3,236 | AP Eagers, Ltd. | 21,726 | ||||||
2,500 | Autobacs Seven Co., Ltd. | 25,772 | ||||||
613 | Autocanada, Inc.* | 11,698 | ||||||
2,300 | BIC Camera, Inc. | 19,877 | ||||||
4,193 | Bilia AB, Class A | 60,444 |
See accompanying notes to the financial statements.
29
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
3,245 | Byggmax Group AB | $ | 16,864 | |||||
2,609 | Carasso Motors, Ltd. | 12,745 | ||||||
16,294 | Card Factory plc* | 9,158 | ||||||
3,919 | Ceconomy AG | 10,923 | ||||||
800 | Chiyoda Co., Ltd. | 4,566 | ||||||
18,000 | Chow Sang Sang Holdings International, Ltd. | 20,084 | ||||||
31,200 | Chow Tai Fook Jewellery Group, Ltd. | 58,706 | ||||||
1,435 | Clas Ohlson AB, Class B | 14,846 | ||||||
4,700 | DCM Holdings Co., Ltd. | 35,971 | ||||||
860 | Delek Automotive Systems, Ltd. | 9,380 | ||||||
39,375 | Dixons Carphone plc | 32,638 | ||||||
291 | Dor ALON Energy In Israel 1988, Ltd. | 10,483 | ||||||
2,720 | Dufry AG, Registered Shares* | 88,123 | ||||||
4,536 | Dunelm Group plc | 45,327 | ||||||
3,700 | Edion Corp. | 34,730 | ||||||
115,950 | Esprit Holdings, Ltd.* | 20,891 | ||||||
400 | Fast Retailing Co., Ltd. | 209,207 | ||||||
995 | Fielmann AG | 49,523 | ||||||
878 | Fnac Darty SA | 37,441 | ||||||
7,248 | Frasers Group plc* | 59,207 | ||||||
2,300 | Geo Holdings Corp. | 20,947 | ||||||
130,000 | Giordano International, Ltd. | 30,786 | ||||||
10,860 | Halfords Group plc | 18,997 | ||||||
7,439 | Hennes & Mauritz AB, Class B^ | 88,986 | ||||||
200 | Hikari Tsushin, Inc. | 20,521 | ||||||
634 | Hornbach Holding AG & Co. KGaA | 52,081 | ||||||
4,500 | Hour Glass, Ltd. The | 7,521 | ||||||
2,800 | Idom, Inc. | 15,361 | ||||||
5,629 | Industria de Diseno Textil SA | 127,464 | ||||||
3,564 | JB Hi-Fi, Ltd. | 94,666 | ||||||
40,720 | JD Sports Fashion plc* | 57,260 | ||||||
700 | JINS Holdings, Inc. | 21,998 | ||||||
1,500 | Joshin Denki Co., Ltd. | 21,508 | ||||||
900 | Joyful Honda Co., Ltd. | 10,513 | ||||||
26,469 | Kathmandu Holdings, Ltd. | 18,153 | ||||||
1,700 | Keiyo Co., Ltd. | 11,371 | ||||||
744 | Kid ASA(a) | 6,317 | ||||||
43,202 | Kingfisher plc | 128,467 | ||||||
900 | Kohnan Shoji Co., Ltd. | 24,292 | ||||||
1,600 | Komeri Co., Ltd. | 31,112 | ||||||
5,800 | K’s Holding Corp. | 56,528 | ||||||
1,766 | Leon’s Furniture, Ltd. | 21,584 | ||||||
19,046 | Lookers plc | 17,262 | ||||||
14,000 | Luk Fook Holdings International, Ltd. | 35,967 | ||||||
531 | Maisons du Monde SA(a) | 5,324 | ||||||
2,347 | Matas A/S | 24,530 | ||||||
1,681 | Mekonomen AB | 18,100 | ||||||
2,955 | Mobilezone Holding AG | 51,581 | ||||||
234 | Musti Group OYJ | 4,178 | ||||||
600 | Nextage Co., Ltd. | 10,340 | ||||||
3,966 | Nick Scali, Ltd. | 22,622 | ||||||
1,900 | Nishimatsuya Chain Co., Ltd. | 20,023 | ||||||
600 | Nitori Co., Ltd. | 56,969 | ||||||
1,800 | Nojima Corp. | 37,390 | ||||||
28,290 | Oriental Watch Holdings | 16,595 | ||||||
76,677 | Pendragon plc* | 19,676 | ||||||
19,618 | Pets At Home Group plc | 73,752 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
2,736 | Premier Investments, Ltd. | $ | 36,416 | |||||
600 | Shimamura Co., Ltd. | 52,679 | ||||||
800 | Sleep Country Canada Holdings, Inc.(a) | 14,931 | ||||||
8,071 | Super Retail Group, Ltd. | 47,328 | ||||||
3,968 | Superdry plc* | 6,477 | ||||||
900 | T-Gaia Corp. | 10,738 | ||||||
2,400 | USS Co., Ltd. | 41,493 | ||||||
240 | Valora Holding AG | 41,532 | ||||||
13,891 | Vertu Motors plc | 9,133 | ||||||
8,200 | VT Holdings Co., Ltd. | 29,146 | ||||||
3,649 | Watches of Switzerland Group plc*(a) | 34,198 | ||||||
1,871 | WHSmith plc* | 32,040 | ||||||
8,059 | Wickes Group plc | 16,271 | ||||||
300 | Workman Co., Ltd. | 11,732 | ||||||
800 | World Co., Ltd. | 8,068 | ||||||
700 | Xebio Holdings Co., Ltd. | 4,773 | ||||||
2,913 | XXL ASA(a) | 1,752 | ||||||
15,400 | Yamada Holdings Co., Ltd. | 55,643 | ||||||
800 | Yellow Hat, Ltd. | 10,136 | ||||||
|
| |||||||
2,798,667 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
3,000 | Brother Industries, Ltd. | 52,791 | ||||||
4,400 | Canon, Inc. | 100,115 | ||||||
700 | EIZO Corp. | 19,464 | ||||||
1,800 | Elecom Co., Ltd. | 20,235 | ||||||
1,300 | FUJIFILM Holdings Corp. | 69,816 | ||||||
16,000 | Konica Minolta, Inc. | 53,456 | ||||||
3,181 | Logitech International SA, Class R | 165,603 | ||||||
1,323 | Logitech International SA, Class R | 68,888 | ||||||
1,900 | Maxell Holdings, Ltd. | 18,470 | ||||||
4,000 | Mcj Co., Ltd. | 25,870 | ||||||
3,200 | NEC Corp. | 124,423 | ||||||
12,000 | PC Partner Group, Ltd. | 10,930 | ||||||
1,935 | Quadient | 33,030 | ||||||
7,800 | Ricoh Co., Ltd. | 60,684 | ||||||
600 | Roland Dg Corp. | 14,254 | ||||||
2,197 | S&T AG^ | 32,364 | ||||||
7,600 | Seiko Epson Corp. | 107,641 | ||||||
900 | Toshiba Tec Corp. | 28,820 | ||||||
4,400 | Wacom Co., Ltd. | 27,276 | ||||||
|
| |||||||
1,034,130 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.9%): | ||||||||
1,176 | Adidas AG | 207,959 | ||||||
3,137 | Aritzia, Inc.* | 84,945 | ||||||
2,300 | Asics Corp. | 41,632 | ||||||
1,383 | Brunello Cucinelli SpA | 62,675 | ||||||
4,693 | Burberry Group plc | 93,868 | ||||||
364 | Calida Holding AG | 15,543 | ||||||
408 | Canada Goose Holdings, Inc.* | 7,348 | ||||||
600 | Canada Goose Holdings, Inc.* | 10,825 | ||||||
2,481 | Cie Financiere Richemont SA | 264,258 | ||||||
35,102 | Coats Group plc | 26,601 | ||||||
485 | Delta-Galil Industries, Ltd. | 23,945 | ||||||
1,167 | EssilorLuxottica SA | 176,493 | ||||||
280 | Fox Wizel, Ltd. | 31,992 | ||||||
3,031 | Gildan Activewear, Inc. | 87,256 |
See accompanying notes to the financial statements.
30
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
1,142 | Gildan Activewear, Inc. | $ | 32,867 | |||||
400 | Goldwin, Inc. | 22,444 | ||||||
900 | Gunze, Ltd. | 24,426 | ||||||
189 | Hermes International SA | 213,488 | ||||||
2,296 | Hugo Boss AG | 121,250 | ||||||
1,500 | Japan Wool Textile Co., Ltd. (The) | 10,895 | ||||||
504 | Kering | 261,820 | ||||||
700 | Kurabo Industries, Ltd. | 10,026 | ||||||
1,705 | LVMH Moet Hennessy Louis Vuitton SA | 1,052,062 | ||||||
1,945 | Moncler SpA | 84,008 | ||||||
2,592 | New Wave Group AB | 34,530 | ||||||
5,000 | Onward Holdings Co., Ltd. | 9,369 | ||||||
12,688 | Ovs SpA(a) | 20,832 | ||||||
44,000 | Pacific Textiles Holdings, Ltd. | 17,618 | ||||||
2,544 | Pandora A/S | 160,791 | ||||||
5,300 | Prada SpA | 29,741 | ||||||
1,502 | Puma SE | 98,904 | ||||||
687 | Salvatore Ferragamo SpA | 10,657 | ||||||
2,100 | Sankyo Seiko Co., Ltd. | 9,836 | ||||||
500 | Sanyo Shokai, Ltd.* | 3,585 | ||||||
1,000 | Seiren Co., Ltd. | 14,897 | ||||||
17,500 | Stella International Holdings, Ltd. | 16,741 | ||||||
942 | Swatch Group AG (The) | 41,862 | ||||||
539 | Swatch Group AG (The), Class B | 127,919 | ||||||
2,999 | Ted Baker plc* | 2,775 | ||||||
60,000 | Texwinca Holdings, Ltd. | 11,328 | ||||||
404 | Tod’s SpA* | 12,665 | ||||||
3,200 | Tsi Holdings Co., Ltd. | 8,159 | ||||||
5,500 | Unitika, Ltd.* | 9,413 | ||||||
377 | Van de Velde NV | 13,614 | ||||||
2,000 | Wacoal Holdings Corp. | 31,632 | ||||||
33,514 | Yue Yuen Industrial Holdings, Ltd. | 43,696 | ||||||
|
| |||||||
3,699,190 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.2%): | ||||||||
1,484 | Aareal Bank AG* | 49,447 | ||||||
1,900 | Aruhi Corp. | 14,179 | ||||||
3,618 | Deutsche Pfandbriefbank AG(a) | 32,555 | ||||||
830 | EQB, Inc. | 34,277 | ||||||
1,100 | Firm Capital Mortgage Investment Corp. | 9,837 | ||||||
900 | First National Financial Corp. | 23,154 | ||||||
16,190 | Genworth Mortgage Insurance AU | 25,679 | ||||||
2,112 | Home Capital Group, Inc. | 39,975 | ||||||
3 | Hypothekarbank Lenzburg AG | 12,763 | ||||||
4,912 | MyState, Ltd. | 13,833 | ||||||
9,478 | OSB Group plc | 55,993 | ||||||
10,978 | Paragon Banking Group plc | 65,419 | ||||||
3,600 | Timbercreek Financial Corp. | 22,238 | ||||||
|
| |||||||
399,349 | ||||||||
|
| |||||||
Tobacco (0.7%): | ||||||||
12,168 | British American Tobacco plc | 521,401 | ||||||
18,912 | Imperial Brands plc, Class A | 422,630 | ||||||
10,800 | Japan Tobacco, Inc. | 186,832 | ||||||
3,118 | Scandinavian Tobacco Group A/S(a) | 61,116 | ||||||
7,177 | Swedish Match AB | 73,325 | ||||||
|
| |||||||
1,265,304 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (2.0%): | ||||||||
3,367 | AddTech AB, Class B | $ | 43,986 | |||||
1,000 | Alconix Corp. | 9,464 | ||||||
1,271 | Alligo AB, Class B | 12,310 | ||||||
3,638 | Ashtead Group plc | 152,590 | ||||||
653 | BayWa AG | 28,943 | ||||||
2,058 | Beijer Ref AB | 28,188 | ||||||
1,271 | Bergman & Beving AB | 13,322 | ||||||
8,100 | BOC Aviation, Ltd.(a) | 68,248 | ||||||
313 | Bossard Holding AG | 60,650 | ||||||
2,847 | Brenntag AG | 185,269 | ||||||
1,375 | Bufab AB | 35,675 | ||||||
4,067 | Bunzl plc | 134,659 | ||||||
70,000 | China Strategic Holdings, Ltd.* | 334 | ||||||
500 | Chori Co., Ltd. | 7,209 | ||||||
400 | Daiichi Jitsugyo Co., Ltd. | 9,823 | ||||||
1,457 | Diploma plc | 39,512 | ||||||
4,000 | Doman Building Materials Group, Ltd. | 19,487 | ||||||
13,124 | Electrocomponents plc | 138,925 | ||||||
2,293 | Ferguson plc | 256,706 | ||||||
5,100 | Finning International, Inc. | 107,350 | ||||||
7,815 | Grafton Group plc | 73,931 | ||||||
1,700 | Hanwa Co., Ltd. | 35,683 | ||||||
700 | Hardwoods Distribution, Inc. | 15,371 | ||||||
15,263 | Howden Joinery Group plc | 112,671 | ||||||
1,085 | IMCD NV | 149,880 | ||||||
1,800 | Inaba Denki Sangyo Co., Ltd. | 35,391 | ||||||
1,800 | Inabata & Co., Ltd. | 29,422 | ||||||
2,319 | Indutrade AB | 42,370 | ||||||
12,500 | Itochu Corp. | 338,111 | ||||||
616 | Jacquet Metals SA | 10,620 | ||||||
�� | 500 | Japan Pulp & Paper Co., Ltd. | 14,065 | |||||
700 | Kamei Corp. | 5,426 | ||||||
900 | Kanaden Corp. | 6,758 | ||||||
1,700 | Kanamoto Co., Ltd. | 24,137 | ||||||
3,100 | Kanematsu Corp. | 30,617 | ||||||
2,972 | Kloeckner & Co. SE | 22,659 | ||||||
7,500 | Marubeni Corp. | 67,712 | ||||||
1,500 | Mitani Corp. | 16,736 | ||||||
4,700 | Mitsubishi Corp. | 139,777 | ||||||
5,400 | Mitsui & Co., Ltd. | 119,265 | ||||||
1,271 | Momentum Group AB* | 7,459 | ||||||
3,600 | MonotaRo Co., Ltd. | 53,552 | ||||||
4,300 | Nagase & Co., Ltd. | 59,128 | ||||||
600 | Nichiden Corp. | 8,372 | ||||||
500 | Nippon Steel Trading Corp. | 18,771 | ||||||
1,200 | Nishio Rent All Co., Ltd. | 23,876 | ||||||
1,132 | Oem International AB | 7,243 | ||||||
700 | Onoken Co., Ltd. | 7,222 | ||||||
1,494 | Reece, Ltd. | 14,221 | ||||||
9,256 | Rexel SA | 142,501 | ||||||
1,992 | Richelieu Hardware, Ltd. | 52,129 | ||||||
1,404 | Russel Metals, Inc. | 28,385 | ||||||
207 | Scope Metals Group, Ltd. | 9,068 | ||||||
600 | Senshu Electric Co., Ltd. | 21,314 | ||||||
2,458 | Seven Group Holdings, Ltd. | 28,281 | ||||||
6,300 | Sojitz Corp. | 89,544 | ||||||
409 | Solar A/S | 34,962 |
See accompanying notes to the financial statements.
31
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
17,864 | Speedy Hire plc | $ | 9,426 | |||||
6,600 | Sumitomo Corp. | 90,282 | ||||||
117 | Thermador Groupe | 10,582 | ||||||
2,072 | Toromont Industries, Ltd. | 167,563 | ||||||
4,000 | Toyota Tsushu Corp. | 130,769 | ||||||
7,192 | Travis Perkins plc | 85,362 | ||||||
1,000 | Trusco Nakayama Corp. | 12,661 | ||||||
800 | Wajax Corp. | 12,500 | ||||||
2,700 | Wakita & Co., Ltd. | 23,796 | ||||||
2,700 | Yamazen Corp. | 19,757 | ||||||
800 | Yuasa Trading Co., Ltd. | 19,795 | ||||||
|
| |||||||
3,831,773 | ||||||||
|
| |||||||
Transportation Infrastructure (0.4%): | ||||||||
242 | Aena SME SA*(a) | 30,773 | ||||||
260 | Aeroports de Paris* | 33,119 | ||||||
874 | Atlantia SpA | 20,510 | ||||||
9,330 | Atlas Arteria, Ltd. | 51,853 | ||||||
8,117 | Auckland International Airport, Ltd.* | 36,338 | ||||||
671 | Flughafen Zuerich AG* | 101,529 | ||||||
1,124 | Fraport AG* | 48,880 | ||||||
2,198 | Getlink SE | 38,923 | ||||||
1,618 | Hamburger Hafen und Logistik AG | 22,899 | ||||||
182,200 | Hutchison Port Holdings Trust | 42,869 | ||||||
1,940 | James Fisher & Sons plc* | 6,875 | ||||||
400 | Japan Airport Terminal Co., Ltd.* | 15,967 | ||||||
2,600 | Kamigumi Co., Ltd. | 50,364 | ||||||
1,400 | Mitsubishi Logistics Corp. | 33,511 | ||||||
400 | Nissin Corp. | 4,682 | ||||||
5,399 | Port of Tauranga, Ltd. | 20,943 | ||||||
32,939 | Qube Holdings, Ltd. | 62,089 | ||||||
5,500 | SATS, Ltd.* | 15,460 | ||||||
2,100 | Sumitomo Warehouse Co., Ltd. (The) | 31,011 | ||||||
10,150 | Transurban Group | 100,776 | ||||||
1,941 | Westshore Terminals Investment Corp. | 48,186 | ||||||
|
| |||||||
817,557 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
4,740 | Pennon Group plc | 55,135 | ||||||
2,187 | Severn Trent plc | 72,408 | ||||||
45,000 | Siic Environment Holdings, Ltd. | 6,967 | ||||||
5,391 | United Utilities Group plc | 66,951 | ||||||
|
| |||||||
201,461 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.4%): | ||||||||
1,292 | 1&1 AG | 24,382 | ||||||
14,353 | Airtel Africa plc(a) | 23,634 | ||||||
3,670 | Cellcom Israel, Ltd.* | 18,157 | ||||||
5,583 | Freenet AG | 138,471 | ||||||
88,000 | Hutchison Telecommunications Holdings, Ltd. | 16,833 | ||||||
15,000 | KDDI Corp. | 474,394 | ||||||
8,812 | Millicom International Cellular SA, SDR*^ | 125,877 | ||||||
1,000 | Okinawa Cellular Telephone Co. | 39,888 | ||||||
1,324 | Orange Belgium SA* | 24,867 | ||||||
5,106 | Partner Communications Co.* | 36,429 | ||||||
1,708 | Rogers Communications, Inc., Class B | 81,813 | ||||||
1,900 | Rogers Communications, Inc., Class B | 91,058 | ||||||
35,000 | Smartone Telecommunications Ho | 18,473 |
Shares or Principal Amount | Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
9,900 | Softbank Corp. | $ | 109,896 | |||||
19,200 | SoftBank Group Corp. | 742,119 | ||||||
21,800 | StarHub, Ltd. | 19,317 | ||||||
10,728 | Tele2 AB | 122,300 | ||||||
378,549 | Vodafone Group plc | 583,867 | ||||||
|
| |||||||
2,691,775 | ||||||||
|
| |||||||
Total Common Stocks (Cost $190,581,177) | 191,687,726 | |||||||
|
| |||||||
Preferred Stocks (0.3%): | ||||||||
Automobiles (0.3%): | ||||||||
635 | Bayerische Motoren Werke AG (BMW), 8.61%, 5/15/20 | 44,979 | ||||||
1,645 | Porsche Automobil Holding SE, 4.06%, 5/20/20 | 108,798 | ||||||
2,865 | Volkswagen AG, 5.93%, 5/8/20 | 382,523 | ||||||
|
| |||||||
536,300 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
947 | Henkel AG & Co. KGaA, 3.15%, 4/21/20 | 58,327 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $755,196) | 594,627 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Construction & Engineering (0.0%†): | ||||||||
2,002 | Fomento de Construcciones y Contratas SA, Expires on 7/5/22* | 719 | ||||||
21 | Shikun & Binui, Ltd., Expires on 7/6/22* | 125 | ||||||
|
| |||||||
844 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
320 | Saipem Spa RTS, Expires on 7/12/22*^ | 422 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.0%†): | ||||||||
501 | Greenvolt-Energias Renovaveis SA, Expires on 7/5/22* | 133 | ||||||
|
| |||||||
Interactive Media & Services (0.0%†): | ||||||||
642 | carsales Com, Ltd., Expires on 7/14/22* | 284 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
16,006 | Cooper Energy, Ltd. RTS, Expires on 7/8/22* | — | ||||||
|
| |||||||
Real Estate (0.0%†): | ||||||||
1,302 | Immofinanz AG RTS, Expires on 1/2/23* | — | ||||||
|
| |||||||
Total Rights (Cost $64,895) | 1,683 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (1.5%): | ||||||||
2,998,904 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(c)(d) | 2,998,904 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 2,998,904 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.1%): | ||||||||
Money Markets (0.1%): | ||||||||
315,107 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(d) | 315,107 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $315,107) | 315,107 | |||||||
|
| |||||||
Total Investment Securities (Cost $194,715,279) — 100.6% | 195,598,047 | |||||||
Net other assets (liabilities) — (0.6)% | (1,258,437 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 194,253,017 | ||||||
|
|
See accompanying notes to the financial statements.
32
AZL DFA International Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2022.
ADR—American Depository Receipt
NYS—New York Shares
REIT—Real Estate Investment Trust
SDR—Swedish Depository Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $2,698,081. |
† | Represents less than 0.05%. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. The total of all such securities represent 0.00% of the net assets of the fund. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
(d) | The rate represents the effective yield at June 30, 2022. |
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 value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Australia | 6.4 | % | ||
Austria | 0.5 | % | ||
Belgium | 1.2 | % | ||
Bermuda | 0.1 | % | ||
Cambodia | — | %† | ||
Canada | 11.5 | % | ||
Cayman Islands | — | %† | ||
China | 0.1 | % | ||
Colombia | — | %† | ||
Denmark | 2.3 | % | ||
Egypt | — | %† | ||
European Community | — | %† | ||
Faroe Islands | — | %† | ||
Finland | 1.5 | % | ||
France | 7.1 | % | ||
Germany | 6.5 | % | ||
Hong Kong | 2.5 | % | ||
India | — | %† | ||
Ireland | 1.0 | % | ||
Isle of Man | 0.1 | % | ||
Israel | 1.1 | % |
Country | Percentage | |||
Italy | 2.0 | % | ||
Japan | 22.0 | % | ||
Jersey | — | %† | ||
Liechtenstein | — | %† | ||
Luxembourg | 0.5 | % | ||
Macau | — | %† | ||
Malta | — | %† | ||
Mexico | — | %† | ||
Netherlands | 4.2 | % | ||
New Zealand | 0.4 | % | ||
Norway | 0.8 | % | ||
Peru | — | %† | ||
Portugal | 0.3 | % | ||
Singapore | 1.1 | % | ||
Spain | 2.4 | % | ||
Sweden | 2.7 | % | ||
Switzerland | 7.9 | % | ||
United Arab Emirates | — | %† | ||
United Kingdom | 12.0 | % | ||
United States | 1.8 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
33
AZL DFA International Core Equity Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 194,715,279 | |||
|
| ||||
Investment securities, at value(a) | $ | 195,598,047 | |||
Cash | 1,648 | ||||
Interest and dividends receivable | 311,899 | ||||
Foreign currency, at value (cost $752,647) | 753,714 | ||||
Receivable for investments sold | 281,001 | ||||
Reclaims receivable | 987,636 | ||||
Prepaid expenses | 632 | ||||
|
| ||||
Total Assets | 197,934,577 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 468,452 | ||||
Payable for collateral received on loaned securities | 2,998,904 | ||||
Manager fees payable | 125,436 | ||||
Administration fees payable | 28,873 | ||||
Distribution fees payable | 41,812 | ||||
Custodian fees payable | 5,372 | ||||
Administrative and compliance services fees payable | 134 | ||||
Transfer agent fees payable | 579 | ||||
Trustee fees payable | 1,158 | ||||
Other accrued liabilities | 10,840 | ||||
|
| ||||
Total Liabilities | 3,681,560 | ||||
|
| ||||
Net Assets | $ | 194,253,017 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 162,520,508 | |||
Total distributable earnings | 31,732,509 | ||||
|
| ||||
Net Assets | $ | 194,253,017 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 19,163,311 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.14 | |||
|
|
(a) | Includes securities on loan of $2,698,081. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 5,314,279 | |||
Interest | 1,428 | ||||
Income from securities lending | 16,251 | ||||
Foreign withholding tax | (476,119 | ) | |||
|
| ||||
Total Investment Income | 4,855,839 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,058,279 | ||||
Administration fees | 45,742 | ||||
Distribution fees | 278,494 | ||||
Custodian fees | 38,422 | ||||
Administrative and compliance services fees | 1,365 | ||||
Transfer agent fees | 2,728 | ||||
Trustee fees | 5,395 | ||||
Professional fees | 4,338 | ||||
Shareholder reports | 1,409 | ||||
Other expenses | 21,175 | ||||
|
| ||||
Total expenses | 1,457,347 | ||||
Less Management fees contractually waived | (222,797 | ) | |||
|
| ||||
Net expenses | 1,234,550 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,621,289 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 6,783,170 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (52,700,310 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (45,917,140 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (42,295,851 | ) | ||
|
|
See accompanying notes to the financial statements.
34
AZL DFA International Core Equity Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,621,289 | $ | 4,188,258 | ||||||
Net realized gains/(losses) on investments | 6,783,170 | 18,358,301 | ||||||||
Change in unrealized appreciation/depreciation on investments | (52,700,310 | ) | 10,554,923 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (42,295,851 | ) | 33,101,482 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (3,585,492 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (3,585,492 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 110,769 | 1,475,506 | ||||||||
Proceeds from dividends reinvested | — | 3,585,492 | ||||||||
Value of shares redeemed | (15,380,347 | ) | (47,818,960 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (15,269,578 | ) | (42,757,962 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (57,565,429 | ) | (13,241,972 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 251,818,446 | 265,060,418 | ||||||||
|
|
|
| |||||||
End of period | $ | 194,253,017 | $ | 251,818,446 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 9,962 | 120,615 | ||||||||
Dividends reinvested | — | 299,540 | ||||||||
Shares redeemed | (1,286,163 | ) | (3,943,848 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,276,201 | ) | (3,523,693 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
35
AZL DFA International Core Equity Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.32 | $ | 11.06 | $ | 10.58 | $ | 9.20 | $ | 11.46 | $ | 9.21 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.18 | (a) | 0.19 | (a) | 0.12 | (a) | 0.21 | (a) | 0.17 | 0.19 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.36 | ) | 1.25 | 0.61 | 1.65 | (2.16 | ) | 2.21 | ||||||||||||||||||||||
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Total from Investment Activities | (2.18 | ) | 1.44 | 0.73 | 1.86 | (1.99 | ) | 2.40 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.18 | ) | (0.25 | ) | (0.15 | ) | (0.21 | ) | (0.15 | ) | |||||||||||||||||||
Net Realized Gains | — | — | — | (0.33 | ) | (0.06 | ) | — | ||||||||||||||||||||||
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Total Dividends | — | (0.18 | ) | (0.25 | ) | (0.48 | ) | (0.27 | ) | (0.15 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 10.14 | $ | 12.32 | $ | 11.06 | $ | 10.58 | $ | 9.20 | $ | 11.46 | ||||||||||||||||||
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Total Return(b) | (17.69 | )%(c) | 13.05 | % | 7.25 | % | 20.72 | % | (17.65 | )% | 26.09 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 194,253 | $ | 251,818 | $ | 265,060 | $ | 275,886 | $ | 253,044 | $ | 258,959 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 3.25 | % | 1.61 | % | 1.29 | % | 2.09 | % | 1.63 | % | 1.48 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.31 | % | 1.31 | % | 1.34 | % | 1.33 | % | 1.38 | % | 1.41 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.11 | % | 1.11 | % | 1.14 | % | 1.13 | % | 1.18 | % | 1.21 | % | ||||||||||||||||||
Portfolio Turnover Rate | 7 | %(c) | 7 | % | 14 | % | 6 | % | 20 | % | 4 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
36
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA International Core Equity Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust,
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AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,608 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,998,904 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA International Core Equity Fund | 0.95 | % | 1.39 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.75% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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 Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
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AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 34,548,321 | $ | 157,135,266 | $ | 4,139 | $ | 191,687,726 | ||||||||||||
Preferred Stocks+ | — | 594,627 | — | 594,627 | ||||||||||||||||
Rights+ | 1,266 | 417 | — | 1,683 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 2,998,904 | — | — | 2,998,904 | ||||||||||||||||
Unaffiliated Investment Company | 228,514 | — | — | 228,514 | ||||||||||||||||
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Total Investment Securities | $ | 37,777,005 | $ | 157,730,310 | $ | 4,139 | $ | 195,511,454 | ||||||||||||
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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, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA International Core Equity Fund | $ | 15,221,441 | $ | 27,674,699 |
39
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $199,636,211. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 74,166,982 | ||
Unrealized (depreciation) | (22,209,228 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 51,957,754 | ||
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During the year ended December 31, 2021, the Fund utilized $973,492 in capital loss carry forwards (“CLCFs”) to offset capital gains.
As of the end of its tax year ended December 31, 2021, the Fund had no remaining CLCFs.
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA International Core Equity Fund | $ | 3,585,492 | $ | — | $ | 3,585,492 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA International Core Equity Fund | $ | 5,881,660 | $ | 16,176,251 | $ | — | $ | 51,970,449 | $ | 74,028,360 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles and other miscellaneous differences. |
40
AZL DFA International Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
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Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
43
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® DFA U.S. Core Equity Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 22 |
Page 22 |
Statements of Changes in Net Assets Page 23 |
Page 24 |
Notes to the Financial Statements Page 25 |
Page 30 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 31 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
Expense Examples
(Unaudited)
As a shareholder of the AZL DFA U.S. Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 811.90 | $ | 3.73 | 0.83 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 1,000.00 | $ | 1,020.68 | $ | 4.16 | 0.83 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 22.6 | % | |||
Financials | 13.8 | ||||
Health Care | 13.1 | ||||
Industrials | 11.8 | ||||
Consumer Discretionary | 10.7 | ||||
Communication Services | 7.6 | ||||
Consumer Staples | 6.5 | ||||
Energy | 5.9 | ||||
Materials | 4.4 | ||||
Utilities | 3.0 | ||||
Real Estate | 0.3 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.7 | ||||
Rights | — | † | |||
Unaffiliated Investment Company | 0.4 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.5 | ||||
Net other assets (liabilities) | (0.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.6%): | ||||||||
Aerospace & Defense (1.6%): | ||||||||
1,210 | AAR Corp.* | $ | 50,626 | |||||
2,468 | Aerojet Rocketdyne Holdings, Inc.* | 100,201 | ||||||
358 | AeroVironment, Inc.* | 29,428 | ||||||
712 | Astronics Corp.* | 7,241 | ||||||
415 | Astronics Corp., Class B* | 3,988 | ||||||
908 | Axon Enterprise, Inc.* | 84,598 | ||||||
3,878 | Boeing Co. (The)* | 530,200 | ||||||
2,720 | BWX Technologies, Inc. | 149,845 | ||||||
685 | CPI Aerostructures, Inc.* | 1,158 | ||||||
914 | Curtiss-Wright Corp. | 120,703 | ||||||
625 | Ducommun, Inc.* | 26,900 | ||||||
1,727 | General Dynamics Corp. | 382,099 | ||||||
569 | HEICO Corp. | 74,607 | ||||||
769 | HEICO Corp., Class A | 81,037 | ||||||
2,189 | Hexcel Corp. | 114,507 | ||||||
5,511 | Howmet Aerospace, Inc. | 173,321 | ||||||
904 | Huntington Ingalls Industries, Inc. | 196,909 | ||||||
2,947 | Kratos Defense & Security Solutions, Inc.* | 40,904 | ||||||
1,062 | L3harris Technologies, Inc. | 256,685 | ||||||
3,238 | Lockheed Martin Corp. | 1,392,211 | ||||||
1,378 | Mercury Systems, Inc.* | 88,647 | ||||||
913 | Moog, Inc., Class A | 72,483 | ||||||
343 | National Presto Industries, Inc. | 22,515 | ||||||
1,155 | Northrop Grumman Corp. | 552,748 | ||||||
953 | Park Aerospace Corp., Class C | 12,160 | ||||||
1,871 | Parsons Corp.* | 75,626 | ||||||
10,908 | Raytheon Technologies Corp. | 1,048,368 | ||||||
2,800 | Textron, Inc. | 170,996 | ||||||
521 | TransDigm Group, Inc.* | 279,605 | ||||||
337 | Vectrus, Inc.* | 11,276 | ||||||
|
| |||||||
6,151,592 | ||||||||
|
| |||||||
Air Freight & Logistics (0.8%): | ||||||||
2,159 | Air Transport Services Group, Inc.* | 62,028 | ||||||
464 | Atlas Air Worldwide Holdings, Inc.* | 28,634 | ||||||
2,301 | C.H. Robinson Worldwide, Inc. | 233,252 | ||||||
2,787 | Expeditors International of Washington, Inc. | 271,621 | ||||||
3,416 | FedEx Corp. | 774,441 | ||||||
619 | Forward Air Corp. | 56,923 | ||||||
1,805 | GXO Logistics, Inc.* | 78,102 | ||||||
766 | Hub Group, Inc., Class A* | 54,340 | ||||||
3,266 | Radiant Logistics, Inc.* | 24,234 | ||||||
8,651 | United Parcel Service, Inc., Class B | 1,579,154 | ||||||
2,834 | XPO Logistics, Inc.* | 136,486 | ||||||
|
| |||||||
3,299,215 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
2,670 | Alaska Air Group, Inc.* | 106,934 | ||||||
229 | Allegiant Travel Co.* | 25,898 | ||||||
9,299 | American Airlines Group, Inc.*^ | 117,911 | ||||||
841 | Copa Holdings SA, Class A* | 53,294 | ||||||
9,886 | Delta Air Lines, Inc.* | 286,397 | ||||||
1,057 | Hawaiian Holdings, Inc.* | 15,126 | ||||||
9,359 | JetBlue Airways Corp.* | 78,335 | ||||||
1,602 | SkyWest, Inc.* | 34,042 | ||||||
5,986 | Southwest Airlines Co.* | 216,214 | ||||||
2,445 | Spirit Airlines, Inc.* | 58,289 | ||||||
3,464 | United Airlines Holdings, Inc.* | 122,695 | ||||||
|
| |||||||
1,115,135 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Auto Components (0.4%): | ||||||||
2,780 | Adient plc* | $ | 82,371 | |||||
4,269 | American Axle & Manufacturing Holdings, Inc.* | 32,145 | ||||||
1,883 | Aptiv plc* | 167,719 | ||||||
2,666 | Autoliv, Inc. | 190,806 | ||||||
6,004 | BorgWarner, Inc. | 200,353 | ||||||
1,256 | Cooper-Standard Holdings, Inc.* | 6,267 | ||||||
3,513 | Dana, Inc. | 49,428 | ||||||
687 | Dorman Products, Inc.* | 75,371 | ||||||
798 | Fox Factory Holding Corp.* | 64,271 | ||||||
6,025 | Gentex Corp. | 168,519 | ||||||
799 | Gentherm, Inc.* | 49,866 | ||||||
6,635 | Goodyear Tire & Rubber Co. (The)* | 71,061 | ||||||
1,365 | Horizon Global Corp.* | 2,225 | ||||||
578 | LCI Industries | 64,667 | ||||||
1,505 | Lear Corp. | 189,464 | ||||||
3,637 | Modine Manufacturing Co.* | 38,298 | ||||||
1,190 | Motorcar Parts of America, Inc.* | 15,613 | ||||||
856 | Patrick Industries, Inc. | 44,375 | ||||||
2,366 | QuantumScape Corp.*^ | 20,324 | ||||||
616 | Standard Motor Products, Inc. | 27,714 | ||||||
587 | Stoneridge, Inc.* | 10,067 | ||||||
275 | Strattec Security Corp.* | 9,116 | ||||||
1,349 | Tenneco, Inc.* | 23,149 | ||||||
517 | Visteon Corp.* | 53,551 | ||||||
|
| |||||||
1,656,740 | ||||||||
|
| |||||||
Automobiles (1.2%): | ||||||||
31,520 | Ford Motor Co. | 350,818 | ||||||
19,415 | General Motors Co.* | 616,620 | ||||||
4,049 | Harley-Davidson, Inc. | 128,191 | ||||||
5,057 | Tesla, Inc.* | 3,405,485 | ||||||
1,289 | Thor Industries, Inc. | 96,327 | ||||||
729 | Winnebago Industries, Inc. | 35,400 | ||||||
|
| |||||||
4,632,841 | ||||||||
|
| |||||||
Banks (5.3%): | ||||||||
859 | 1st Source Corp. | 38,999 | ||||||
504 | ACNB Corp. | 14,964 | ||||||
954 | Allegiance Bancshares, Inc. | 36,023 | ||||||
661 | American National Bankshares, Inc. | 22,877 | ||||||
1,776 | Ameris Bancorp | 71,360 | ||||||
704 | Ames National Corp. | 15,615 | ||||||
1,015 | Arrow Financial Corp. | 32,287 | ||||||
3,325 | Associated Banc-Corp. | 60,715 | ||||||
2,280 | Atlantic Union Bankshares Corp. | 77,338 | ||||||
2,056 | Banc of California, Inc. | 36,227 | ||||||
646 | BancFirst Corp. | 61,829 | ||||||
2,831 | Bancorp, Inc. (The)* | 55,261 | ||||||
52,973 | Bank of America Corp. | 1,649,049 | ||||||
1,028 | Bank of Hawaii Corp. | 76,483 | ||||||
724 | Bank of Marin Bancorp | 23,009 | ||||||
1,592 | Bank of NT Butterfield & Son, Ltd. (The) | 49,654 | ||||||
3,554 | Bank OZK | 133,382 | ||||||
2,950 | BankUnited, Inc. | 104,931 | ||||||
1,129 | Banner Corp. | 63,461 | ||||||
433 | Bar Harbor Bankshares | 11,197 | ||||||
842 | BCB Bancorp, Inc. | 14,339 | ||||||
1,898 | Berkshire Hills Bancorp, Inc. | 47,013 |
See accompanying notes to the financial statements.
2
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
1,565 | BOK Financial Corp. | $ | 118,283 | |||||
2,707 | Brookline Bancorp, Inc. | 36,030 | ||||||
977 | Byline BanCorp, Inc. | 23,253 | ||||||
74 | C&F Financial Corp. | 3,402 | ||||||
4,719 | Cadence Bank | 110,802 | ||||||
843 | Camden National Corp. | 37,134 | ||||||
489 | Capital City Bank Group, Inc. | 13,638 | ||||||
2,132 | Cathay General Bancorp | 83,468 | ||||||
1,225 | CBTX, Inc. | 32,573 | ||||||
1,402 | Central Pacific Financial Corp. | 30,073 | ||||||
933 | Central Valley Community Bancorp | 13,528 | ||||||
377 | Chemung Financial Corp. | 17,719 | ||||||
14,399 | Citigroup, Inc. | 662,210 | ||||||
943 | Citizens & Northern Corp. | 22,792 | ||||||
7,241 | Citizens Financial Group, Inc. | 258,431 | ||||||
552 | Citizens Holding Co. | 10,102 | ||||||
365 | City Holding Co. | 29,156 | ||||||
938 | Civista Bancshares, Inc. | 19,942 | ||||||
735 | CNB Financial Corp. | 17,780 | ||||||
85 | Codorus Valley Bancorp, Inc. | 1,913 | ||||||
56 | Colony Bankcorp, Inc. | 845 | ||||||
2,267 | Columbia Banking System, Inc. | 64,950 | ||||||
3,274 | Comerica, Inc. | 240,246 | ||||||
3,042 | Commerce Bancshares, Inc. | 199,707 | ||||||
1,393 | Community Bank System, Inc. | 88,149 | ||||||
517 | Community Trust Bancorp, Inc. | 20,907 | ||||||
1,154 | ConnectOne Bancorp, Inc. | 28,215 | ||||||
1,311 | Cullen/Frost Bankers, Inc. | 152,666 | ||||||
1,643 | Customers Bancorp, Inc.* | 55,698 | ||||||
4,350 | CVB Financial Corp. | 107,923 | ||||||
1,876 | Dime Community Bancshares, Inc. | 55,623 | ||||||
1,065 | Eagle Bancorp, Inc. | 50,492 | ||||||
3,269 | East West Bancorp, Inc. | 211,831 | ||||||
4,884 | Eastern Bankshares, Inc. | 90,159 | ||||||
820 | Enterprise Financial Services Corp. | 34,030 | ||||||
682 | Equity Bancshares, Inc. | 19,887 | ||||||
312 | Evans Bancorp, Inc. | 10,605 | ||||||
8,341 | F.N.B. Corp. | 90,583 | ||||||
1,329 | Farmers National Banc Corp. | 19,935 | ||||||
1,408 | FB Financial Corp. | 55,222 | ||||||
9,314 | Fifth Third Bancorp | 312,950 | ||||||
1,053 | Financial Institutions, Inc. | 27,399 | ||||||
6,611 | First BanCorp | 85,348 | ||||||
814 | First Bancorp, Inc. (The) | 24,526 | ||||||
1,262 | First Bancorp/Southern Pines NC | 44,044 | ||||||
611 | First Bancshares, Inc. (The) | 17,475 | ||||||
1,378 | First Busey Corp. | 31,487 | ||||||
664 | First Business Financial Services, Inc. | 20,710 | ||||||
363 | First Citizens BancShares, Inc., Class A | 237,322 | ||||||
2,520 | First Commonwealth Financial Corp. | 33,818 | ||||||
512 | First Community Bankshares | 15,058 | ||||||
3,105 | First Financial Bancorp | 60,237 | ||||||
3,432 | First Financial Bankshares, Inc. | 134,775 | ||||||
536 | First Financial Corp. | 23,852 | ||||||
733 | First Financial Northwest, Inc. | 11,391 | ||||||
1,155 | First Foundation, Inc. | 23,654 | ||||||
1,512 | First Hawaiian, Inc. | 34,338 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
12,573 | First Horizon Corp. | $ | 274,846 | |||||
3,226 | First Interstate BancSystem, Inc., Class A | 122,943 | ||||||
1,606 | First Merchants Corp. | 57,206 | ||||||
660 | First Mid Bancshares, Inc. | 23,542 | ||||||
1,573 | First of Long Island Corp. (The) | 27,575 | ||||||
1,741 | First Republic Bank | 251,052 | ||||||
2,253 | Flushing Financial Corp. | 47,899 | ||||||
5,044 | Fulton Financial Corp. | 72,886 | ||||||
769 | German American Bancorp, Inc. | 26,284 | ||||||
3,614 | Glacier Bancorp, Inc. | 171,376 | ||||||
397 | Great Southern Bancorp, Inc. | 23,248 | ||||||
2,782 | Hancock Whitney Corp. | 123,326 | ||||||
2,408 | Hanmi Financial Corp. | 54,036 | ||||||
1,642 | HarborOne Bancorp, Inc. | 22,643 | ||||||
45 | Hawthorn Bancshares, Inc. | 1,140 | ||||||
1,853 | Heartland Financial USA, Inc. | 76,974 | ||||||
1,197 | Heritage Financial Corp. | 30,117 | ||||||
2,010 | Hertiage Commerce Corp. | 21,487 | ||||||
2,750 | Hilltop Holdings, Inc. | 73,315 | ||||||
4,922 | Home Bancshares, Inc. | 102,230 | ||||||
484 | Hometrust Bancshares, Inc. | 12,100 | ||||||
4,470 | Hope BanCorp, Inc. | 61,865 | ||||||
1,071 | Horizon Bancorp, Inc. | 18,657 | ||||||
17,788 | Huntington Bancshares, Inc. | 213,990 | ||||||
1,236 | Independent Bank Corp. | 98,175 | ||||||
855 | Independent Bank Corp. | 16,484 | ||||||
1,169 | Independent Bank Group, Inc. | 79,387 | ||||||
1,836 | International Bancshares Corp. | 73,587 | ||||||
31,004 | JPMorgan Chase & Co. | 3,491,360 | ||||||
13,247 | KeyCorp | 228,246 | ||||||
1,465 | Lakeland Bancorp, Inc. | 21,418 | ||||||
582 | Lakeland Financial Corp. | 38,656 | ||||||
552 | Landmark Bancorp, Inc. | 13,988 | ||||||
712 | LCNB Corp. | 10,644 | ||||||
1,274 | Live Oak Bancshares, Inc. | 43,176 | ||||||
2,795 | M&T Bank Corp. | 445,495 | ||||||
2,571 | Macatawa Bank Corp. | 22,728 | ||||||
472 | Mercantile Bank Corp. | 15,080 | ||||||
241 | Midland States BanCorp, Inc. | 5,794 | ||||||
638 | MidWestone Financial Group, Inc. | 18,961 | ||||||
702 | National Bank Holdings Corp. | 26,866 | ||||||
514 | National Bankshares, Inc. | 16,140 | ||||||
1,264 | NBT Bancorp, Inc. | 47,514 | ||||||
373 | Nicolet Bankshares, Inc.* | 26,983 | ||||||
510 | Northrim Bancorp, Inc. | 20,533 | ||||||
511 | Norwood Financial Corp. | 12,397 | ||||||
2,292 | OFG Bancorp | 58,217 | ||||||
440 | Ohio Valley Banc Corp. | 13,279 | ||||||
9,356 | Old National Bancorp | 138,375 | ||||||
2,225 | Old Second Bancorp, Inc. | 29,770 | ||||||
550 | Origin Bancorp, Inc. | 21,340 | ||||||
638 | Orrstown Financial Services, Inc. | 15,420 | ||||||
2,518 | Pacific Premier Bancorp, Inc. | 73,626 | ||||||
2,447 | PacWest Bancorp | 65,237 | ||||||
467 | Park National Corp. | 56,624 | ||||||
1,165 | Peapack-Gladstone Financial Corp. | 34,600 | ||||||
546 | Penns Woods Bancorp, Inc. | 12,607 |
See accompanying notes to the financial statements.
3
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
608 | Peoples Bancorp of North Carolina, Inc. | $ | 16,513 | |||||
1,117 | Peoples Bancorp, Inc. | 29,712 | ||||||
1,752 | Pinnacle Financial Partners, Inc. | 126,687 | ||||||
3,044 | PNC Financial Services Group, Inc. (The) | 480,252 | ||||||
1,986 | Popular, Inc. | 152,783 | ||||||
432 | Preferred Bank Los Angeles | 29,385 | ||||||
707 | Primis Financial Corp. | 9,636 | ||||||
2,191 | Prosperity Bancshares, Inc. | 149,580 | ||||||
606 | QCR Holdings, Inc. | 32,718 | ||||||
487 | Rbb BanCorp | 10,066 | ||||||
13,669 | Regions Financial Corp. | 256,294 | ||||||
1,373 | Renasant Corp. | 39,556 | ||||||
917 | Republic Bancorp, Inc., Class A | 44,245 | ||||||
869 | S&T Bancorp, Inc. | 23,837 | ||||||
148 | Salisbury Bancorp, Inc. | 6,989 | ||||||
1,366 | Sandy Spring Bancorp, Inc. | 53,370 | ||||||
1,366 | Seacoast Banking Corp of Florida | 45,133 | ||||||
1,110 | ServisFirst Bancshares, Inc. | 87,601 | ||||||
1,113 | Shore Bancshares, Inc. | 20,590 | ||||||
1,028 | Sierra Bancorp | 22,338 | ||||||
784 | Signature Bank | 140,501 | ||||||
3,102 | Simmons First National Corp., Class A | 65,949 | ||||||
950 | Southside Bancshares, Inc. | 35,549 | ||||||
1,770 | SouthState Corp. | 136,555 | ||||||
527 | Stock Yards Bancorp, Inc. | 31,525 | ||||||
557 | Summit Financial Group, Inc. | 15,473 | ||||||
702 | SVB Financial Group* | 277,283 | ||||||
3,723 | Synovus Financial Corp. | 134,214 | ||||||
1,633 | Texas Capital Bancshares, Inc.* | 85,961 | ||||||
490 | Tompkins Financial Corp. | 35,329 | ||||||
2,209 | TowneBank | 59,974 | ||||||
820 | TriCo Bancshares | 37,425 | ||||||
1,001 | Triumph BanCorp, Inc.* | 62,623 | ||||||
9,462 | Truist Financial Corp. | 448,783 | ||||||
1,695 | Trustmark Corp. | 49,477 | ||||||
14,586 | U.S. Bancorp | 671,248 | ||||||
1,375 | UMB Financial Corp. | 118,388 | ||||||
6,312 | Umpqua Holdings Corp. | 105,852 | ||||||
3,681 | United Bankshares, Inc. | 129,093 | ||||||
1,942 | United Community Banks, Inc. | 58,629 | ||||||
1,190 | United Security Bancshares | 9,068 | ||||||
42 | Unity Bancorp, Inc. | 1,112 | ||||||
850 | Univest Financial Corp. | 21,624 | ||||||
9,343 | Valley National Bancorp | 97,261 | ||||||
690 | Veritex Holdings, Inc. | 20,189 | ||||||
501 | Washington Trust Bancorp | 24,233 | ||||||
4,942 | Webster Financial Corp. | 208,305 | ||||||
31,628 | Wells Fargo & Co. | 1,238,869 | ||||||
1,645 | WesBanco, Inc. | 52,163 | ||||||
1,062 | West BanCorp, Inc. | 25,849 | ||||||
685 | Westamerica BanCorp | 38,127 | ||||||
2,129 | Western Alliance Bancorp | 150,307 | ||||||
1,524 | Wintrust Financial Corp. | 122,149 | ||||||
3,716 | Zions Bancorp | 189,144 | ||||||
|
| |||||||
20,713,259 | ||||||||
|
| |||||||
Beverages (1.5%): | ||||||||
145 | Boston Beer Co., Inc. (The), Class A* | 43,931 | ||||||
1,105 | Brown-Forman Corp., Class A | 74,742 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
3,136 | Brown-Forman Corp., Class B | $ | 220,022 | |||||
374 | Celsius Holdings, Inc.* | 24,407 | ||||||
29,204 | Coca-Cola Co. (The) | 1,837,224 | ||||||
179 | Coca-Cola Consolidated, Inc. | 100,938 | ||||||
919 | Constellation Brands, Inc., Class C | 214,182 | ||||||
4,758 | Keurig Dr Pepper, Inc. | 168,385 | ||||||
615 | MGP Ingredients, Inc. | 61,555 | ||||||
3,243 | Molson Coors Brewing Co., Class B | 176,776 | ||||||
2,382 | Monster Beverage Corp.* | 220,811 | ||||||
1,621 | National Beverage Corp. | 79,332 | ||||||
15,698 | PepsiCo, Inc. | 2,616,229 | ||||||
|
| |||||||
5,838,534 | ||||||||
|
| |||||||
Biotechnology (2.5%): | ||||||||
18,635 | AbbVie, Inc. | 2,854,137 | ||||||
2,144 | ACADIA Pharmaceuticals, Inc.* | 30,209 | ||||||
3,964 | Adverum Biotechnologies, Inc.* | 4,757 | ||||||
436 | Agios Pharmaceuticals, Inc.* | 9,666 | ||||||
7,184 | Akebia Therapeutics, Inc.* | 2,537 | ||||||
1,908 | Alector, Inc.* | 19,385 | ||||||
1,012 | Alkermes plc* | 30,147 | ||||||
2,313 | Allogene Therapeutics, Inc.* | 26,368 | ||||||
471 | Alnylam Pharmaceuticals, Inc.* | 68,695 | ||||||
4,988 | Amgen, Inc. | 1,213,580 | ||||||
955 | AnaptysBio, Inc.* | 19,387 | ||||||
990 | Arcus Biosciences, Inc.* | 25,087 | ||||||
1,907 | Atara Biotherapeutics, Inc.* | 14,856 | ||||||
1,428 | Biogen, Inc.* | 291,226 | ||||||
835 | Biohaven Pharmaceutical Holding Co., Ltd.* | 121,668 | ||||||
2,087 | BioMarin Pharmaceutical, Inc.* | 172,950 | ||||||
1,469 | Bluebird Bio, Inc.* | 6,082 | ||||||
1,208 | Blueprint Medicines Corp.* | 61,016 | ||||||
723 | CareDx, Inc.* | 15,530 | ||||||
1,101 | Celldex Therapeutics, Inc.* | 29,683 | ||||||
718 | Concert Pharmaceuticals, Inc.* | 3,023 | ||||||
906 | CRISPR Therapeutics AG* | 55,058 | ||||||
1,534 | Denali Therapeutics, Inc.* | 45,146 | ||||||
233 | Eagle Pharmaceuticals, Inc.* | 10,352 | ||||||
1,370 | Editas Medicine, Inc.* | 16,207 | ||||||
1,656 | Emergent BioSolutions, Inc.* | 51,402 | ||||||
585 | Enanta Pharmaceuticals, Inc.* | 27,653 | ||||||
1,700 | Exact Sciences Corp.* | 66,963 | ||||||
6,966 | Exelixis, Inc.* | 145,032 | ||||||
567 | Fate Therapeutics, Inc.*^ | 14,050 | ||||||
522 | Fibrogen, Inc.* | 5,512 | ||||||
1,432 | G1 Therapeutics, Inc.*^ | 7,074 | ||||||
14,500 | Gilead Sciences, Inc. | 896,245 | ||||||
852 | Global Blood Therapeutics, Inc.* | 27,221 | ||||||
2,867 | Halozyme Therapeutics, Inc.* | 126,148 | ||||||
1,961 | Incyte Corp.* | 148,977 | ||||||
961 | Intellia Therapeutics, Inc.* | 49,741 | ||||||
1,964 | Ionis Pharmaceuticals, Inc.* | 72,707 | ||||||
2,315 | Iovance Biotherapeutics, Inc.* | 25,558 | ||||||
2,568 | Ironwood Pharmaceuticals, Inc.* | 29,609 | ||||||
275 | Karuna Therapeutics, Inc.* | 34,790 | ||||||
200 | Kodiak Sciences, Inc.* | 1,528 | ||||||
1,263 | Kura Oncology, Inc.* | 23,151 | ||||||
757 | Kymera Therapeutics, Inc.*^ | 14,905 |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
340 | Ligand Pharmaceuticals, Inc.* | $ | 30,335 | |||||
1,449 | Macrogenics, Inc.* | 4,275 | ||||||
194 | Madrigal Pharmaceuticals, Inc.* | 13,887 | ||||||
710 | Mirati Therapeutics, Inc.* | 47,662 | ||||||
4,559 | Moderna, Inc.* | 651,253 | ||||||
2,351 | Myriad Genetics, Inc.* | 42,718 | ||||||
715 | Neurocrine Biosciences, Inc.* | 69,698 | ||||||
10,235 | OPKO Health, Inc.* | 25,895 | ||||||
9,565 | PDL BioPharma, Inc.*(a) | 23,243 | ||||||
1,720 | Prothena Corp. plc* | 46,698 | ||||||
1,210 | Regeneron Pharmaceuticals, Inc.* | 715,267 | ||||||
895 | REGENXBIO, Inc.* | 22,107 | ||||||
440 | Repligen Corp.* | 71,456 | ||||||
1,053 | Rhythm Pharmaceuticals, Inc.*^ | 4,370 | ||||||
1,042 | Rocket Pharmaceuticals, Inc.* | 14,338 | ||||||
1,793 | Sage Therapeutics, Inc.* | 57,914 | ||||||
2,916 | Sangamo Therapeutics, Inc.* | 12,072 | ||||||
660 | Sarepta Therapeutics, Inc.* | 49,474 | ||||||
1,210 | Seagen, Inc.* | 214,097 | ||||||
2,126 | Spectrum Pharmaceuticals, Inc.* | 1,658 | ||||||
602 | SpringWorks Therapeutics, Inc.* | 14,821 | ||||||
874 | Travere Therapeutics, Inc.* | 21,177 | ||||||
1,104 | Ultragenyx Pharmaceutical, Inc.* | 65,865 | ||||||
882 | United Therapeutics Corp.* | 207,834 | ||||||
1,179 | Vanda Pharmaceuticals, Inc.* | 12,851 | ||||||
1,880 | Vertex Pharmaceuticals, Inc.* | 529,765 | ||||||
1,246 | Xencor, Inc.* | 34,103 | ||||||
|
| |||||||
9,919,851 | ||||||||
|
| |||||||
Building Products (0.8%): | ||||||||
2,754 | A O Smith Corp. | 150,589 | ||||||
1,062 | AAON, Inc. | 58,155 | ||||||
1,573 | Advanced Drainage Systems, Inc. | 141,680 | ||||||
1,795 | Allegion plc | 175,730 | ||||||
515 | American Woodmark Corp.* | 23,180 | ||||||
1,085 | Apogee Enterprises, Inc. | 42,554 | ||||||
1,537 | Armstrong World Industries, Inc. | 115,214 | ||||||
3,106 | AZEK Co., Inc. (The)* | 51,994 | ||||||
4,473 | Builders FirstSource, Inc.* | 240,200 | ||||||
8,116 | Carrier Global Corp. | 289,417 | ||||||
3,362 | Cornerstone Building Brands, Inc.* | 82,335 | ||||||
547 | Csw Industrials, Inc. | 56,357 | ||||||
2,444 | Fortune Brands Home & Security, Inc. | 146,347 | ||||||
715 | Gibraltar Industries, Inc.* | 27,706 | ||||||
1,993 | Griffon Corp. | 55,864 | ||||||
1,209 | Insteel Industries, Inc. | 40,707 | ||||||
2,135 | JELD-WEN Holding, Inc.* | 31,150 | ||||||
3,721 | Johnson Controls International plc | 178,161 | ||||||
617 | Lennox International, Inc. | 127,466 | ||||||
2,484 | Masco Corp. | 125,690 | ||||||
681 | Masonite International Corp.* | 52,321 | ||||||
2,995 | Owens Corning | 222,558 | ||||||
1,379 | PGT Innovations, Inc.* | 22,947 | ||||||
1,160 | Quanex Building Products Corp. | 26,390 | ||||||
3,728 | Resideo Technologies, Inc.* | 72,398 | ||||||
1,119 | Simpson Manufacturing Co., Inc. | 112,583 | ||||||
1,488 | Trane Technologies plc | 193,247 | ||||||
1,485 | Trex Co., Inc.* | 80,814 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
1,914 | UFP Industries, Inc. | $ | 130,420 | |||||
2,409 | Zurn Water Solutions Corp. | 65,621 | ||||||
|
| |||||||
3,139,795 | ||||||||
|
| |||||||
Capital Markets (2.8%): | ||||||||
837 | Affiliated Managers Group, Inc. | 97,594 | ||||||
1,953 | Ameriprise Financial, Inc. | 464,189 | ||||||
1,834 | Ares Management Corp., Class A | 104,281 | ||||||
1,585 | Artisan Partners Asset Management, Inc., Class A | 56,378 | ||||||
734 | B Riley Financial, Inc. | 31,012 | ||||||
6,009 | Bank of New York Mellon Corp. (The) | 250,635 | ||||||
9,837 | BGC Partners, Inc., Class A | 33,151 | ||||||
1,088 | BlackRock, Inc., Class A | 662,636 | ||||||
4,929 | Blackstone, Inc., Class A | 449,673 | ||||||
2,377 | Blucora, Inc.* | 43,879 | ||||||
902 | Brightsphere Investment Group, Inc. | 16,245 | ||||||
1,257 | Cboe Global Markets, Inc. | 142,280 | ||||||
7,675 | Charles Schwab Corp. (The) | 484,907 | ||||||
1,955 | CME Group, Inc. | 400,189 | ||||||
1,396 | Cohen & Steers, Inc. | 88,772 | ||||||
190 | Diamond Hill Investment Group | 32,992 | ||||||
1,791 | Donnelley Financial Solutions, Inc.* | 52,458 | ||||||
475 | FactSet Research Systems, Inc. | 182,671 | ||||||
3,404 | Federated Hermes, Inc., Class B | 108,213 | ||||||
5,820 | Franklin Resources, Inc. | 135,664 | ||||||
388 | GAMCO Investors, Inc., Class A | 8,109 | ||||||
3,511 | Goldman Sachs Group, Inc. (The) | 1,042,837 | ||||||
255 | Greenhill & Co., Inc. | 2,351 | ||||||
569 | Hamilton Lane, Inc. | 38,225 | ||||||
211 | Hennessy Advisors, Inc. | 2,203 | ||||||
1,585 | Houlihan Lokey, Inc. | 125,104 | ||||||
693 | Interactive Brokers Group, Inc., Class A | 38,122 | ||||||
2,995 | Intercontinental Exchange, Inc. | 281,650 | ||||||
9,972 | Invesco, Ltd. | 160,848 | ||||||
4,134 | Janus Henderson Group plc | 97,190 | ||||||
4,821 | KKR & Co., Inc., Class A | 223,164 | ||||||
2,997 | Lazard, Ltd., Class A^ | 97,133 | ||||||
1,018 | LPL Financial Holdings, Inc. | 187,801 | ||||||
337 | MarketAxess Holdings, Inc. | 86,275 | ||||||
1,075 | Moelis & Co., Class A | 42,301 | ||||||
1,496 | Moody’s Corp. | 406,867 | ||||||
13,808 | Morgan Stanley | 1,050,236 | ||||||
806 | Morningstar, Inc. | 194,915 | ||||||
583 | MSCI, Inc. | 240,283 | ||||||
2,070 | Nasdaq, Inc. | 315,758 | ||||||
2,692 | Northern Trust Corp. | 259,724 | ||||||
365 | Oppenheimer Holdings, Inc., Class A | 12,060 | ||||||
613 | Piper Sandler Cos. | 69,490 | ||||||
394 | PJT Partners, Inc. | 27,690 | ||||||
1,113 | Pzena Investment Management, Inc. | 7,335 | ||||||
2,737 | Raymond James Financial, Inc. | 244,715 | ||||||
2,264 | S&P Global, Inc. | 763,104 | ||||||
3,335 | SEI Investments Co. | 180,157 | ||||||
660 | Silvercrest Asset Management Group, Inc., Class A | 10,831 | ||||||
4,353 | State Street Corp. | 268,362 | ||||||
2,748 | Stifel Financial Corp. | 153,943 | ||||||
597 | StoneX Group, Inc.* | 46,608 | ||||||
3,338 | T. Rowe Price Group, Inc. | 379,230 |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
800 | Tradeweb Markets, Inc., Class A | $ | 54,600 | |||||
2,529 | Virtu Financial, Inc., Class A | 59,204 | ||||||
154 | Virtus Investment Partners, Inc. | 26,337 | ||||||
425 | Westwood Holdings, Inc. | 5,865 | ||||||
3,476 | WisdomTree Investments, Inc. | 17,623 | ||||||
|
| |||||||
11,066,069 | ||||||||
|
| |||||||
Chemicals (2.4%): | ||||||||
1,366 | AdvanSix, Inc. | 45,679 | ||||||
1,576 | Air Products & Chemicals, Inc. | 378,996 | ||||||
1,129 | Albemarle Corp. | 235,938 | ||||||
1,157 | American Vanguard Corp. | 25,859 | ||||||
1,489 | Ashland Global Holdings, Inc. | 153,441 | ||||||
2,333 | Avient Corp. | 93,507 | ||||||
6,953 | Axalta Coating Systems, Ltd.* | 153,731 | ||||||
838 | Balchem Corp. | 108,722 | ||||||
1,642 | Cabot Corp. | 104,743 | ||||||
2,236 | Celanese Corp. | 262,976 | ||||||
3,882 | CF Industries Holdings, Inc. | 332,804 | ||||||
328 | Chase Corp. | 25,522 | ||||||
4,033 | Chemours Co. (The) | 129,137 | ||||||
578 | Core Molding Technologies, Inc.* | 5,312 | ||||||
8,592 | Corteva, Inc. | 465,171 | ||||||
8,803 | Dow, Inc. | 454,323 | ||||||
5,587 | DuPont de Nemours, Inc. | 310,525 | ||||||
1,680 | Eastman Chemical Co. | 150,814 | ||||||
1,417 | Ecolab, Inc. | 217,878 | ||||||
1,630 | Ecovyst, Inc. | 16,055 | ||||||
7,787 | Element Solutions, Inc. | 138,609 | ||||||
1,613 | FMC Corp. | 172,607 | ||||||
3,222 | Futurefuel Corp. | 23,456 | ||||||
1,709 | GCP Applied Technologies, Inc.* | 53,458 | ||||||
1,438 | H.B. Fuller Co. | 86,582 | ||||||
5,566 | Huntsman Corp. | 157,796 | ||||||
962 | Ingevity Corp.* | 60,741 | ||||||
571 | Innospec, Inc. | 54,696 | ||||||
2,916 | International Flavors & Fragrances, Inc. | 347,354 | ||||||
1,498 | Intrepid Potash, Inc.* | 67,844 | ||||||
783 | Koppers Holdings, Inc. | 17,727 | ||||||
2,011 | Kronos Worldwide, Inc. | 37,002 | ||||||
3,686 | Linde plc | 1,059,836 | ||||||
2,160 | Livent Corp.* | 49,010 | ||||||
1,603 | LSB Industries, Inc.* | 22,218 | ||||||
7,530 | LyondellBasell Industries NV, Class A | 658,574 | ||||||
971 | Minerals Technologies, Inc. | 59,561 | ||||||
7,687 | Mosaic Co. (The) | 363,057 | ||||||
301 | NewMarket Corp. | 90,589 | ||||||
4,819 | Olin Corp. | 223,023 | ||||||
2,364 | Orion Engineered Carbons SA | 36,713 | ||||||
3,040 | PPG Industries, Inc. | 347,594 | ||||||
117 | Quaker Chemical Corp. | 17,494 | ||||||
3,631 | Rayonier Advanced Materials, Inc.* | 9,513 | ||||||
2,581 | RPM International, Inc. | 203,176 | ||||||
1,131 | Scotts Miracle-Gro Co. (The) | 89,338 | ||||||
1,042 | Sensient Technologies Corp. | 83,944 | ||||||
2,297 | Sherwin-Williams Co. (The) | 514,321 | ||||||
569 | Stepan Co. | 57,668 | ||||||
1,070 | Tredegar Corp. | 10,700 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
1,279 | Trinseo PLC | $ | 49,190 | |||||
4,906 | Tronox Holdings plc, Class A | 82,421 | ||||||
2,580 | Valvoline, Inc. | 74,381 | ||||||
4,276 | Venator Materials plc* | 8,894 | ||||||
2,150 | Westlake Corp. | 210,743 | ||||||
|
| |||||||
9,210,963 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.9%): | ||||||||
1,913 | ABM Industries, Inc. | 83,062 | ||||||
2,927 | ACCO Brands Corp. | 19,113 | ||||||
11,570 | ADT, Inc. | 71,156 | ||||||
1,067 | Brady Corp., Class A | 50,405 | ||||||
844 | Brink’s Co. (The) | 51,239 | ||||||
1,028 | Casella Waste Systems, Inc.* | 74,715 | ||||||
2,003 | CECO Environmental Corp.* | 11,978 | ||||||
518 | Cimpress plc* | 20,150 | ||||||
843 | Cintas Corp. | 314,886 | ||||||
433 | Civeo Corp.* | 11,202 | ||||||
1,494 | Clean Harbors, Inc.* | 130,979 | ||||||
3,043 | Copart, Inc.* | 330,652 | ||||||
859 | Deluxe Corp. | 18,615 | ||||||
1,613 | Ennis, Inc. | 32,631 | ||||||
2,148 | Healthcare Services Group, Inc. | 37,397 | ||||||
1,042 | Heritage-Crystal Clean, Inc.* | 28,092 | ||||||
1,467 | HNI Corp. | 50,890 | ||||||
2,623 | IAA, Inc.* | 85,956 | ||||||
2,041 | Interface, Inc. | 25,594 | ||||||
5,118 | KAR Auction Services, Inc.* | 75,593 | ||||||
2,829 | Kimball International, Inc., Class B | 21,698 | ||||||
919 | Matthews International Corp., Class A | 26,348 | ||||||
730 | McGrath Rentcorp | 55,480 | ||||||
1,866 | MillerKnoll, Inc. | 49,020 | ||||||
763 | MSA Safety, Inc. | 92,376 | ||||||
1,552 | NL Industries, Inc. | 15,318 | ||||||
4,238 | Pitney Bowes, Inc. | 15,342 | ||||||
2,606 | Quad Graphics, Inc.* | 7,167 | ||||||
2,027 | Republic Services, Inc. | 265,274 | ||||||
4,253 | Rollins, Inc. | 148,515 | ||||||
503 | SP Plus Corp.* | 15,452 | ||||||
2,563 | Steelcase, Inc., Class A | 27,501 | ||||||
2,286 | Stericycle, Inc.* | 100,241 | ||||||
1,534 | Team, Inc.* | 1,140 | ||||||
1,039 | Tetra Tech, Inc. | 141,875 | ||||||
542 | UniFirst Corp. | 93,322 | ||||||
1,003 | Viad Corp.* | 27,693 | ||||||
824 | Vse Corp. | 30,966 | ||||||
4,883 | Waste Management, Inc. | 747,001 | ||||||
|
| |||||||
3,406,034 | ||||||||
|
| |||||||
Communications Equipment (0.8%): | ||||||||
1,069 | ADTRAN, Inc. | 18,740 | ||||||
752 | Applied Optoelectronics, Inc.* | 1,166 | ||||||
2,864 | Arista Networks, Inc.* | 268,471 | ||||||
1,829 | CalAmp Corp.* | 7,627 | ||||||
644 | Calix, Inc.* | 21,986 | ||||||
2,888 | Ciena Corp.* | 131,982 | ||||||
32,180 | Cisco Systems, Inc. | 1,372,155 | ||||||
6,102 | CommScope Holding Co., Inc.* | 37,344 |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
756 | Comtech Telecommunications Corp. | $ | 6,857 | |||||
1,262 | Digi International, Inc.* | 30,566 | ||||||
1,189 | EMCORE Corp.* | 3,650 | ||||||
868 | F5, Inc.* | 132,839 | ||||||
2,194 | Harmonic, Inc.* | 19,022 | ||||||
2,944 | Infinera Corp.* | 15,780 | ||||||
441 | InterDigital, Inc. | 26,813 | ||||||
5,828 | Juniper Networks, Inc. | 166,098 | ||||||
909 | KVH Industries, Inc.* | 7,908 | ||||||
1,533 | Lumentum Holdings, Inc.* | 121,751 | ||||||
1,630 | Motorola Solutions, Inc. | 341,648 | ||||||
1,010 | NETGEAR, Inc.* | 18,705 | ||||||
1,838 | NetScout Systems, Inc.* | 62,216 | ||||||
3,679 | Ribbon Communications, Inc.* | 11,184 | ||||||
2,004 | ViaSat, Inc.* | 61,382 | ||||||
4,098 | Viavi Solutions, Inc.* | 54,217 | ||||||
|
| |||||||
2,940,107 | ||||||||
|
| |||||||
Construction & Engineering (0.4%): | ||||||||
3,257 | AECOM | 212,422 | ||||||
673 | Ameresco, Inc., Class A* | 30,662 | ||||||
1,062 | Arcosa, Inc. | 49,309 | ||||||
455 | Argan, Inc. | 16,981 | ||||||
1,049 | Comfort Systems USA, Inc. | 87,224 | ||||||
1,213 | Construction Partners, Inc., Class A* | 25,400 | ||||||
710 | Dycom Industries, Inc.* | 66,058 | ||||||
1,291 | EMCOR Group, Inc. | 132,921 | ||||||
2,848 | Fluor Corp.* | 69,320 | ||||||
1,277 | Granite Construction, Inc. | 37,212 | ||||||
2,266 | Great Lakes Dredge & Dock Corp.* | 29,707 | ||||||
656 | IES Holdings, Inc.* | 19,792 | ||||||
1,682 | MasTec, Inc.* | 120,532 | ||||||
1,750 | Matrix Service Co.* | 8,855 | ||||||
487 | MYR Group, Inc.* | 42,919 | ||||||
346 | NV5 Global, Inc.* | 40,392 | ||||||
2,101 | Orion Group Holdings, Inc.* | 4,790 | ||||||
2,465 | Primoris Services Corp. | 53,638 | ||||||
1,798 | Quanta Services, Inc. | 225,361 | ||||||
1,648 | Tutor Perini Corp.* | 14,470 | ||||||
568 | Valmont Industries, Inc. | 127,590 | ||||||
4,673 | WillScot Mobile Mini Holdings Corp.* | 151,499 | ||||||
|
| |||||||
1,567,054 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
961 | Eagle Materials, Inc. | 105,652 | ||||||
754 | Martin Marietta Materials, Inc. | 225,627 | ||||||
3,273 | Summit Materials, Inc., Class A* | 76,228 | ||||||
131 | U.S. Lime & Minerals, Inc. | 13,834 | ||||||
1,485 | Vulcan Materials Co. | 211,019 | ||||||
|
| |||||||
632,360 | ||||||||
|
| |||||||
Consumer Finance (1.0%): | ||||||||
6,825 | Ally Financial, Inc. | 228,706 | ||||||
5,736 | American Express Co. | 795,124 | ||||||
6,226 | Capital One Financial Corp. | 648,687 | ||||||
1,912 | Consumer Portfolio Services, Inc.* | 19,598 | ||||||
490 | Credit Acceptance Corp.* | 231,971 | ||||||
6,177 | Discover Financial Services | 584,221 | ||||||
950 | Encore Capital Group, Inc.* | 54,881 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Consumer Finance, continued | ||||||||
1,657 | Enova International, Inc.* | $ | 47,755 | |||||
3,948 | EZCORP, Inc., Class A* | 29,649 | ||||||
1,170 | FirstCash Holdings, Inc. | 81,327 | ||||||
1,425 | Green Dot Corp., Class A* | 35,782 | ||||||
5,431 | LendingClub Corp.* | 63,488 | ||||||
5,938 | Navient Corp. | 83,073 | ||||||
543 | Nelnet, Inc., Class A | 46,291 | ||||||
750 | Nicholas Financial, Inc.* | 6,990 | ||||||
4,313 | OneMain Holdings, Inc. | 161,220 | ||||||
1,392 | PRA Group, Inc.* | 50,613 | ||||||
2,187 | PROG Holdings, Inc.* | 36,085 | ||||||
568 | Regional Mgmt Corp. | 21,226 | ||||||
10,574 | SLM Corp. | 168,550 | ||||||
12,153 | Synchrony Financial | 335,666 | ||||||
237 | World Acceptance Corp.* | 26,601 | ||||||
|
| |||||||
3,757,504 | ||||||||
|
| |||||||
Containers & Packaging (0.8%): | ||||||||
21,700 | Amcor plc | 269,731 | ||||||
1,523 | AptarGroup, Inc. | 157,189 | ||||||
1,735 | Avery Dennison Corp. | 280,844 | ||||||
3,835 | Ball Corp. | 263,733 | ||||||
4,390 | Berry Global Group, Inc.* | 239,870 | ||||||
2,418 | Crown Holdings, Inc. | 222,867 | ||||||
10,400 | Graphic Packaging Holding Co. | 213,200 | ||||||
930 | Greif, Inc., Class A | 58,013 | ||||||
710 | Greif, Inc., Class B | 44,226 | ||||||
5,221 | International Paper Co. | 218,394 | ||||||
1,253 | Myers Industries, Inc. | 28,481 | ||||||
5,063 | O-I Glass, Inc.* | 70,882 | ||||||
1,879 | Packaging Corp. of America | 258,363 | ||||||
2,082 | Sealed Air Corp. | 120,173 | ||||||
3,830 | Silgan Holdings, Inc. | 158,370 | ||||||
2,780 | Sonoco Products Co. | 158,571 | ||||||
1,022 | TriMas Corp. | 28,299 | ||||||
538 | UFP Technologies, Inc.* | 42,809 | ||||||
3,552 | Westrock Co. | 141,512 | ||||||
|
| |||||||
2,975,527 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
1,267 | Funko, Inc., Class A* | 28,279 | ||||||
1,853 | Genuine Parts Co. | 246,449 | ||||||
3,391 | LKQ Corp. | 166,464 | ||||||
490 | Pool Corp. | 172,103 | ||||||
811 | Weyco Group, Inc. | 19,829 | ||||||
|
| |||||||
633,124 | ||||||||
|
| |||||||
Diversified Consumer Services (0.3%): | ||||||||
1,249 | Adtalem Global Education, Inc.* | 44,927 | ||||||
541 | American Public Education, Inc.* | 8,743 | ||||||
927 | Bright Horizons Family Solutions, Inc.* | 78,350 | ||||||
418 | Carriage Services, Inc. | 16,574 | ||||||
1,372 | Chegg, Inc.* | 25,766 | ||||||
1,826 | Frontdoor, Inc.* | 43,970 | ||||||
112 | Graham Holdings Co., Class B | 63,486 | ||||||
875 | Grand Canyon Education, Inc.* | 82,416 | ||||||
3,465 | H&R Block, Inc. | 122,384 | ||||||
3,406 | Laureate Education, Inc. | 39,407 | ||||||
2,522 | Perdoceo Education Corp.* | 29,709 | ||||||
3,783 | Service Corp. International | 261,481 |
See accompanying notes to the financial statements.
7
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Consumer Services, continued | ||||||||
825 | Strategic Education, Inc. | $ | 58,228 | |||||
1,002 | Stride, Inc.* | 40,872 | ||||||
3,452 | Terminix Global Holdings, Inc.* | 140,324 | ||||||
1,696 | Universal Technical Institute, Inc.* | 12,092 | ||||||
1,419 | WW International, Inc.* | 9,067 | ||||||
|
| |||||||
1,077,796 | ||||||||
|
| |||||||
Diversified Financial Services (1.2%): | ||||||||
6,558 | Apollo Global Management, Inc. | 317,932 | ||||||
13,439 | Berkshire Hathaway, Inc., Class B* | 3,669,116 | ||||||
2,704 | Cannae Holdings, Inc.* | 52,295 | ||||||
9,685 | Equitable Holdings, Inc. | 252,488 | ||||||
5,286 | Jefferies Financial Group, Inc. | 145,999 | ||||||
2,777 | Voya Financial, Inc.^ | 165,315 | ||||||
|
| |||||||
4,603,145 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.2%): | ||||||||
398 | Anterix, Inc.* | 16,346 | ||||||
75,599 | AT&T, Inc. | 1,584,555 | ||||||
461 | ATN International, Inc. | 21,626 | ||||||
857 | Cogent Communications Holdings, Inc. | 52,071 | ||||||
4,558 | Consolidated Communications Holdings, Inc.* | 31,906 | ||||||
1,548 | EchoStar Corp., Class A* | 29,876 | ||||||
1,080 | IDT Corp.* | 27,162 | ||||||
3,009 | Iridium Communications, Inc.* | 113,018 | ||||||
26,553 | Lumen Technologies, Inc. | 289,693 | ||||||
143 | Telesat Corp.* | 1,597 | ||||||
48,734 | Verizon Communications, Inc. | 2,473,251 | ||||||
|
| |||||||
4,641,101 | ||||||||
|
| |||||||
Electric Utilities (1.6%): | ||||||||
925 | ALLETE, Inc. | 54,371 | ||||||
2,285 | Alliant Energy Corp. | 133,924 | ||||||
3,720 | American Electric Power Co., Inc. | 356,897 | ||||||
1,163 | Avangrid, Inc. | 53,638 | ||||||
2,343 | Constellation Energy Corp. | 134,160 | ||||||
5,521 | Duke Energy Corp. | 591,906 | ||||||
3,306 | Edison International | 209,071 | ||||||
2,041 | Entergy Corp. | 229,898 | ||||||
2,102 | Evergy, Inc. | 137,156 | ||||||
3,330 | Eversource Energy | 281,285 | ||||||
7,030 | Exelon Corp. | 318,600 | ||||||
5,033 | FirstEnergy Corp. | 193,217 | ||||||
1,272 | Genie Energy, Ltd., Class B | 11,652 | ||||||
2,581 | Hawaiian Electric Industries, Inc. | 105,563 | ||||||
1,176 | IDACORP, Inc. | 124,562 | ||||||
734 | MGE Energy, Inc. | 57,127 | ||||||
13,851 | NextEra Energy, Inc. | 1,072,898 | ||||||
6,930 | NRG Energy, Inc. | 264,518 | ||||||
3,897 | OGE Energy Corp. | 150,268 | ||||||
737 | Otter Tail Corp. | 49,475 | ||||||
16,446 | PG&E Corp.* | 164,131 | ||||||
1,787 | Pinnacle West Capital Corp. | 130,665 | ||||||
2,255 | PNM Resources, Inc. | 107,744 | ||||||
2,036 | Portland General Electric Co. | 98,400 | ||||||
7,492 | PPL Corp. | 203,258 | ||||||
7,460 | Southern Co. (The) | 531,973 | ||||||
5,193 | Xcel Energy, Inc. | 367,457 | ||||||
|
| |||||||
6,133,814 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment (0.7%): | ||||||||
888 | Acuity Brands, Inc. | $ | 136,788 | |||||
424 | Allied Motion Technologies, Inc. | 9,684 | ||||||
2,727 | AMETEK, Inc. | 299,670 | ||||||
1,155 | Atkore, Inc.* | 95,877 | ||||||
394 | AZZ, Inc. | 16,083 | ||||||
2,912 | Eaton Corp. plc | 366,883 | ||||||
5,095 | Emerson Electric Co. | 405,256 | ||||||
823 | Encore Wire Corp. | 85,526 | ||||||
1,180 | EnerSys | 69,573 | ||||||
736 | Generac Holdings, Inc.* | 154,987 | ||||||
5,506 | GrafTech International, Ltd. | 38,927 | ||||||
1,280 | Hubbell, Inc. | 228,582 | ||||||
1,831 | LSI Industries, Inc. | 11,297 | ||||||
3,947 | nVent Electric plc | 123,660 | ||||||
79 | Pineapple Holdings, Inc. | 185 | ||||||
5,002 | Plug Power, Inc.*^ | 82,883 | ||||||
606 | Powell Industries, Inc. | 14,162 | ||||||
400 | Preformed Line Products Co. | 24,600 | ||||||
1,374 | Regal Rexnord Corp. | 155,976 | ||||||
1,364 | Rockwell Automation, Inc. | 271,859 | ||||||
3,842 | Sensata Technologies Holding plc | 158,713 | ||||||
4,144 | Sunrun, Inc.* | 96,804 | ||||||
1,298 | Thermon Group Holdings, Inc.* | 18,237 | ||||||
742 | Tpi Composites, Inc.* | 9,275 | ||||||
348 | Vicor Corp.* | 19,046 | ||||||
|
| |||||||
2,894,533 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.3%): | ||||||||
4,881 | Amphenol Corp., Class A | 314,239 | ||||||
2,582 | Arlo Technologies, Inc.* | 16,189 | ||||||
1,826 | Arrow Electronics, Inc.* | 204,676 | ||||||
2,249 | Avnet, Inc. | 96,437 | ||||||
724 | Badger Meter, Inc. | 58,564 | ||||||
550 | Bel Fuse, Inc., Class B | 8,558 | ||||||
1,417 | Belden, Inc. | 75,484 | ||||||
1,054 | Benchmark Electronics, Inc. | 23,778 | ||||||
1,649 | CDW Corp. | 259,816 | ||||||
1,600 | Cognex Corp. | 68,032 | ||||||
687 | Coherent, Inc.* | 182,893 | ||||||
10,530 | Corning, Inc. | 331,800 | ||||||
1,576 | CTS Corp. | 53,663 | ||||||
2,838 | Daktronics, Inc.* | 8,542 | ||||||
1,561 | Dolby Laboratories, Inc., Class A | 111,705 | ||||||
784 | ePlus, Inc.* | 41,646 | ||||||
839 | Fabrinet* | 68,043 | ||||||
392 | FARO Technologies, Inc.* | 12,085 | ||||||
15,072 | Flex, Ltd.* | 218,092 | ||||||
640 | Frequency Electronics, Inc.* | 4,672 | ||||||
1,346 | II-VI, Inc.*^ | 68,579 | ||||||
1,048 | Insight Enterprises, Inc.* | 90,421 | ||||||
959 | IPG Photonics Corp.* | 90,271 | ||||||
1,060 | Itron, Inc.* | 52,396 | ||||||
4,868 | Jabil, Inc. | 249,290 | ||||||
2,430 | Keysight Technologies, Inc.* | 334,976 | ||||||
1,603 | Kimball Electronics, Inc.* | 32,220 | ||||||
2,737 | Knowles Corp.* | 47,432 | ||||||
546 | Littlelfuse, Inc. | 138,706 | ||||||
790 | Methode Electronics, Inc., Class A | 29,262 |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
2,559 | National Instruments Corp. | $ | 79,918 | |||||
702 | Novanta, Inc.* | 85,132 | ||||||
594 | OSI Systems, Inc.* | 50,751 | ||||||
621 | PC Connection, Inc. | 27,355 | ||||||
800 | Plexus Corp.* | 62,800 | ||||||
438 | Rogers Corp.* | 114,795 | ||||||
1,757 | Sanmina Corp.* | 71,563 | ||||||
738 | ScanSource, Inc.* | 22,981 | ||||||
1,795 | TD SYNNEX Corp. | 163,525 | ||||||
2,600 | TE Connectivity, Ltd. | 294,190 | ||||||
458 | Teledyne Technologies, Inc.* | 171,800 | ||||||
2,694 | Trimble, Inc.* | 156,872 | ||||||
3,068 | TTM Technologies, Inc.* | 38,350 | ||||||
3,363 | Vishay Intertechnology, Inc. | 59,929 | ||||||
2,080 | Vontier Corp. | 47,819 | ||||||
630 | Zebra Technologies Corp., Class A* | 185,189 | ||||||
|
| |||||||
4,925,436 | ||||||||
|
| |||||||
Energy Equipment & Services (0.6%): | ||||||||
4,779 | Archrock, Inc. | 39,522 | ||||||
10,629 | Baker Hughes Co. | 306,859 | ||||||
519 | Bristow Group, Inc.* | 12,145 | ||||||
562 | Cactus, Inc., Class A | 22,632 | ||||||
5,397 | ChampionX Corp. | 107,130 | ||||||
711 | Core Laboratories NV | 14,085 | ||||||
562 | DMC Global, Inc.* | 10,133 | ||||||
1,028 | Dril-Quip, Inc.* | 26,522 | ||||||
1,095 | Expro Group Holdings NV* | 12,614 | ||||||
2,010 | Exterran Corp.* | 8,643 | ||||||
306 | Forum Energy Technologies, Inc.* | 6,004 | ||||||
760 | Geospace Technologies Corp.* | 3,602 | ||||||
1,086 | Gulf Island Fabrication, Inc.* | 3,638 | ||||||
11,703 | Halliburton Co. | 367,006 | ||||||
4,336 | Helix Energy Solutions Group, Inc.* | 13,442 | ||||||
2,727 | Helmerich & Payne, Inc. | 117,425 | ||||||
2,181 | Liberty Oilfield Services, Inc., Class A* | 27,829 | ||||||
1,436 | Mammoth Energy Services, Inc.* | 3,159 | ||||||
359 | Nabors Industries, Ltd.* | 48,070 | ||||||
935 | Natural Gas Services Group* | 10,285 | ||||||
4,799 | Newpark Resources, Inc.* | 14,829 | ||||||
8,513 | NexTier Oilfield Solutions, Inc.* | 80,959 | ||||||
900 | Noble Corp.* | 22,815 | ||||||
8,395 | NOV, Inc. | 141,959 | ||||||
3,444 | Oceaneering International, Inc.* | 36,782 | ||||||
3,066 | Oil States International, Inc.* | 16,618 | ||||||
6,531 | Patterson-UTI Energy, Inc. | 102,928 | ||||||
2,684 | Propetro Holding Corp.* | 26,840 | ||||||
4,475 | RPC, Inc.* | 30,922 | ||||||
11,293 | Schlumberger, Ltd. | 403,838 | ||||||
493 | SEACOR Marine Holdings, Inc.* | 2,840 | ||||||
3,974 | Select Energy Services, Inc.* | 27,103 | ||||||
13,590 | TechnipFMC plc* | 91,461 | ||||||
4,086 | TETRA Technologies, Inc.* | 16,589 | ||||||
2,510 | Tidewater, Inc.* | 52,936 | ||||||
14,584 | Transocean, Ltd.* | 48,565 | ||||||
4,546 | U.S. Silica Holdings, Inc.* | 51,915 | ||||||
780 | Weatherford International plc* | 16,513 | ||||||
|
| |||||||
2,347,157 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment (1.0%): | ||||||||
5,649 | Activision Blizzard, Inc. | $ | 439,831 | |||||
2,561 | Cinemark Holdings, Inc.* | 38,466 | ||||||
2,633 | Electronic Arts, Inc. | 320,305 | ||||||
873 | Endeavor Group Holdings, Inc.* | 17,949 | ||||||
1,045 | Imax Corp.* | 17,650 | ||||||
247 | Liberty Media Corp.-Liberty Braves, Class A* | 6,212 | ||||||
527 | Liberty Media Corp.-Liberty Braves, Class C* | 12,648 | ||||||
619 | Liberty Media Corp-Liberty Formula One, Class A* | 35,883 | ||||||
4,474 | Liberty Media Corp-Liberty Formula One, Class C* | 283,965 | ||||||
2,111 | Lions Gate Entertainment Corp., Class A* | 19,653 | ||||||
2,411 | Lions Gate Entertainment Corp., Class B* | 21,289 | ||||||
2,071 | Live Nation Entertainment, Inc.* | 171,023 | ||||||
894 | Madison Square Garden Entertainment Corp.* | 47,042 | ||||||
369 | Madison Square Garden Sports Corp., Class A* | 55,719 | ||||||
1,459 | Marcus Corp.* | 21,550 | ||||||
3,160 | Netflix, Inc.* | 552,589 | ||||||
3,472 | Playtika Holding Corp.* | 45,969 | ||||||
1,419 | Reading International, Inc., Class A* | 5,123 | ||||||
598 | ROBLOX Corp., Class A* | 19,650 | ||||||
454 | Roku, Inc.* | 37,292 | ||||||
823 | Spotify Technology SA* | 77,222 | ||||||
2,281 | Take-Two Interactive Software, Inc.* | 279,491 | ||||||
10,345 | Walt Disney Co. (The)* | 976,568 | ||||||
26,487 | Warner Bros Discovery, Inc.* | 355,456 | ||||||
1,420 | Warner Music Group Corp. | 34,591 | ||||||
1,208 | World Wrestling Entertainment, Inc., Class A | 75,488 | ||||||
|
| |||||||
3,968,624 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
1,374 | Albertsons Cos., Inc., Class A | 36,713 | ||||||
3,262 | BJ’s Wholesale Club Holdings, Inc.* | 203,288 | ||||||
998 | Casey’s General Stores, Inc. | 184,610 | ||||||
3,697 | Costco Wholesale Corp. | 1,771,898 | ||||||
650 | Grocery Outlet Holding Corp.* | 27,710 | ||||||
613 | Ingles Markets, Inc., Class A | 53,178 | ||||||
15,716 | Kroger Co. (The) | 743,838 | ||||||
1,720 | Natural Grocers by Vitamin Cottage, Inc. | 27,434 | ||||||
3,349 | Performance Food Group Co.* | 153,987 | ||||||
678 | PriceSmart, Inc. | 48,565 | ||||||
1,864 | Rite Aid Corp.* | 12,563 | ||||||
1,048 | SpartanNash Co. | 31,618 | ||||||
4,494 | Sprouts Farmers Market, Inc.* | 113,788 | ||||||
4,671 | Sysco Corp. | 395,681 | ||||||
1,610 | The Andersons, Inc. | 53,114 | ||||||
1,143 | The Chefs’ Warehouse, Inc.* | 44,451 | ||||||
1,907 | United Natural Foods, Inc.* | 75,136 | ||||||
5,735 | US Foods Holding Corp.* | 175,950 | ||||||
738 | Village Super Market, Inc., Class A | 16,834 | ||||||
8,238 | Walgreens Boots Alliance, Inc. | 312,220 | ||||||
12,188 | Walmart, Inc. | 1,481,817 | ||||||
857 | Weis Markets, Inc. | 63,881 | ||||||
|
| |||||||
6,028,274 | ||||||||
|
| |||||||
Food Products (1.6%): | ||||||||
6,537 | Archer-Daniels-Midland Co. | 507,271 | ||||||
2,035 | B&G Foods, Inc.^ | 48,392 | ||||||
4,205 | Bunge, Ltd. | 381,351 | ||||||
270 | Calavo Growers, Inc. | 11,264 | ||||||
1,477 | Cal-Maine Foods, Inc. | 72,978 |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
5,711 | Campbell Soup Co. | $ | 274,413 | |||||
5,882 | Conagra Brands, Inc. | 201,400 | ||||||
2,701 | Darling Ingredients, Inc.* | 161,520 | ||||||
1,004 | Farmer Brothers Co.* | 4,709 | ||||||
5,664 | Flowers Foods, Inc. | 149,076 | ||||||
1,375 | Fresh Del Monte Produce, Inc. | 40,604 | ||||||
640 | Freshpet, Inc.* | 33,210 | ||||||
5,770 | General Mills, Inc. | 435,346 | ||||||
2,709 | Hain Celestial Group, Inc. (The)* | 64,312 | ||||||
1,802 | Hershey Co. (The) | 387,718 | ||||||
4,488 | Hormel Foods Corp. | 212,552 | ||||||
3,521 | Hostess Brands, Inc.* | 74,680 | ||||||
1,610 | Ingredion, Inc. | 141,938 | ||||||
376 | J & J Snack Foods Corp. | 52,512 | ||||||
1,263 | JM Smucker Co. (The) | 161,677 | ||||||
300 | John B Sanfilippo & Son, Inc. | 21,747 | ||||||
5,587 | Kellogg Co. | 398,577 | ||||||
5,691 | Kraft Heinz Co. (The) | 217,055 | ||||||
2,371 | Lamb Weston Holdings, Inc. | 169,432 | ||||||
736 | Lancaster Colony Corp. | 94,782 | ||||||
1,028 | Landec Corp.* | 10,249 | ||||||
2,497 | McCormick & Co. | 207,875 | ||||||
778 | McCormick & Co., Inc. | 64,597 | ||||||
7,023 | Mondelez International, Inc., Class A | 436,058 | ||||||
4,222 | Pilgrim’s Pride Corp.* | 131,853 | ||||||
1,836 | Post Holdings, Inc.* | 151,195 | ||||||
587 | Sanderson Farms, Inc. | 126,516 | ||||||
29 | Seaboard Corp. | 112,595 | ||||||
266 | Seneca Foods Corp., Class A* | 14,774 | ||||||
2,245 | Simply Good Foods Co. (The)* | 84,794 | ||||||
900 | Tootsie Roll Industries, Inc. | 31,815 | ||||||
1,535 | TreeHouse Foods, Inc.* | 64,194 | ||||||
4,474 | Tyson Foods, Inc., Class A | 385,032 | ||||||
|
| |||||||
6,140,063 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
1,986 | Atmos Energy Corp. | 222,631 | ||||||
273 | Chesapeake Utilities Corp. | 35,367 | ||||||
2,859 | Macquarie Infrastructure Holdings LLC | 11,179 | ||||||
2,171 | National Fuel Gas Co. | 143,395 | ||||||
2,685 | New Jersey Resources Corp. | 119,563 | ||||||
620 | Northwest Natural Holding Co. | 32,922 | ||||||
1,069 | ONE Gas, Inc. | 86,792 | ||||||
232 | RGC Resources, Inc. | 4,424 | ||||||
1,202 | South Jersey Industries, Inc. | 41,036 | ||||||
912 | Spire, Inc. | 67,825 | ||||||
4,064 | UGI Corp. | 156,911 | ||||||
|
| |||||||
922,045 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.3%): | ||||||||
11,523 | Abbott Laboratories | 1,251,974 | ||||||
278 | ABIOMED, Inc.* | 68,808 | ||||||
2,269 | Accuray, Inc.*^ | 4,447 | ||||||
345 | Align Technology, Inc.* | 81,651 | ||||||
912 | AngioDynamics, Inc.* | 17,647 | ||||||
955 | Anika Therapeutics, Inc.* | 21,316 | ||||||
1,619 | Artivion, Inc.* | 30,567 | ||||||
707 | AtriCure, Inc.* | 28,888 | ||||||
36 | Atrion Corp. | 22,639 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
991 | Avanos Medical, Inc.* | $ | 27,094 | |||||
744 | Axonics, Inc.* | 42,162 | ||||||
5,209 | Baxter International, Inc. | 334,574 | ||||||
1,470 | Becton Dickinson & Co. | 362,399 | ||||||
7,829 | Boston Scientific Corp.* | 291,787 | ||||||
629 | CONMED Corp. | 60,233 | ||||||
507 | Cooper Cos., Inc. (The) | 158,752 | ||||||
4,243 | Danaher Corp. | 1,075,685 | ||||||
3,528 | DENTSPLY SIRONA, Inc. | 126,055 | ||||||
1,128 | Dexcom, Inc.* | 84,070 | ||||||
3,086 | Edwards Lifesciences Corp.* | 293,448 | ||||||
294 | Embecta Corp.* | 7,444 | ||||||
1,056 | Enovis Corp.* | 58,080 | ||||||
2,838 | Envista Holdings Corp.* | 109,376 | ||||||
1,691 | Globus Medical, Inc.* | 94,933 | ||||||
1,463 | Haemonetics Corp.* | 95,358 | ||||||
149 | Heska Corp.* | 14,082 | ||||||
5,513 | Hologic, Inc.* | 382,051 | ||||||
473 | ICU Medical, Inc.* | 77,756 | ||||||
824 | IDEXX Laboratories, Inc.* | 289,002 | ||||||
516 | Inari Medical, Inc.* | 35,083 | ||||||
433 | Inogen, Inc.* | 10,470 | ||||||
334 | Insulet Corp.* | 72,792 | ||||||
940 | Integer Holdings Corp.* | 66,420 | ||||||
1,679 | Integra LifeSciences Holdings Corp.* | 90,716 | ||||||
1,614 | Intuitive Surgical, Inc.* | 323,946 | ||||||
2,327 | Invacare Corp.*^ | 2,979 | ||||||
1,705 | Lantheus Holdings, Inc.* | 112,581 | ||||||
809 | LeMaitre Vascular, Inc. | 36,850 | ||||||
725 | LENSAR, Inc.* | 4,720 | ||||||
1,168 | LivaNova plc* | 72,965 | ||||||
509 | Masimo Corp.* | 66,511 | ||||||
6,947 | Medtronic plc | 623,493 | ||||||
1,464 | Meridian Bioscience, Inc.* | 44,535 | ||||||
1,136 | Merit Medical Systems, Inc.* | 61,651 | ||||||
982 | Natus Medical, Inc.* | 32,180 | ||||||
1,608 | Neogen Corp.* | 38,737 | ||||||
598 | Novocure, Ltd.* | 41,561 | ||||||
1,066 | NuVasive, Inc.* | 52,405 | ||||||
2,205 | OraSure Technologies, Inc.* | 5,976 | ||||||
566 | Orthofix Medical, Inc.* | 13,324 | ||||||
466 | Penumbra, Inc.* | 58,026 | ||||||
1,007 | QuidelOrtho Corp.* | 97,860 | ||||||
1,401 | ResMed, Inc. | 293,692 | ||||||
624 | SeaSpine Holdings Corp.* | 3,526 | ||||||
176 | Shockwave Medical, Inc.* | 33,646 | ||||||
685 | STAAR Surgical Co.* | 48,587 | ||||||
1,032 | STERIS plc | 212,747 | ||||||
1,764 | Stryker Corp. | 350,912 | ||||||
110 | Surgalign Holdings, Inc.* | 375 | ||||||
406 | Tandem Diabetes Care, Inc.* | 24,031 | ||||||
531 | Teleflex, Inc. | 130,546 | ||||||
227 | Utah Medical Products, Inc. | 19,499 | ||||||
1,100 | Varex Imaging Corp.* | 23,529 | ||||||
684 | West Pharmaceutical Services, Inc. | 206,821 | ||||||
2,179 | Zimmer Biomet Holdings, Inc. | 228,926 | ||||||
217 | Zimvie, Inc.* | 3,474 | ||||||
|
| |||||||
9,058,370 | ||||||||
|
|
See accompanying notes to the financial statements.
10
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (3.2%): | ||||||||
2,284 | Acadia Healthcare Co., Inc.* | $ | 154,467 | |||||
343 | Addus HomeCare Corp.* | 28,565 | ||||||
4,366 | agilon health, Inc.* | 95,310 | ||||||
78 | AlerisLife, Inc.* | 94 | ||||||
757 | Amedisys, Inc.* | 79,576 | ||||||
2,183 | AmerisourceBergen Corp. | 308,851 | ||||||
1,394 | AMN Healthcare Services, Inc.* | 152,936 | ||||||
1,245 | Apollo Medical Holdings, Inc.* | 48,045 | ||||||
9,264 | Brookdale Senior Living, Inc.* | 42,059 | ||||||
4,191 | Cardinal Health, Inc. | 219,064 | ||||||
4,279 | Centene Corp.* | 362,046 | ||||||
394 | Chemed Corp. | 184,940 | ||||||
3,378 | Cigna Corp. | 890,171 | ||||||
5,028 | Community Health Systems, Inc.* | 18,855 | ||||||
318 | CorVel Corp.* | 46,832 | ||||||
3,891 | Covetrus, Inc.* | 80,738 | ||||||
1,177 | Cross Country Healthcare, Inc.* | 24,517 | ||||||
13,839 | CVS Health Corp. | 1,282,322 | ||||||
1,553 | DaVita, Inc.* | 124,178 | ||||||
1,844 | Elevance Health, Inc. | 889,878 | ||||||
2,542 | Encompass Health Corp. | 142,479 | ||||||
1,585 | Ensign Group, Inc. (The) | 116,450 | ||||||
958 | Guardant Health, Inc.* | 38,646 | ||||||
609 | Hanger, Inc.* | 8,721 | ||||||
1,772 | HCA Healthcare, Inc. | 297,802 | ||||||
786 | HealthEquity, Inc.* | 48,253 | ||||||
2,772 | Henry Schein, Inc.* | 212,723 | ||||||
975 | Humana, Inc. | 456,368 | ||||||
1,529 | InfuSystem Holdings, Inc.* | 14,724 | ||||||
1,433 | Laboratory Corp. of America Holdings | 335,838 | ||||||
742 | LHC Group, Inc.* | 115,559 | ||||||
1,512 | McKesson Corp. | 493,229 | ||||||
1,710 | MEDNAX, Inc.* | 35,927 | ||||||
564 | ModivCare, Inc.* | 47,658 | ||||||
835 | Molina Healthcare, Inc.* | 233,474 | ||||||
575 | National Healthcare Corp. | 40,192 | ||||||
819 | National Research Corp. | 31,351 | ||||||
2,228 | Option Care Health, Inc.* | 61,916 | ||||||
2,072 | Owens & Minor, Inc. | 65,164 | ||||||
3,095 | Patterson Cos., Inc. | 93,778 | ||||||
629 | Petiq, Inc.* | 10,561 | ||||||
2,269 | Premier, Inc., Class A | 80,958 | ||||||
861 | Progyny, Inc.* | 25,012 | ||||||
2,061 | Quest Diagnostics, Inc. | 274,072 | ||||||
4,626 | R1 RCM, Inc.* | 96,961 | ||||||
1,355 | RadNet, Inc.* | 23,414 | ||||||
2,778 | Select Medical Holdings Corp. | 65,616 | ||||||
585 | Surgery Partners, Inc.* | 16,918 | ||||||
2,695 | Tenet Healthcare Corp.* | 141,649 | ||||||
792 | The Pennant Group, Inc.* | 10,145 | ||||||
207 | U.S. Physical Therapy, Inc. | 22,604 | ||||||
7,097 | UnitedHealth Group, Inc. | 3,645,232 | ||||||
1,705 | Universal Health Services, Inc., Class B | 171,711 | ||||||
|
| |||||||
12,508,549 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
4,097 | Allscripts Healthcare Solutions, Inc.* | 60,759 | ||||||
1,109 | Certara, Inc.* | 23,799 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Technology, continued | ||||||||
4,924 | Change Healthcare, Inc.* | $ | 113,547 | |||||
339 | Computer Programs & Systems, Inc.* | 10,838 | ||||||
1,873 | Evolent Health, Inc., Class A* | 57,520 | ||||||
1,357 | HealthStream, Inc.* | 29,460 | ||||||
1,430 | NextGen Healthcare, Inc.* | 24,939 | ||||||
574 | Omnicell, Inc.* | 65,293 | ||||||
394 | Simulations Plus, Inc. | 19,436 | ||||||
1,470 | Teladoc Health, Inc.* | 48,819 | ||||||
705 | Veeva Systems, Inc., Class A* | 139,618 | ||||||
|
| |||||||
594,028 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.7%): | ||||||||
4,796 | Aramark | 146,901 | ||||||
6 | Biglari Holdings, Inc., Class A* | 3,527 | ||||||
67 | Biglari Holdings, Inc., Class B* | 8,221 | ||||||
492 | BJ’s Restaurants, Inc.* | 10,667 | ||||||
1,554 | Bloomin’ Brands, Inc. | 25,827 | ||||||
491 | Bluegreen Vacations Holding Corp. | 12,255 | ||||||
266 | Booking Holdings, Inc.* | 465,231 | ||||||
1,059 | Boyd Gaming Corp. | 52,685 | ||||||
970 | Brinker International, Inc.* | 21,369 | ||||||
1,468 | Caesars Entertainment, Inc.* | 56,224 | ||||||
9,118 | Carnival Corp., Class A*^ | 78,871 | ||||||
2,943 | Carrols Restaurant Group, Inc. | 5,945 | ||||||
665 | Cheesecake Factory, Inc. (The) | 17,569 | ||||||
202 | Chipotle Mexican Grill, Inc.* | 264,067 | ||||||
767 | Choice Hotels International, Inc. | 85,620 | ||||||
611 | Churchill Downs, Inc. | 117,025 | ||||||
429 | Chuy’s Holdings, Inc.* | 8,546 | ||||||
613 | Cracker Barrel Old Country Store, Inc. | 51,179 | ||||||
1,913 | Darden Restaurants, Inc. | 216,399 | ||||||
1,410 | Dave & Buster’s Entertainment, Inc.* | 46,220 | ||||||
1,239 | Denny’s Corp.* | 10,755 | ||||||
376 | Domino’s Pizza, Inc. | 146,531 | ||||||
1,288 | El Pollo Loco Holdings, Inc.* | 12,674 | ||||||
757 | Expedia Group, Inc.* | 71,786 | ||||||
1,277 | Fiesta Restaurant Group, Inc.* | 9,118 | ||||||
1,551 | Hilton Grand Vacations, Inc.* | 55,417 | ||||||
2,080 | Hilton Worldwide Holdings, Inc. | 231,795 | ||||||
1,051 | Hyatt Hotels Corp., Class A* | 77,679 | ||||||
323 | Jack in the Box, Inc. | 18,107 | ||||||
2,311 | Las Vegas Sands Corp.* | 77,627 | ||||||
1,893 | Light & Wonder, Inc., Class A* | 88,952 | ||||||
2,491 | Marriott International, Inc., Class A | 338,801 | ||||||
844 | Marriott Vacations Worldwide Corp. | 98,073 | ||||||
5,177 | McDonald’s Corp. | 1,278,098 | ||||||
5,516 | MGM Resorts International | 159,688 | ||||||
341 | Nathans Famous, Inc. | 19,972 | ||||||
5,162 | Norwegian Cruise Line Holdings, Ltd.* | 57,401 | ||||||
671 | Papa John’s International, Inc. | 56,042 | ||||||
2,176 | Penn National Gaming, Inc.* | 66,194 | ||||||
1,693 | Planet Fitness, Inc., Class A* | 115,141 | ||||||
3,664 | Playa Hotels & Resorts NV* | 25,172 | ||||||
763 | Potbelly Corp.* | 4,311 | ||||||
878 | Red Robin Gourmet Burgers, Inc.* | 7,050 | ||||||
1,400 | Red Rock Resorts, Inc. | 46,704 | ||||||
2,911 | Royal Caribbean Cruises, Ltd.* | 101,623 | ||||||
748 | Ruth’s Hospitality Group, Inc. | 12,162 |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
1,359 | SeaWorld Entertainment, Inc.* | $ | 60,041 | |||||
1,371 | Six Flags Entertainment Corp.* | 29,751 | ||||||
8,104 | Starbucks Corp. | 619,065 | ||||||
1,701 | Texas Roadhouse, Inc., Class A | 124,513 | ||||||
1,976 | Travel + Leisure Co. | 76,708 | ||||||
359 | Vail Resorts, Inc. | 78,280 | ||||||
6,284 | Wendy’s Co. (The) | 118,642 | ||||||
548 | Wingstop, Inc. | 40,974 | ||||||
1,326 | Wyndham Hotels & Resorts, Inc. | 87,145 | ||||||
1,374 | Wynn Resorts, Ltd.* | 78,291 | ||||||
2,639 | Yum! Brands, Inc. | 299,553 | ||||||
|
| |||||||
6,494,184 | ||||||||
|
| |||||||
Household Durables (0.9%): | ||||||||
906 | Beazer Homes USA, Inc.* | 10,935 | ||||||
183 | Cavco Industries, Inc.* | 35,866 | ||||||
858 | Century Communities, Inc. | 38,584 | ||||||
6,194 | DR Horton, Inc. | 409,981 | ||||||
730 | Ethan Allen Interiors, Inc. | 14,753 | ||||||
431 | Flexsteel Industries, Inc. | 7,758 | ||||||
2,269 | Garmin, Ltd. | 222,929 | ||||||
2,761 | GoPro, Inc., Class A* | 15,268 | ||||||
1,329 | Green Brick Partners, Inc.* | 26,009 | ||||||
484 | Helen of Troy, Ltd.* | 78,606 | ||||||
500 | Hooker Furnishings Corp. | 7,775 | ||||||
830 | Installed Building Products, Inc. | 69,023 | ||||||
596 | iRobot Corp.* | 21,903 | ||||||
2,155 | KB Home | 61,331 | ||||||
1,350 | La-Z-Boy, Inc. | 32,009 | ||||||
4,086 | Leggett & Platt, Inc. | 141,294 | ||||||
3,605 | Lennar Corp., Class A | 254,405 | ||||||
119 | Lennar Corp., Class B | 6,986 | ||||||
585 | LGI Homes, Inc.* | 50,837 | ||||||
1,017 | Lifetime Brands, Inc. | 11,228 | ||||||
1,880 | M/I Homes, Inc.* | 74,561 | ||||||
1,985 | MDC Holdings, Inc. | 64,135 | ||||||
1,004 | Meritage Homes Corp.* | 72,790 | ||||||
1,361 | Mohawk Industries, Inc.* | 168,886 | ||||||
10,746 | Newell Brands, Inc. | 204,604 | ||||||
61 | NVR, Inc.* | 244,253 | ||||||
5,734 | PulteGroup, Inc. | 227,238 | ||||||
1,139 | Skyline Champion Corp.* | 54,011 | ||||||
1,307 | Sonos, Inc.* | 23,578 | ||||||
3,736 | Taylor Morrison Home Corp., Class A* | 87,273 | ||||||
3,449 | Tempur Sealy International, Inc. | 73,705 | ||||||
2,183 | Toll Brothers, Inc. | 97,362 | ||||||
935 | TopBuild Corp.* | 156,295 | ||||||
3,273 | Tri Pointe Homes, Inc.* | 55,216 | ||||||
905 | Tupperware Brands Corp.* | 5,738 | ||||||
320 | Universal Electronics, Inc.* | 8,182 | ||||||
1,621 | VOXX International Corp.* | 15,092 | ||||||
1,418 | Whirlpool Corp. | 219,606 | ||||||
|
| |||||||
3,370,005 | ||||||||
|
| |||||||
Household Products (1.2%): | ||||||||
1,509 | Central Garden & Pet Co., Class A* | 60,375 | ||||||
3,272 | Church & Dwight Co., Inc. | 303,184 | ||||||
1,448 | Clorox Co. (The) | 204,139 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
7,616 | Colgate-Palmolive Co. | $ | 610,346 | |||||
1,114 | Energizer Holdings, Inc. | 31,582 | ||||||
3,022 | Kimberly-Clark Corp. | 408,423 | ||||||
333 | Oil-Dri Corp. of America | 10,206 | ||||||
20,457 | Procter & Gamble Co. (The) | 2,941,512 | ||||||
1,828 | Reynolds Consumer Products, Inc. | 49,850 | ||||||
945 | Spectrum Brands Holdings, Inc. | 77,509 | ||||||
218 | WD-40 Co. | 43,896 | ||||||
|
| |||||||
4,741,022 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
7,504 | AES Corp. (The) | 157,659 | ||||||
2,247 | Atlantica Sustainable Infrastructure plc | 72,488 | ||||||
2,755 | Brookfield Renewable Corp., Class A | 98,106 | ||||||
1,323 | Clearway Energy, Inc., Class A | 42,296 | ||||||
2,153 | Clearway Energy, Inc., Class C | 75,011 | ||||||
1,462 | Ormat Technologies, Inc. | 114,548 | ||||||
1,658 | Sunnova Energy International, Inc.* | 30,557 | ||||||
10,410 | Vistra Corp. | 237,868 | ||||||
|
| |||||||
828,533 | ||||||||
|
| |||||||
Industrial Conglomerates (0.6%): | ||||||||
5,058 | 3M Co. | 654,556 | ||||||
1,213 | Carlisle Cos., Inc. | 289,434 | ||||||
5,892 | General Electric Co. | 375,144 | ||||||
5,253 | Honeywell International, Inc. | 913,024 | ||||||
584 | Roper Technologies, Inc. | 230,475 | ||||||
|
| |||||||
2,462,633 | ||||||||
|
| |||||||
Insurance (3.1%): | ||||||||
5,714 | Aflac, Inc. | 316,156 | ||||||
275 | Alleghany Corp.* | 229,102 | ||||||
5,214 | Allstate Corp. (The) | 660,770 | ||||||
1,297 | AMBAC Financial Group, Inc.* | 14,721 | ||||||
2,911 | American Equity Investment Life Holding Co. | 106,455 | ||||||
1,778 | American Financial Group, Inc. | 246,804 | ||||||
6,164 | American International Group, Inc. | 315,165 | ||||||
745 | Amerisafe, Inc. | 38,747 | ||||||
1,964 | Aon plc, Class A | 529,652 | ||||||
4,926 | Arch Capital Group, Ltd.* | 224,084 | ||||||
560 | Argo Group International Holdings, Ltd. | 20,642 | ||||||
2,069 | Arthur J. Gallagher & Co. | 337,330 | ||||||
1,280 | Assurant, Inc. | 221,248 | ||||||
2,047 | Assured Guaranty, Ltd. | 114,202 | ||||||
2,351 | Axis Capital Holdings, Ltd. | 134,219 | ||||||
2,603 | Brighthouse Financial, Inc.* | 106,775 | ||||||
3,292 | Brown & Brown, Inc. | 192,055 | ||||||
1,701 | BRP Group, Inc.* | 41,079 | ||||||
3,095 | Chubb, Ltd. | 608,415 | ||||||
1,844 | Cincinnati Financial Corp. | 219,399 | ||||||
2,176 | Citizens, Inc.*^ | 9,117 | ||||||
1,199 | CNA Financial Corp. | 53,835 | ||||||
2,354 | Crawford & Co. | 16,596 | ||||||
895 | Crawford & Co., Class A | 6,981 | ||||||
1,631 | Donegal Group, Inc., Class A | 27,809 | ||||||
800 | eHealth, Inc.* | 7,464 | ||||||
781 | Employers Holdings, Inc. | 32,716 | ||||||
447 | Enstar Group, Ltd.* | 95,649 |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
887 | Erie Indemnity Co., Class A | $ | 170,473 | |||||
521 | Everest Re Group, Ltd. | 146,026 | ||||||
6,172 | Fidelity National Financial, Inc. | 228,117 | ||||||
3,103 | First American Financial Corp. | 164,211 | ||||||
14,957 | Genworth Financial, Inc., Class A* | 52,798 | ||||||
695 | Global Indemnity Group LLC, Class A | 17,980 | ||||||
2,157 | Globe Life, Inc. | 210,243 | ||||||
318 | Goosehead Insurance, Inc. | 14,523 | ||||||
2,383 | Greenlight Capital Re, Ltd.* | 18,421 | ||||||
1,469 | Hallmark Financial Services, Inc.* | 3,555 | ||||||
1,039 | Hanover Insurance Group, Inc. (The) | 151,954 | ||||||
4,507 | Hartford Financial Services Group, Inc. (The) | 294,893 | ||||||
397 | HCI Group, Inc.^ | 26,901 | ||||||
387 | Heritage Insurance Holdings, Inc. | 1,022 | ||||||
1,293 | Horace Mann Educators Corp. | 49,625 | ||||||
153 | Investors Title Co. | 24,004 | ||||||
868 | James River Group Holdings | 21,509 | ||||||
2,246 | Kemper Corp. | 107,583 | ||||||
381 | Kinsale Capital Group, Inc. | 87,493 | ||||||
2,749 | Lincoln National Corp. | 128,571 | ||||||
2,831 | Loews Corp. | 167,765 | ||||||
5,556 | Maiden Holdings, Ltd.* | 10,779 | ||||||
162 | Markel Corp.* | 209,506 | ||||||
3,891 | Marsh & McLennan Cos., Inc. | 604,078 | ||||||
1,688 | Mercury General Corp. | 74,778 | ||||||
5,123 | MetLife, Inc. | 321,673 | ||||||
162 | National Western Life Group, Inc., Class A | 32,837 | ||||||
8,176 | Old Republic International Corp. | 182,815 | ||||||
1,239 | Primerica, Inc. | 148,296 | ||||||
3,024 | Principal Financial Group, Inc. | 201,973 | ||||||
1,399 | ProAssurance Corp. | 33,058 | ||||||
4,196 | Progressive Corp. (The) | 487,869 | ||||||
2,865 | Prudential Financial, Inc. | 274,123 | ||||||
1,379 | Reinsurance Group of America, Inc. | 161,743 | ||||||
830 | RenaissanceRe Holdings, Ltd. | 129,787 | ||||||
1,252 | RLI Corp. | 145,971 | ||||||
321 | Safety Insurance Group, Inc. | 31,169 | ||||||
1,898 | Selective Insurance Group, Inc. | 165,012 | ||||||
5,145 | SiriusPoint, Ltd.* | 27,886 | ||||||
612 | Stewart Information Services Corp. | 30,447 | ||||||
1,767 | Tiptree, Inc., Class A | 18,766 | ||||||
3,861 | Travelers Cos., Inc. (The) | 653,011 | ||||||
367 | Trupanion, Inc.* | 22,115 | ||||||
728 | United Fire Group, Inc. | 24,919 | ||||||
2,794 | United Insurance Holdings Co. | 4,359 | ||||||
1,869 | Universal Insurance Holdings, Inc. | 24,353 | ||||||
5,139 | Unum Group | 174,829 | ||||||
85 | White Mountains Insurance Group, Ltd. | 105,921 | ||||||
1,569 | Willis Towers Watson plc | 309,705 | ||||||
3,796 | WR Berkley Corp. | 259,115 | ||||||
|
| |||||||
11,885,747 | ||||||||
|
| |||||||
Interactive Media & Services (3.7%): | ||||||||
2,358 | Alphabet, Inc., Class A* | 5,138,695 | ||||||
2,199 | Alphabet, Inc., Class C* | 4,810,203 | ||||||
2,130 | Bumble, Inc.* | 59,959 | ||||||
2,370 | Cargurus, Inc.* | 50,931 | ||||||
1,955 | Cars.com, Inc.* | 18,436 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services, continued | ||||||||
2,881 | DHI Group, Inc.* | $ | 14,319 | |||||
2,717 | Match Group, Inc.* | 189,348 | ||||||
22,746 | Meta Platforms, Inc., Class A* | 3,667,792 | ||||||
2,021 | Pinterest, Inc., Class A* | 36,701 | ||||||
1,563 | QuinStreet, Inc.* | 15,724 | ||||||
2,381 | Snap, Inc., Class A* | 31,262 | ||||||
1,344 | Travelzoo* | 8,145 | ||||||
2,514 | TripAdvisor, Inc.* | 44,749 | ||||||
2,857 | TrueCar, Inc.* | 7,400 | ||||||
6,686 | Twitter, Inc.* | 249,990 | ||||||
1,590 | Yelp, Inc.* | 44,154 | ||||||
664 | Zedge, Inc., Class B* | 1,912 | ||||||
1,474 | Ziff Davis, Inc.* | 109,857 | ||||||
|
| |||||||
14,499,577 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.1%): | ||||||||
893 | 1-800-Flowers.com, Inc., Class A* | 8,492 | ||||||
69,400 | Amazon.com, Inc.* | 7,370,974 | ||||||
690 | Chewy, Inc., Class A*^ | 23,957 | ||||||
8,272 | eBay, Inc. | 344,694 | ||||||
1,489 | Etsy, Inc.* | 109,010 | ||||||
1,642 | Lands’ End, Inc.* | 17,438 | ||||||
1,736 | Liquidity Services, Inc.* | 23,332 | ||||||
588 | PetMed Express, Inc. | 11,701 | ||||||
1,526 | Quotient Technology, Inc.* | 4,532 | ||||||
8,810 | Qurate Retail, Inc., Class A | 25,285 | ||||||
649 | Revolve Group, Inc.* | 16,815 | ||||||
764 | Shutterstock, Inc. | 43,785 | ||||||
430 | Wayfair, Inc., Class A*^ | 18,731 | ||||||
|
| |||||||
8,018,746 | ||||||||
|
| |||||||
IT Services (4.0%): | ||||||||
5,591 | Accenture plc, Class A | 1,552,341 | ||||||
2,020 | Akamai Technologies, Inc.* | 184,487 | ||||||
1,974 | Alliance Data Systems Corp. | 73,156 | ||||||
2,873 | Amdocs, Ltd. | 239,350 | ||||||
3,866 | Automatic Data Processing, Inc. | 812,015 | ||||||
2,534 | Black Knight, Inc.* | 165,698 | ||||||
918 | Block, Inc.* | 56,420 | ||||||
252 | BM Technologies, Inc.* | 1,484 | ||||||
1,706 | Broadridge Financial Solutions, Inc. | 243,190 | ||||||
687 | Cass Information Systems, Inc. | 23,221 | ||||||
3,743 | Cognizant Technology Solutions Corp., Class A | 252,615 | ||||||
1,091 | Concentrix Corp. | 147,983 | ||||||
6,347 | Conduent, Inc.* | 27,419 | ||||||
1,011 | CSG Systems International, Inc. | 60,337 | ||||||
6,526 | DXC Technology Co.* | 197,803 | ||||||
435 | EPAM Systems, Inc.* | 128,229 | ||||||
1,164 | Euronet Worldwide, Inc.* | 117,087 | ||||||
2,060 | Evertec, Inc. | 75,973 | ||||||
762 | Exlservice Holdings, Inc.* | 112,265 | ||||||
4,406 | Fidelity National Information Services, Inc. | 403,898 | ||||||
4,458 | Fiserv, Inc.* | 396,628 | ||||||
1,367 | FleetCor Technologies, Inc.* | 287,220 | ||||||
1,028 | Gartner, Inc.* | 248,601 | ||||||
5,428 | Genpact, Ltd. | 229,930 | ||||||
2,351 | Global Payments, Inc. | 260,115 | ||||||
2,303 | GoDaddy, Inc., Class A* | 160,197 | ||||||
1,357 | Hackett Group, Inc. (The) | 25,742 |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
12,036 | International Business Machines Corp. | $ | 1,699,363 | |||||
840 | Jack Henry & Associates, Inc. | 151,217 | ||||||
2,484 | Kyndryl Holdings, Inc.* | 24,294 | ||||||
2,160 | Limelight Networks, Inc.* | 4,990 | ||||||
1,456 | LiveRamp Holdings, Inc.* | 37,579 | ||||||
7,941 | Mastercard, Inc., Class A | 2,505,227 | ||||||
1,540 | MAXIMUS, Inc. | 96,265 | ||||||
262 | MongoDB, Inc.* | 67,989 | ||||||
1,032 | Okta, Inc.* | 93,293 | ||||||
2,982 | Paychex, Inc. | 339,560 | ||||||
5,186 | PayPal Holdings, Inc.* | 362,190 | ||||||
728 | Perficient, Inc.* | 66,750 | ||||||
840 | PFSweb, Inc.* | 9,878 | ||||||
3,035 | Servicesource International, Inc.* | 4,461 | ||||||
1,655 | SolarWinds Corp. | 16,964 | ||||||
1,603 | Switch, Inc., Class A | 53,701 | ||||||
2,880 | Teradata Corp.* | 106,589 | ||||||
1,284 | TTEC Holdings, Inc. | 87,171 | ||||||
891 | Twilio, Inc., Class A* | 74,675 | ||||||
2,221 | Unisys Corp.* | 26,719 | ||||||
1,083 | VeriSign, Inc.* | 181,218 | ||||||
3,457 | Verra Mobility Corp.* | 54,310 | ||||||
13,724 | Visa, Inc., Class A | 2,702,118 | ||||||
6,143 | Western Union Co. (The.) | 101,175 | ||||||
975 | WEX, Inc.* | 151,671 | ||||||
|
| |||||||
15,502,771 | ||||||||
|
| |||||||
Leisure Products (0.3%): | ||||||||
2,057 | Academy Sports & Outdoors, Inc. | 73,106 | ||||||
1,798 | Acushnet Holdings Corp. | 74,941 | ||||||
895 | American Outdoor Brands, Inc.* | 8,511 | ||||||
2,521 | Brunswick Corp. | 164,823 | ||||||
1,535 | Callaway Golf Co.* | 31,314 | ||||||
658 | Escalade, Inc. | 8,547 | ||||||
1,625 | Hasbro, Inc. | 133,055 | ||||||
1,250 | Hayward Holdings, Inc.* | 17,988 | ||||||
303 | Johnson Outdoors, Inc., Class A | 18,531 | ||||||
531 | Malibu Boats, Inc.* | 27,989 | ||||||
662 | Marine Products Corp. | 6,296 | ||||||
8,660 | Mattel, Inc.* | 193,378 | ||||||
995 | Nautilus Group, Inc.* | 1,741 | ||||||
909 | Peloton Interactive, Inc., Class A* | 8,345 | ||||||
1,582 | Polaris, Inc. | 157,061 | ||||||
1,410 | Smith & Wesson Brands, Inc. | 18,513 | ||||||
1,612 | Vista Outdoor, Inc.* | 44,975 | ||||||
1,824 | YETI Holdings, Inc.* | 78,924 | ||||||
|
| |||||||
1,068,038 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.9%): | ||||||||
237 | 10X Genomics, Inc., Class A* | 10,724 | ||||||
1,570 | Agilent Technologies, Inc. | 186,469 | ||||||
7,162 | Avantor, Inc.* | 222,738 | ||||||
314 | Bio-Rad Laboratories, Inc., Class A* | 155,430 | ||||||
257 | Bio-Techne Corp. | 89,086 | ||||||
3,557 | Bruker Corp. | 223,237 | ||||||
534 | Charles River Laboratories International, Inc.* | 114,260 | ||||||
1,979 | Harvard Bioscience, Inc.* | 7,124 | ||||||
663 | Illumina, Inc.* | 122,231 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services, continued | ||||||||
1,517 | IQVIA Holdings, Inc.* | $ | 329,174 | |||||
1,682 | Maravai LifeSciences Holdings, Inc., Class A* | 47,786 | ||||||
765 | Medpace Holdings, Inc.* | 114,498 | ||||||
265 | Mettler-Toledo International, Inc.* | 304,424 | ||||||
1,400 | Neogenomics, Inc.* | 11,410 | ||||||
1,490 | PerkinElmer, Inc. | 211,908 | ||||||
3,399 | Sotera Health Co.* | 66,586 | ||||||
2,322 | Syneos Health, Inc.* | 166,441 | ||||||
2,036 | Thermo Fisher Scientific, Inc. | 1,106,118 | ||||||
670 | Waters Corp.* | 221,757 | ||||||
|
| |||||||
3,711,401 | ||||||||
|
| |||||||
Machinery (2.5%): | ||||||||
2,107 | AGCO Corp. | 207,961 | ||||||
228 | Alamo Group, Inc. | 26,546 | ||||||
737 | Albany International Corp., Class A | 58,068 | ||||||
3,290 | Allison Transmission Holdings, Inc. | 126,500 | ||||||
1,335 | Altra Industrial Motion Corp. | 47,059 | ||||||
656 | Astec Industries, Inc. | 26,752 | ||||||
1,591 | Barnes Group, Inc. | 49,544 | ||||||
837 | Blue Bird Corp.* | 7,709 | ||||||
4,839 | Caterpillar, Inc. | 865,020 | ||||||
904 | Chart Industries, Inc.* | 151,311 | ||||||
468 | CIRCOR International, Inc.* | 7,670 | ||||||
653 | Columbus McKinnon Corp. | 18,526 | ||||||
707 | Commercial Vehicle Group, Inc.* | 4,129 | ||||||
1,452 | Crane Holdings Co. | 127,137 | ||||||
2,397 | Cummins, Inc. | 463,891 | ||||||
2,740 | Deere & Co. | 820,548 | ||||||
2,678 | Donaldson Co., Inc. | 128,919 | ||||||
471 | Douglas Dynamics, Inc. | 13,537 | ||||||
2,058 | Dover Corp. | 249,677 | ||||||
1,250 | Enerpac Tool Group Corp. | 23,775 | ||||||
453 | EnPro Industries, Inc. | 37,114 | ||||||
1,056 | Esab Corp. | 46,200 | ||||||
372 | ESCO Technologies, Inc. | 25,434 | ||||||
2,747 | Evoqua Water Technologies Co.* | 89,305 | ||||||
1,153 | Federal Signal Corp. | 41,047 | ||||||
3,181 | Flowserve Corp. | 91,072 | ||||||
3,638 | Fortive Corp. | 197,834 | ||||||
983 | Franklin Electric Co., Inc. | 72,015 | ||||||
4,714 | Gates Industrial Corp. plc* | 50,958 | ||||||
889 | Gencor Industries, Inc.* | 9,032 | ||||||
606 | Gorman-Rupp Co. (The) | 17,150 | ||||||
3,738 | Graco, Inc. | 222,075 | ||||||
2,503 | Harsco Corp.* | 17,796 | ||||||
650 | Helios Technologies, Inc. | 43,062 | ||||||
2,088 | Hillenbrand, Inc. | 85,524 | ||||||
490 | Hurco Cos., Inc. | 12,123 | ||||||
896 | Hyster-Yale Materials Handling, Inc., Class A | 28,869 | ||||||
704 | IDEX Corp. | 127,868 | ||||||
2,868 | Illinois Tool Works, Inc. | 522,693 | ||||||
4,169 | Ingersoll-Rand, Inc. | 175,431 | ||||||
1,926 | ITT, Inc. | 129,504 | ||||||
757 | John Bean Technologies Corp. | 83,588 | ||||||
286 | Kadant, Inc. | 52,152 | ||||||
2,377 | Kennametal, Inc. | 55,218 | ||||||
787 | L.B. Foster Co., Class A* | 10,129 |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
1,490 | Lincoln Electric Holdings, Inc. | $ | 183,806 | |||||
221 | Lindsay Corp. | 29,353 | ||||||
1,213 | Manitex International, Inc.* | 7,872 | ||||||
2,529 | Manitowoc Co., Inc. (The)* | 26,630 | ||||||
2,774 | Meritor, Inc.* | 100,779 | ||||||
1,184 | Middleby Corp. (The)* | 148,426 | ||||||
1,706 | Mueller Industries, Inc. | 90,913 | ||||||
4,883 | Mueller Water Products, Inc., Class A | 57,278 | ||||||
1,258 | NN, Inc.* | 3,183 | ||||||
656 | Nordson Corp. | 132,801 | ||||||
158 | Omega Flex, Inc. | 17,004 | ||||||
1,389 | Oshkosh Corp. | 114,092 | ||||||
3,878 | Otis Worldwide Corp. | 274,058 | ||||||
4,207 | PACCAR, Inc. | 346,404 | ||||||
1,980 | Parker-Hannifin Corp. | 487,179 | ||||||
1,058 | Park-Ohio Holdings Corp. | 16,780 | ||||||
3,448 | Pentair plc | 157,815 | ||||||
524 | Proto Labs, Inc.* | 25,068 | ||||||
549 | RBC Bearings, Inc.* | 101,538 | ||||||
3,787 | REV Group, Inc. | 41,165 | ||||||
612 | Shyft Group, Inc. (The) | 11,377 | ||||||
1,192 | Snap-On, Inc. | 234,860 | ||||||
1,232 | SPX Corp.* | 65,099 | ||||||
340 | Standex International Corp. | 28,825 | ||||||
1,980 | Stanley Black & Decker, Inc. | 207,623 | ||||||
537 | Tennant Co. | 31,817 | ||||||
1,823 | Terex Corp. | 49,895 | ||||||
863 | The Greenbrier Cos., Inc. | 31,059 | ||||||
2,219 | Timken Co. | 117,718 | ||||||
3,046 | Titan International, Inc.* | 45,995 | ||||||
2,441 | Toro Co. (The) | 185,003 | ||||||
2,542 | Trinity Industries, Inc. | 61,567 | ||||||
1,510 | Wabash National Corp. | 20,506 | ||||||
615 | Watts Water Technologies, Inc., Class A | 75,547 | ||||||
4,275 | Welbilt, Inc.* | 101,788 | ||||||
2,471 | Westinghouse Air Brake Technologies Corp. | 202,820 | ||||||
1,534 | Woodward, Inc. | 141,880 | ||||||
1,831 | Xylem, Inc. | 143,148 | ||||||
|
| |||||||
9,786,143 | ||||||||
|
| |||||||
Marine (0.1%): | ||||||||
3,979 | Costamare, Inc. | 48,146 | ||||||
239 | Eagle Bulk Shipping, Inc. | 12,399 | ||||||
147 | Eneti, Inc. | 903 | ||||||
1,300 | Genco Shipping & Trading, Ltd. | 25,116 | ||||||
1,654 | Kirby Corp.* | 100,629 | ||||||
1,541 | Matson, Inc. | 112,308 | ||||||
|
| |||||||
299,501 | ||||||||
|
| |||||||
Media (1.4%): | ||||||||
3,595 | Altice USA, Inc., Class A* | 33,254 | ||||||
1,413 | AMC Networks, Inc., Class A* | 41,147 | ||||||
8,164 | Audacy, Inc.* | 7,692 | ||||||
133 | Cable One, Inc. | 171,480 | ||||||
1,616 | Charter Communications, Inc., Class A* | 757,144 | ||||||
48,635 | Comcast Corp., Class A | 1,908,437 | ||||||
2,952 | comScore, Inc.* | 6,081 | ||||||
367 | DallasNews Corp. | 2,323 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
4,832 | DISH Network Corp., Class A* | $ | 86,638 | |||||
2,931 | E.W. Scripps Co. (The), Class A* | 36,550 | ||||||
4,792 | Entravision Communications Corp., Class A | 21,851 | ||||||
4,335 | Fox Corp., Class A | 139,414 | ||||||
3,199 | Fox Corp., Class B | 95,010 | ||||||
7,573 | Gannett Co, Inc.* | 21,962 | ||||||
2,788 | Gray Television, Inc. | 47,089 | ||||||
1,323 | iHeartMedia, Inc., Class A* | 10,438 | ||||||
8,756 | Interpublic Group of Cos., Inc. (The) | 241,053 | ||||||
864 | John Wiley & Sons, Inc., Class A | 41,265 | ||||||
192 | John Wiley & Sons, Inc., Class B | 9,219 | ||||||
334 | Liberty Broadband Corp., Class A* | 37,926 | ||||||
1,855 | Liberty Broadband Corp., Class C* | 214,512 | ||||||
1,489 | Liberty Latin America, Ltd.* | 11,614 | ||||||
5,752 | Liberty Latin America, Ltd., Class C* | 44,808 | ||||||
2,706 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 97,551 | ||||||
1,327 | Liberty Media Corp-Liberty SiriusXM, Class A* | 47,825 | ||||||
789 | Loyalty Ventures, Inc.* | 2,817 | ||||||
131 | Marchex, Inc., Class B* | 173 | ||||||
3,530 | New York Times Co. (The), Class A | 98,487 | ||||||
7,458 | News Corp., Class A | 116,196 | ||||||
2,563 | News Corp., Class B | 40,726 | ||||||
1,296 | Nexstar Media Group, Inc., Class A | 211,092 | ||||||
3,505 | Omnicom Group, Inc. | 222,953 | ||||||
1,353 | Scholastic Corp. | 48,667 | ||||||
10,861 | Sirius XM Holdings, Inc.^ | 66,578 | ||||||
474 | TechTarget, Inc.* | 31,151 | ||||||
7,839 | TEGNA, Inc. | 164,384 | ||||||
445 | ViacomCBS, Inc., Class A^ | 12,131 | ||||||
7,704 | ViacomCBS, Inc., Class B | 190,135 | ||||||
|
| |||||||
5,337,773 | ||||||||
|
| |||||||
Metals & Mining (1.0%): | ||||||||
5,171 | Alcoa Corp. | 235,694 | ||||||
4,528 | Allegheny Technologies, Inc.* | 102,831 | ||||||
391 | Alpha Metallurgical Resources, Inc. | 50,490 | ||||||
799 | Ampco-Pittsburgh Corp.* | 3,092 | ||||||
3,002 | Arconic Corp.* | 84,206 | ||||||
1,138 | Carpenter Technology Corp. | 31,762 | ||||||
2,210 | Century Aluminum Co.* | 16,288 | ||||||
13,357 | Cleveland-Cliffs, Inc.* | 205,297 | ||||||
5,449 | Coeur Mining, Inc.* | 16,565 | ||||||
3,300 | Commercial Metals Co. | 109,230 | ||||||
702 | Compass Minerals International, Inc. | 24,844 | ||||||
7,323 | Ferroglobe plc* | 43,499 | ||||||
841 | Fortitude Gold Corp. | 5,046 | ||||||
13,761 | Freeport-McMoRan, Inc. | 402,647 | ||||||
2,945 | Gold Resource Corp. | 4,800 | ||||||
943 | Haynes International, Inc. | 30,902 | ||||||
14,180 | Hecla Mining Co. | 55,586 | ||||||
151 | Kaiser Aluminum Corp. | 11,943 | ||||||
643 | Materion Corp. | 47,408 | ||||||
12,309 | McEwen Mining, Inc.* | 5,406 | ||||||
1,807 | MP Materials Corp.*^ | 57,969 | ||||||
8,302 | Newmont Corp. | 495,380 | ||||||
6,998 | Nucor Corp. | 730,661 | ||||||
700 | Olympic Steel, Inc. | 18,025 | ||||||
1,439 | Reliance Steel & Aluminum Co. | 244,429 |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
1,422 | Royal Gold, Inc. | $ | 151,841 | |||||
1,500 | Ryerson Holding Corp. | 31,935 | ||||||
1,365 | Schnitzer Steel Industries, Inc., Class A | 44,827 | ||||||
1,446 | Southern Copper Corp. | 72,025 | ||||||
6,814 | Steel Dynamics, Inc. | 450,746 | ||||||
3,673 | SunCoke Energy, Inc. | 25,013 | ||||||
759 | Synalloy Corp.* | 10,672 | ||||||
2,052 | TimkenSteel Corp.* | 38,393 | ||||||
7,629 | United States Steel Corp. | 136,635 | ||||||
548 | Universal Stainless & Alloy Products, Inc.* | 4,055 | ||||||
1,489 | Warrior Met Coal, Inc. | 45,578 | ||||||
1,135 | Worthington Industries, Inc. | 50,053 | ||||||
|
| |||||||
4,095,773 | ||||||||
|
| |||||||
Multiline Retail (0.7%): | ||||||||
1,406 | Big Lots, Inc. | 29,484 | ||||||
1,248 | Dillard’s, Inc., Class A^ | 275,271 | ||||||
2,522 | Dollar General Corp. | 619,000 | ||||||
3,862 | Dollar Tree, Inc.* | 601,893 | ||||||
4,069 | Kohl’s Corp. | 145,223 | ||||||
9,155 | Macy’s, Inc. | 167,719 | ||||||
1,842 | Nordstrom, Inc. | 38,921 | ||||||
1,737 | Ollie’s Bargain Outlet Holdings, Inc.* | 102,049 | ||||||
6,131 | Target Corp. | 865,881 | ||||||
|
| |||||||
2,845,441 | ||||||||
|
| |||||||
Multi-Utilities (0.8%): | ||||||||
2,267 | Ameren Corp. | 204,846 | ||||||
1,406 | Avista Corp. | 61,175 | ||||||
1,134 | Black Hills Corp. | 82,521 | ||||||
5,705 | CenterPoint Energy, Inc. | 168,754 | ||||||
2,837 | CMS Energy Corp. | 191,498 | ||||||
3,188 | Consolidated Edison, Inc. | 303,179 | ||||||
5,526 | Dominion Energy, Inc. | 441,030 | ||||||
1,902 | DTE Energy Co. | 241,079 | ||||||
5,409 | MDU Resources Group, Inc. | 145,989 | ||||||
6,003 | NiSource, Inc. | 177,028 | ||||||
993 | NorthWestern Corp. | 58,517 | ||||||
4,932 | Public Service Enterprise Group, Inc. | 312,097 | ||||||
2,268 | Sempra Energy | 340,812 | ||||||
305 | Unitil Corp. | 17,910 | ||||||
3,038 | WEC Energy Group, Inc. | 305,744 | ||||||
|
| |||||||
3,052,179 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.4%): | ||||||||
332 | Adams Resources & Energy, Inc. | 10,687 | ||||||
10,610 | Antero Midstream Corp. | 96,021 | ||||||
7,652 | Antero Resources Corp.* | 234,534 | ||||||
7,688 | APA Corp. | 268,311 | ||||||
432 | Arch Resources, Inc. | 61,815 | ||||||
1,988 | Berry Corp. | 15,149 | ||||||
990 | California Resources Corp. | 38,115 | ||||||
2,165 | Callon Petroleum Co.* | 84,868 | ||||||
6,243 | Centennial Resource Development, Inc., Class A* | 37,333 | ||||||
2,557 | Cheniere Energy, Inc. | 340,158 | ||||||
1,134 | Chesapeake Energy Corp. | 91,967 | ||||||
20,512 | Chevron Corp. | 2,969,727 | ||||||
339 | Chord Energy Corp. | 41,239 | ||||||
1,149 | Civitas Resources, Inc. | 60,081 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
7,534 | Clean Energy Fuel Corp.* | $ | 33,752 | |||||
6,372 | CNX Resources Corp.* | 104,883 | ||||||
7,595 | Comstock Resources, Inc.* | 91,748 | ||||||
14,126 | ConocoPhillips | 1,268,656 | ||||||
1,846 | CONSOL Energy, Inc.* | 91,156 | ||||||
3,878 | Continental Resources, Inc. | 253,427 | ||||||
12,392 | Coterra Energy, Inc. | 319,590 | ||||||
2,225 | CVR Energy, Inc. | 74,538 | ||||||
2,204 | Delek US Holdings, Inc.* | 56,951 | ||||||
823 | Denbury, Inc.* | 49,372 | ||||||
23,604 | Devon Energy Corp. | 1,300,816 | ||||||
5,705 | DHT Holdings, Inc. | 34,972 | ||||||
2,202 | Diamondback Energy, Inc. | 266,772 | ||||||
58 | Dorian LPG, Ltd. | 882 | ||||||
1,795 | DT Midstream, Inc. | 87,991 | ||||||
11,550 | Enlink Midstream LLC | 98,175 | ||||||
6,280 | EOG Resources, Inc. | 693,563 | ||||||
7,807 | EQT Corp. | 268,561 | ||||||
7,111 | Equitrans Midstream Corp. | 45,226 | ||||||
43,767 | Exxon Mobil Corp. | 3,748,206 | ||||||
1,014 | Green Plains, Inc.* | 27,550 | ||||||
180 | Gulfport Energy Operating Corp.* | 14,312 | ||||||
5,293 | Hess Corp. | 560,740 | ||||||
4,760 | HF Sinclair Corp. | 214,962 | ||||||
1,180 | International Seaways, Inc. | 25,016 | ||||||
15,716 | Kinder Morgan, Inc. | 263,400 | ||||||
1,018 | Kinetik Holdings, Inc. | 34,755 | ||||||
17,233 | Kosmos Energy, Ltd.* | 106,672 | ||||||
609 | Laredo Petroleum, Inc.* | 41,985 | ||||||
4,177 | Magnolia Oil & Gas Corp., Class A | 87,675 | ||||||
17,859 | Marathon Oil Corp. | 401,470 | ||||||
7,572 | Marathon Petroleum Corp. | 622,494 | ||||||
3,899 | Matador Resources Co. | 181,654 | ||||||
4,219 | Murphy Oil Corp. | 127,372 | ||||||
2,184 | New Fortress Energy, Inc. | 86,421 | ||||||
17,900 | Occidental Petroleum Corp. | 1,053,952 | ||||||
6,100 | ONEOK, Inc. | 338,550 | ||||||
4,281 | Ovintiv, Inc. | 189,177 | ||||||
2,936 | PAR Pacific Holdings, Inc.* | 45,772 | ||||||
3,458 | PBF Energy, Inc., Class A* | 100,351 | ||||||
3,014 | PDC Energy, Inc. | 185,693 | ||||||
4,173 | Peabody Energy Corp.* | 89,010 | ||||||
4,501 | Phillips 66 | 369,037 | ||||||
1,401 | PHX Minerals, Inc. | 4,259 | ||||||
1,849 | Pioneer Natural Resources Co. | 412,475 | ||||||
6 | PrimeEnergy Resources Corp.* | 470 | ||||||
4,715 | Range Resources Corp.* | 116,696 | ||||||
787 | Ranger Oil Corp.* | 25,869 | ||||||
374 | REX American Resources Corp.* | 31,715 | ||||||
1,682 | Scorpio Tankers, Inc. | 58,046 | ||||||
3,507 | SFL Corp., Ltd. | 33,281 | ||||||
4,141 | SM Energy Co. | 141,581 | ||||||
24,131 | Southwestern Energy Co.* | 150,819 | ||||||
3,310 | Talos Energy, Inc.* | 51,206 | ||||||
5,703 | Targa Resources Corp. | 340,298 | ||||||
6,407 | Teekay Shipping Corp.* | 18,452 | ||||||
1,031 | Teekay Tankers, Ltd., Class A* | 18,177 |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
114 | Texas Pacific Land Corp. | $ | 169,634 | |||||
4,537 | Valero Energy Corp. | 482,192 | ||||||
853 | Whiting Petroleum Corp. | 58,030 | ||||||
8,922 | Williams Cos., Inc. | 278,456 | ||||||
1,790 | World Fuel Services Corp. | 36,623 | ||||||
|
| |||||||
20,835,541 | ||||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
545 | Clearwater Paper Corp.* | 18,328 | ||||||
2,520 | Glatfelter Corp. | 17,338 | ||||||
3,240 | Louisiana-Pacific Corp. | 169,809 | ||||||
3,875 | Mercer International, Inc. | 50,956 | ||||||
617 | Neenah, Inc. | 21,064 | ||||||
2,344 | Resolute Forest Products* | 29,910 | ||||||
665 | Schweitzer-Mauduit International, Inc. | 16,705 | ||||||
474 | Sylvamo Corp. | 15,490 | ||||||
|
| |||||||
339,600 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
2,327 | BellRing Brands, Inc.* | 57,919 | ||||||
12,350 | Coty, Inc., Class A* | 98,923 | ||||||
1,291 | Edgewell Personal Care Co. | 44,565 | ||||||
854 | elf Beauty, Inc.* | 26,201 | ||||||
1,689 | Estee Lauder Cos., Inc. (The), Class A | 430,138 | ||||||
2,298 | Herbalife Nutrition, Ltd.* | 46,994 | ||||||
594 | Inter Parfums, Inc. | 43,398 | ||||||
186 | Medifast, Inc. | 33,575 | ||||||
1,236 | Natures Sunshine Products, Inc.* | 13,188 | ||||||
1,116 | Nu Skin Enterprises, Inc., Class A | 48,323 | ||||||
340 | United-Guardian, Inc. | 5,097 | ||||||
645 | Usana Health Sciences, Inc.* | 46,672 | ||||||
|
| |||||||
894,993 | ||||||||
|
| |||||||
Pharmaceuticals (3.9%): | ||||||||
2,003 | Amphastar Pharmaceuticals, Inc.* | 69,684 | ||||||
900 | ANI Pharmaceuticals, Inc.* | 26,703 | ||||||
885 | Assembly Biosciences, Inc.* | 1,859 | ||||||
21,098 | Bristol-Myers Squibb Co. | 1,624,546 | ||||||
2,125 | Catalent, Inc.* | 227,991 | ||||||
1,951 | Corcept Therapeutics, Inc.* | 46,395 | ||||||
1,468 | Cumberland Pharmaceuticals, Inc.* | 3,046 | ||||||
1,054 | Cymabay Therapeutics, Inc.* | 3,109 | ||||||
6,155 | Elanco Animal Health, Inc.* | 120,823 | ||||||
7,636 | Eli Lilly & Co. | 2,475,820 | ||||||
8,827 | Endo International plc* | 4,111 | ||||||
1,104 | Harmony Biosciences Holdings, Inc.* | 53,842 | ||||||
2,007 | Horizon Therapeutics plc* | 160,078 | ||||||
3,292 | Innoviva, Inc.* | 48,590 | ||||||
1,338 | Intra-Cellular Therapies, Inc.* | 76,373 | ||||||
1,190 | Jazz Pharmaceuticals plc* | 185,652 | ||||||
22,800 | Johnson & Johnson | 4,047,228 | ||||||
20,164 | Merck & Co., Inc. | 1,838,352 | ||||||
3,567 | Nektar Therapeutics* | 13,555 | ||||||
4,552 | Organon & Co. | 153,630 | ||||||
1,317 | Otonomy, Inc.* | 2,739 | ||||||
567 | Pacira BioSciences, Inc.* | 33,056 | ||||||
3,223 | Perrigo Co. plc | 130,757 | ||||||
46,606 | Pfizer, Inc. | 2,443,553 | ||||||
793 | Phibro Animal Health Corp., Class A | 15,170 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Pharmaceuticals, continued | ||||||||
1,580 | Prestige Consumer Healthcare, Inc.* | $ | 92,904 | |||||
4,082 | Royalty Pharma plc, Class A | 171,607 | ||||||
1,789 | Supernus Pharmaceuticals, Inc.* | 51,738 | ||||||
923 | Taro Pharmaceutical Industries, Ltd.* | 33,376 | ||||||
14,776 | Viatris, Inc. | 154,705 | ||||||
4,336 | Zoetis, Inc. | 745,315 | ||||||
|
| |||||||
15,056,307 | ||||||||
|
| |||||||
Professional Services (1.0%): | ||||||||
1,184 | ASGN, Inc.* | 106,856 | ||||||
494 | Barrett Business Services, Inc. | 35,998 | ||||||
3,115 | Booz Allen Hamilton Holding Corp. | 281,471 | ||||||
549 | CACI International, Inc., Class A* | 154,697 | ||||||
1,617 | CBIZ, Inc.* | 64,615 | ||||||
2,143 | Clarivate plc* | 29,702 | ||||||
3,570 | CoStar Group, Inc.* | 215,664 | ||||||
456 | CRA International, Inc. | 40,730 | ||||||
6,802 | Dun & Bradstreet Holdings, Inc.* | 102,234 | ||||||
1,531 | Equifax, Inc. | 279,836 | ||||||
1,104 | Exponent, Inc. | 100,983 | ||||||
825 | Forrester Research, Inc.* | 39,468 | ||||||
723 | FTI Consulting, Inc.* | 130,755 | ||||||
421 | Heidrick & Struggles International, Inc. | 13,624 | ||||||
466 | Hill International, Inc.* | 783 | ||||||
660 | Huron Consulting Group, Inc.* | 42,894 | ||||||
329 | ICF International, Inc. | 31,255 | ||||||
514 | Insperity, Inc. | 51,313 | ||||||
1,326 | Jacobs Engineering Group, Inc. | 168,574 | ||||||
3,410 | KBR, Inc. | 165,010 | ||||||
1,042 | Kelly Services, Inc., Class A | 20,663 | ||||||
577 | Kforce, Inc. | 35,393 | ||||||
1,558 | Korn Ferry | 90,395 | ||||||
1,762 | Leidos Holdings, Inc. | 177,451 | ||||||
1,391 | ManpowerGroup, Inc. | 106,286 | ||||||
840 | ManTech International Corp., Class A | 80,178 | ||||||
659 | Mistras Group, Inc.* | 3,915 | ||||||
10,088 | Nielsen Holdings plc | 234,243 | ||||||
2,125 | Resources Connection, Inc. | 43,286 | ||||||
2,809 | Robert Half International, Inc. | 210,366 | ||||||
1,873 | Science Applications International Corp. | 174,376 | ||||||
2,327 | TransUnion | 186,137 | ||||||
1,673 | TriNet Group, Inc.* | 129,858 | ||||||
1,029 | TrueBlue, Inc.* | 18,419 | ||||||
1,755 | Verisk Analytics, Inc. | 303,773 | ||||||
633 | Willdan Group, Inc.* | 17,458 | ||||||
|
| |||||||
3,888,659 | ||||||||
|
| |||||||
Real Estate Management & Development (0.3%): | ||||||||
4,164 | CBRE Group, Inc., Class A* | 306,512 | ||||||
2,451 | Cushman & Wakefield plc* | 37,353 | ||||||
1,549 | Douglas Elliman, Inc. | 7,420 | ||||||
1,163 | eXp World Holdings, Inc.^ | 13,689 | ||||||
279 | Forestar Group, Inc.* | 3,820 | ||||||
232 | FRP Holdings, Inc.* | 14,001 | ||||||
1,280 | Howard Hughes Corp. (The)* | 87,104 | ||||||
954 | Jones Lang LaSalle, Inc.* | 166,817 | ||||||
4,260 | Kennedy-Wilson Holdings, Inc. | 80,684 | ||||||
977 | Marcus & Millichap, Inc. | 36,139 |
See accompanying notes to the financial statements.
17
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
5,729 | Newmark Group, Inc. | $ | 55,399 | |||||
997 | Rafael Holdings, Inc., Class B* | 1,864 | ||||||
910 | RE/MAX Holdings, Inc., Class A | 22,313 | ||||||
3,814 | Realogy Holdings Corp.* | 37,492 | ||||||
681 | Redfin Corp.* | 5,611 | ||||||
1,447 | Tejon Ranch Co.* | 22,457 | ||||||
357 | The RMR Group, Inc., Class A | 10,121 | ||||||
1,857 | The St Joe Co. | 73,463 | ||||||
642 | Zillow Group, Inc., Class A* | 20,422 | ||||||
1,617 | Zillow Group, Inc., Class C*^ | 51,340 | ||||||
|
| |||||||
1,054,021 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
346 | AMERCO, Inc. | 165,468 | ||||||
757 | ArcBest Corp. | 53,270 | ||||||
1,653 | Avis Budget Group, Inc.* | 243,123 | ||||||
419 | Covenant Logistics Group, Inc. | 10,513 | ||||||
19,368 | CSX Corp. | 562,834 | ||||||
1,925 | Heartland Express, Inc. | 26,777 | ||||||
1,793 | J.B. Hunt Transport Services, Inc. | 282,344 | ||||||
4,311 | Knight-Swift Transportation Holdings, Inc. | 199,556 | ||||||
896 | Landstar System, Inc. | 130,296 | ||||||
3,089 | Lyft, Inc., Class A* | 41,022 | ||||||
2,410 | Marten Transport, Ltd. | 40,536 | ||||||
2,245 | Norfolk Southern Corp. | 510,266 | ||||||
1,374 | Old Dominion Freight Line, Inc. | 352,129 | ||||||
1,600 | PAM Transportation Services, Inc.* | 43,824 | ||||||
1,902 | Ryder System, Inc. | 135,156 | ||||||
576 | Saia, Inc.* | 108,288 | ||||||
2,500 | Schneider National, Inc., Class B | 55,950 | ||||||
6,290 | Uber Technologies, Inc.* | 128,693 | ||||||
7,472 | Union Pacific Corp. | 1,593,628 | ||||||
586 | Universal Logistics Holdings, Inc. | 16,004 | ||||||
1,023 | USA Truck, Inc.* | 32,143 | ||||||
2,378 | Werner Enterprises, Inc. | 91,648 | ||||||
1,829 | Yellow Corp.* | 5,359 | ||||||
|
| |||||||
4,828,827 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.8%): | ||||||||
870 | Advanced Energy Industries, Inc. | 63,493 | ||||||
13,952 | Advanced Micro Devices, Inc.* | 1,066,909 | ||||||
1,120 | Alpha & Omega Semiconductor, Ltd.* | 37,341 | ||||||
630 | Ambarella, Inc.* | 41,240 | ||||||
8,710 | Amkor Technology, Inc. | 147,634 | ||||||
3,845 | Analog Devices, Inc. | 561,716 | ||||||
8,530 | Applied Materials, Inc. | 776,059 | ||||||
608 | Axcelis Technologies, Inc.* | 33,343 | ||||||
1,701 | AXT, Inc.* | 9,968 | ||||||
1,411 | Azenta, Inc. | 101,733 | ||||||
4,534 | Broadcom, Inc. | 2,202,663 | ||||||
437 | CEVA, Inc.* | 14,666 | ||||||
1,136 | Cirrus Logic, Inc.* | 82,405 | ||||||
697 | CMC Materials, Inc. | 121,620 | ||||||
2,261 | Cohu, Inc.* | 62,743 | ||||||
1,027 | Diodes, Inc.* | 66,313 | ||||||
1,101 | Enphase Energy, Inc.* | 214,959 | ||||||
1,512 | Entegris, Inc. | 139,301 | ||||||
2,177 | First Solar, Inc.* | 148,319 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
1,662 | FormFactor, Inc.* | $ | 64,369 | |||||
1,314 | GSI Technology, Inc.* | 4,533 | ||||||
948 | Ichor Holdings, Ltd.* | 24,629 | ||||||
55,883 | Intel Corp. | 2,090,583 | ||||||
1,736 | KLA Corp. | 553,923 | ||||||
1,562 | Kulicke & Soffa Industries, Inc. | 66,869 | ||||||
1,575 | Lam Research Corp. | 671,186 | ||||||
1,316 | Lattice Semiconductor Corp.* | 63,826 | ||||||
876 | MACOM Technology Solutions Holdings, Inc.* | 40,384 | ||||||
4,801 | Marvell Technology, Inc. | 208,988 | ||||||
1,132 | MaxLinear, Inc., Class A* | 38,465 | ||||||
5,862 | Microchip Technology, Inc. | 340,465 | ||||||
15,498 | Micron Technology, Inc. | 856,729 | ||||||
1,341 | MKS Instruments, Inc. | 137,627 | ||||||
242 | Monolithic Power Systems, Inc. | 92,938 | ||||||
1,500 | Neophotonics Corp.* | 23,595 | ||||||
150 | NVE Corp. | 6,993 | ||||||
15,541 | NVIDIA Corp. | 2,355,860 | ||||||
892 | NXP Semiconductors NV | 132,043 | ||||||
5,936 | ON Semiconductor Corp.* | 298,640 | ||||||
1,334 | Onto Innovation, Inc.* | 93,033 | ||||||
1,438 | PDF Solutions, Inc.* | 30,931 | ||||||
2,358 | Photronics, Inc.* | 45,934 | ||||||
1,116 | Power Integrations, Inc. | 83,711 | ||||||
1,567 | Qorvo, Inc.* | 147,799 | ||||||
11,228 | Qualcomm, Inc. | 1,434,265 | ||||||
2,888 | Rambus, Inc.* | 62,063 | ||||||
1,305 | Semtech Corp.* | 71,736 | ||||||
867 | Silicon Laboratories, Inc.* | 121,571 | ||||||
2,322 | Skyworks Solutions, Inc. | 215,110 | ||||||
1,050 | SMART Global Holdings, Inc.* | 17,189 | ||||||
419 | SolarEdge Technologies, Inc.* | 114,672 | ||||||
834 | Synaptics, Inc.* | 98,454 | ||||||
2,449 | Teradyne, Inc. | 219,308 | ||||||
10,811 | Texas Instruments, Inc. | 1,661,110 | ||||||
1,251 | Ultra Clean Holdings, Inc.* | 37,242 | ||||||
885 | Universal Display Corp. | 89,509 | ||||||
1,442 | Veeco Instruments, Inc.* | 27,975 | ||||||
1,114 | Wolfspeed, Inc.* | 70,683 | ||||||
|
| |||||||
18,607,365 | ||||||||
|
| |||||||
Software (6.4%): | ||||||||
3,453 | ACI Worldwide, Inc.* | 89,398 | ||||||
3,583 | Adobe, Inc.* | 1,311,593 | ||||||
695 | Alarm.com Holdings, Inc.* | 42,993 | ||||||
583 | Altair Engineering, Inc.* | 30,607 | ||||||
1,009 | American Software, Inc., Class A | 16,305 | ||||||
734 | ANSYS, Inc.* | 175,639 | ||||||
591 | Aspen Technology, Inc.* | 108,555 | ||||||
1,215 | Atlassian Corp. plc, Class A* | 227,691 | ||||||
1,957 | Autodesk, Inc.* | 336,526 | ||||||
813 | Avalara, Inc.* | 57,398 | ||||||
1,879 | Avaya Holdings Corp.* | 4,209 | ||||||
2,272 | Aware, Inc.* | 5,407 | ||||||
1,257 | Bentley Systems, Inc., Class B | 41,858 | ||||||
691 | Bill.com Holdings, Inc.* | 75,968 | ||||||
1,196 | Blackbaud, Inc.* | 69,452 | ||||||
2,029 | Box, Inc.* | 51,009 |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
1,838 | Cadence Design Systems, Inc.* | $ | 275,755 | |||||
2,601 | CDK Global, Inc. | 142,457 | ||||||
820 | Cerence, Inc.* | 20,689 | ||||||
1,198 | Ceridian HCM Holding, Inc.* | 56,402 | ||||||
1,606 | Citrix Systems, Inc. | 156,055 | ||||||
519 | Cloudflare, Inc., Class A* | 22,706 | ||||||
1,830 | Cognyte Software, Ltd.* | 7,777 | ||||||
505 | CommVault Systems, Inc.* | 31,764 | ||||||
491 | Consensus Cloud Solutions, Inc.* | 21,447 | ||||||
639 | Coupa Software, Inc.* | 36,487 | ||||||
487 | Crowdstrike Holdings, Inc., Class A* | 82,089 | ||||||
638 | Datadog, Inc., Class A* | 60,763 | ||||||
513 | DocuSign, Inc.* | 29,436 | ||||||
2,137 | DoubleVerify Holdings, Inc.* | 48,446 | ||||||
5,645 | Dropbox, Inc., Class A* | 118,489 | ||||||
1,675 | Duck Creek Technologies, Inc.*^ | 24,874 | ||||||
1,822 | Dynatrace, Inc.* | 71,860 | ||||||
1,380 | Ebix, Inc. | 23,322 | ||||||
622 | Elastic NV* | 42,091 | ||||||
990 | Envestnet, Inc.* | 52,242 | ||||||
429 | Everbridge, Inc.* | 11,965 | ||||||
441 | Fair Isaac Corp.* | 176,797 | ||||||
337 | Five9, Inc.* | 30,714 | ||||||
6,180 | Fortinet, Inc.* | 349,664 | ||||||
485 | Globant SA* | 84,390 | ||||||
1,145 | Guidewire Software, Inc.* | 81,284 | ||||||
179 | HubSpot, Inc.* | 53,816 | ||||||
1,326 | Intuit, Inc. | 511,093 | ||||||
1,266 | Jamf Holding Corp.* | 31,359 | ||||||
1,784 | Mandiant, Inc.* | 38,927 | ||||||
811 | Manhattan Associates, Inc.* | 92,941 | ||||||
59,524 | Microsoft Corp. | 15,287,549 | ||||||
1,654 | N-Able, Inc.* | 14,886 | ||||||
5,406 | NortonLifeLock, Inc. | 118,716 | ||||||
879 | OneSpan, Inc.* | 10,460 | ||||||
11,328 | Oracle Corp. | 791,487 | ||||||
7,336 | Palantir Technologies, Inc., Class A* | 66,537 | ||||||
256 | Palo Alto Networks, Inc.* | 126,449 | ||||||
513 | Paycom Software, Inc.* | 143,702 | ||||||
443 | Paylocity Holding Corp.* | 77,268 | ||||||
565 | Pegasystems, Inc. | 27,030 | ||||||
947 | Progress Software Corp. | 42,899 | ||||||
1,146 | PTC, Inc.* | 121,866 | ||||||
389 | Q2 Holdings, Inc.* | 15,004 | ||||||
894 | Qualys, Inc.* | 112,769 | ||||||
899 | Sailpoint Technologies Holdings, Inc.* | 56,349 | ||||||
5,162 | Salesforce, Inc.* | 851,936 | ||||||
1,200 | Sapiens International Corp. NV | 29,028 | ||||||
512 | ServiceNow, Inc.* | 243,466 | ||||||
710 | Splunk, Inc.* | 62,807 | ||||||
347 | SPS Commerce, Inc.* | 39,228 | ||||||
3,224 | SS&C Technologies Holdings, Inc. | 187,218 | ||||||
2,279 | Synchronoss Technologies, Inc.* | 2,621 | ||||||
851 | Synopsys, Inc.* | 258,449 | ||||||
1,923 | The Trade Desk, Inc., Class A* | 80,554 | ||||||
328 | Tyler Technologies, Inc.* | 109,053 | ||||||
537 | Unity Software, Inc.*^ | 19,772 | ||||||
1,022 | Verint Systems, Inc.* | 43,282 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
1,567 | VMware, Inc., Class A | $ | 178,607 | |||||
2,930 | Vonage Holdings Corp.* | 55,201 | ||||||
758 | Workday, Inc., Class A* | 105,802 | ||||||
7,046 | Xperi Holding Corp. | 101,674 | ||||||
645 | Zendesk, Inc.* | 47,775 | ||||||
185 | Zoom Video Communications, Inc., Class A* | 19,974 | ||||||
566 | Zscaler, Inc.* | 84,623 | ||||||
|
| |||||||
24,966,750 | ||||||||
|
| |||||||
Specialty Retail (2.3%): | ||||||||
1,093 | Aaron’s Co., Inc. (The) | 15,903 | ||||||
2,382 | Abercrombie & Fitch Co., Class A* | 40,303 | ||||||
1,111 | Advance Auto Parts, Inc. | 192,303 | ||||||
5,007 | American Eagle Outfitters, Inc. | 55,978 | ||||||
200 | America’s Car-Mart, Inc.* | 20,120 | ||||||
793 | Asbury Automotive Group, Inc.* | 134,287 | ||||||
2,111 | AutoNation, Inc.* | 235,925 | ||||||
147 | AutoZone, Inc.* | 315,921 | ||||||
3,164 | Barnes & Noble Education, Inc.* | 9,271 | ||||||
1,784 | Bath & Body Works, Inc. | 48,025 | ||||||
3,437 | Bed Bath & Beyond, Inc.*^ | 17,082 | ||||||
4,465 | Best Buy Co., Inc. | 291,073 | ||||||
1,657 | Big 5 Sporting Goods Corp.^ | 18,575 | ||||||
841 | Boot Barn Holdings, Inc.* | 57,953 | ||||||
583 | Build-A-Bear Workshop, Inc. | 9,573 | ||||||
760 | Burlington Stores, Inc.* | 103,535 | ||||||
2,280 | Caleres, Inc. | 59,827 | ||||||
2,685 | CarMax, Inc.* | 242,939 | ||||||
155 | Carvana Co.*^ | 3,500 | ||||||
1,987 | Cato Corp., Class A | 23,069 | ||||||
7,822 | Chico’s FAS, Inc.* | 38,875 | ||||||
566 | Citi Trends, Inc.*^ | 13,386 | ||||||
1,572 | Conn’s, Inc.*^ | 12,608 | ||||||
3,425 | Designer Brands, Inc., Class A | 44,731 | ||||||
2,039 | Dick’s Sporting Goods, Inc.^ | 153,679 | ||||||
1,082 | Five Below, Inc.* | 122,731 | ||||||
2,136 | Floor & Decor Holdings, Inc., Class A* | 134,483 | ||||||
3,374 | Foot Locker, Inc. | 85,194 | ||||||
8,563 | Gap, Inc. (The) | 70,559 | ||||||
435 | Genesco, Inc.* | 21,711 | ||||||
630 | Group 1 Automotive, Inc. | 106,974 | ||||||
2,846 | Guess?, Inc. | 48,524 | ||||||
583 | Haverty Furniture Cos., Inc. | 13,514 | ||||||
499 | Hibbett, Inc. | 21,811 | ||||||
7,303 | Home Depot, Inc. (The) | 2,002,994 | ||||||
2,840 | Leslie’s, Inc.* | 43,111 | ||||||
717 | Lithia Motors, Inc. | 197,039 | ||||||
4,751 | Lowe’s Cos., Inc. | 829,857 | ||||||
527 | MarineMax, Inc.* | 19,035 | ||||||
751 | Monro, Inc. | 32,203 | ||||||
777 | Murphy U.S.A., Inc. | 180,940 | ||||||
1,200 | National Vision Holdings, Inc.* | 33,000 | ||||||
1,542 | ODP Corp. (The)* | 46,630 | ||||||
465 | O’Reilly Automotive, Inc.* | 293,768 | ||||||
1,891 | Penske Automotive Group, Inc. | 197,969 | ||||||
1,792 | Rent-A-Center, Inc. | 34,854 | ||||||
426 | RH* | 90,423 | ||||||
4,943 | Ross Stores, Inc. | 347,147 | ||||||
1,832 | Sally Beauty Holdings, Inc.* | 21,837 |
See accompanying notes to the financial statements.
19
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
1,200 | Shoe Carnival, Inc. | $ | 25,932 | |||||
1,393 | Signet Jewelers, Ltd. | 74,470 | ||||||
472 | Sleep Number Corp.* | 14,608 | ||||||
844 | Sonic Automotive, Inc., Class A | 30,916 | ||||||
1,606 | Sportsman’s Warehouse Holdings, Inc.* | 15,402 | ||||||
1,722 | The Buckle, Inc. | 47,682 | ||||||
501 | The Children’s Place, Inc.* | 19,499 | ||||||
854 | Tilly’s, Inc. | 5,995 | ||||||
10,789 | TJX Cos., Inc. (The) | 602,566 | ||||||
1,642 | Tractor Supply Co. | 318,302 | ||||||
792 | Ulta Beauty, Inc.* | 305,300 | ||||||
2,187 | Urban Outfitters, Inc.* | 40,809 | ||||||
594 | Victoria’s Secret & Co.* | 16,614 | ||||||
1,871 | Williams-Sonoma, Inc. | 207,588 | ||||||
75 | Winmark Corp. | 14,668 | ||||||
729 | Zumiez, Inc.* | 18,954 | ||||||
|
| |||||||
8,914,054 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (5.3%): | ||||||||
2,378 | 3D Systems Corp.* | 23,067 | ||||||
138,999 | Apple, Inc. | 19,003,943 | ||||||
728 | AstroNova, Inc.* | 8,721 | ||||||
1,682 | Avid Technology, Inc.* | 43,648 | ||||||
4,284 | Dell Technologies, Inc., Class C | 197,964 | ||||||
15,707 | Hewlett Packard Enterprise Co. | 208,275 | ||||||
10,874 | HP, Inc. | 356,450 | ||||||
4,627 | NCR Corp.* | 143,946 | ||||||
2,576 | NetApp, Inc. | 168,058 | ||||||
4,094 | Pure Storage, Inc., Class A* | 105,257 | ||||||
2,694 | Seagate Technology Holdings plc | 192,459 | ||||||
1,794 | Stratasys, Ltd.* | 33,620 | ||||||
401 | Super Micro Computer, Inc.* | 16,180 | ||||||
4,585 | Western Digital Corp.* | 205,545 | ||||||
4,758 | Xerox Holdings Corp. | 70,656 | ||||||
|
| |||||||
20,777,789 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.8%): | ||||||||
3,367 | Capri Holdings, Ltd.* | 138,081 | ||||||
1,250 | Carter’s, Inc. | 88,100 | ||||||
1,677 | Columbia Sportswear Co. | 120,040 | ||||||
1,057 | Crocs, Inc.* | 51,444 | ||||||
810 | Culp, Inc. | 3,483 | ||||||
624 | Deckers Outdoor Corp.* | 159,338 | ||||||
1,494 | Fossil Group, Inc.* | 7,724 | ||||||
2,480 | G-III Apparel Group, Ltd.* | 50,170 | ||||||
9,857 | Hanesbrands, Inc. | 101,428 | ||||||
1,206 | Kontoor Brands, Inc. | 40,244 | ||||||
1,887 | Levi Strauss & Co. | 30,796 | ||||||
898 | Lululemon Athletica, Inc.* | 244,804 | ||||||
1,088 | Movado Group, Inc. | 33,652 | ||||||
10,496 | NIKE, Inc., Class B | 1,072,691 | ||||||
405 | Oxford Industries, Inc. | 35,940 | ||||||
1,441 | PVH Corp. | 81,993 | ||||||
1,225 | Ralph Lauren Corp. | 109,821 | ||||||
570 | Rocky Brands, Inc. | 19,483 | ||||||
3,202 | Skechers U.S.A., Inc., Class A* | 113,927 | ||||||
1,560 | Steven Madden, Ltd. | 50,247 | ||||||
700 | Superior Group of Cos., Inc. | 12,425 | ||||||
6,144 | Tapestry, Inc. | 187,515 | ||||||
3,369 | Under Armour, Inc., Class A* | 28,064 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
3,746 | Under Armour, Inc., Class C* | $ | 28,395 | |||||
1,027 | Unifi, Inc.* | 14,440 | ||||||
802 | Vera Bradley, Inc.* | 3,481 | ||||||
3,169 | VF Corp. | 139,975 | ||||||
1,153 | Wolverine World Wide, Inc. | 23,244 | ||||||
|
| |||||||
2,990,945 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.5%): | ||||||||
1,866 | Axos Financial, Inc.* | 66,896 | ||||||
1,591 | BankFinancial Corp. | 14,939 | ||||||
3,362 | Capitol Federal Financial, Inc. | 30,863 | ||||||
2,223 | Columbia Financial, Inc.* | 48,484 | ||||||
855 | ESSA Bancorp, Inc. | 14,364 | ||||||
3,469 | Essent Group, Ltd. | 134,944 | ||||||
403 | Federal Agricultural Mortgage Corp. | 39,353 | ||||||
408 | First Capital, Inc. | 11,053 | ||||||
1,989 | Flagstar Bancorp, Inc. | 70,510 | ||||||
8 | Greene County Bancorp, Inc. | 362 | ||||||
62 | Hingham Institution for Savings (The) | 17,594 | ||||||
628 | HomeStreet, Inc. | 21,773 | ||||||
413 | IF Bancorp, Inc. | 7,847 | ||||||
2,442 | Kearny Financial Corp. | 27,131 | ||||||
1,249 | Kentucky First Federal Bancorp | 9,954 | ||||||
750 | Lake Shore Bancorp, Inc. | 10,500 | ||||||
194 | LendingTree, Inc.* | 8,501 | ||||||
1,240 | Meta Financial Group, Inc. | 47,951 | ||||||
10,413 | MGIC Investment Corp. | 131,204 | ||||||
2,681 | Mr Cooper Group, Inc.* | 98,500 | ||||||
11,597 | New York Community Bancorp, Inc. | 105,881 | ||||||
2,461 | NMI Holdings, Inc., Class A* | 40,976 | ||||||
1,501 | Northfield Bancorp, Inc. | 19,558 | ||||||
3,456 | Northwest Bancshares, Inc. | 44,237 | ||||||
1,932 | Oceanfirst Financial Corp. | 36,959 | ||||||
503 | Oconee Federal Financial Corp. | 11,116 | ||||||
465 | Ocwen Financial Corp.* | 12,741 | ||||||
1,203 | PennyMac Financial Services, Inc. | 52,583 | ||||||
1,369 | Premier Financial Corp. | 34,704 | ||||||
679 | Provident Financial Holdings, Inc. | 10,070 | ||||||
2,256 | Provident Financial Services, Inc. | 50,218 | ||||||
5,556 | Radian Group, Inc. | 109,175 | ||||||
420 | Riverview Bancorp, Inc. | 2,764 | ||||||
4,694 | Rocket Cos., Inc., Class A^ | 34,548 | ||||||
561 | Southern Missouri Bancorp, Inc. | 25,391 | ||||||
1,764 | Sterling Bancorp, Inc.* | 10,055 | ||||||
733 | Territorial Bancorp, Inc. | 15,283 | ||||||
4,281 | TFS Financial Corp. | 58,778 | ||||||
559 | TrustCo Bank Corp. NY | 17,239 | ||||||
1,074 | Walker & Dunlop, Inc. | 103,469 | ||||||
2,436 | Washington Federal, Inc. | 73,129 | ||||||
728 | Waterstone Financial, Inc. | 12,412 | ||||||
1,498 | Western New England BanCorp, Inc. | 11,175 | ||||||
1,909 | WSFS Financial Corp. | 76,532 | ||||||
|
| |||||||
1,781,716 | ||||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
12,442 | Altria Group, Inc. | 519,702 | ||||||
10,451 | Philip Morris International, Inc. | 1,031,932 | ||||||
518 | Universal Corp. | 31,339 | ||||||
3,098 | Vector Group, Ltd. | 32,529 | ||||||
|
| |||||||
1,615,502 | ||||||||
|
|
See accompanying notes to the financial statements.
20
AZL DFA U.S. Core Equity Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (0.7%): | ||||||||
3,334 | Air Lease Corp. | $ | 111,456 | |||||
948 | Applied Industrial Technologies, Inc. | 91,169 | ||||||
2,106 | Beacon Roofing Supply, Inc.* | 108,164 | ||||||
1,071 | Boise Cascade Co. | 63,714 | ||||||
644 | DXP Enterprises, Inc.* | 19,726 | ||||||
7,240 | Fastenal Co. | 361,421 | ||||||
876 | GATX Corp. | 82,484 | ||||||
977 | Global Industrial Co. | 32,993 | ||||||
1,243 | GMS, Inc.* | 55,313 | ||||||
1,047 | H&E Equipment Services, Inc. | 30,332 | ||||||
958 | Herc Holdings, Inc. | 86,364 | ||||||
870 | Kaman Corp., Class A | 27,188 | ||||||
2,381 | MRC Global, Inc.* | 23,715 | ||||||
1,149 | MSC Industrial Direct Co., Inc. | 86,301 | ||||||
3,189 | NOW, Inc.* | 31,188 | ||||||
1,547 | Rush Enterprises, Inc., Class A | 74,565 | ||||||
365 | Rush Enterprises, Inc., Class B | 18,108 | ||||||
1,003 | SiteOne Landscape Supply, Inc.* | 119,227 | ||||||
1,757 | Textainer Group Holdings, Ltd. | 48,159 | ||||||
651 | Titan Machinery, Inc.* | 14,589 | ||||||
173 | Transcat, Inc.* | 9,828 | ||||||
2,472 | Triton International, Ltd. | 130,151 | ||||||
1,712 | United Rentals, Inc.* | 415,862 | ||||||
3,997 | Univar Solutions, Inc.* | 99,405 | ||||||
1,184 | Veritiv Corp.* | 128,523 | ||||||
744 | W.W. Grainger, Inc. | 338,096 | ||||||
662 | Watsco, Inc. | 158,099 | ||||||
84 | Watsco, Inc., Class B | 19,874 | ||||||
1,396 | WESCO International, Inc.* | 149,512 | ||||||
|
| |||||||
2,935,526 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
830 | American States Water Co. | 67,653 | ||||||
1,750 | American Water Works Co., Inc. | 260,348 | ||||||
491 | Artesian Resources Corp. | 24,142 | ||||||
1,107 | California Water Service Group | 61,494 | ||||||
2,315 | Essential Utilities, Inc. | 106,143 | ||||||
355 | Middlesex Water Co. | 31,126 | ||||||
669 | Pure Cycle Corp.* | 7,051 | ||||||
498 | SJW Group | 31,080 | ||||||
372 | York Water Co. (The) | 15,040 | ||||||
|
| |||||||
604,077 | ||||||||
|
|
Shares or Principal Amount | Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services (0.2%): | ||||||||
2,565 | Gogo, Inc.* | $ | 41,527 | |||||
1,333 | Shenandoah Telecommunications Co. | 29,593 | ||||||
1,649 | Spok Holdings, Inc. | 10,389 | ||||||
2,954 | Telephone & Data Systems, Inc. | 46,644 | ||||||
6,034 | T-Mobile US, Inc.* | 811,814 | ||||||
1,151 | United States Cellular Corp.* | 33,333 | ||||||
|
| |||||||
973,300 | ||||||||
|
| |||||||
Total Common Stocks (Cost $253,033,170) | 387,563,078 | |||||||
|
| |||||||
Preferred Stock (0.1%): | ||||||||
Trading Companies & Distributors (0.1%): | ||||||||
1,076 | WESCO International, Inc., Series A | 29,504 | ||||||
|
| |||||||
Total Preferred Stock (Cost $28,514) | 29,504 | |||||||
|
| |||||||
Rights (0.0%†): | ||||||||
Biotechnology (0.0%†): | ||||||||
3,743 | Achillion Pharm CVR, Expires on 1/29/49* | 5,427 | ||||||
|
| |||||||
Health Care (0.0%†): | ||||||||
1,297 | Zogenix, Inc. CVR, Expires on 1/1/25*(a) | 882 | ||||||
|
| |||||||
Household Durables (0.0%†): | ||||||||
1,918 | Zagg, Inc. CVR, Expires on 1/2/49*(a) | 173 | ||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
79 | Communications Systems I CVR, Expires on 1/1/29* | — | ||||||
|
| |||||||
Total Rights (Cost $173) | 6,482 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.4%): | ||||||||
1,623,672 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(b)(c) | 1,623,672 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 1,623,672 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
1,648,374 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 1,648,374 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $1,648,374) | 1,648,374 | |||||||
|
| |||||||
Total Investment Securities (Cost $256,333,903) — 100.5% | 390,871,110 | |||||||
Net other assets (liabilities) — (0.5)% | (1,772,683 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 389,098,427 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
CVR—Contingency Valued Rights
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $1,536,030. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. The total of all such securities represent 0.01% of the net assets of the fund. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
See accompanying notes to the financial statements.
21
AZL DFA U.S. Core Equity Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 256,333,903 | |||
|
| ||||
Investment securities, at value(a) | $ | 390,871,110 | |||
Interest and dividends receivable | 272,151 | ||||
Receivable for investments sold | 110,307 | ||||
Reclaims receivable | 2,647 | ||||
Prepaid expenses | 1,209 | ||||
|
| ||||
Total Assets | 391,257,424 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 7,298 | ||||
Payable for investments purchased | 201,491 | ||||
Payable for collateral received on loaned securities | 1,623,672 | ||||
Manager fees payable | 179,104 | ||||
Administration fees payable | 50,138 | ||||
Distribution fees payable | 82,918 | ||||
Custodian fees payable | 1,144 | ||||
Administrative and compliance services fees payable | 452 | ||||
Transfer agent fees payable | 969 | ||||
Trustee fees payable | 3,841 | ||||
Other accrued liabilities | 7,970 | ||||
|
| ||||
Total Liabilities | 2,158,997 | ||||
|
| ||||
Net Assets | $ | 389,098,427 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 186,457,492 | |||
Total distributable earnings | 202,640,935 | ||||
|
| ||||
Net Assets | $ | 389,098,427 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 28,345,618 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.73 | |||
|
|
(a) | Includes securities on loan of $1,536,030. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,532,011 | |||
Income from securities lending | 2,282 | ||||
Foreign withholding tax | (1,128 | ) | |||
|
| ||||
Total Investment Income | 3,533,165 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,777,935 | ||||
Administration fees | 51,107 | ||||
Distribution fees | 555,604 | ||||
Custodian fees | 5,168 | ||||
Administrative and compliance services fees | 2,781 | ||||
Transfer agent fees | 2,856 | ||||
Trustee fees | 10,993 | ||||
Professional fees | 8,885 | ||||
Shareholder reports | 2,888 | ||||
Other expenses | 5,267 | ||||
|
| ||||
Total expenses before reductions | 2,423,484 | ||||
Less Management fees contractually waived | (577,830 | ) | |||
|
| ||||
Net Expenses | 1,845,654 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,687,511 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 12,834,784 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (105,666,889 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (92,832,105 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (91,144,594 | ) | ||
|
|
See accompanying notes to the financial statements.
22
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,687,511 | $ | 3,094,263 | ||||||
Net realized gains/(losses) on investments | 12,834,784 | 52,255,025 | ||||||||
Change in unrealized appreciation/depreciation on investments | (105,666,889 | ) | 62,514,091 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (91,144,594 | ) | 117,863,379 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (42,256,910 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (42,256,910 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 457,484 | 38,872,269 | ||||||||
Proceeds from dividends reinvested | — | 42,256,910 | ||||||||
Value of shares redeemed | (24,145,520 | ) | (131,585,201 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (23,688,036 | ) | (50,456,022 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (114,832,630 | ) | 25,150,447 | |||||||
Net Assets: | ||||||||||
Beginning of period | 503,931,057 | 478,780,610 | ||||||||
|
|
|
| |||||||
End of period | $ | 389,098,427 | $ | 503,931,057 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 29,683 | 2,341,451 | ||||||||
Dividends reinvested | — | 2,693,238 | ||||||||
Shares redeemed | (1,487,354 | ) | (7,999,959 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,457,671 | ) | (2,965,270 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
23
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.91 | $ | 14.61 | $ | 13.53 | $ | 11.32 | $ | 12.76 | $ | 10.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | (a) | 0.11 | (a) | 0.12 | (a) | 0.13 | (a) | 0.16 | 0.15 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.24 | ) | 3.76 | 2.13 | 3.08 | (1.06 | ) | 2.04 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (3.18 | ) | 3.87 | 2.25 | 3.21 | (0.90 | ) | 2.19 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.16 | ) | (0.15 | ) | (0.15 | ) | (0.14 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.41 | ) | (1.01 | ) | (0.85 | ) | (0.39 | ) | (0.03 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.57 | ) | (1.17 | ) | (1.00 | ) | (0.54 | ) | (0.17 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.73 | $ | 16.91 | $ | 14.61 | $ | 13.53 | $ | 11.32 | $ | 12.76 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (18.81 | )%(c) | 27.31 | % | 17.70 | % | 29.36 | % | (7.52 | )% | 20.45 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 389,098 | $ | 503,931 | $ | 478,781 | $ | 496,318 | $ | 463,537 | $ | 584,221 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.76 | % | 0.64 | % | 0.95 | % | 1.03 | % | 1.00 | % | 1.02 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.09 | % | 1.10 | % | 1.11 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.83 | % | 0.84 | % | 0.85 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||||||||
Portfolio Turnover Rate | 2 | %(c) | 9 | % | 11 | % | 4 | % | 4 | % | 2 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
24
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Core Equity Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust,
25
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $249 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,623,672 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA U.S. Core Equity Fund | 0.80 | % | 1.20 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.54% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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 Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
26
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 387,539,835 | $ | — | $ | 23,243 | $ | 387,563,078 | ||||||||||||
Preferred Stock+ | 29,504 | — | — | 29,504 | ||||||||||||||||
Rights+ | — | 5,427 | 1,055 | 6,482 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 1,623,672 | — | — | 1,623,672 | ||||||||||||||||
Unaffiliated Investment Company | 1,648,374 | — | — | 1,648,374 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | $ | 390,841,385 | $ | 5,427 | $ | 24,298 | $ | 390,871,110 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA U.S. Core Equity Fund | $ | 8,919,733 | $ | 30,247,667 |
27
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Value Stocks Risk: Value stocks may perform differently from the market as a whole and following a value-oriented investment strategy may cause the Fund to at times underperform equity funds that use other investment strategies.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $267,288,229. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 256,942,899 | ||
Unrealized (depreciation) | (17,760,388 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 239,182,511 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 5,012,752 | $ | 37,244,158 | $ | 42,256,910 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA U.S. Core Equity Fund | $ | 3,464,909 | $ | 51,138,109 | $ | — | $ | 239,182,511 | $ | 293,785,529 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, return of capital from underlying investments and other miscellaneous differences. |
28
AZL DFA U.S. Core Equity Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
29
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
30
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
31
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® DFA U.S. Small Cap Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 19 |
Page 19 |
Statements of Changes in Net Assets Page 20 |
Page 21 |
Notes to the Financial Statements Page 22 |
Page 26 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 27 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL DFA U.S. Small Cap Fund
(Unaudited)
As a shareholder of the AZL DFA U.S. Small Cap Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 818.10 | $ | 4.55 | 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 1,000.00 | $ | 1,019.79 | $ | 5.06 | 1.01 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 20.6 | % | |||
Industrials | 18.8 | ||||
Health Care | 12.3 | ||||
Information Technology | 12.0 | ||||
Consumer Discretionary | 11.3 | ||||
Materials | 6.7 | ||||
Energy | 6.7 | ||||
Consumer Staples | 4.5 | ||||
Utilities | 3.6 | ||||
Communication Services | 2.5 | ||||
Real Estate | 0.8 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.8 | ||||
Rights | — | † | |||
Short-Term Security Held as Collateral for Securities on Loan | 0.6 | ||||
Unaffiliated Investment Company | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
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† | Represents less than 0.05%. |
1
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.7%): | ||||||||
Aerospace & Defense (1.2%): | ||||||||
2,230 | AAR Corp.* | $ | 93,303 | |||||
4,501 | Aerojet Rocketdyne Holdings, Inc.* | 182,741 | ||||||
1,828 | AeroVironment, Inc.* | 150,262 | ||||||
2,615 | Astronics Corp.* | 26,594 | ||||||
392 | Astronics Corp., Class B* | 3,767 | ||||||
2,196 | BWX Technologies, Inc. | 120,978 | ||||||
1,113 | Curtiss-Wright Corp. | 146,983 | ||||||
766 | Ducommun, Inc.* | 32,969 | ||||||
2,314 | Hexcel Corp. | 121,045 | ||||||
3,376 | Innovative Solutions & Support, Inc.* | 24,307 | ||||||
6,280 | Kratos Defense & Security Solutions, Inc.* | 87,166 | ||||||
1,825 | Maxar Technologies, Inc. | 47,614 | ||||||
1,336 | Mercury Systems, Inc.* | 85,945 | ||||||
1,513 | Moog, Inc., Class A | 120,117 | ||||||
516 | National Presto Industries, Inc. | 33,870 | ||||||
2,564 | Park Aerospace Corp., Class C | 32,717 | ||||||
1,291 | Parsons Corp.* | 52,182 | ||||||
759 | Vectrus, Inc.* | 25,396 | ||||||
|
| |||||||
1,387,956 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
738 | Air T, Inc. | 12,148 | ||||||
5,302 | Air Transport Services Group, Inc.* | 152,326 | ||||||
743 | Atlas Air Worldwide Holdings, Inc.* | 45,851 | ||||||
1,567 | Forward Air Corp. | 144,101 | ||||||
242 | GXO Logistics, Inc.* | 10,471 | ||||||
1,957 | Hub Group, Inc., Class A* | 138,830 | ||||||
5,212 | Radiant Logistics, Inc.* | 38,673 | ||||||
1,561 | XPO Logistics, Inc.* | 75,178 | ||||||
|
| |||||||
617,578 | ||||||||
|
| |||||||
Airlines (0.7%): | ||||||||
7,882 | Alaska Air Group, Inc.* | 315,674 | ||||||
1,401 | Allegiant Travel Co.* | 158,439 | ||||||
899 | Copa Holdings SA, Class A* | 56,970 | ||||||
3,192 | Hawaiian Holdings, Inc.* | 45,678 | ||||||
12,473 | JetBlue Airways Corp.* | 104,399 | ||||||
2,017 | SkyWest, Inc.* | 42,861 | ||||||
4,325 | Spirit Airlines, Inc.* | 103,108 | ||||||
|
| |||||||
827,129 | ||||||||
|
| |||||||
Auto Components (1.2%): | ||||||||
4,444 | Adient plc* | 131,676 | ||||||
4,351 | American Axle & Manufacturing Holdings, Inc.* | 32,763 | ||||||
151 | Autoliv, Inc. | 10,807 | ||||||
2,031 | Cooper-Standard Holdings, Inc.* | 10,135 | ||||||
7,251 | Dana, Inc. | 102,022 | ||||||
1,611 | Dorman Products, Inc.* | 176,743 | ||||||
2,028 | Fox Factory Holding Corp.* | 163,335 | ||||||
570 | Gentex Corp. | 15,943 | ||||||
1,825 | Gentherm, Inc.* | 113,898 | ||||||
14,426 | Goodyear Tire & Rubber Co. (The)* | 154,502 | ||||||
1,306 | LCI Industries | 146,115 | ||||||
4,052 | Modine Manufacturing Co.* | 42,668 | ||||||
1,911 | Motorcar Parts of America, Inc.* | 25,072 | ||||||
928 | Patrick Industries, Inc. | 48,107 | ||||||
1,385 | Standard Motor Products, Inc. | 62,311 | ||||||
1,639 | Stoneridge, Inc.* | 28,109 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
1,139 | Tenneco, Inc.* | $ | 19,545 | |||||
1,448 | Visteon Corp.* | 149,984 | ||||||
|
| |||||||
1,433,735 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
4,267 | Harley-Davidson, Inc. | 135,093 | ||||||
948 | Thor Industries, Inc. | 70,844 | ||||||
1,823 | Winnebago Industries, Inc. | 88,525 | ||||||
|
| |||||||
294,462 | ||||||||
|
| |||||||
Banks (11.9%): | ||||||||
1,184 | 1st Source Corp. | 53,754 | ||||||
410 | ACNB Corp. | 12,173 | ||||||
880 | Allegiance Bancshares, Inc. | 33,229 | ||||||
600 | Amalgamated Financial Corp. | 11,868 | ||||||
846 | Amerant Bancorp, Inc. | 23,790 | ||||||
939 | American National Bankshares, Inc. | 32,499 | ||||||
4,283 | Ameris Bancorp | 172,091 | ||||||
1,149 | Ames National Corp. | 25,485 | ||||||
981 | Arrow Financial Corp. | 31,206 | ||||||
9,622 | Associated Banc-Corp. | 175,698 | ||||||
4,960 | Atlantic Union Bankshares Corp. | 168,243 | ||||||
13 | Auburn National BanCorp, Inc. | 352 | ||||||
3,921 | Banc of California, Inc. | 69,088 | ||||||
1,785 | BancFirst Corp. | 170,842 | ||||||
3,525 | Bancorp, Inc. (The)* | 68,808 | ||||||
2,673 | Bank of Hawaii Corp. | 198,871 | ||||||
1,191 | Bank of Marin Bancorp | 37,850 | ||||||
2,482 | Bank of NT Butterfield & Son, Ltd. (The) | 77,414 | ||||||
485 | Bank of South Carolina Corp. | 8,439 | ||||||
6,495 | Bank OZK | 243,757 | ||||||
4,416 | BankUnited, Inc. | 157,077 | ||||||
2,207 | Banner Corp. | 124,055 | ||||||
872 | Bar Harbor Bankshares | 22,550 | ||||||
1,217 | Baycom Corp. | 25,168 | ||||||
595 | BCB Bancorp, Inc. | 10,133 | ||||||
2,938 | Berkshire Hills Bancorp, Inc. | 72,774 | ||||||
2,703 | BOK Financial Corp. | 204,293 | ||||||
3,537 | Brookline Bancorp, Inc. | 47,077 | ||||||
667 | Business First Bancshares, Inc. | 14,214 | ||||||
2,546 | Byline BanCorp, Inc. | 60,595 | ||||||
227 | C&F Financial Corp. | 10,435 | ||||||
10,228 | Cadence Bank | 240,153 | ||||||
436 | Cambridge Bancorp | 36,057 | ||||||
1,059 | Camden National Corp. | 46,649 | ||||||
1,471 | Capital City Bank Group, Inc. | 41,026 | ||||||
700 | Capstar Financial Holdings, Inc. | 13,734 | ||||||
3,988 | Cathay General Bancorp | 156,130 | ||||||
1,646 | CBTX, Inc. | 43,767 | ||||||
1,822 | Central Pacific Financial Corp. | 39,082 | ||||||
1,141 | Central Valley Community Bancorp | 16,544 | ||||||
668 | Chemung Financial Corp. | 31,396 | ||||||
1,509 | Citizens & Northern Corp. | 36,473 | ||||||
718 | Citizens Holding Co. | 13,139 | ||||||
798 | City Holding Co. | 63,744 | ||||||
822 | Civista Bancshares, Inc. | 17,476 | ||||||
1,205 | CNB Financial Corp. | 29,149 | ||||||
271 | Coastal Financial Corp.* | 10,331 |
See accompanying notes to the financial statements.
2
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
85 | Codorus Valley Bancorp, Inc. | $ | 1,913 | |||||
56 | Colony Bankcorp, Inc. | 845 | ||||||
4,190 | Columbia Banking System, Inc. | 120,043 | ||||||
2,562 | Community Bank System, Inc. | 162,123 | ||||||
1,343 | Community Trust Bancorp, Inc. | 54,311 | ||||||
525 | Community West Bancshares | 7,513 | ||||||
2,115 | ConnectOne Bancorp, Inc. | 51,712 | ||||||
2,253 | CrossFirst Bankshares, Inc.* | 29,740 | ||||||
256 | Cullen/Frost Bankers, Inc. | 29,811 | ||||||
2,120 | Customers Bancorp, Inc.* | 71,868 | ||||||
6,743 | CVB Financial Corp. | 167,294 | ||||||
2,220 | Dime Community Bancshares, Inc. | 65,823 | ||||||
609 | Eagle Bancorp Montana, Inc. | 12,125 | ||||||
1,599 | Eagle Bancorp, Inc. | 75,809 | ||||||
2,149 | Enterprise Financial Services Corp. | 89,183 | ||||||
924 | Equity Bancshares, Inc. | 26,944 | ||||||
534 | Evans Bancorp, Inc. | 18,151 | ||||||
16,632 | F.N.B. Corp. | 180,624 | ||||||
2,582 | Farmers National Banc Corp. | 38,730 | ||||||
2,391 | FB Financial Corp. | 93,775 | ||||||
1,248 | Financial Institutions, Inc. | 32,473 | ||||||
10,810 | First BanCorp | 139,557 | ||||||
1,106 | First Bancorp, Inc. (The) | 33,324 | ||||||
1,761 | First Bancorp/Southern Pines NC | 61,459 | ||||||
1,053 | First Bancshares, Inc. (The) | 30,116 | ||||||
2,776 | First Busey Corp. | 63,432 | ||||||
940 | First Business Financial Services, Inc. | 29,319 | ||||||
4,622 | First Commonwealth Financial Corp. | 62,027 | ||||||
1,099 | First Community Bankshares | 32,322 | ||||||
4,894 | First Financial Bancorp | 94,944 | ||||||
3,009 | First Financial Bankshares, Inc. | 118,163 | ||||||
812 | First Financial Corp. | 36,134 | ||||||
1,717 | First Financial Northwest, Inc. | 26,682 | ||||||
2,543 | First Foundation, Inc. | 52,081 | ||||||
6,483 | First Hawaiian, Inc. | 147,229 | ||||||
402 | First Internet BanCorp | 14,802 | ||||||
4,476 | First Interstate BancSystem, Inc., Class A | 170,580 | ||||||
2,751 | First Merchants Corp. | 97,991 | ||||||
720 | First Mid Bancshares, Inc. | 25,682 | ||||||
1,367 | First of Long Island Corp. (The) | 23,963 | ||||||
84 | First Savings Financial Group, Inc. | 2,011 | ||||||
234 | First United Corp. | 4,390 | ||||||
908 | First US Bancshares, Inc. | 9,988 | ||||||
1,779 | Flushing Financial Corp. | 37,822 | ||||||
8,311 | Fulton Financial Corp. | 120,094 | ||||||
1,637 | German American Bancorp, Inc. | 55,953 | ||||||
5,467 | Glacier Bancorp, Inc. | 259,245 | ||||||
1,038 | Great Southern Bancorp, Inc. | 60,785 | ||||||
440 | Guaranty Bancshares, Inc. | 15,950 | ||||||
4,491 | Hancock Whitney Corp. | 199,086 | ||||||
1,888 | Hanmi Financial Corp. | 42,367 | ||||||
3,865 | HarborOne Bancorp, Inc. | 53,298 | ||||||
45 | Hawthorn Bancshares, Inc. | 1,140 | ||||||
2,024 | Heartland Financial USA, Inc. | 84,077 | ||||||
2,153 | Heritage Financial Corp. | 54,169 | ||||||
4,406 | Hertiage Commerce Corp. | 47,100 | ||||||
4,106 | Hilltop Holdings, Inc. | 109,466 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
8,713 | Home Bancshares, Inc. | $ | 180,969 | |||||
1,139 | Hometrust Bancshares, Inc. | 28,475 | ||||||
5,930 | Hope BanCorp, Inc. | 82,071 | ||||||
3,456 | Horizon Bancorp, Inc. | 60,204 | ||||||
2,325 | Independent Bank Corp. | 184,675 | ||||||
2,159 | Independent Bank Group, Inc. | 146,618 | ||||||
3,151 | International Bancshares Corp. | 126,292 | ||||||
4,232 | Lakeland Bancorp, Inc. | 61,872 | ||||||
1,317 | Lakeland Financial Corp. | 87,475 | ||||||
950 | Landmark Bancorp, Inc. | 24,073 | ||||||
1,512 | LCNB Corp. | 22,604 | ||||||
2,612 | Live Oak Bancshares, Inc. | 88,521 | ||||||
3,707 | Macatawa Bank Corp. | 32,770 | ||||||
1,159 | Mercantile Bank Corp. | 37,030 | ||||||
400 | Metropolitan Bank Holding Corp.* | 27,768 | ||||||
1,651 | Midland States BanCorp, Inc. | 39,690 | ||||||
1,041 | MidWestone Financial Group, Inc. | 30,939 | ||||||
300 | MVB Financial Corp. | 9,333 | ||||||
1,523 | National Bank Holdings Corp. | 58,285 | ||||||
769 | National Bankshares, Inc. | 24,147 | ||||||
2,224 | NBT Bancorp, Inc. | 83,600 | ||||||
974 | Nicolet Bankshares, Inc.* | 70,459 | ||||||
822 | Northeast Bank | 30,028 | ||||||
657 | Northrim Bancorp, Inc. | 26,451 | ||||||
609 | Norwood Financial Corp. | 14,774 | ||||||
2,428 | OFG Bancorp | 61,671 | ||||||
183 | Ohio Valley Banc Corp. | 5,523 | ||||||
14,709 | Old National Bancorp | 217,546 | ||||||
1,004 | Old Point Financial Corp. | 25,381 | ||||||
3,314 | Old Second Bancorp, Inc. | 44,341 | ||||||
1,182 | Origin Bancorp, Inc. | 45,862 | ||||||
1,208 | Orrstown Financial Services, Inc. | 29,197 | ||||||
4,752 | Pacific Premier Bancorp, Inc. | 138,948 | ||||||
6,187 | PacWest Bancorp | 164,945 | ||||||
534 | Park National Corp. | 64,747 | ||||||
1,636 | Parke Bancorp, Inc. | 34,291 | ||||||
1,140 | Peapack-Gladstone Financial Corp. | 33,858 | ||||||
952 | Penns Woods Bancorp, Inc. | 21,982 | ||||||
434 | Peoples Bancorp of North Carolina, Inc. | 11,787 | ||||||
2,085 | Peoples Bancorp, Inc. | 55,461 | ||||||
1,459 | Pinnacle Financial Partners, Inc. | 105,500 | ||||||
3,166 | Popular, Inc. | 243,560 | ||||||
977 | Preferred Bank Los Angeles | 66,456 | ||||||
2,309 | Primis Financial Corp. | 31,472 | ||||||
474 | Prosperity Bancshares, Inc. | 32,360 | ||||||
1,228 | QCR Holdings, Inc. | 66,300 | ||||||
351 | Rbb BanCorp | 7,255 | ||||||
2,844 | Renasant Corp. | 81,936 | ||||||
1,249 | Republic Bancorp, Inc., Class A | 60,264 | ||||||
6,466 | Republic First Bancorp, Inc.* | 24,635 | ||||||
2,122 | S&T Bancorp, Inc. | 58,206 | ||||||
320 | Salisbury Bancorp, Inc. | 15,110 | ||||||
2,295 | Sandy Spring Bancorp, Inc. | 89,666 | ||||||
579 | SB Financial Group, Inc. | 9,994 | ||||||
3,087 | Seacoast Banking Corp of Florida | 101,994 | ||||||
3,347 | ServisFirst Bancshares, Inc. | 264,145 | ||||||
1,438 | Shore Bancshares, Inc. | 26,603 |
See accompanying notes to the financial statements.
3
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
1,279 | Sierra Bancorp | $ | 27,793 | |||||
6,442 | Simmons First National Corp., Class A | 136,957 | ||||||
562 | Southern First Bancshares, Inc.* | 24,498 | ||||||
1,502 | Southside Bancshares, Inc. | 56,205 | ||||||
3,591 | SouthState Corp. | 277,046 | ||||||
1,444 | Stock Yards Bancorp, Inc. | 86,380 | ||||||
682 | Summit Financial Group, Inc. | 18,946 | ||||||
1,323 | Summit State Bank | 20,136 | ||||||
4,275 | Synovus Financial Corp. | 154,114 | ||||||
2,562 | Texas Capital Bancshares, Inc.* | 134,864 | ||||||
694 | Tompkins Financial Corp. | 50,037 | ||||||
3,635 | TowneBank | 98,690 | ||||||
1,824 | TriCo Bancshares | 83,247 | ||||||
1,397 | Triumph BanCorp, Inc.* | 87,396 | ||||||
3,236 | Trustmark Corp. | 94,459 | ||||||
2,644 | UMB Financial Corp. | 227,648 | ||||||
11,136 | Umpqua Holdings Corp. | 186,751 | ||||||
249 | Union Bankshares, Inc. | 6,511 | ||||||
450 | United Bancshares, Inc. | 12,807 | ||||||
7,271 | United Bankshares, Inc. | 254,994 | ||||||
5,096 | United Community Banks, Inc. | 153,848 | ||||||
916 | United Security Bancshares | 6,980 | ||||||
42 | Unity Bancorp, Inc. | 1,112 | ||||||
1,651 | Univest Financial Corp. | 42,001 | ||||||
21,320 | Valley National Bancorp | 221,941 | ||||||
1,563 | Veritex Holdings, Inc. | 45,733 | ||||||
1,097 | Washington Trust Bancorp | 53,062 | ||||||
5,812 | Webster Financial Corp. | 244,976 | ||||||
3,367 | WesBanco, Inc. | 106,768 | ||||||
1,569 | West BanCorp, Inc. | 38,189 | ||||||
1,354 | Westamerica BanCorp | 75,364 | ||||||
3,109 | Wintrust Financial Corp. | 249,186 | ||||||
|
| |||||||
14,044,994 | ||||||||
|
| |||||||
Beverages (0.4%): | ||||||||
36 | Boston Beer Co., Inc. (The), Class A* | 10,907 | ||||||
321 | Celsius Holdings, Inc.* | 20,948 | ||||||
507 | Coca-Cola Consolidated, Inc. | 285,897 | ||||||
1,140 | MGP Ingredients, Inc. | 114,103 | ||||||
1,268 | National Beverage Corp. | 62,056 | ||||||
3,800 | NewAge, Inc.* | 851 | ||||||
985 | Willamette Valley Vineyards, Inc.* | 6,176 | ||||||
|
| |||||||
500,938 | ||||||||
|
| |||||||
Biotechnology (3.4%): | ||||||||
1,733 | AC Immune SA* | 6,256 | ||||||
1,950 | ACADIA Pharmaceuticals, Inc.* | 27,476 | ||||||
3,308 | Adverum Biotechnologies, Inc.* | 3,970 | ||||||
3,984 | Aeglea BioTherapeutics, Inc.* | 2,012 | ||||||
3,040 | Agios Pharmaceuticals, Inc.* | 67,397 | ||||||
13,598 | Akebia Therapeutics, Inc.* | 4,801 | ||||||
2,076 | Akero Therapeutics, Inc.* | 19,618 | ||||||
1,262 | Albireo Pharma, Inc.* | 25,063 | ||||||
8,283 | Alkermes plc* | 246,751 | ||||||
2,613 | Allogene Therapeutics, Inc.* | 29,788 | ||||||
2,056 | AnaptysBio, Inc.* | 41,737 | ||||||
629 | Applied Therapeutics, Inc.* | 596 | ||||||
283 | Arcturus Therapeutics Holdings, Inc.* | 4,454 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
629 | Arcus Biosciences, Inc.* | $ | 15,939 | |||||
3,361 | Arcutis Biotherapeutics, Inc.* | 71,623 | ||||||
6,613 | Ardelyx, Inc.* | 3,901 | ||||||
4,656 | Atara Biotherapeutics, Inc.* | 36,270 | ||||||
2,342 | Atreca, Inc., Class A* | 4,192 | ||||||
2,657 | Avid Bioservices, Inc.* | 40,546 | ||||||
1,475 | Avidity Biosciences, Inc.* | 21,432 | ||||||
1,944 | Axcella Health, Inc.* | 3,946 | ||||||
926 | Bluebird Bio, Inc.* | 3,834 | ||||||
1,718 | Blueprint Medicines Corp.* | 86,776 | ||||||
2,880 | Cara Therapeutics, Inc.* | 26,294 | ||||||
1,034 | CareDx, Inc.* | 22,210 | ||||||
142 | CASI Pharmaceuticals, Inc.* | 406 | ||||||
606 | Castle Biosciences, Inc.* | 13,302 | ||||||
5,557 | Catalyst Pharmaceuticals, Inc.* | 38,955 | ||||||
236 | ChemoCentryx, Inc.* | 5,848 | ||||||
6,991 | Chimerix, Inc.* | 14,541 | ||||||
2,139 | Chinook Therapeutics, Inc.* | 37,411 | ||||||
3,561 | Concert Pharmaceuticals, Inc.* | 14,992 | ||||||
2,225 | Crinetics Pharmaceuticals, Inc.* | 41,496 | ||||||
893 | CRISPR Therapeutics AG* | 54,268 | ||||||
1,634 | Cue Biopharma, Inc.* | 4,069 | ||||||
2,539 | Cytomx Therapeutics, Inc.* | 4,646 | ||||||
1,720 | Deciphera Pharmaceuticals, Inc.* | 22,618 | ||||||
3,786 | Denali Therapeutics, Inc.* | 111,422 | ||||||
902 | Eagle Pharmaceuticals, Inc.* | 40,076 | ||||||
3,422 | Editas Medicine, Inc.* | 40,482 | ||||||
1,660 | Eiger BioPharmaceuticals, Inc.* | 10,458 | ||||||
2,263 | Emergent BioSolutions, Inc.* | 70,244 | ||||||
1,198 | Enanta Pharmaceuticals, Inc.* | 56,629 | ||||||
11,564 | Exelixis, Inc.* | 240,763 | ||||||
2,705 | G1 Therapeutics, Inc.*^ | 13,363 | ||||||
707 | Global Blood Therapeutics, Inc.* | 22,589 | ||||||
2,547 | Gritstone bio, Inc.* | 6,164 | ||||||
7,563 | Halozyme Therapeutics, Inc.* | 332,772 | ||||||
1,570 | Harpoon Therapeutics, Inc.* | 2,999 | ||||||
1,889 | Ideaya Biosciences, Inc.* | 26,068 | ||||||
196 | IGM Biosciences, Inc.* | 3,534 | ||||||
592 | ImmuCell Corp.* | 5,145 | ||||||
1,281 | Immunovant, Inc.* | 4,996 | ||||||
3,325 | Infinity Pharmaceuticals, Inc.* | 2,102 | ||||||
921 | Insmed, Inc.* | 18,162 | ||||||
3,348 | Intellia Therapeutics, Inc.* | 173,292 | ||||||
428 | Ionis Pharmaceuticals, Inc.* | 15,845 | ||||||
2,237 | Iovance Biotherapeutics, Inc.* | 24,697 | ||||||
9,160 | Ironwood Pharmaceuticals, Inc.* | 105,615 | ||||||
4,709 | IVERIC bio, Inc.* | 45,301 | ||||||
3,800 | Jounce Therapeutics, Inc.* | 11,514 | ||||||
856 | KalVista Pharmaceuticals, Inc.* | 8,423 | ||||||
606 | Karuna Therapeutics, Inc.* | 76,665 | ||||||
1,356 | Kezar Life Sciences, Inc.*^ | 11,214 | ||||||
514 | Kiniksa Pharmaceuticals, Ltd., Class A* | 4,981 | ||||||
1,081 | Krystal Biotech, Inc.* | 70,978 | ||||||
2,093 | Kura Oncology, Inc.* | 38,365 | ||||||
4,768 | Lexicon Pharmaceuticals, Inc.* | 8,868 | ||||||
830 | Ligand Pharmaceuticals, Inc.* | 74,053 | ||||||
3,472 | Macrogenics, Inc.* | 10,242 |
See accompanying notes to the financial statements.
4
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
493 | Madrigal Pharmaceuticals, Inc.* | $ | 35,289 | |||||
2,522 | Magenta Therapeutics, Inc.* | 3,026 | ||||||
900 | MediciNova, Inc.* | 2,277 | ||||||
2,101 | MeiraGTx Holdings plc* | 15,905 | ||||||
1,843 | Mersana Therapeutics, Inc.* | 8,515 | ||||||
123 | Mirati Therapeutics, Inc.* | 8,257 | ||||||
711 | Molecular Templates, Inc.* | 648 | ||||||
710 | Morphic Holding, Inc.* | 15,407 | ||||||
4,120 | Myriad Genetics, Inc.* | 74,860 | ||||||
326 | Nurix Therapeutics, Inc.* | 4,130 | ||||||
26,516 | OPKO Health, Inc.* | 67,085 | ||||||
14,857 | PDL BioPharma, Inc.* | 36,103 | ||||||
2,083 | Precision BioSciences, Inc.* | 3,333 | ||||||
2,098 | Protagonist Therapeutics, Inc.* | 16,595 | ||||||
2,444 | Prothena Corp. plc* | 66,355 | ||||||
1,221 | RAPT Therapeutics, Inc.* | 22,283 | ||||||
2,449 | REGENXBIO, Inc.* | 60,490 | ||||||
427 | Repare Therapeutics, Inc.* | 5,974 | ||||||
1,686 | Replimune Group, Inc.* | 29,471 | ||||||
667 | REVOLUTION Medicines, Inc.* | 13,000 | ||||||
1,106 | Rhythm Pharmaceuticals, Inc.*^ | 4,590 | ||||||
2,920 | Rocket Pharmaceuticals, Inc.* | 40,179 | ||||||
1,935 | Sage Therapeutics, Inc.* | 62,501 | ||||||
10,666 | Sangamo Therapeutics, Inc.* | 44,157 | ||||||
1,550 | Scholar Rock Holding Corp.* | 8,510 | ||||||
9,500 | Spectrum Pharmaceuticals, Inc.* | 7,410 | ||||||
1,478 | Spero Therapeutics, Inc.* | 1,095 | ||||||
1,098 | SpringWorks Therapeutics, Inc.* | 27,033 | ||||||
954 | Stoke Therapeutics, Inc.* | 12,602 | ||||||
1,866 | Surface Oncology, Inc.* | 3,060 | ||||||
1,873 | Sutro Biopharma, Inc.* | 9,758 | ||||||
2,101 | Syndax Pharmaceuticals, Inc.* | 40,423 | ||||||
1,755 | TCR2 Therapeutics, Inc.* | 5,090 | ||||||
2,757 | Travere Therapeutics, Inc.* | 66,802 | ||||||
533 | Turning Point Therapeutics, Inc.* | 40,108 | ||||||
1,741 | Ultragenyx Pharmaceutical, Inc.* | 103,868 | ||||||
303 | United Therapeutics Corp.* | 71,399 | ||||||
3,525 | Vanda Pharmaceuticals, Inc.* | 38,423 | ||||||
2,332 | Vaxart, Inc.* | 8,162 | ||||||
3,366 | VBI Vaccines, Inc.* | 2,721 | ||||||
8,204 | Verastem, Inc.* | 9,517 | ||||||
1,032 | Vericel Corp.* | 25,986 | ||||||
4,488 | Viking Therapeutics, Inc.* | 12,970 | ||||||
1,685 | Voyager Therapeutics, Inc.* | 9,958 | ||||||
3,464 | Xencor, Inc.* | 94,810 | ||||||
1,840 | Y-mAbs Therapeutics, Inc.* | 27,839 | ||||||
784 | Zentalis Pharmaceuticals, Inc.* | 22,030 | ||||||
|
| |||||||
4,047,459 | ||||||||
|
| |||||||
Building Products (1.4%): | ||||||||
2,833 | AAON, Inc. | 155,135 | ||||||
447 | Advanced Drainage Systems, Inc. | 40,261 | ||||||
824 | American Woodmark Corp.* | 37,088 | ||||||
1,202 | Apogee Enterprises, Inc. | 47,143 | ||||||
3,100 | Armstrong World Industries, Inc. | 232,376 | ||||||
1,277 | AZEK Co., Inc. (The)* | 21,377 | ||||||
3,446 | Cornerstone Building Brands, Inc.* | 84,393 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
815 | Csw Industrials, Inc. | $ | 83,970 | |||||
1,452 | Gibraltar Industries, Inc.* | 56,265 | ||||||
1,043 | Griffon Corp. | 29,235 | ||||||
1,762 | Insteel Industries, Inc. | 59,327 | ||||||
3,941 | JELD-WEN Holding, Inc.* | 57,499 | ||||||
871 | Masonite International Corp.* | 66,919 | ||||||
3,341 | PGT Innovations, Inc.* | 55,594 | ||||||
2,436 | Quanex Building Products Corp. | 55,419 | ||||||
3,705 | Resideo Technologies, Inc.* | 71,951 | ||||||
2,049 | Simpson Manufacturing Co., Inc. | 206,150 | ||||||
377 | Trex Co., Inc.* | 20,516 | ||||||
2,113 | UFP Industries, Inc. | 143,980 | ||||||
5,918 | Zurn Water Solutions Corp. | 161,206 | ||||||
|
| |||||||
1,685,804 | ||||||||
|
| |||||||
Capital Markets (1.9%): | ||||||||
2,587 | Affiliated Managers Group, Inc. | 301,644 | ||||||
3,495 | Artisan Partners Asset Management, Inc., Class A | 124,317 | ||||||
866 | Assetmark Financial Holdings, Inc.* | 16,255 | ||||||
16,135 | BGC Partners, Inc., Class A | 54,375 | ||||||
1,300 | Blucora, Inc.* | 23,998 | ||||||
2,455 | Brightsphere Investment Group, Inc. | 44,215 | ||||||
2,537 | Cohen & Steers, Inc. | 161,328 | ||||||
300 | Cowen, Inc., Class A | 7,107 | ||||||
239 | Diamond Hill Investment Group | 41,500 | ||||||
1,933 | Donnelley Financial Solutions, Inc.* | 56,618 | ||||||
4,076 | Federated Hermes, Inc., Class B | 129,576 | ||||||
989 | GAMCO Investors, Inc., Class A | 20,670 | ||||||
1,990 | Greenhill & Co., Inc. | 18,348 | ||||||
2,346 | Hamilton Lane, Inc. | 157,604 | ||||||
211 | Hennessy Advisors, Inc. | 2,203 | ||||||
2,282 | Houlihan Lokey, Inc. | 180,118 | ||||||
1,879 | Janus Henderson Group plc | 44,175 | ||||||
2,086 | Lazard, Ltd., Class A^ | 67,607 | ||||||
1,783 | Manning & Napier, Inc. | 22,234 | ||||||
3,118 | Moelis & Co., Class A | 122,693 | ||||||
1,743 | Open Lending Corp.* | 17,831 | ||||||
853 | Oppenheimer Holdings, Inc., Class A | 28,183 | ||||||
671 | Piper Sandler Cos. | 76,065 | ||||||
1,393 | PJT Partners, Inc. | 97,900 | ||||||
2,624 | Pzena Investment Management, Inc. | 17,292 | ||||||
3,824 | Safeguard Scientifics, Inc.* | 14,264 | ||||||
1,619 | Silvercrest Asset Management Group, Inc., Class A | 26,568 | ||||||
900 | Stifel Financial Corp. | 50,418 | ||||||
984 | StoneX Group, Inc.* | 76,821 | ||||||
207 | Value Line, Inc. | 13,672 | ||||||
5,549 | Virtu Financial, Inc., Class A | 129,902 | ||||||
411 | Virtus Investment Partners, Inc. | 70,289 | ||||||
1,478 | Westwood Holdings, Inc. | 20,396 | ||||||
10,429 | WisdomTree Investments, Inc. | 52,875 | ||||||
|
| |||||||
2,289,061 | ||||||||
|
| |||||||
Chemicals (3.5%): | ||||||||
1,064 | Advanced Emmissions Solutions* | 4,990 | ||||||
2,212 | AdvanSix, Inc. | 73,969 | ||||||
1,429 | Agrofresh Solutions, Inc.* | 2,558 | ||||||
2,805 | American Vanguard Corp. | 62,692 | ||||||
3,211 | Ashland Global Holdings, Inc. | 330,894 |
See accompanying notes to the financial statements.
5
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
4,798 | Avient Corp. | $ | 192,304 | |||||
1,100 | Axalta Coating Systems, Ltd.* | 24,321 | ||||||
2,148 | Balchem Corp. | 278,681 | ||||||
3,126 | Cabot Corp. | 199,408 | ||||||
639 | Chase Corp. | 49,721 | ||||||
8,634 | Chemours Co. (The) | 276,461 | ||||||
1,403 | Core Molding Technologies, Inc.* | 12,894 | ||||||
6,378 | Ecovyst, Inc. | 62,823 | ||||||
12,993 | Element Solutions, Inc. | 231,275 | ||||||
2,318 | Flotek Industries, Inc.* | 2,299 | ||||||
3,777 | Futurefuel Corp. | 27,497 | ||||||
570 | GCP Applied Technologies, Inc.* | 17,830 | ||||||
2,900 | H.B. Fuller Co. | 174,609 | ||||||
1,565 | Hawkins, Inc. | 56,387 | ||||||
2,564 | Huntsman Corp. | 72,689 | ||||||
1,866 | Ingevity Corp.* | 117,819 | ||||||
1,207 | Innospec, Inc. | 115,619 | ||||||
1,047 | Intrepid Potash, Inc.* | 47,419 | ||||||
1,147 | Koppers Holdings, Inc. | 25,968 | ||||||
5,083 | Kronos Worldwide, Inc. | 93,527 | ||||||
8,513 | Livent Corp.* | 193,160 | ||||||
5,685 | LSB Industries, Inc.* | 78,794 | ||||||
1,815 | Minerals Technologies, Inc. | 111,332 | ||||||
389 | NewMarket Corp. | 117,073 | ||||||
1,786 | Northern Technologies International Corp. | 16,699 | ||||||
3,614 | Olin Corp. | 167,256 | ||||||
2,431 | Orion Engineered Carbons SA | 37,753 | ||||||
241 | Quaker Chemical Corp. | 36,034 | ||||||
5,893 | Rayonier Advanced Materials, Inc.* | 15,440 | ||||||
362 | Scotts Miracle-Gro Co. (The) | 28,594 | ||||||
2,197 | Sensient Technologies Corp. | 176,990 | ||||||
1,187 | Stepan Co. | 120,302 | ||||||
2,589 | Tredegar Corp. | 25,890 | ||||||
2,135 | Trinseo PLC | 82,112 | ||||||
7,762 | Tronox Holdings plc, Class A | 130,402 | ||||||
8,685 | Valvoline, Inc. | 250,389 | ||||||
8,372 | Venator Materials plc* | 17,414 | ||||||
|
| |||||||
4,160,288 | ||||||||
|
| |||||||
Commercial Services & Supplies (2.1%): | ||||||||
4,794 | ABM Industries, Inc. | 208,156 | ||||||
7,062 | ACCO Brands Corp. | 46,115 | ||||||
675 | Acme United Corp. | 21,377 | ||||||
1,342 | ADT, Inc. | 8,253 | ||||||
2,694 | Brady Corp., Class A | 127,265 | ||||||
3,882 | BrightView Holdings, Inc.* | 46,584 | ||||||
3,444 | Brink’s Co. (The) | 209,085 | ||||||
2,801 | Casella Waste Systems, Inc.* | 203,577 | ||||||
4,565 | CECO Environmental Corp.* | 27,299 | ||||||
1,426 | Cimpress plc* | 55,471 | ||||||
436 | Civeo Corp.* | 11,279 | ||||||
2,550 | Clean Harbors, Inc.* | 223,559 | ||||||
325 | CompX International, Inc. | 7,537 | ||||||
1,356 | Deluxe Corp. | 29,385 | ||||||
2,494 | Ennis, Inc. | 50,454 | ||||||
3,751 | Healthcare Services Group, Inc. | 65,305 | ||||||
1,000 | Heritage-Crystal Clean, Inc.* | 26,960 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
2,059 | HNI Corp. | $ | 71,427 | |||||
1,677 | IAA, Inc.* | 54,955 | ||||||
3,774 | Interface, Inc. | 47,326 | ||||||
3,764 | KAR Auction Services, Inc.* | 55,594 | ||||||
2,673 | Kimball International, Inc., Class B | 20,502 | ||||||
1,775 | Matthews International Corp., Class A | 50,889 | ||||||
1,489 | McGrath Rentcorp | 113,164 | ||||||
3,964 | MillerKnoll, Inc. | 104,134 | ||||||
506 | MSA Safety, Inc. | 61,261 | ||||||
2,566 | NL Industries, Inc. | 25,326 | ||||||
2,198 | Perma-Fix Environmental Services, Inc.* | 11,408 | ||||||
10,503 | Pitney Bowes, Inc. | 38,021 | ||||||
5,379 | Quad Graphics, Inc.* | 14,792 | ||||||
1,749 | SP Plus Corp.* | 53,729 | ||||||
4,831 | Steelcase, Inc., Class A | 51,837 | ||||||
1,241 | Stericycle, Inc.* | 54,418 | ||||||
27 | Team, Inc.* | 20 | ||||||
308 | Tetra Tech, Inc. | 42,057 | ||||||
763 | UniFirst Corp. | 131,373 | ||||||
3,364 | Virco Manufacturing Co.* | 12,951 | ||||||
1,177 | Vse Corp. | 44,232 | ||||||
|
| |||||||
2,427,077 | ||||||||
|
| |||||||
Communications Equipment (1.0%): | ||||||||
2,622 | ADTRAN, Inc. | 45,964 | ||||||
1,444 | Applied Optoelectronics, Inc.* | 2,238 | ||||||
682 | Aviat Networks, Inc.* | 17,077 | ||||||
900 | BK Technologies Corp. | 2,385 | ||||||
3,195 | CalAmp Corp.* | 13,323 | ||||||
3,497 | Calix, Inc.* | 119,388 | ||||||
3,508 | Casa Systems, Inc.* | 13,786 | ||||||
980 | Clearfield, Inc.* | 60,711 | ||||||
1,300 | CommScope Holding Co., Inc.* | 7,956 | ||||||
1,983 | Comtech Telecommunications Corp. | 17,986 | ||||||
2,559 | Digi International, Inc.* | 61,979 | ||||||
1,222 | DZS, Inc.* | 19,882 | ||||||
3,157 | EMCORE Corp.* | 9,692 | ||||||
4,014 | Extreme Networks, Inc.* | 35,805 | ||||||
6,919 | Harmonic, Inc.* | 59,988 | ||||||
9,258 | Infinera Corp.* | 49,623 | ||||||
1,456 | InterDigital, Inc. | 88,525 | ||||||
2,325 | KVH Industries, Inc.* | 20,227 | ||||||
1,172 | Lantronix, Inc.* | 6,305 | ||||||
1,612 | Lumentum Holdings, Inc.* | 128,025 | ||||||
1,769 | NETGEAR, Inc.* | 32,762 | ||||||
4,188 | NetScout Systems, Inc.* | 141,764 | ||||||
2,391 | Network-1 Technologies, Inc. | 5,738 | ||||||
131 | Optical Cable Corp.* | 473 | ||||||
376 | Plantronics, Inc.* | 14,920 | ||||||
7,260 | Ribbon Communications, Inc.* | 22,070 | ||||||
3,617 | ViaSat, Inc.* | 110,789 | ||||||
9,904 | Viavi Solutions, Inc.* | 131,030 | ||||||
|
| |||||||
1,240,411 | ||||||||
|
| |||||||
Construction & Engineering (1.6%): | ||||||||
2,056 | Ameresco, Inc., Class A* | 93,671 | ||||||
6,231 | API Group Corp.* | 93,278 | ||||||
3,325 | Arcosa, Inc. | 154,380 |
See accompanying notes to the financial statements.
6
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
952 | Argan, Inc. | $ | 35,529 | |||||
1,799 | Comfort Systems USA, Inc. | 149,587 | ||||||
1,234 | Concrete Pumping Holdings, Inc.* | 7,478 | ||||||
999 | Construction Partners, Inc., Class A* | 20,919 | ||||||
1,242 | Dycom Industries, Inc.* | 115,556 | ||||||
1,063 | EMCOR Group, Inc. | 109,446 | ||||||
2,210 | Granite Construction, Inc. | 64,399 | ||||||
4,498 | Great Lakes Dredge & Dock Corp.* | 58,969 | ||||||
1,379 | IES Holdings, Inc.* | 41,604 | ||||||
1,827 | MasTec, Inc.* | 130,923 | ||||||
3,068 | Matrix Service Co.* | 15,524 | ||||||
869 | MYR Group, Inc.* | 76,585 | ||||||
879 | Northwest Pipe Co.* | 26,317 | ||||||
949 | NV5 Global, Inc.* | 110,786 | ||||||
5,203 | Orion Group Holdings, Inc.* | 11,863 | ||||||
1,563 | Primoris Services Corp. | 34,011 | ||||||
2,151 | Sterling Construction Co., Inc.* | 47,150 | ||||||
2,090 | Tutor Perini Corp.* | 18,350 | ||||||
1,133 | Valmont Industries, Inc. | 254,506 | ||||||
5,095 | WillScot Mobile Mini Holdings Corp.* | 165,180 | ||||||
|
| |||||||
1,836,011 | ||||||||
|
| |||||||
Construction Materials (0.3%): | ||||||||
1,908 | Eagle Materials, Inc. | 209,765 | ||||||
5,455 | Summit Materials, Inc., Class A* | 127,047 | ||||||
466 | U.S. Lime & Minerals, Inc. | 49,210 | ||||||
|
| |||||||
386,022 | ||||||||
|
| |||||||
Consumer Finance (1.0%): | ||||||||
1,070 | Atlanticus Holdings Corp.* | 37,632 | ||||||
1,688 | Consumer Portfolio Services, Inc.* | 17,302 | ||||||
3,041 | Curo Group Holdings Corp. | 16,817 | ||||||
1,249 | Encore Capital Group, Inc.* | 72,155 | ||||||
1,566 | Enova International, Inc.* | 45,132 | ||||||
5,775 | EZCORP, Inc., Class A* | 43,370 | ||||||
2,530 | FirstCash Holdings, Inc. | 175,860 | ||||||
2,615 | Green Dot Corp., Class A* | 65,663 | ||||||
6,374 | Navient Corp. | 89,172 | ||||||
1,353 | Nelnet, Inc., Class A | 115,343 | ||||||
1,556 | Nicholas Financial, Inc.* | 14,502 | ||||||
1,240 | OneMain Holdings, Inc. | 46,351 | ||||||
964 | Oportun Financial Corp.* | 7,972 | ||||||
2,222 | PRA Group, Inc.* | 80,792 | ||||||
3,430 | PROG Holdings, Inc.* | 56,595 | ||||||
821 | Regional Mgmt Corp. | 30,681 | ||||||
11,202 | SLM Corp. | 178,560 | ||||||
450 | World Acceptance Corp.* | 50,508 | ||||||
|
| |||||||
1,144,407 | ||||||||
|
| |||||||
Containers & Packaging (0.8%): | ||||||||
13,394 | Graphic Packaging Holding Co. | 274,577 | ||||||
1,280 | Greif, Inc., Class A | 79,846 | ||||||
874 | Greif, Inc., Class B | 54,441 | ||||||
2,948 | Myers Industries, Inc. | 67,008 | ||||||
7,172 | O-I Glass, Inc.* | 100,408 | ||||||
613 | Ranpak Holdings Corp.* | 4,291 | ||||||
4,885 | Silgan Holdings, Inc. | 201,995 | ||||||
1,491 | Sonoco Products Co. | 85,047 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
2,053 | TriMas Corp. | $ | 56,848 | |||||
671 | UFP Technologies, Inc.* | 53,391 | ||||||
|
| |||||||
977,852 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
12 | AMCON Distributing Co. | 1,956 | ||||||
1,626 | Educational Development Corp. | 6,862 | ||||||
2,028 | Funko, Inc., Class A* | 45,265 | ||||||
1,262 | Weyco Group, Inc. | 30,856 | ||||||
|
| |||||||
84,939 | ||||||||
|
| |||||||
Diversified Consumer Services (1.1%): | ||||||||
2,828 | 2U, Inc.* | 29,609 | ||||||
3,285 | Adtalem Global Education, Inc.* | 118,161 | ||||||
1,366 | American Public Education, Inc.* | 22,075 | ||||||
253 | Bright Horizons Family Solutions, Inc.* | 21,384 | ||||||
1,394 | Carriage Services, Inc. | 55,272 | ||||||
4,483 | Frontdoor, Inc.* | 107,951 | ||||||
201 | Graham Holdings Co., Class B | 113,935 | ||||||
2,160 | Grand Canyon Education, Inc.* | 203,450 | ||||||
8,298 | H&R Block, Inc. | 293,085 | ||||||
2,311 | Laureate Education, Inc. | 26,738 | ||||||
2,747 | OneSpaWorld Holdings, Ltd.* | 19,696 | ||||||
4,264 | Perdoceo Education Corp.* | 50,230 | ||||||
1,432 | Strategic Education, Inc. | 101,071 | ||||||
2,258 | Stride, Inc.* | 92,104 | ||||||
980 | Terminix Global Holdings, Inc.* | 39,837 | ||||||
3,444 | Universal Technical Institute, Inc.* | 24,556 | ||||||
2,647 | WW International, Inc.* | 16,914 | ||||||
|
| |||||||
1,336,068 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
500 | Alerus Financial Corp. | 11,905 | ||||||
1,292 | A-Mark Precious Metals, Inc. | 41,667 | ||||||
3,167 | Cannae Holdings, Inc.* | 61,250 | ||||||
|
| |||||||
114,822 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.5%): | ||||||||
1,146 | Anterix, Inc.* | 47,066 | ||||||
879 | ATN International, Inc. | 41,234 | ||||||
2,189 | Cogent Communications Holdings, Inc. | 133,004 | ||||||
5,491 | Consolidated Communications Holdings, Inc.* | 38,437 | ||||||
2,230 | EchoStar Corp., Class A* | 43,039 | ||||||
1,571 | IDT Corp.* | 39,511 | ||||||
6,317 | Iridium Communications, Inc.* | 237,266 | ||||||
500 | Telesat Corp.* | 5,585 | ||||||
|
| |||||||
585,142 | ||||||||
|
| |||||||
Electric Utilities (1.1%): | ||||||||
4,047 | ALLETE, Inc. | 237,883 | ||||||
3,043 | Genie Energy, Ltd., Class B | 27,874 | ||||||
5,125 | Hawaiian Electric Industries, Inc. | 209,612 | ||||||
1,029 | IDACORP, Inc. | 108,992 | ||||||
1,832 | MGE Energy, Inc. | 142,585 | ||||||
2,564 | Otter Tail Corp. | 172,121 | ||||||
5,120 | PNM Resources, Inc. | 244,634 | ||||||
2,371 | Portland General Electric Co. | 114,590 | ||||||
|
| |||||||
1,258,291 | ||||||||
|
|
See accompanying notes to the financial statements.
7
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment (1.1%): | ||||||||
2,107 | Acuity Brands, Inc. | $ | 324,562 | |||||
1,194 | Allied Motion Technologies, Inc. | 27,271 | ||||||
2,221 | American Superconductor Corp.* | 11,505 | ||||||
634 | Atkore, Inc.* | 52,628 | ||||||
1,354 | AZZ, Inc. | 55,270 | ||||||
1,177 | Encore Wire Corp. | 122,314 | ||||||
1,956 | EnerSys | 115,326 | ||||||
411 | Espey Mfg. & Electronics Corp.* | 5,853 | ||||||
9,534 | GrafTech International, Ltd. | 67,405 | ||||||
2,834 | LSI Industries, Inc. | 17,486 | ||||||
5,549 | nVent Electric plc | 173,850 | ||||||
79 | Pineapple Holdings, Inc. | 185 | ||||||
569 | Powell Industries, Inc. | 13,298 | ||||||
527 | Preformed Line Products Co. | 32,410 | ||||||
1,531 | Regal Rexnord Corp. | 173,799 | ||||||
75 | Servotronics, Inc.* | 844 | ||||||
1,994 | Sunrun, Inc.* | 46,580 | ||||||
2,714 | Thermon Group Holdings, Inc.* | 38,132 | ||||||
3,104 | Ultralife Corp.* | 14,123 | ||||||
1,134 | Vicor Corp.* | 62,064 | ||||||
|
| |||||||
1,354,905 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.6%): | ||||||||
6,544 | Arlo Technologies, Inc.* | 41,031 | ||||||
5,783 | Avnet, Inc. | 247,975 | ||||||
2,192 | Badger Meter, Inc. | 177,311 | ||||||
254 | Bel Fuse, Inc., Class A | 5,532 | ||||||
1,595 | Bel Fuse, Inc., Class B | 24,818 | ||||||
2,255 | Belden, Inc. | 120,124 | ||||||
1,596 | Benchmark Electronics, Inc. | 36,006 | ||||||
543 | Coherent, Inc.* | 144,557 | ||||||
1,611 | CTS Corp. | 54,855 | ||||||
6,442 | Daktronics, Inc.* | 19,390 | ||||||
1,365 | Data I/O Corp.* | 4,190 | ||||||
662 | ePlus, Inc.* | 35,165 | ||||||
1,860 | Fabrinet* | 150,846 | ||||||
1,055 | FARO Technologies, Inc.* | 32,526 | ||||||
640 | Frequency Electronics, Inc.* | 4,672 | ||||||
1,474 | II-VI, Inc.*^ | 75,100 | ||||||
1,699 | Insight Enterprises, Inc.* | 146,590 | ||||||
124 | IPG Photonics Corp.* | 11,672 | ||||||
2,324 | Itron, Inc.* | 114,875 | ||||||
1,856 | Kimball Electronics, Inc.* | 37,306 | ||||||
4,627 | Knowles Corp.* | 80,186 | ||||||
75 | Littlelfuse, Inc. | 19,053 | ||||||
1,600 | Luna Innovations, Inc.* | 9,328 | ||||||
1,993 | Methode Electronics, Inc., Class A | 73,821 | ||||||
2,686 | Napco Security Technologies, Inc.* | 55,305 | ||||||
3,997 | National Instruments Corp. | 124,826 | ||||||
1,187 | nLight, Inc.* | 12,131 | ||||||
1,812 | Novanta, Inc.* | 219,741 | ||||||
952 | OSI Systems, Inc.* | 81,339 | ||||||
1,367 | PC Connection, Inc. | 60,216 | ||||||
1,588 | Plexus Corp.* | 124,658 | ||||||
965 | Rogers Corp.* | 252,917 | ||||||
3,446 | Sanmina Corp.* | 140,356 | ||||||
1,880 | ScanSource, Inc.* | 58,543 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
5,308 | TTM Technologies, Inc.* | $ | 66,350 | |||||
6,181 | Vishay Intertechnology, Inc. | 110,145 | ||||||
999 | Vishay Precision Group, Inc.* | 29,101 | ||||||
2,612 | Vontier Corp. | 60,050 | ||||||
311 | Wayside Technology Group, Inc. | 10,338 | ||||||
3,952 | Wireless Telecom Group, Inc.* | 5,217 | ||||||
|
| |||||||
3,078,162 | ||||||||
|
| |||||||
Energy Equipment & Services (1.7%): | ||||||||
7,188 | Archrock, Inc. | 59,445 | ||||||
1,198 | Aspen Aerogels, Inc.* | 11,836 | ||||||
1,091 | Bristow Group, Inc.* | 25,529 | ||||||
2,624 | Cactus, Inc., Class A | 105,668 | ||||||
6,189 | ChampionX Corp. | 122,852 | ||||||
2,103 | Core Laboratories NV | 41,660 | ||||||
653 | DMC Global, Inc.* | 11,774 | ||||||
2,539 | Dril-Quip, Inc.* | 65,506 | ||||||
2,694 | Expro Group Holdings NV* | 31,035 | ||||||
618 | Expro Group Holdings NV* | 7,119 | ||||||
4,307 | Exterran Corp.* | 18,520 | ||||||
1,260 | Geospace Technologies Corp.* | 5,972 | ||||||
2,641 | Gulf Island Fabrication, Inc.* | 8,847 | ||||||
7,520 | Helix Energy Solutions Group, Inc.* | 23,312 | ||||||
5,207 | Helmerich & Payne, Inc. | 224,213 | ||||||
5,674 | Liberty Oilfield Services, Inc., Class A* | 72,400 | ||||||
595 | Mammoth Energy Services, Inc.* | 1,309 | ||||||
494 | Nabors Industries, Ltd.* | 66,147 | ||||||
2,925 | National Energy Services Reunited Corp.* | 19,832 | ||||||
1,299 | Natural Gas Services Group* | 14,289 | ||||||
8,761 | Newpark Resources, Inc.* | 27,072 | ||||||
12,860 | NexTier Oilfield Solutions, Inc.* | 122,299 | ||||||
10,984 | NOV, Inc. | 185,739 | ||||||
5,737 | Oceaneering International, Inc.* | 61,271 | ||||||
3,039 | Oil States International, Inc.* | 16,471 | ||||||
9,819 | Patterson-UTI Energy, Inc. | 154,747 | ||||||
7,231 | Propetro Holding Corp.* | 72,310 | ||||||
8,632 | RPC, Inc.* | 59,647 | ||||||
1,598 | SEACOR Marine Holdings, Inc.* | 9,205 | ||||||
4,229 | Select Energy Services, Inc.* | 28,842 | ||||||
1,537 | Solaris Oilfield Infrastructure, Inc. | 16,723 | ||||||
17,966 | TechnipFMC plc* | 120,911 | ||||||
5,480 | TETRA Technologies, Inc.* | 22,249 | ||||||
1,475 | Tidewater, Inc.* | 31,108 | ||||||
20,620 | Transocean, Ltd.* | 68,665 | ||||||
5,730 | U.S. Silica Holdings, Inc.* | 65,437 | ||||||
372 | Weatherford International plc* | 7,875 | ||||||
|
| |||||||
2,007,836 | ||||||||
|
| |||||||
Entertainment (0.3%): | ||||||||
2,527 | Ballantyne Strong, Inc.* | 6,090 | ||||||
3,572 | Cinemark Holdings, Inc.* | 53,651 | ||||||
2,533 | Imax Corp.* | 42,782 | ||||||
783 | Liberty Media Corp.-Liberty Braves, Class A* | 19,693 | ||||||
1,825 | Liberty Media Corp.-Liberty Braves, Class C* | 43,800 | ||||||
3,575 | Lions Gate Entertainment Corp., Class A* | 33,283 | ||||||
7,603 | Lions Gate Entertainment Corp., Class B* | 67,135 | ||||||
614 | Madison Square Garden Entertainment Corp.* | 32,309 | ||||||
870 | Marcus Corp.* | 12,850 |
See accompanying notes to the financial statements.
8
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
1,742 | Playtika Holding Corp.* | $ | 23,064 | |||||
2,715 | Reading International, Inc., Class A* | 9,801 | ||||||
951 | World Wrestling Entertainment, Inc., Class A | 59,428 | ||||||
|
| |||||||
403,886 | ||||||||
|
| |||||||
Food & Staples Retailing (1.1%): | ||||||||
2,352 | BJ’s Wholesale Club Holdings, Inc.* | 146,577 | ||||||
436 | Casey’s General Stores, Inc. | 80,651 | ||||||
2,742 | Grocery Outlet Holding Corp.* | 116,891 | ||||||
661 | Ingles Markets, Inc., Class A | 57,342 | ||||||
2,814 | Natural Grocers by Vitamin Cottage, Inc. | 44,883 | ||||||
769 | Performance Food Group Co.* | 35,359 | ||||||
1,654 | PriceSmart, Inc. | 118,476 | ||||||
1,602 | Rite Aid Corp.*^ | 10,797 | ||||||
2,176 | SpartanNash Co. | 65,650 | ||||||
4,696 | Sprouts Farmers Market, Inc.* | 118,903 | ||||||
2,299 | The Andersons, Inc. | 75,844 | ||||||
2,098 | The Chefs’ Warehouse, Inc.* | 81,591 | ||||||
3,444 | United Natural Foods, Inc.* | 135,694 | ||||||
538 | US Foods Holding Corp.* | 16,506 | ||||||
1,419 | Village Super Market, Inc., Class A | 32,367 | ||||||
1,746 | Weis Markets, Inc. | 130,147 | ||||||
|
| |||||||
1,267,678 | ||||||||
|
| |||||||
Food Products (1.7%): | ||||||||
444 | Alico, Inc. | 15,820 | ||||||
2,325 | B&G Foods, Inc.^ | 55,289 | ||||||
1,273 | Calavo Growers, Inc. | 53,110 | ||||||
2,146 | Cal-Maine Foods, Inc. | 106,034 | ||||||
1,318 | Coffee Holding Co., Inc. | 3,216 | ||||||
2,411 | Farmer Brothers Co.* | 11,308 | ||||||
5,876 | Flowers Foods, Inc. | 154,656 | ||||||
2,300 | Fresh Del Monte Produce, Inc. | 67,919 | ||||||
3,206 | Hain Celestial Group, Inc. (The)* | 76,110 | ||||||
6,361 | Hostess Brands, Inc.* | 134,917 | ||||||
842 | Ingredion, Inc. | 74,231 | ||||||
1,040 | J & J Snack Foods Corp. | 145,246 | ||||||
519 | John B Sanfilippo & Son, Inc. | 37,622 | ||||||
1,361 | Lancaster Colony Corp. | 175,270 | ||||||
2,754 | Landec Corp.* | 27,457 | ||||||
2,175 | Limoneira Co. | 30,646 | ||||||
397 | Pilgrim’s Pride Corp.* | 12,398 | ||||||
800 | Post Holdings, Inc.* | 65,880 | ||||||
1,220 | Rocky Mountain Chocolate Factory, Inc.* | 8,406 | ||||||
1,074 | Sanderson Farms, Inc. | 231,479 | ||||||
46 | Seaboard Corp. | 178,599 | ||||||
708 | Seneca Foods Corp., Class A* | 39,322 | ||||||
12 | Seneca Foods Corp., Class B* | 680 | ||||||
4,807 | Simply Good Foods Co. (The)* | 181,560 | ||||||
2,295 | Tootsie Roll Industries, Inc. | 81,128 | ||||||
1,779 | TreeHouse Foods, Inc.* | 74,398 | ||||||
|
| |||||||
2,042,701 | ||||||||
|
| |||||||
Gas Utilities (1.0%): | ||||||||
1,029 | Chesapeake Utilities Corp. | 133,307 | ||||||
1,610 | National Fuel Gas Co. | 106,341 | ||||||
4,906 | New Jersey Resources Corp. | 218,464 | ||||||
1,406 | Northwest Natural Holding Co. | 74,659 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities, continued | ||||||||
2,413 | ONE Gas, Inc. | $ | 195,911 | |||||
873 | RGC Resources, Inc. | 16,648 | ||||||
6,542 | South Jersey Industries, Inc. | 223,344 | ||||||
2,644 | Spire, Inc. | 196,634 | ||||||
|
| |||||||
1,165,308 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.0%): | ||||||||
6,691 | Accuray, Inc.*^ | 13,114 | ||||||
2,365 | AngioDynamics, Inc.* | 45,763 | ||||||
1,309 | Anika Therapeutics, Inc.* | 29,217 | ||||||
2,193 | Apyx Medical Corp.* | 12,851 | ||||||
2,615 | Artivion, Inc.* | 49,371 | ||||||
2,345 | AtriCure, Inc.* | 95,817 | ||||||
126 | Atrion Corp. | 79,236 | ||||||
2,426 | Avanos Medical, Inc.* | 66,327 | ||||||
2,841 | Axogen, Inc.* | 23,268 | ||||||
2,250 | Axonics, Inc.* | 127,508 | ||||||
3,014 | Cardiovascular Systems, Inc.* | 43,281 | ||||||
1,500 | CONMED Corp. | 143,640 | ||||||
2,081 | CytoSorbents Corp.* | 4,557 | ||||||
1,118 | Elctromed, Inc.* | 10,778 | ||||||
877 | Enovis Corp.* | 48,235 | ||||||
4,972 | Envista Holdings Corp.* | 191,621 | ||||||
427 | Fonar Corp.* | 6,486 | ||||||
2,248 | Glaukos Corp.* | 102,104 | ||||||
726 | Globus Medical, Inc.* | 40,758 | ||||||
956 | Haemonetics Corp.* | 62,312 | ||||||
523 | Heska Corp.* | 49,429 | ||||||
626 | ICU Medical, Inc.* | 102,908 | ||||||
706 | Inari Medical, Inc.* | 48,001 | ||||||
1,790 | Inogen, Inc.* | 43,282 | ||||||
1,778 | Integer Holdings Corp.* | 125,633 | ||||||
4,094 | Integra LifeSciences Holdings Corp.* | 221,199 | ||||||
4,509 | Invacare Corp.*^ | 5,772 | ||||||
850 | iRadimed Corp. | 28,849 | ||||||
2,006 | IRIDEX Corp.* | 5,155 | ||||||
249 | Kewaunee Scientific CP* | 4,116 | ||||||
4,025 | Lantheus Holdings, Inc.* | 265,771 | ||||||
1,449 | LeMaitre Vascular, Inc. | 66,002 | ||||||
1,127 | LENSAR, Inc.* | 7,337 | ||||||
2,723 | LivaNova plc* | 170,106 | ||||||
3,167 | Meridian Bioscience, Inc.* | 96,340 | ||||||
2,871 | Merit Medical Systems, Inc.* | 155,809 | ||||||
186 | Mesa Laboratories, Inc. | 37,933 | ||||||
2,205 | Natus Medical, Inc.* | 72,258 | ||||||
5,233 | Neogen Corp.* | 126,063 | ||||||
2,684 | NuVasive, Inc.* | 131,945 | ||||||
5,745 | OraSure Technologies, Inc.* | 15,569 | ||||||
1,375 | Orthofix Medical, Inc.* | 32,367 | ||||||
1,025 | Orthopediatrics Corp.* | 44,229 | ||||||
1,517 | QuidelOrtho Corp.* | 147,422 | ||||||
2,363 | SeaSpine Holdings Corp.* | 13,351 | ||||||
76 | Shockwave Medical, Inc.* | 14,529 | ||||||
1,010 | SI-BONE, Inc.* | 13,332 | ||||||
2,196 | STAAR Surgical Co.* | 155,762 | ||||||
364 | Surgalign Holdings, Inc.* | 1,241 | ||||||
879 | Surmodics, Inc.* | 32,725 |
See accompanying notes to the financial statements.
9
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
1,169 | Tactile Systems Technology, Inc.* | $ | 8,534 | |||||
743 | TransMedics Group, Inc.* | 23,367 | ||||||
435 | Utah Medical Products, Inc. | 37,366 | ||||||
2,566 | Varex Imaging Corp.* | 54,887 | ||||||
8,600 | ViewRay, Inc.* | 22,790 | ||||||
755 | Zynex, Inc. | 6,025 | ||||||
|
| |||||||
3,583,648 | ||||||||
|
| |||||||
Health Care Providers & Services (3.6%): | ||||||||
5,408 | Acadia Healthcare Co., Inc.* | 365,743 | ||||||
787 | Addus HomeCare Corp.* | 65,541 | ||||||
190 | AlerisLife, Inc.* | 228 | ||||||
3,142 | AMN Healthcare Services, Inc.* | 344,709 | ||||||
1,243 | Apollo Medical Holdings, Inc.* | 47,967 | ||||||
8,989 | Brookdale Senior Living, Inc.* | 40,810 | ||||||
7,998 | Community Health Systems, Inc.* | 29,992 | ||||||
915 | CorVel Corp.* | 134,752 | ||||||
7,164 | Covetrus, Inc.* | 148,653 | ||||||
2,958 | Cross Country Healthcare, Inc.* | 61,615 | ||||||
1,589 | Encompass Health Corp. | 89,063 | ||||||
2,966 | Ensign Group, Inc. (The) | 217,912 | ||||||
2,033 | Hanger, Inc.* | 29,113 | ||||||
4,192 | HealthEquity, Inc.* | 257,347 | ||||||
1,999 | InfuSystem Holdings, Inc.* | 19,250 | ||||||
1,190 | Joint Corp. (The)* | 18,219 | ||||||
1,634 | LHC Group, Inc.* | 254,479 | ||||||
5,006 | MEDNAX, Inc.* | 105,176 | ||||||
624 | ModivCare, Inc.* | 52,728 | ||||||
887 | National Healthcare Corp. | 62,001 | ||||||
1,645 | National Research Corp. | 62,971 | ||||||
9,359 | Option Care Health, Inc.* | 260,087 | ||||||
4,302 | Owens & Minor, Inc. | 135,298 | ||||||
5,186 | Patterson Cos., Inc. | 157,136 | ||||||
1,785 | Petiq, Inc.* | 29,970 | ||||||
5,882 | Premier, Inc., Class A | 209,870 | ||||||
4,171 | Progyny, Inc.* | 121,168 | ||||||
1,080 | Psychemedics Corp. | 6,847 | ||||||
13,737 | R1 RCM, Inc.* | 287,928 | ||||||
2,898 | RadNet, Inc.* | 50,077 | ||||||
7,290 | Select Medical Holdings Corp. | 172,190 | ||||||
4,347 | Surgery Partners, Inc.* | 125,715 | ||||||
3,159 | Tenet Healthcare Corp.* | 166,037 | ||||||
1,764 | The Pennant Group, Inc.* | 22,597 | ||||||
755 | U.S. Physical Therapy, Inc. | 82,446 | ||||||
|
| |||||||
4,235,635 | ||||||||
|
| |||||||
Health Care Technology (0.6%): | ||||||||
8,129 | Allscripts Healthcare Solutions, Inc.* | 120,553 | ||||||
1,296 | Change Healthcare, Inc.* | 29,886 | ||||||
766 | Computer Programs & Systems, Inc.* | 24,489 | ||||||
4,744 | Evolent Health, Inc., Class A* | 145,688 | ||||||
2,021 | Health Catalyst, Inc.* | 29,284 | ||||||
1,818 | HealthStream, Inc.* | 39,469 | ||||||
1,239 | iCAD, Inc.* | 4,956 | ||||||
4,136 | NextGen Healthcare, Inc.* | 72,132 | ||||||
2,168 | Omnicell, Inc.* | 246,610 | ||||||
445 | OptimizeRx Corp.* | 12,189 | ||||||
279 | Simulations Plus, Inc. | 13,763 | ||||||
|
| |||||||
739,019 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (2.0%): | ||||||||
1,724 | BBQ Holdings, Inc.* | $ | 17,964 | |||||
3 | Biglari Holdings, Inc., Class A* | 1,764 | ||||||
168 | Biglari Holdings, Inc., Class B* | 20,614 | ||||||
1,766 | BJ’s Restaurants, Inc.* | 38,287 | ||||||
4,676 | Bloomin’ Brands, Inc. | 77,715 | ||||||
950 | Bluegreen Vacations Holding Corp. | 23,712 | ||||||
1,994 | Brinker International, Inc.* | 43,928 | ||||||
4,497 | Carrols Restaurant Group, Inc. | 9,084 | ||||||
700 | Century Casinos, Inc.* | 5,040 | ||||||
2,493 | Cheesecake Factory, Inc. (The) | 65,865 | ||||||
217 | Choice Hotels International, Inc. | 24,224 | ||||||
1,396 | Chuy’s Holdings, Inc.* | 27,808 | ||||||
1,237 | Cracker Barrel Old Country Store, Inc. | 103,277 | ||||||
2,902 | Dave & Buster’s Entertainment, Inc.* | 95,128 | ||||||
3,256 | Denny’s Corp.* | 28,262 | ||||||
2,394 | El Pollo Loco Holdings, Inc.* | 23,557 | ||||||
2,608 | Fiesta Restaurant Group, Inc.* | 18,621 | ||||||
100 | Flanigan’s Enterprises, Inc. | 3,000 | ||||||
1,109 | Full House Resorts, Inc.* | 6,743 | ||||||
3,201 | Hilton Grand Vacations, Inc.* | 114,372 | ||||||
5,547 | International Game Technology plc | 102,952 | ||||||
1,031 | Jack in the Box, Inc. | 57,798 | ||||||
3,369 | Light & Wonder, Inc., Class A* | 158,309 | ||||||
672 | Marriott Vacations Worldwide Corp. | 78,086 | ||||||
597 | Nathans Famous, Inc. | 34,966 | ||||||
1,669 | Noodles & Co.* | 7,844 | ||||||
1,689 | Papa John’s International, Inc. | 141,065 | ||||||
809 | Penn National Gaming, Inc.* | 24,610 | ||||||
3,630 | Playa Hotels & Resorts NV* | 24,938 | ||||||
1,540 | Playags, Inc.* | 7,947 | ||||||
300 | RCI Hospitality Holdings, Inc. | 14,508 | ||||||
1,368 | Red Robin Gourmet Burgers, Inc.* | 10,985 | ||||||
662 | Red Rock Resorts, Inc. | 22,084 | ||||||
2,239 | Ruth’s Hospitality Group, Inc. | 36,406 | ||||||
3,760 | SeaWorld Entertainment, Inc.* | 166,117 | ||||||
1,613 | Shake Shack, Inc., Class A* | 63,681 | ||||||
2,938 | Texas Roadhouse, Inc., Class A | 215,062 | ||||||
3,865 | Travel + Leisure Co. | 150,039 | ||||||
10,098 | Wendy’s Co. (The) | 190,650 | ||||||
1,069 | Wingstop, Inc. | 79,929 | ||||||
449 | Wyndham Hotels & Resorts, Inc. | 29,508 | ||||||
|
| |||||||
2,366,449 | ||||||||
|
| |||||||
Household Durables (1.8%): | ||||||||
608 | Bassett Furniture Industries, Inc. | 11,017 | ||||||
738 | Beazer Homes USA, Inc.* | 8,908 | ||||||
494 | Cavco Industries, Inc.* | 96,819 | ||||||
1,854 | Century Communities, Inc. | 83,374 | ||||||
1,650 | Ethan Allen Interiors, Inc. | 33,347 | ||||||
820 | Flexsteel Industries, Inc. | 14,760 | ||||||
1,624 | Green Brick Partners, Inc.* | 31,782 | ||||||
1,347 | Helen of Troy, Ltd.* | 218,766 | ||||||
670 | Hooker Furnishings Corp. | 10,419 | ||||||
1,677 | Installed Building Products, Inc. | 139,459 | ||||||
1,482 | iRobot Corp.* | 54,464 | ||||||
4,791 | KB Home | 136,352 | ||||||
1,138 | Koss Corp.* | 7,909 | ||||||
2,637 | La-Z-Boy, Inc. | 62,523 |
See accompanying notes to the financial statements.
10
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
230 | Legacy Housing Corp.* | $ | 3,001 | |||||
3,296 | Leggett & Platt, Inc. | 113,976 | ||||||
1,096 | LGI Homes, Inc.* | 95,242 | ||||||
2,522 | Lifetime Brands, Inc. | 27,843 | ||||||
1,513 | M/I Homes, Inc.* | 60,006 | ||||||
3,450 | MDC Holdings, Inc. | 111,469 | ||||||
1,818 | Meritage Homes Corp.* | 131,805 | ||||||
2,534 | Purple Innovation, Inc.*^ | 7,754 | ||||||
3,015 | Skyline Champion Corp.* | 142,971 | ||||||
4,300 | Sonos, Inc.* | 77,572 | ||||||
6,288 | Taylor Morrison Home Corp., Class A* | 146,888 | ||||||
3,724 | Tempur Sealy International, Inc. | 79,582 | ||||||
1,904 | Toll Brothers, Inc. | 84,918 | ||||||
110 | TopBuild Corp.* | 18,388 | ||||||
5,638 | Tri Pointe Homes, Inc.* | 95,113 | ||||||
3,274 | Tupperware Brands Corp.* | 20,757 | ||||||
798 | Universal Electronics, Inc.* | 20,405 | ||||||
|
| |||||||
2,147,589 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
636 | Central Garden & Pet Co.* | 26,979 | ||||||
2,441 | Central Garden & Pet Co., Class A* | 97,664 | ||||||
3,493 | Energizer Holdings, Inc. | 99,027 | ||||||
1,767 | Ocean Bio-Chem, Inc. | 22,759 | ||||||
640 | Oil-Dri Corp. of America | 19,616 | ||||||
621 | Reynolds Consumer Products, Inc. | 16,935 | ||||||
1,701 | Spectrum Brands Holdings, Inc. | 139,516 | ||||||
822 | WD-40 Co. | 165,518 | ||||||
|
| |||||||
588,014 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.4%): | ||||||||
4,220 | Atlantica Sustainable Infrastructure plc | 136,137 | ||||||
703 | Clearway Energy, Inc., Class A | 22,475 | ||||||
765 | Clearway Energy, Inc., Class C | 26,653 | ||||||
2,863 | Ormat Technologies, Inc. | 224,316 | ||||||
5,158 | Sunnova Energy International, Inc.* | 95,062 | ||||||
|
| |||||||
504,643 | ||||||||
|
| |||||||
Insurance (3.4%): | ||||||||
2,802 | AMBAC Financial Group, Inc.* | 31,803 | ||||||
6,616 | American Equity Investment Life Holding Co. | 241,947 | ||||||
1,053 | Amerisafe, Inc. | 54,767 | ||||||
1,862 | Argo Group International Holdings, Ltd. | 68,633 | ||||||
4,486 | Assured Guaranty, Ltd. | 250,274 | ||||||
2,314 | Axis Capital Holdings, Ltd. | 132,106 | ||||||
3,866 | Brighthouse Financial, Inc.* | 158,583 | ||||||
5,374 | Citizens, Inc.*^ | 22,517 | ||||||
3,445 | Crawford & Co. | 24,287 | ||||||
2,876 | Crawford & Co., Class A | 22,433 | ||||||
2,691 | Donegal Group, Inc., Class A | 45,882 | ||||||
1,337 | eHealth, Inc.* | 12,474 | ||||||
1,475 | Employers Holdings, Inc. | 61,788 | ||||||
813 | Enstar Group, Ltd.* | 173,966 | ||||||
10,826 | Genworth Financial, Inc., Class A* | 38,216 | ||||||
1,050 | Global Indemnity Group LLC, Class A | 27,164 | ||||||
3,055 | Greenlight Capital Re, Ltd.* | 23,615 | ||||||
1,752 | Hallmark Financial Services, Inc.* | 4,240 | ||||||
1,817 | Hanover Insurance Group, Inc. (The) | 265,736 | ||||||
489 | HCI Group, Inc.^ | 33,135 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
1,369 | Heritage Insurance Holdings, Inc. | $ | 3,614 | |||||
2,079 | Horace Mann Educators Corp. | 79,792 | ||||||
135 | Investors Title Co. | 21,180 | ||||||
1,855 | James River Group Holdings | 45,967 | ||||||
2,661 | Kemper Corp. | 127,462 | ||||||
1,473 | Kingstone Cos., Inc. | 5,804 | ||||||
714 | Kinsale Capital Group, Inc. | 163,963 | ||||||
12,677 | Maiden Holdings, Ltd.* | 24,593 | ||||||
2,856 | Mercury General Corp. | 126,521 | ||||||
198 | National Western Life Group, Inc., Class A | 40,135 | ||||||
929 | NI Holdings, Inc.* | 15,263 | ||||||
1,205 | Old Republic International Corp. | 26,944 | ||||||
1,464 | Primerica, Inc. | 175,226 | ||||||
2,637 | ProAssurance Corp. | 62,312 | ||||||
2,224 | RLI Corp. | 259,296 | ||||||
797 | Safety Insurance Group, Inc. | 77,389 | ||||||
2,998 | Selective Insurance Group, Inc. | 260,646 | ||||||
6,247 | SiriusPoint, Ltd.* | 33,859 | ||||||
1,766 | Stewart Information Services Corp. | 87,858 | ||||||
204 | The National Security Group, Inc. | 3,337 | ||||||
2,849 | Tiptree, Inc., Class A | 30,256 | ||||||
2,000 | United Fire Group, Inc. | 68,460 | ||||||
4,002 | United Insurance Holdings Co. | 6,243 | ||||||
2,274 | Universal Insurance Holdings, Inc. | 29,630 | ||||||
10,427 | Unum Group | 354,727 | ||||||
164 | White Mountains Insurance Group, Ltd. | 204,365 | ||||||
|
| |||||||
4,028,408 | ||||||||
|
| |||||||
Interactive Media & Services (0.5%): | ||||||||
3,144 | ANGI, Inc., Class A* | 14,399 | ||||||
5,278 | Cargurus, Inc.* | 113,424 | ||||||
4,413 | Cars.com, Inc.* | 41,615 | ||||||
6,181 | DHI Group, Inc.* | 30,719 | ||||||
3,238 | QuinStreet, Inc.* | 32,574 | ||||||
1,095 | Travelzoo* | 6,636 | ||||||
3,646 | TripAdvisor, Inc.* | 64,899 | ||||||
11,137 | TrueCar, Inc.* | 28,845 | ||||||
3,909 | Yelp, Inc.* | 108,553 | ||||||
2,347 | Ziff Davis, Inc.* | 174,922 | ||||||
|
| |||||||
616,586 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.2%): | ||||||||
1,021 | 1-800-Flowers.com, Inc., Class A* | 9,710 | ||||||
738 | Duluth Holdings, Inc.* | 7,040 | ||||||
1,300 | Lands’ End, Inc.* | 13,806 | ||||||
2,418 | Liquidity Services, Inc.* | 32,498 | ||||||
1,724 | PetMed Express, Inc. | 34,308 | ||||||
3,615 | Quotient Technology, Inc.* | 10,736 | ||||||
16,641 | Qurate Retail, Inc., Class A | 47,760 | ||||||
740 | Revolve Group, Inc.* | 19,173 | ||||||
1,857 | Shutterstock, Inc. | 106,425 | ||||||
|
| |||||||
281,456 | ||||||||
|
| |||||||
IT Services (1.9%): | ||||||||
3,431 | Alliance Data Systems Corp. | 127,153 | ||||||
622 | BM Technologies, Inc.* | 3,664 | ||||||
1,700 | Brightcove, Inc.* | 10,744 | ||||||
1,100 | Cantaloupe, Inc.* | 6,160 | ||||||
962 | Cass Information Systems, Inc. | 32,516 |
See accompanying notes to the financial statements.
11
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
289 | Concentrix Corp. | $ | 39,200 | |||||
9,103 | Conduent, Inc.* | 39,325 | ||||||
1,673 | CSG Systems International, Inc. | 99,845 | ||||||
758 | CSP, Inc.* | 6,898 | ||||||
1,282 | DXC Technology Co.* | 38,857 | ||||||
1,133 | Euronet Worldwide, Inc.* | 113,968 | ||||||
3,710 | Evertec, Inc. | 136,825 | ||||||
1,270 | Evo Payments, Inc.* | 29,870 | ||||||
1,949 | Exlservice Holdings, Inc.* | 287,146 | ||||||
2,654 | Hackett Group, Inc. (The) | 50,346 | ||||||
439 | I3 Verticals, Inc.* | 10,984 | ||||||
1,300 | Information Services Group, Inc. | 8,788 | ||||||
1,362 | International Money Express, Inc.* | 27,880 | ||||||
10,373 | Limelight Networks, Inc.* | 23,962 | ||||||
3,634 | LiveRamp Holdings, Inc.* | 93,793 | ||||||
1,249 | MAXIMUS, Inc. | 78,075 | ||||||
862 | Paysign, Inc.* | 1,310 | ||||||
1,859 | Perficient, Inc.* | 170,452 | ||||||
3,168 | PFSweb, Inc.* | 37,256 | ||||||
8,429 | Servicesource International, Inc.* | 12,391 | ||||||
1,555 | StarTek, Inc.* | 4,494 | ||||||
7,537 | Switch, Inc., Class A | 252,489 | ||||||
4,882 | Teradata Corp.* | 180,683 | ||||||
2,606 | TTEC Holdings, Inc. | 176,921 | ||||||
4,235 | Unisys Corp.* | 50,947 | ||||||
3,544 | Verra Mobility Corp.* | 55,676 | ||||||
402 | WEX, Inc.* | 62,535 | ||||||
|
| |||||||
2,271,153 | ||||||||
|
| |||||||
Leisure Products (0.6%): | ||||||||
4,407 | Acushnet Holdings Corp. | 183,684 | ||||||
2,004 | American Outdoor Brands, Inc.* | 19,058 | ||||||
1,275 | Brunswick Corp. | 83,359 | ||||||
675 | Clarus Corp. | 12,818 | ||||||
1,402 | Escalade, Inc. | 18,212 | ||||||
723 | Johnson Outdoors, Inc., Class A | 44,219 | ||||||
1,065 | Malibu Boats, Inc.* | 56,136 | ||||||
2,419 | Marine Products Corp. | 23,005 | ||||||
850 | Mastercraft Boat Holdings, Inc.* | 17,892 | ||||||
2,805 | Mattel, Inc.* | 62,636 | ||||||
2,293 | Nautilus Group, Inc.* | 4,013 | ||||||
204 | Polaris, Inc. | 20,253 | ||||||
2,353 | Smith & Wesson Brands, Inc. | 30,895 | ||||||
2,209 | Vista Outdoor, Inc.* | 61,631 | ||||||
2,379 | YETI Holdings, Inc.* | 102,939 | ||||||
|
| |||||||
740,750 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.4%): | ||||||||
2,937 | Codexis, Inc.* | 30,721 | ||||||
7,407 | Enzo Biochem, Inc.* | 15,333 | ||||||
6,099 | Fluidigm Corp.*^ | 9,759 | ||||||
5,439 | Harvard Bioscience, Inc.* | 19,580 | ||||||
1,708 | Medpace Holdings, Inc.* | 255,636 | ||||||
923 | NanoString Technologies, Inc.* | 11,722 | ||||||
5,166 | Neogenomics, Inc.* | 42,103 | ||||||
647 | Personalis, Inc.* | 2,232 | ||||||
1,700 | Quanterix Corp.* | 27,523 | ||||||
1,626 | Sotera Health Co.* | 31,853 | ||||||
|
| |||||||
446,462 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery (4.5%): | ||||||||
765 | Alamo Group, Inc. | $ | 89,069 | |||||
1,814 | Albany International Corp., Class A | 142,925 | ||||||
6,077 | Allison Transmission Holdings, Inc. | 233,661 | ||||||
4,706 | Altra Industrial Motion Corp. | 165,886 | ||||||
806 | Art’s-Way Manufacturing Co., Inc.* | 2,378 | ||||||
1,143 | Astec Industries, Inc. | 46,612 | ||||||
2,576 | Barnes Group, Inc. | 80,217 | ||||||
1,077 | Blue Bird Corp.* | 9,919 | ||||||
1,411 | Chart Industries, Inc.* | 236,173 | ||||||
1,404 | CIRCOR International, Inc.* | 23,012 | ||||||
1,556 | Columbus McKinnon Corp. | 44,144 | ||||||
3,325 | Commercial Vehicle Group, Inc.* | 19,418 | ||||||
2,638 | Crane Holdings Co. | 230,983 | ||||||
493 | Donaldson Co., Inc. | 23,733 | ||||||
1,772 | Douglas Dynamics, Inc. | 50,927 | ||||||
500 | Eastern Co. (The) | 10,170 | ||||||
3,670 | Energy Recovery, Inc.* | 71,271 | ||||||
2,752 | Enerpac Tool Group Corp. | 52,343 | ||||||
1,044 | EnPro Industries, Inc. | 85,535 | ||||||
877 | Esab Corp. | 38,369 | ||||||
1,258 | ESCO Technologies, Inc. | 86,009 | ||||||
6,451 | Evoqua Water Technologies Co.* | 209,722 | ||||||
3,137 | Federal Signal Corp. | 111,677 | ||||||
5,909 | Flowserve Corp. | 169,175 | ||||||
2,482 | Franklin Electric Co., Inc. | 181,831 | ||||||
5,795 | Gates Industrial Corp. plc* | 62,644 | ||||||
1,765 | Gencor Industries, Inc.* | 17,932 | ||||||
1,794 | Gorman-Rupp Co. (The) | 50,770 | ||||||
459 | Graham Corp. | 3,176 | ||||||
4,634 | Harsco Corp.* | 32,948 | ||||||
1,812 | Helios Technologies, Inc. | 120,045 | ||||||
2,413 | Hillenbrand, Inc. | 98,836 | ||||||
785 | Hurco Cos., Inc. | 19,421 | ||||||
1,014 | Hyster-Yale Materials Handling, Inc., Class A | 32,671 | ||||||
219 | ITT, Inc. | 14,726 | ||||||
1,705 | John Bean Technologies Corp. | 188,266 | ||||||
472 | Kadant, Inc. | 86,069 | ||||||
3,498 | Kennametal, Inc. | 81,259 | ||||||
1,529 | L.B. Foster Co., Class A* | 19,678 | ||||||
238 | Lincoln Electric Holdings, Inc. | 29,360 | ||||||
578 | Lindsay Corp. | 76,770 | ||||||
1,597 | Luxfer Holdings plc | 24,147 | ||||||
3,228 | Manitex International, Inc.* | 20,950 | ||||||
2,653 | Manitowoc Co., Inc. (The)* | 27,936 | ||||||
589 | Mayville Engineering Co., Inc.* | 4,559 | ||||||
2,606 | Meritor, Inc.* | 94,676 | ||||||
728 | Miller Industries, Inc. | 16,504 | ||||||
3,159 | Mueller Industries, Inc. | 168,343 | ||||||
8,533 | Mueller Water Products, Inc., Class A | 100,092 | ||||||
3,562 | NN, Inc.* | 9,012 | ||||||
638 | Omega Flex, Inc. | 68,662 | ||||||
603 | Oshkosh Corp. | 49,530 | ||||||
723 | P&F Industries, Inc., Class A* | 4,107 | ||||||
1,229 | Park-Ohio Holdings Corp. | 19,492 | ||||||
1,599 | Proto Labs, Inc.* | 76,496 | ||||||
114 | RBC Bearings, Inc.* | 21,084 | ||||||
3,472 | REV Group, Inc. | 37,741 |
See accompanying notes to the financial statements.
12
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
1,851 | Shyft Group, Inc. (The) | $ | 34,410 | |||||
1,692 | SPX Corp.* | 89,405 | ||||||
731 | Standex International Corp. | 61,974 | ||||||
466 | Taylor Devices, Inc.* | 4,050 | ||||||
1,044 | Tennant Co. | 61,857 | ||||||
3,752 | Terex Corp. | 102,692 | ||||||
1,867 | The Greenbrier Cos., Inc. | 67,193 | ||||||
962 | Timken Co. | 51,034 | ||||||
5,430 | Titan International, Inc.* | 81,993 | ||||||
4,025 | Trinity Industries, Inc. | 97,485 | ||||||
1,747 | Twin Disc, Inc.* | 15,828 | ||||||
3,327 | Wabash National Corp. | 45,181 | ||||||
1,430 | Watts Water Technologies, Inc., Class A | 175,661 | ||||||
10,631 | Welbilt, Inc.* | 253,124 | ||||||
337 | Woodward, Inc. | 31,169 | ||||||
|
| |||||||
5,266,117 | ||||||||
|
| |||||||
Marine (0.4%): | ||||||||
6,821 | Costamare, Inc. | 82,534 | ||||||
315 | Eneti, Inc. | 1,934 | ||||||
3,087 | Genco Shipping & Trading, Ltd. | 59,641 | ||||||
2,099 | Kirby Corp.* | 127,703 | ||||||
2,096 | Matson, Inc. | 152,757 | ||||||
|
| |||||||
424,569 | ||||||||
|
| |||||||
Media (0.9%): | ||||||||
3,896 | Altice USA, Inc., Class A* | 36,038 | ||||||
1,560 | AMC Networks, Inc., Class A* | 45,427 | ||||||
6,123 | Audacy, Inc.* | 5,769 | ||||||
478 | Beasley Broadcast Group, Inc., Class A* | 612 | ||||||
1,823 | Boston Omaha Corp.* | 37,645 | ||||||
7,836 | comScore, Inc.* | 16,142 | ||||||
103 | Daily Journal Corp.* | 26,657 | ||||||
976 | DallasNews Corp. | 6,178 | ||||||
4,222 | E.W. Scripps Co. (The), Class A* | 52,648 | ||||||
6,190 | Entravision Communications Corp., Class A | 28,226 | ||||||
5,880 | Gannett Co, Inc.* | 17,052 | ||||||
3,567 | Gray Television, Inc. | 60,247 | ||||||
2,892 | Hemisphere Media Group* | 22,066 | ||||||
1,608 | iHeartMedia, Inc., Class A* | 12,687 | ||||||
2,165 | John Wiley & Sons, Inc., Class A | 103,400 | ||||||
2,864 | Liberty Latin America, Ltd.* | 22,339 | ||||||
9,557 | Liberty Latin America, Ltd., Class C* | 74,449 | ||||||
862 | Loyalty Ventures, Inc.* | 3,077 | ||||||
348 | Marchex, Inc., Class B* | 459 | ||||||
434 | Nexstar Media Group, Inc., Class A | 70,690 | ||||||
605 | Pubmatic, Inc.* | 9,614 | ||||||
1,732 | Scholastic Corp. | 62,300 | ||||||
1,559 | TechTarget, Inc.* | 102,458 | ||||||
10,206 | TEGNA, Inc. | 214,020 | ||||||
1,095 | Thryv Holdings, Inc.* | 24,517 | ||||||
|
| |||||||
1,054,717 | ||||||||
|
| |||||||
Metals & Mining (1.6%): | ||||||||
9,339 | Allegheny Technologies, Inc.* | 212,089 | ||||||
1,380 | Alpha Metallurgical Resources, Inc. | 178,199 | ||||||
2,124 | Ampco-Pittsburgh Corp.* | 8,220 | ||||||
1,062 | Arconic Corp.* | 29,789 | ||||||
2,767 | Carpenter Technology Corp. | 77,227 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
6,425 | Century Aluminum Co.* | $ | 47,352 | |||||
8,414 | Coeur Mining, Inc.* | 25,579 | ||||||
6,250 | Commercial Metals Co. | 206,875 | ||||||
2,394 | Compass Minerals International, Inc. | 84,724 | ||||||
10,043 | Ferroglobe plc* | 59,655 | ||||||
515 | Fortitude Gold Corp. | 3,090 | ||||||
1,805 | Gold Resource Corp. | 2,942 | ||||||
1,257 | Haynes International, Inc. | 41,192 | ||||||
25,965 | Hecla Mining Co. | 101,783 | ||||||
754 | Kaiser Aluminum Corp. | 59,634 | ||||||
1,117 | Materion Corp. | 82,356 | ||||||
9,373 | McEwen Mining, Inc.* | 4,117 | ||||||
798 | Royal Gold, Inc. | 85,210 | ||||||
2,868 | Ryerson Holding Corp. | 61,060 | ||||||
1,487 | Schnitzer Steel Industries, Inc., Class A | 48,833 | ||||||
3,318 | SunCoke Energy, Inc. | 22,596 | ||||||
1,338 | Synalloy Corp.* | 18,812 | ||||||
3,542 | TimkenSteel Corp.* | 66,271 | ||||||
6,784 | United States Steel Corp. | 121,501 | ||||||
1,458 | Universal Stainless & Alloy Products, Inc.* | 10,789 | ||||||
2,207 | Warrior Met Coal, Inc. | 67,556 | ||||||
2,629 | Worthington Industries, Inc. | 115,939 | ||||||
|
| |||||||
1,843,390 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
1,321 | Big Lots, Inc.^ | 27,701 | ||||||
710 | Dillard’s, Inc., Class A^ | 156,605 | ||||||
2,129 | Kohl’s Corp. | 75,984 | ||||||
3,771 | Macy’s, Inc. | 69,085 | ||||||
526 | Nordstrom, Inc. | 11,114 | ||||||
1,573 | Ollie’s Bargain Outlet Holdings, Inc.* | 92,414 | ||||||
1,290 | Tuesday Morning Corp.* | 464 | ||||||
|
| |||||||
433,367 | ||||||||
|
| |||||||
Multi-Utilities (0.6%): | ||||||||
4,891 | Avista Corp. | 212,807 | ||||||
2,243 | Black Hills Corp. | 163,223 | ||||||
3,280 | MDU Resources Group, Inc. | 88,527 | ||||||
2,992 | NorthWestern Corp. | 176,319 | ||||||
1,043 | Unitil Corp. | 61,245 | ||||||
2,565 | Via Renewables, Inc. | 19,648 | ||||||
|
| |||||||
721,769 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (5.0%): | ||||||||
2,222 | Alto Ingredients, Inc.* | 8,244 | ||||||
23,457 | Antero Midstream Corp. | 212,286 | ||||||
6,562 | Antero Resources Corp.* | 201,125 | ||||||
1,071 | Arch Resources, Inc. | 153,249 | ||||||
1,954 | Ardmore Shipping Corp.* | 13,619 | ||||||
4,767 | Berry Corp. | 36,325 | ||||||
2,455 | Brigham Minerals, Inc. | 60,467 | ||||||
2,716 | California Resources Corp. | 104,566 | ||||||
2,330 | Callon Petroleum Co.* | 91,336 | ||||||
7,813 | Centennial Resource Development, Inc., Class A* | 46,722 | ||||||
1,598 | Chesapeake Energy Corp. | 129,598 | ||||||
286 | Chord Energy Corp. | 34,792 | ||||||
1,822 | Civitas Resources, Inc. | 95,272 | ||||||
11,183 | Clean Energy Fuel Corp.* | 50,100 | ||||||
12,514 | CNX Resources Corp.* | 205,980 |
See accompanying notes to the financial statements.
13
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
8,019 | Comstock Resources, Inc.* | $ | 96,870 | |||||
2,015 | CONSOL Energy, Inc.* | 99,501 | ||||||
4,374 | CVR Energy, Inc. | 146,529 | ||||||
4,117 | Delek US Holdings, Inc.* | 106,383 | ||||||
1,575 | Denbury, Inc.* | 94,484 | ||||||
8,834 | DHT Holdings, Inc. | 54,152 | ||||||
2,156 | Dorian LPG, Ltd. | 32,771 | ||||||
1,337 | DT Midstream, Inc. | 65,540 | ||||||
2,661 | Earthstone Energy, Inc.*^ | 36,323 | ||||||
17,427 | Enlink Midstream LLC | 148,130 | ||||||
15,991 | Equitrans Midstream Corp. | 101,703 | ||||||
2,943 | Evolution Petroleum Corp. | 16,069 | ||||||
2,611 | Green Plains, Inc.* | 70,941 | ||||||
6,066 | HF Sinclair Corp. | 273,941 | ||||||
1,720 | International Seaways, Inc. | 36,464 | ||||||
29,696 | Kosmos Energy, Ltd.* | 183,818 | ||||||
725 | Laredo Petroleum, Inc.* | 49,981 | ||||||
6,775 | Magnolia Oil & Gas Corp., Class A | 142,207 | ||||||
5,601 | Matador Resources Co. | 260,951 | ||||||
6,809 | Murphy Oil Corp. | 205,564 | ||||||
9,513 | Nordic American Tankers, Ltd. | 20,263 | ||||||
897 | Northern Oil And Gas, Inc. | 22,658 | ||||||
5,300 | Overseas Shipholding Group, Inc.* | 10,865 | ||||||
2,838 | PAR Pacific Holdings, Inc.* | 44,244 | ||||||
6,480 | PBF Energy, Inc., Class A* | 188,050 | ||||||
5,985 | PDC Energy, Inc. | 368,736 | ||||||
5,636 | Peabody Energy Corp.* | 120,216 | ||||||
2,410 | PHX Minerals, Inc. | 7,326 | ||||||
6 | PrimeEnergy Resources Corp.* | 470 | ||||||
17,188 | Range Resources Corp.* | 425,403 | ||||||
523 | Ranger Oil Corp.* | 17,191 | ||||||
300 | REX American Resources Corp.* | 25,440 | ||||||
1,533 | SandRidge Energy, Inc.* | 24,022 | ||||||
3,705 | Scorpio Tankers, Inc. | 127,860 | ||||||
8,803 | SFL Corp., Ltd. | 83,540 | ||||||
956 | SilverBow Resources, Inc.* | 27,112 | ||||||
6,858 | SM Energy Co. | 234,475 | ||||||
29,966 | Southwestern Energy Co.* | 187,288 | ||||||
2,952 | Talos Energy, Inc.* | 45,667 | ||||||
1,980 | Teekay Shipping Corp.* | 5,702 | ||||||
2,363 | Teekay Tankers, Ltd., Class A* | 41,660 | ||||||
7,528 | Tellurian, Inc.* | 22,433 | ||||||
2,838 | W&T Offshore, Inc.* | 12,260 | ||||||
1,418 | Whiting Petroleum Corp. | 96,467 | ||||||
4,231 | World Fuel Services Corp. | 86,566 | ||||||
|
| |||||||
5,911,917 | ||||||||
|
| |||||||
Paper & Forest Products (0.5%): | ||||||||
1,565 | Clearwater Paper Corp.* | 52,631 | ||||||
3,299 | Glatfelter Corp. | 22,697 | ||||||
4,370 | Louisiana-Pacific Corp. | 229,032 | ||||||
5,170 | Mercer International, Inc. | 67,985 | ||||||
1,100 | Neenah, Inc. | 37,554 | ||||||
5,401 | Resolute Forest Products* | 68,917 | ||||||
2,103 | Schweitzer-Mauduit International, Inc. | 52,827 | ||||||
364 | Sylvamo Corp. | 11,896 | ||||||
|
| |||||||
543,539 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Personal Products (0.6%): | ||||||||
1,014 | BellRing Brands, Inc.* | $ | 25,238 | |||||
4,160 | Coty, Inc., Class A* | 33,322 | ||||||
2,807 | Edgewell Personal Care Co. | 96,898 | ||||||
2,868 | elf Beauty, Inc.* | 87,990 | ||||||
1,964 | Inter Parfums, Inc. | 143,490 | ||||||
900 | Lifevantage Corp. | 3,915 | ||||||
546 | Medifast, Inc. | 98,558 | ||||||
1,387 | Natural Alternatives International, Inc.* | 14,480 | ||||||
369 | Natural Health Trends Corp. | 1,980 | ||||||
2,257 | Natures Sunshine Products, Inc.* | 24,082 | ||||||
1,929 | Nu Skin Enterprises, Inc., Class A | 83,526 | ||||||
340 | United-Guardian, Inc. | 5,097 | ||||||
1,070 | Usana Health Sciences, Inc.* | 77,425 | ||||||
|
| |||||||
696,001 | ||||||||
|
| |||||||
Pharmaceuticals (1.2%): | ||||||||
900 | Adicet Bio, Inc.* | 13,140 | ||||||
9,876 | Amneal Pharmaceuticals, Inc.* | 31,406 | ||||||
3,334 | Amphastar Pharmaceuticals, Inc.* | 115,990 | ||||||
877 | ANI Pharmaceuticals, Inc.* | 26,021 | ||||||
1,561 | Assembly Biosciences, Inc.* | 3,278 | ||||||
2,268 | Collegium Pharmaceutical, Inc.* | 40,189 | ||||||
4,076 | Corcept Therapeutics, Inc.* | 96,927 | ||||||
3,415 | Cumberland Pharmaceuticals, Inc.* | 7,086 | ||||||
5,512 | Cymabay Therapeutics, Inc.* | 16,260 | ||||||
7,607 | Endo International plc* | 3,542 | ||||||
1,163 | EyePoint Pharmaceuticals, Inc.* | 9,153 | ||||||
528 | Harmony Biosciences Holdings, Inc.* | 25,750 | ||||||
1,224 | Harrow Health, Inc.* | 8,911 | ||||||
4,514 | Innoviva, Inc.* | 66,627 | ||||||
4,810 | Intra-Cellular Therapies, Inc.* | 274,555 | ||||||
10,744 | Nektar Therapeutics* | 40,827 | ||||||
882 | NGM Biopharmaceuticals, Inc.* | 11,307 | ||||||
2,308 | Otonomy, Inc.* | 4,801 | ||||||
2,257 | Pacira BioSciences, Inc.* | 131,583 | ||||||
2,916 | Perrigo Co. plc | 118,302 | ||||||
1,714 | Phibro Animal Health Corp., Class A | 32,789 | ||||||
2,694 | Prestige Consumer Healthcare, Inc.* | 158,407 | ||||||
420 | Relmada Therapeutics, Inc.* | 7,976 | ||||||
911 | scPharmaceuticals, Inc.* | 4,391 | ||||||
6,222 | SIGA Technologies, Inc.^ | 72,051 | ||||||
2,677 | Supernus Pharmaceuticals, Inc.* | 77,419 | ||||||
1,505 | Taro Pharmaceutical Industries, Ltd.* | 54,421 | ||||||
|
| |||||||
1,453,109 | ||||||||
|
| |||||||
Professional Services (2.7%): | ||||||||
1,888 | Acacia Research Corp.* | 9,516 | ||||||
3,344 | ASGN, Inc.* | 301,796 | ||||||
572 | Barrett Business Services, Inc. | 41,682 | ||||||
403 | CACI International, Inc., Class A* | 113,557 | ||||||
2,703 | CBIZ, Inc.* | 108,012 | ||||||
490 | CRA International, Inc. | 43,767 | ||||||
2,812 | Exponent, Inc. | 257,214 | ||||||
1,273 | Forrester Research, Inc.* | 60,900 | ||||||
882 | Franklin Covey Co.* | 40,731 | ||||||
1,796 | FTI Consulting, Inc.* | 324,807 | ||||||
1,280 | Heidrick & Struggles International, Inc. | 41,421 | ||||||
1,154 | Huron Consulting Group, Inc.* | 74,998 |
See accompanying notes to the financial statements.
14
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
1,116 | ICF International, Inc. | $ | 106,020 | |||||
1,783 | Insperity, Inc. | 177,997 | ||||||
6,887 | KBR, Inc. | 333,262 | ||||||
2,340 | Kelly Services, Inc., Class A | 46,402 | ||||||
1,439 | Kforce, Inc. | 88,268 | ||||||
2,641 | Korn Ferry | 153,231 | ||||||
958 | ManpowerGroup, Inc. | 73,201 | ||||||
1,365 | ManTech International Corp., Class A | 130,289 | ||||||
1,332 | Mastech Digital, Inc.* | 19,793 | ||||||
3,943 | Mistras Group, Inc.* | 23,421 | ||||||
3,203 | Nielsen Holdings plc | 74,374 | ||||||
2,119 | Resources Connection, Inc. | 43,164 | ||||||
1,557 | Science Applications International Corp. | 144,957 | ||||||
3,186 | TriNet Group, Inc.* | 247,297 | ||||||
2,309 | TrueBlue, Inc.* | 41,331 | ||||||
505 | Willdan Group, Inc.* | 13,928 | ||||||
|
| |||||||
3,135,336 | ||||||||
|
| |||||||
Real Estate Management & Development (0.8%): | ||||||||
1,580 | AMREP Corp.* | 17,728 | ||||||
395 | CKX Lands, Inc.* | 4,396 | ||||||
6,494 | Cushman & Wakefield plc* | 98,968 | ||||||
4,771 | Douglas Elliman, Inc. | 22,853 | ||||||
913 | eXp World Holdings, Inc.^ | 10,746 | ||||||
1,627 | Five Point Holdings LLC, Class A* | 6,362 | ||||||
1,972 | Forestar Group, Inc.* | 26,997 | ||||||
504 | FRP Holdings, Inc.* | 30,416 | ||||||
2,119 | Howard Hughes Corp. (The)* | 144,198 | ||||||
10 | J.W. Mays, Inc.* | 420 | ||||||
7,038 | Kennedy-Wilson Holdings, Inc. | 133,300 | ||||||
2,463 | Marcus & Millichap, Inc. | 91,106 | ||||||
1,035 | Maui Land & Pineapple Co., Inc.* | 9,801 | ||||||
8,443 | Newmark Group, Inc. | 81,644 | ||||||
1,207 | Rafael Holdings, Inc., Class B* | 2,257 | ||||||
688 | RE/MAX Holdings, Inc., Class A | 16,870 | ||||||
3,740 | Realogy Holdings Corp.* | 36,764 | ||||||
308 | Stratus Properties, Inc.* | 9,925 | ||||||
2,279 | Tejon Ranch Co.* | 35,370 | ||||||
1,076 | The RMR Group, Inc., Class A | 30,505 | ||||||
2,980 | The St Joe Co. | 117,889 | ||||||
|
| |||||||
928,515 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
1,630 | ArcBest Corp. | 114,703 | ||||||
1,322 | Covenant Logistics Group, Inc. | 33,169 | ||||||
4,045 | Heartland Express, Inc. | 56,266 | ||||||
585 | Landstar System, Inc. | 85,071 | ||||||
2,692 | Marten Transport, Ltd. | 45,280 | ||||||
880 | PAM Transportation Services, Inc.* | 24,103 | ||||||
1,507 | Ryder System, Inc. | 107,087 | ||||||
1,370 | Saia, Inc.* | 257,560 | ||||||
2,170 | Schneider National, Inc., Class B | 48,565 | ||||||
1,009 | U.S. Xpress Enterprises, Inc., Class A* | 2,704 | ||||||
1,170 | Universal Logistics Holdings, Inc. | 31,953 | ||||||
988 | USA Truck, Inc.* | 31,043 | ||||||
2,850 | Werner Enterprises, Inc. | 109,839 | ||||||
2,752 | Yellow Corp.* | 8,063 | ||||||
|
| |||||||
955,406 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (3.2%): | ||||||||
2,712 | Advanced Energy Industries, Inc. | $ | 197,922 | |||||
1,480 | Alpha & Omega Semiconductor, Ltd.* | 49,343 | ||||||
1,591 | Ambarella, Inc.* | 104,147 | ||||||
14,790 | Amkor Technology, Inc. | 250,690 | ||||||
1,301 | Amtech Systems, Inc.* | 9,497 | ||||||
1,903 | Axcelis Technologies, Inc.* | 104,360 | ||||||
2,777 | AXT, Inc.* | 16,273 | ||||||
1,930 | Azenta, Inc. | 139,153 | ||||||
1,210 | CEVA, Inc.* | 40,608 | ||||||
2,825 | Cirrus Logic, Inc.* | 204,925 | ||||||
1,496 | CMC Materials, Inc. | 261,037 | ||||||
2,356 | Cohu, Inc.* | 65,379 | ||||||
522 | Cyberoptics Corp.* | 18,239 | ||||||
2,615 | Diodes, Inc.* | 168,851 | ||||||
639 | DSP Group, Inc.* | 14,058 | ||||||
3,918 | FormFactor, Inc.* | 151,744 | ||||||
4,679 | GSI Technology, Inc.* | 16,143 | ||||||
1,254 | Ichor Holdings, Ltd.* | 32,579 | ||||||
1,349 | inTEST Corp.* | 9,200 | ||||||
2,631 | Kulicke & Soffa Industries, Inc. | 112,633 | ||||||
2,238 | Lattice Semiconductor Corp.* | 108,543 | ||||||
349 | MACOM Technology Solutions Holdings, Inc.* | 16,089 | ||||||
1,636 | MagnaChip Semiconductor Corp.* | 23,771 | ||||||
4,167 | MaxLinear, Inc., Class A* | 141,595 | ||||||
4,238 | Neophotonics Corp.* | 66,664 | ||||||
557 | NVE Corp. | 25,967 | ||||||
2,709 | Onto Innovation, Inc.* | 188,926 | ||||||
2,739 | PDF Solutions, Inc.* | 58,916 | ||||||
5,140 | Photronics, Inc.* | 100,127 | ||||||
2,109 | Pixelworks, Inc.* | 4,028 | ||||||
3,012 | Power Integrations, Inc. | 225,930 | ||||||
6,043 | Rambus, Inc.* | 129,864 | ||||||
3,315 | Semtech Corp.* | 182,225 | ||||||
1,031 | Silicon Laboratories, Inc.* | 144,567 | ||||||
2,252 | SMART Global Holdings, Inc.* | 36,865 | ||||||
1,918 | Synaptics, Inc.* | 226,420 | ||||||
2,584 | Ultra Clean Holdings, Inc.* | 76,926 | ||||||
2,559 | Veeco Instruments, Inc.* | 49,645 | ||||||
|
| |||||||
3,773,849 | ||||||||
|
| |||||||
Software (2.5%): | ||||||||
3,492 | A10 Networks, Inc. | 50,215 | ||||||
8,259 | ACI Worldwide, Inc.* | 213,826 | ||||||
1,294 | Agilysys, Inc.* | 61,167 | ||||||
3,759 | Alarm.com Holdings, Inc.* | 232,532 | ||||||
3,894 | Altair Engineering, Inc.* | 204,435 | ||||||
2,494 | American Software, Inc., Class A | 40,303 | ||||||
926 | Appfolio, Inc.* | 83,933 | ||||||
935 | Asure Software, Inc.* | 5,329 | ||||||
2,721 | Avaya Holdings Corp.* | 6,095 | ||||||
2,785 | Aware, Inc.* | 6,628 | ||||||
2,916 | Blackbaud, Inc.* | 169,332 | ||||||
1,519 | Box, Inc.* | 38,188 | ||||||
393 | CDK Global, Inc. | 21,525 | ||||||
1,046 | Cerence, Inc.* | 26,391 | ||||||
1,700 | ChannelAdvisor Corp.* | 24,786 | ||||||
3,799 | Cognyte Software, Ltd.* | 16,146 | ||||||
2,139 | CommVault Systems, Inc.* | 134,543 |
See accompanying notes to the financial statements.
15
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
782 | Consensus Cloud Solutions, Inc.* | $ | 34,158 | |||||
609 | DoubleVerify Holdings, Inc.* | 13,806 | ||||||
1,708 | Duck Creek Technologies, Inc.*^ | 25,364 | ||||||
1,817 | Ebix, Inc. | 30,707 | ||||||
1,929 | Envestnet, Inc.* | 101,793 | ||||||
402 | Jamf Holding Corp.* | 9,958 | ||||||
4,947 | Mandiant, Inc.* | 107,944 | ||||||
2,038 | Mitek Systems, Inc.* | 18,831 | ||||||
554 | Model N, Inc.* | 14,171 | ||||||
2,582 | OneSpan, Inc.* | 30,726 | ||||||
1,415 | Ping Identity Holding Corp.* | 25,668 | ||||||
2,333 | Progress Software Corp. | 105,685 | ||||||
293 | Q2 Holdings, Inc.* | 11,301 | ||||||
1,989 | Qualys, Inc.* | 250,892 | ||||||
4,870 | Sailpoint Technologies Holdings, Inc.* | 305,252 | ||||||
1,169 | Sapiens International Corp. NV | 28,278 | ||||||
539 | Shotspotter, Inc.* | 14,504 | ||||||
1,900 | Smith Micro Software, Inc.* | 4,693 | ||||||
684 | SPS Commerce, Inc.* | 77,326 | ||||||
3,280 | Synchronoss Technologies, Inc.* | 3,772 | ||||||
870 | Upland Software, Inc.* | 12,632 | ||||||
3,329 | Verint Systems, Inc.* | 140,983 | ||||||
5,538 | Vonage Holdings Corp.* | 104,336 | ||||||
7,970 | Xperi Holding Corp. | 115,007 | ||||||
|
| |||||||
2,923,161 | ||||||||
|
| |||||||
Specialty Retail (2.7%): | ||||||||
1,777 | Aaron’s Co., Inc. (The) | 25,855 | ||||||
2,894 | Abercrombie & Fitch Co., Class A* | 48,967 | ||||||
12,033 | American Eagle Outfitters, Inc. | 134,529 | ||||||
422 | America’s Car-Mart, Inc.* | 42,453 | ||||||
1,088 | Asbury Automotive Group, Inc.* | 184,242 | ||||||
951 | AutoNation, Inc.* | 106,284 | ||||||
5,705 | Barnes & Noble Education, Inc.* | 16,716 | ||||||
4,906 | Bed Bath & Beyond, Inc.*^ | 24,383 | ||||||
1,634 | Big 5 Sporting Goods Corp.^ | 18,317 | ||||||
1,202 | Boot Barn Holdings, Inc.* | 82,830 | ||||||
1,732 | Build-A-Bear Workshop, Inc. | 28,440 | ||||||
2,857 | Caleres, Inc. | 74,968 | ||||||
407 | Camping World Holdings, Inc., Class A^ | 8,787 | ||||||
1,799 | Cato Corp., Class A | 20,886 | ||||||
7,945 | Chico’s FAS, Inc.* | 39,487 | ||||||
757 | Citi Trends, Inc.*^ | 17,903 | ||||||
2,251 | Conn’s, Inc.*^ | 18,053 | ||||||
4,771 | Designer Brands, Inc., Class A | 62,309 | ||||||
4,657 | Foot Locker, Inc. | 117,589 | ||||||
3,840 | Gap, Inc. (The) | 31,642 | ||||||
802 | Genesco, Inc.* | 40,028 | ||||||
753 | Group 1 Automotive, Inc. | 127,859 | ||||||
3,762 | Guess?, Inc. | 64,142 | ||||||
1,284 | Haverty Furniture Cos., Inc. | 29,763 | ||||||
849 | Hibbett, Inc. | 37,110 | ||||||
1,529 | LL Flooring Holdings, Inc.* | 14,327 | ||||||
1,251 | MarineMax, Inc.* | 45,186 | ||||||
1,923 | Monro, Inc. | 82,458 | ||||||
1,315 | Murphy U.S.A., Inc. | 306,224 | ||||||
4,234 | National Vision Holdings, Inc.* | 116,435 | ||||||
2,301 | ODP Corp. (The)* | 69,582 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Specialty Retail, continued | ||||||||
443 | OneWater Marine, Inc.* | $ | 14,641 | |||||
2,843 | Penske Automotive Group, Inc. | 297,634 | ||||||
3,598 | Rent-A-Center, Inc. | 69,981 | ||||||
6,055 | Sally Beauty Holdings, Inc.* | 72,176 | ||||||
1,818 | Shoe Carnival, Inc. | 39,287 | ||||||
2,746 | Signet Jewelers, Ltd. | 146,801 | ||||||
1,362 | Sleep Number Corp.* | 42,154 | ||||||
1,462 | Sonic Automotive, Inc., Class A | 53,553 | ||||||
2,363 | Sportsman’s Warehouse Holdings, Inc.* | 22,661 | ||||||
3,031 | The Buckle, Inc. | 83,928 | ||||||
823 | The Children’s Place, Inc.* | 32,031 | ||||||
4,201 | The Container Store Group, Inc.* | 26,172 | ||||||
1,307 | Tile Shop Holdings, Inc. | 4,013 | ||||||
2,271 | Tilly’s, Inc. | 15,942 | ||||||
624 | TravelCenters of America, Inc.* | 21,509 | ||||||
5,052 | Urban Outfitters, Inc.* | 94,270 | ||||||
303 | Winmark Corp. | 59,258 | ||||||
1,091 | Zumiez, Inc.* | 28,366 | ||||||
|
| |||||||
3,162,131 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
4,872 | 3D Systems Corp.* | 47,259 | ||||||
1,308 | AstroNova, Inc.* | 15,670 | ||||||
2,793 | Avid Technology, Inc.* | 72,478 | ||||||
6,556 | NCR Corp.* | 203,957 | ||||||
3,811 | Stratasys, Ltd.* | 71,418 | ||||||
2,418 | Super Micro Computer, Inc.* | 97,566 | ||||||
1,590 | TransAct Technologies, Inc.* | 6,424 | ||||||
600 | Turtle Beach Corp.* | 7,338 | ||||||
3,587 | Xerox Holdings Corp. | 53,267 | ||||||
|
| |||||||
575,377 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.0%): | ||||||||
2,061 | Carter’s, Inc. | 145,259 | ||||||
2,038 | Columbia Sportswear Co. | 145,880 | ||||||
2,119 | Crocs, Inc.* | 103,132 | ||||||
2,291 | Culp, Inc. | 9,851 | ||||||
2,091 | Fossil Group, Inc.* | 10,811 | ||||||
2,571 | G-III Apparel Group, Ltd.* | 52,011 | ||||||
1,322 | Hanesbrands, Inc. | 13,603 | ||||||
3,180 | Kontoor Brands, Inc. | 106,117 | ||||||
816 | Lakeland Industries, Inc.* | 12,534 | ||||||
844 | Movado Group, Inc. | 26,105 | ||||||
1,001 | Oxford Industries, Inc. | 88,829 | ||||||
1,176 | PVH Corp. | 66,914 | ||||||
674 | Rocky Brands, Inc. | 23,037 | ||||||
1,823 | Skechers U.S.A., Inc., Class A* | 64,862 | ||||||
4,466 | Steven Madden, Ltd. | 143,850 | ||||||
418 | Superior Group of Cos., Inc. | 7,420 | ||||||
957 | Unifi, Inc.* | 13,455 | ||||||
1,916 | Vera Bradley, Inc.* | 8,315 | ||||||
4,779 | Wolverine World Wide, Inc. | 96,345 | ||||||
|
| |||||||
1,138,330 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (2.3%): | ||||||||
4,495 | Axos Financial, Inc.* | 161,146 | ||||||
2,838 | BankFinancial Corp. | 26,649 | ||||||
2,024 | Bridgewater Bancshares, Inc.* | 32,667 | ||||||
7,770 | Capitol Federal Financial, Inc. | 71,329 |
See accompanying notes to the financial statements.
16
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Thrifts & Mortgage Finance, continued | ||||||||
280 | Citizens Community Bancorp, Inc. | $ | 3,872 | |||||
5,449 | Columbia Financial, Inc.* | 118,843 | ||||||
1,537 | ESSA Bancorp, Inc. | 25,822 | ||||||
4,677 | Essent Group, Ltd. | 181,935 | ||||||
596 | Federal Agricultural Mortgage Corp. | 58,199 | ||||||
242 | First Capital, Inc. | 6,556 | ||||||
1,936 | Flagstar Bancorp, Inc. | 68,631 | ||||||
986 | FS Bancorp, Inc. | 28,308 | ||||||
150 | Hingham Institution for Savings (The) | 42,566 | ||||||
629 | HMN Financial, Inc. | 14,517 | ||||||
973 | Home Bancorp, Inc. | 33,209 | ||||||
86 | Home Federal Bancorp, Inc. | 1,803 | ||||||
1,162 | HomeStreet, Inc. | 40,287 | ||||||
869 | IF Bancorp, Inc. | 16,511 | ||||||
3,933 | Kearny Financial Corp. | 43,696 | ||||||
390 | Kentucky First Federal Bancorp | 3,108 | ||||||
289 | LendingTree, Inc.* | 12,664 | ||||||
1,892 | Luther Burbank Corp. | 24,691 | ||||||
940 | Malvern Bancorp, Inc.* | 15,106 | ||||||
1,851 | Merchants Bancorp | 41,962 | ||||||
1,842 | Meta Financial Group, Inc. | 71,230 | ||||||
2,242 | MGIC Investment Corp. | 28,249 | ||||||
3,941 | Mr Cooper Group, Inc.* | 144,792 | ||||||
18,699 | New York Community Bancorp, Inc. | 170,722 | ||||||
4,642 | NMI Holdings, Inc., Class A* | 77,289 | ||||||
3,578 | Northfield Bancorp, Inc. | 46,621 | ||||||
6,541 | Northwest Bancshares, Inc. | 83,725 | ||||||
3,132 | Oceanfirst Financial Corp. | 59,915 | ||||||
198 | Oconee Federal Financial Corp. | 4,376 | ||||||
1,129 | Ocwen Financial Corp.* | 30,935 | ||||||
2,010 | PCSB Financial Corp. | 38,371 | ||||||
1,668 | Premier Financial Corp. | 42,284 | ||||||
1,677 | Provident Financial Holdings, Inc. | 24,870 | ||||||
3,721 | Provident Financial Services, Inc. | 82,829 | ||||||
1,685 | Prudential Bancorp, Inc. | 25,494 | ||||||
4,780 | Radian Group, Inc. | 93,927 | ||||||
1,982 | Riverview Bancorp, Inc. | 13,042 | ||||||
3,589 | Security National Financial Corp., Class A* | 30,362 | ||||||
707 | Southern Missouri Bancorp, Inc. | 31,999 | ||||||
1,053 | Sterling Bancorp, Inc.* | 6,002 | ||||||
1,409 | Territorial Bancorp, Inc. | 29,378 | ||||||
3,100 | TFS Financial Corp. | 42,563 | ||||||
1,462 | TrustCo Bank Corp. NY | 45,088 | ||||||
1,677 | Walker & Dunlop, Inc. | 161,562 | ||||||
3,395 | Washington Federal, Inc. | 101,918 | ||||||
1,247 | Waterstone Financial, Inc. | 21,261 | ||||||
3,601 | Western New England BanCorp, Inc. | 26,863 | ||||||
3,813 | WSFS Financial Corp. | 152,863 | ||||||
35 | WVS Financial Corp. | 521 | ||||||
|
| |||||||
2,763,128 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
763 | Turning Point Brands, Inc. | 20,700 | ||||||
975 | Universal Corp. | 58,988 | ||||||
9,542 | Vector Group, Ltd. | 100,191 | ||||||
|
| |||||||
179,879 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (2.2%): | ||||||||
7,242 | Air Lease Corp. | $ | 242,100 | |||||
1,077 | Alta Equipment Group, Inc.* | 9,661 | ||||||
2,358 | Applied Industrial Technologies, Inc. | 226,769 | ||||||
3,172 | Beacon Roofing Supply, Inc.* | 162,914 | ||||||
569 | BlueLinx Holdings, Inc.* | 38,015 | ||||||
1,324 | Boise Cascade Co. | 78,765 | ||||||
1,278 | DXP Enterprises, Inc.* | 39,145 | ||||||
1,463 | EVI Industries, Inc.* | 14,615 | ||||||
1,550 | GATX Corp. | 145,948 | ||||||
2,103 | Global Industrial Co. | 71,018 | ||||||
573 | GMS, Inc.* | 25,498 | ||||||
1,299 | H&E Equipment Services, Inc. | 37,632 | ||||||
1,516 | Herc Holdings, Inc. | 136,667 | ||||||
1,475 | Kaman Corp., Class A | 46,094 | ||||||
989 | Lawson Products, Inc.* | 50,825 | ||||||
4,569 | MRC Global, Inc.* | 45,507 | ||||||
2,121 | MSC Industrial Direct Co., Inc. | 159,308 | ||||||
7,964 | NOW, Inc.* | 77,888 | ||||||
1,839 | Rush Enterprises, Inc., Class A | 88,640 | ||||||
200 | Rush Enterprises, Inc., Class B | 9,922 | ||||||
369 | SiteOne Landscape Supply, Inc.* | 43,863 | ||||||
2,140 | Textainer Group Holdings, Ltd. | 58,657 | ||||||
1,548 | Titan Machinery, Inc.* | 34,691 | ||||||
577 | Transcat, Inc.* | 32,779 | ||||||
3,118 | Triton International, Ltd. | 164,163 | ||||||
5,651 | Univar Solutions, Inc.* | 140,540 | ||||||
1,034 | Veritiv Corp.* | 112,241 | ||||||
2,366 | WESCO International, Inc.* | 253,399 | ||||||
|
| |||||||
2,547,264 | ||||||||
|
| |||||||
Water Utilities (0.5%): | ||||||||
2,100 | American States Water Co. | 171,171 | ||||||
824 | Artesian Resources Corp. | 40,516 | ||||||
2,717 | California Water Service Group | 150,929 | ||||||
1,256 | Consolidated Water Co., Ltd. | 18,212 | ||||||
925 | Middlesex Water Co. | 81,104 | ||||||
2,502 | Pure Cycle Corp.* | 26,371 | ||||||
1,615 | SJW Group | 100,792 | ||||||
859 | York Water Co. (The) | 34,730 | ||||||
|
| |||||||
623,825 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
1,803 | Gogo, Inc.* | 29,190 | ||||||
2,895 | Shenandoah Telecommunications Co. | 64,269 | ||||||
2,722 | Spok Holdings, Inc. | 17,149 | ||||||
5,534 | Telephone & Data Systems, Inc. | 87,382 | ||||||
2,003 | United States Cellular Corp.* | 58,007 | ||||||
|
| |||||||
255,997 | ||||||||
|
| |||||||
Total Common Stocks (Cost $101,800,069) | 117,861,427 | |||||||
|
| |||||||
Preferred Stocks (0.1%): | ||||||||
Media (0.0%†): | ||||||||
430 | Liberty Broadband Corp., Series A | 11,145 | ||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
2,540 | WESCO International, Inc., Series A | 69,647 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $70,827) | 80,792 | |||||||
|
|
See accompanying notes to the financial statements.
17
AZL DFA U.S. Small Cap Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Rights (0.0%†): | ||||||||
Biotechnology (0.0%†): | ||||||||
8,857 | Achillion Pharm CVR, Expires on 1/29/49* | $ | 12,843 | |||||
2,004 | Chinook Therapeutics-CVR, Expires on 12/31/49* | 3,269 | ||||||
|
| |||||||
16,112 | ||||||||
|
| |||||||
Health Care (0.0%†): | ||||||||
4,400 | Progenics Pharmaceuticals, Inc., Expires on 12/31/49*(a) | 3,696 | ||||||
2,689 | Zogenix, Inc. CVR, Expires on 1/1/25* | 1,829 | ||||||
|
| |||||||
5,525 | ||||||||
|
| |||||||
Household Durables (0.0%†): | ||||||||
4,044 | Zagg, Inc. CVR, Expires on 1/2/49* | 364 | ||||||
|
| |||||||
Pharmaceuticals (0.0%†): | ||||||||
8,452 | Xeris BioPharma Hold CVR, Expires on 10/6/49* | 2,282 | ||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
79 | Communications Systems I CVR, Expires on 1/1/29*(a) | — | ||||||
|
| |||||||
Total Rights (Cost $364) | 24,283 | |||||||
|
|
Shares or Principal | Value | |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.6%): | ||||||||
749,083 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(b)(c) | $ | 749,083 | |||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 749,083 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
442,582 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 442,582 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $442,582) | 442,582 | |||||||
|
| |||||||
Total Investment Securities (Cost $103,062,925) — 100.8% | 119,158,167 | |||||||
Net other assets (liabilities) — (0.8)% | (923,687 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 118,234,480 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
CVR—Contingency Valued Rights
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $703,853. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. 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, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
Amounts | shown as “—“ are either 0 or round to less than 1. |
See accompanying notes to the financial statements.
18
AZL DFA U.S. Small Cap Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 103,062,925 | |||
|
| ||||
Investment securities, at value(a) | $ | 119,158,167 | |||
Interest and dividends receivable | 79,271 | ||||
Receivable for investments sold | 42,990 | ||||
Prepaid expenses | 414 | ||||
|
| ||||
Total Assets | 119,280,842 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 178,967 | ||||
Payable for collateral received on loaned securities | 749,083 | ||||
Manager fees payable | 70,942 | ||||
Administration fees payable | 17,719 | ||||
Distribution fees payable | 25,336 | ||||
Custodian fees payable | 816 | ||||
Administrative and compliance services fees payable | 98 | ||||
Transfer agent fees payable | 668 | ||||
Trustee fees payable | 833 | ||||
Other accrued liabilities | 1,900 | ||||
|
| ||||
Total Liabilities | 1,046,362 | ||||
|
| ||||
Net Assets | $ | 118,234,480 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 64,771,722 | |||
Total distributable earnings | 53,462,758 | ||||
|
| ||||
Net Assets | $ | 118,234,480 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 9,773,115 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.10 | |||
|
|
(a) | Includes securities on loan of $703,853. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 885,199 | |||
Interest | 9 | ||||
Income from securities lending | 2,446 | ||||
Foreign withholding tax | (818 | ) | |||
|
| ||||
Total Investment Income | 886,836 | ||||
|
| ||||
Expenses: | |||||
Management fees | 577,310 | ||||
Administration fees | 24,675 | ||||
Distribution fees | 169,797 | ||||
Custodian fees | 4,638 | ||||
Administrative and compliance services fees | 798 | ||||
Transfer agent fees | 2,598 | ||||
Trustee fees | 3,160 | ||||
Professional fees | 2,551 | ||||
Shareholder reports | 829 | ||||
Other expenses | 2,033 | ||||
|
| ||||
Total expenses before reductions | 788,389 | ||||
Less Management fees contractually waived | (101,878 | ) | |||
|
| ||||
Net expenses | 686,511 | ||||
|
| ||||
Net Investment Income/(Loss) | 200,325 | ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 5,616,483 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (32,745,968 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (27,129,485 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (26,929,160 | ) | ||
|
|
See accompanying notes to the financial statements.
19
AZL DFA U.S. Small Cap Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 200,325 | $ | 661,574 | ||||||
Net realized gains/(losses) on investments | 5,616,483 | 30,812,302 | ||||||||
Change in unrealized appreciation/depreciation on investments | (32,745,968 | ) | 12,016,166 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (26,929,160 | ) | 43,490,042 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (12,429,190 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (12,429,190 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 30,390 | 663,840 | ||||||||
Proceeds from dividends reinvested | — | 12,429,190 | ||||||||
Value of shares redeemed | (9,850,968 | ) | (56,959,304 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (9,820,578 | ) | (43,866,274 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (36,749,738 | ) | (12,805,422 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 154,984,218 | 167,789,640 | ||||||||
|
|
|
| |||||||
End of period | $ | 118,234,480 | $ | 154,984,218 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 2,231 | 44,285 | ||||||||
Dividends reinvested | — | 881,503 | ||||||||
Shares redeemed | (710,723 | ) | (3,908,653 | ) | ||||||
|
|
|
| |||||||
Change in shares | (708,492 | ) | (2,982,865 | ) | ||||||
|
|
|
|
Amounts | shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
20
AZL DFA U.S. Small Cap Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 14.79 | $ | 12.46 | $ | 11.33 | $ | 10.19 | $ | 12.40 | $ | 11.42 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | (a) | 0.06 | (a) | 0.05 | (a) | 0.05 | (a) | 0.07 | 0.07 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.71 | ) | 3.50 | 1.46 | 2.00 | (1.53 | ) | 1.16 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.69 | ) | 3.56 | 1.51 | 2.05 | (1.46 | ) | 1.23 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.09 | ) | (0.05 | ) | (0.06 | ) | (0.07 | ) | (0.07 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.14 | ) | (0.33 | ) | (0.85 | ) | (0.68 | ) | (0.18 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (1.23 | ) | (0.38 | ) | (0.91 | ) | (0.75 | ) | (0.25 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 12.10 | $ | 14.79 | $ | 12.46 | $ | 11.33 | $ | 10.19 | $ | 12.40 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (18.19 | )%(c) | 29.02 | % | 13.97 | % | 21.10 | % | (12.64 | )% | 10.87 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 118,234 | $ | 154,984 | $ | 167,790 | $ | 170,336 | $ | 149,873 | $ | 198,419 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.30 | % | 0.40 | % | 0.54 | % | 0.46 | % | 0.48 | % | 0.55 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.16 | % | 1.17 | % | 1.19 | % | 1.17 | % | 1.16 | % | 1.16 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.01 | % | 1.02 | % | 1.04 | % | 1.02 | % | 1.01 | % | 1.01 | % | ||||||||||||||||||
Portfolio Turnover Rate | 5 | %(c) | 12 | % | 22 | % | 10 | % | 9 | % | 9 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
21
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA U.S. Small Cap Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
22
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $216 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $749,083 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL DFA U.S. Small Cap Fund | 0.85 | % | 1.35 | % |
* | The Manager waived, prior to any application of expense limit, 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 (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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 Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide
23
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 117,811,266 | $ | 50,161 | $ | — | $ | 117,861,427 | ||||||||||||
Preferred Stocks+ | 80,792 | — | — | 80,792 | ||||||||||||||||
Rights+ | — | 20,587 | 3,696 | 24,283 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 749,083 | — | — | 749,083 | ||||||||||||||||
Unaffiliated Investment Company | 442,582 | — | — | 442,582 | ||||||||||||||||
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Total Investment Securities | $ | 119,083,723 | $ | 70,748 | $ | 3,696 | $ | 119,158,167 | ||||||||||||
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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, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL DFA U.S. Small Cap Fund | $ | 6,704,320 | $ | 16,101,502 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
24
AZL DFA U.S. Small Cap Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Value Stocks Risk: Value stocks may perform differently from the market as a whole and following a value-oriented investment strategy may cause the Fund to at times underperform equity funds that use other investment strategies.
Capitalization Risk: Investing in small- to mid-sized companies creates risk because smaller companies may have unpredictable or limited earnings, and their securities may be less liquid or experience more volatile prices than those of large companies.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $107,010.830. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 61,729,193 | ||
Unrealized (depreciation) | (12,822,398 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 48,906,795 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 6,931,703 | $ | 5,497,487 | $ | 12,429,190 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL DFA U.S. Small Cap Fund | $ | 4,705,355 | $ | 26,779,768 | $ | — | $ | 48,906,795 | $ | 80,391,918 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, investments in real estate investment trusts and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 60% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
25
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
26
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
27
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Enhanced Bond Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 29 |
Page 29 |
Statements of Changes in Net Assets Page 30 |
Page 31 |
Notes to the Financial Statements Page 32 |
Page 40 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 41 |
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 or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 890.80 | $ | 3.00 | 0.64 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 1,000.00 | $ | 1,021.62 | $ | 3.21 | 0.64 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Government Agency Mortgages | 31.3 | % | |||
Corporate Bonds | 26.5 | ||||
U.S. Treasury Obligations | 24.5 | ||||
Collateralized Mortgage Obligations | 7.1 | ||||
Asset Backed Securities | 4.4 | ||||
Yankee Debt Obligations | 4.3 | ||||
Unaffiliated Investment Company | 4.2 | ||||
Foreign Bonds | 1.7 | ||||
Certificate of Deposit | 1.1 | ||||
Municipal Bonds | 0.6 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.4 | ||||
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Total Investment Securities | 106.1 | ||||
Net other assets (liabilities) | (6.1 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Asset Backed Securities (4.4%): | ||||||||
$ | 2,266,318 | American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a) | $ | 2,244,516 | ||||
1,640,000 | Benchmark Mortgage Trust, Class A4, Series 2018-B7, 4.51%, 11/15/51, Callable 10/15/28 @ 100 | 1,655,908 | ||||||
10,281,000 | Capital One Multi-Asset Execution Trust, Class A, Series 2022-A2, 3.49%, 5/15/27 | 10,291,511 | ||||||
3,593,000 | CarMax Auto Owner Trust, Class A2A, Series 2022-2, 2.81%, 5/15/25, Callable 4/15/25 @ 100 | 3,581,047 | ||||||
1,062,755 | College Ave Student Loans LLC, Class A2, Series 2021-C, 2.32%, 7/26/55(a) | 972,441 | ||||||
158,705 | College Ave Student Loans LLC, Class A1, Series 2021-A, 2.72%(US0001M+110bps), 7/25/51, Callable 2/25/32 @ 100(a) | 158,414 | ||||||
1,198,215 | College Avenue Student Loans LLC, Class A2, Series 2021-B, 1.76%, 6/25/52, Callable 1/25/34 @ 100(a) | 1,119,480 | ||||||
3,400,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-4, 1.26%, 10/15/30, Callable 4/15/25 @ 100(a) | 3,202,175 | ||||||
160,000 | Credit Acceptance Auto Loan Trust, Class A, Series 20-2A, 1.37%, 7/16/29, Callable 1/15/24 @ 100(a) | 157,618 | ||||||
3,640,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-2A, 0.96%, 2/15/30, Callable 12/15/24 @ 100(a) | 3,485,912 | ||||||
1,880,000 | Credit Acceptance Auto Loan Trust, Class A, Series 2021-3A, 1.00%, 5/15/30, Callable 11/15/24 @ 100(a) | 1,788,726 | ||||||
467,481 | EDvestinU Private Education Loan Issue No 3 LLC, Class A, Series 2021-A, 1.80%, 11/25/45(a) | 407,605 | ||||||
4,158,000 | Ford Credit Auto Lease Trust, Class A2A, Series 2022-A, 2.78%, 10/15/24 | 4,132,279 | ||||||
451,462 | Goodleap Sustainable Home Solutions Trust, Class A, Series 2022-1GS, 2.70%, 1/20/49, Callable 4/20/36 @ 100(a) | 416,222 | ||||||
950,467 | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-5CS, 2.31%, 10/20/48, Callable 6/20/36 @ 100(a) | 831,812 | ||||||
1,755,918 | GoodLeap Sustainable Home Solutions Trust, Class A, Series 2021-4GS, 1.93%, 7/20/48, Callable 5/20/36 @ 100(a) | 1,496,279 | ||||||
2,960,000 | GPMT, Ltd., Class A, Series 2021-FL4, 2.99%(US0001M+135bps), 11/15/36, Callable 11/20/23 @ 100(a) | 2,849,400 | ||||||
1,390,000 | Lendmark Funding Trust, Class A, Series 2021-1A, 1.90%, 11/20/31, Callable 5/20/26 @ 100(a) | 1,203,764 | ||||||
197,491 | LoanCore Issuer, Ltd., Class A, Series 2018-CRE1, 2.45%(US0001M+113bps), 5/15/28, Callable 7/15/22 @ 100(a) | 196,605 | ||||||
1,200,000 | Mariner Finance Issuance Trust, Class A, Series 2021-AA, 1.86%, 3/20/36, Callable 3/20/26 @ 100(a) | 1,062,586 | ||||||
1,674,031 | Mosaic Solar Loan Trust, Class A, Series 2022-1A, 2.64%, 1/20/53, Callable 2/20/36 @ 100(a) | 1,533,482 | ||||||
1,161,436 | Navient Private Education Loan Trust, Class A1B, Series 2020-lA, 2.32%(US0001M+100bps), 4/15/69, Callable 1/15/31 @ 100(a) | 1,160,609 | ||||||
7,068,380 | Navient Private Education Refi Loan Trust, Class A, Series 2021-EA, 0.97%, 12/16/69, Callable 4/15/29 @ 100(a) | 6,388,586 |
Principal Amount | Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 2,578,698 | Navient Private Education Refi Loan Trust, Class A, Series 2021-DA, 2.01%(PRIME-(199)bps), 4/15/60, Callable 5/15/32 @ 100(a) | $ | 2,496,585 | ||||
2,347,724 | Navient Private Education Refi Loan Trust, Class A, Series 20-FA, 1.22%, 7/15/69, Callable 11/15/26 @ 100(a) | 2,236,142 | ||||||
502,829 | Navient Private Education Refi Loan Trust, Class A, Series 2021-A, 0.84%, 5/15/69, Callable 11/15/27 @ 100(a) | 460,241 | ||||||
4,607,000 | Navient Private Education Refi Loan Trust, Class A, Series 2022-BA, 4.16%, 10/15/70, Callable 2/15/29 @ 100(a) | 4,554,879 | ||||||
972,132 | Navient Student Loan Trust, Class A2B, Series 2020-CA, 2.92%(US0001M+160bps), 11/15/68, Callable 11/15/30 @ 100(a) | 969,648 | ||||||
1,874,775 | Navient Student Loan Trust, Class A2B, Series 2019-D, 2.37%(US0001M+105bps), 12/15/59, Callable 1/15/31 @ 100(a) | 1,843,302 | ||||||
160,662 | Navient Student Loan Trust, Class A2, Series 2018-EA, 4.00%, 12/15/59, Callable 3/15/25 @ 100(a) | 160,371 | ||||||
4,236,624 | Nelnet Student Loan Trust, Class AFL, Series 2021-CA, 2.34%(US0001M+74bps), 4/20/62, Callable 2/20/31 @ 100(a) | 4,145,442 | ||||||
3,563,887 | Nelnet Student Loan Trust, Class APT2, Series 2021-A, 1.36%, 4/20/62, Callable 9/20/29 @ 100(a) | 3,328,102 | ||||||
2,938,908 | Nelnet Student Loan Trust, Class AFX, Series 2021-DA, 1.63%, 4/20/62, Callable 5/20/31 @ 100(a) | 2,759,163 | ||||||
6,783,838 | Nelnet Student Loan Trust, Class AFL, Series 2021-BA, 2.38%(US0001M+78bps), 4/20/62, Callable 7/20/29 @ 100(a) | 6,724,752 | ||||||
1,400,000 | PFS Financing Corp., Class A, Series 2021-A, 0.71%, 4/15/26(a) | 1,319,289 | ||||||
774,827 | Prodigy Finance CM2021-1 DAC, Class A, Series 2021-1A, 2.87%(US0001M+125bps), 7/25/51, Callable 2/25/27 @ 100(a) | 768,201 | ||||||
2,009,000 | Regional Management Issuance Trust, Class A, Series 2021-2, 0.02%, 8/15/33, Callable 8/15/26 @ 100(a) | 1,775,538 | ||||||
4,240,502 | SMB Private Education Loan Trust, Class A2A1, Series 2021-A, 2.05%(US0001M+73bps), 1/15/53(a) | 4,131,636 | ||||||
3,476,369 | SMB Private Education Loan Trust, Class APT, Series 2022-A, 2.85%, 11/16/54(a) | 3,259,375 | ||||||
1,944,886 | SMB Private Education Loan Trust, Class A1A, Series BA, 1.29%, 7/15/53(a) | 1,770,005 | ||||||
319,317 | SMB Private Education Loan Trust, Class A2B, Series 2020-A, 2.15%(US0001M+83bps), 9/15/37(a) | 316,591 | ||||||
1,383,755 | SMB Private Education Loan Trust, Class APT1, Series 2021-C, 1.39%, 1/15/53(a) | 1,265,915 | ||||||
392,141 | SMB Private Education Loan Trust, Class A2B, Series 2017-B, 2.07%(US0001M+75bps), 10/15/35(a) | 387,504 | ||||||
490,000 | SMB Private Education Loan Trust, Class B, Series 2021-A, 2.31%, 1/15/53(a) | 454,417 | ||||||
13,418 | SoFi Professional Loan Program, Class A2B, Series 2016-D, 2.34%, 4/25/33, Callable 1/25/24 @ 100(a) | 13,296 |
See accompanying notes to the financial statements.
2
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 658,963 | SoFi Professional Loan Program, Class AFX, Series 2020-C, 1.95%, 2/15/46, Callable 2/15/28 @ 100(a) | $ | 629,252 | ||||
541,053 | SoFi Professional Loan Program, Class A2FX, Series 2019-B, 3.09%, 8/17/48, Callable 4/15/26 @ 100(a) | 529,103 | ||||||
1,542,323 | SoFi Professional Loan Program, Class A2FX, Series 2017-F, 2.84%, 1/25/41, Callable 4/25/25 @ 100(a) | 1,518,606 | ||||||
1,329,389 | SoFi Professional Loan Program, Class A2FX, Series 2020-A, 2.54%, 5/15/46, Callable 4/15/27 @ 100(a) | 1,273,195 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $103,693,164) | 99,427,527 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (7.1%): | ||||||||
1,930,000 | ACRES Commercial Realty, Ltd., Class A, Series 2021-FL2, 2.92%(US0001M+140bps), 1/15/37, Callable 12/15/23 @ 100(a) | 1,847,496 | ||||||
2,000,000 | AIMCO CLO, Class AR, Series 2017-AA, 2.11%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(a) | 1,918,636 | ||||||
2,810,000 | Alen Mortgage Trust, Class A, Series 2021-ACEN, 2.47%(US0001M+115bps), 4/15/38(a) | 2,746,550 | ||||||
1,000,000 | Anchorage Capital CLO 7, Ltd., Class AR2, Series 2015-7A, 2.33%(US0003M+109bps), 1/28/31, Callable 7/28/22 @ 100(a) | 985,444 | ||||||
2,094,416 | Angel Oak Mortgage Trust, Class A1, Series 2022-1, 2.88%, 12/25/66, Callable 1/25/25 @ 100(a)(b) | 1,989,729 | ||||||
1,735,000 | Arbor Multifamily Mortgage Securities Trust, Class A5, Series 2020-MF1, 2.76%, 5/15/53, Callable 2/15/30 @ 100(a) | 1,554,917 | ||||||
4,240,000 | Arbor Realty Commercial Real Estate Notes, Ltd., Class A, Series 2021-FL4, 2.67%(US0001M+135bps), 11/15/36, Callable 6/15/24 @ 100(a) | 4,102,200 | ||||||
500,000 | Ares XXXIIR CLO, Ltd., Class A1A, Series 2014-32RA, 2.35%(US0003M+94bps), 5/15/30, Callable 8/15/22 @ 100(a) | 488,804 | ||||||
1,780,000 | BANK, Class A5, Series 2021-BN38, 2.52%, 12/15/64, Callable 12/15/31 @ 100 | 1,541,106 | ||||||
1,920,000 | BANK, Class A5, Series 2022-BNK42, 4.49%, 6/15/55, Callable 5/15/32 @ 100(b) | 1,955,328 | ||||||
3,850,000 | Barclays Commercial Mortgage Trust, Class A, Series 2018-TALL, 2.05%(US0001M+72bps), 3/15/37(a) | 3,671,860 | ||||||
1,250,000 | Battalion CLO VIII, Ltd., Class A1R2, Series 2015-8A, 2.11%(US0003M+107bps), 7/18/30, Callable 7/18/22 @ 100(a) | 1,226,846 | ||||||
2,290,000 | Battalion CLO X, Ltd., Class A1R2, Series 2016-10A, 2.35%(US0003M+117bps), 1/25/35, Callable 1/24/23 @ 100(a) | 2,214,741 | ||||||
2,090,000 | BBCMS Mortgage Trust, Class A5, Series 2022-C16, 4.60%, 6/15/55, Callable 5/15/32 @ 100(b) | 2,142,668 | ||||||
4,580,000 | BDS, Ltd., Class A, Series 2021-FL10, 2.96%(US0001M+135bps), 12/18/36, Callable 12/16/23 @ 100(a) | 4,409,682 | ||||||
668,000 | Benchmark Mortgage Trust, Class C, Series 2019-B15, 3.84%, 12/15/72, Callable 12/15/29 @ 100 | 591,688 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 1,250,000 | Benchmark Mortgage Trust, Class B, Series 2019-B15, 3.56%, 12/15/72, Callable 11/15/29 @ 100 | $ | 1,131,500 | ||||
2,280,000 | Benchmark Mortgage Trust, Class A5, Series 2022-B35, 4.59%, 5/15/55, Callable 5/15/32 @ 100(b) | 2,317,164 | ||||||
1,000,000 | Benchmark Mortgage Trust, Class A5, Series 2022-B33, 3.46%, 1/15/32 | 934,500 | ||||||
1,540,000 | BSPRT Issuer, Ltd., Class A, Series 2021-FL7, 2.64%(US0001M+132bps), 12/15/38, Callable 12/15/23 @ 100(a) | 1,465,789 | ||||||
1,120,000 | BX, Class A, Series 2021-MFM1, 2.02%(US0001M+70bps), 1/15/34(a) | 1,076,723 | ||||||
3,350,000 | BX Commercial Mortgage Trust, Class A, Series 2020-ViV4, 2.84%, 3/9/44(a) | 2,916,342 | ||||||
2,525,015 | BX Commercial Mortgage Trust, Class A, Series 2021-XL2, 2.01%(US0001M+69bps), 10/15/36(a) | 2,405,203 | ||||||
1,817,555 | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 2.24%(US0001M+92bps), 10/15/36(a) | 1,785,657 | ||||||
2,110,000 | BX Commercial Mortgage Trust, Class A, Series 2021-CIP, 2.25%(US0001M+92bps), 12/15/28(a) | 2,046,547 | ||||||
551,000 | BX Trust, Class D, Series 2019-OC11, 4.08%, 12/9/41(a) | 479,772 | ||||||
4,800,000 | BX Trust, Class A, Series 2021-ARIA, 2.22%(US0001M+90bps), 10/15/36(a) | 4,511,356 | ||||||
603,000 | Cantor Commercial Real Estate Lending, Class B, Series 2019-CF3, 3.50%, 1/15/53, Callable 12/15/29 @ 100(b) | 540,258 | ||||||
615,000 | Cantor Commercial Real Estate Lending, Class A4, Series 2019-CF2, 2.62%, 11/15/52, Callable 8/15/29 @ 100 | 554,367 | ||||||
2,235,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 2.11%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(a) | 2,137,869 | ||||||
1,950,000 | CEDR Commercial Mortgage Trust, Class A, Series 2022-SNAI, 2.27%(TSFR1M+99bps), 2/15/39(a) | 1,840,375 | ||||||
760,000 | CGRBS Commercial Mortgage Trust, Class A, Series 2013-VN05, 3.37%, 3/13/35(a) | 757,021 | ||||||
269,344 | Chase Home Lending Mortgage Trust, Class A11, Series 2019-ATR2, 2.52%(US0001M+90bps), 7/25/49, Callable 3/25/24 @ 100(a) | 280,429 | ||||||
789,605 | CIM Trust, Class A11, Series 2019-INV3, 1.96%(US0001M+100bps), 8/25/49, Callable 2/25/25 @ 100(a) | 781,947 | ||||||
1,015,000 | Commercial Mortgage Loan Trust, Class D, Series 2013-WWP, 3.90%, 3/10/31, Callable 3/10/23 @ 100(a) | 1,021,313 | ||||||
3,075,000 | Commercial Mortgage Loan Trust, Class A4, Series 2015-CCRE26, 3.63%, 10/10/48, Callable 8/10/25 @ 100 | 3,016,175 | ||||||
667,000 | Commercial Mortgage Loan Trust, Class A5, Series 2015-CR24, 3.70%, 8/10/48, Callable 7/10/25 @ 100 | 656,695 | ||||||
1,279,058 | Commercial Mortgage Loan Trust, Class AM, Series 2013-CR7, 3.31%, 3/10/46, Callable 4/10/23 @ 100(a) | 1,268,583 |
See accompanying notes to the financial statements.
3
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 2,257,191 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | $ | 2,091,468 | ||||
1,195,000 | CSAIL Commercial Mortgage Trust, Class B, Series 2019-C15, 4.48%, 3/15/52 | 1,139,624 | ||||||
210,000 | CSAIL Commercial Mortgage Trust, Class A5, Series 2018-CX11, 4.03%, 4/15/51, Callable 2/15/28 @ 100(b) | 205,340 | ||||||
2,335,000 | CSMC, Class B, Series 2021-BHAR, 2.82%(US0001M+150bps), 11/15/38(a) | 2,258,662 | ||||||
1,796,071 | CSMC, Class A1, Series 2021-NQM8, 1.84%, 10/25/66, Callable 11/25/24 @ 100(a)(b) | 1,617,350 | ||||||
899,220 | Deephaven Residential Mortgage Trust, Class A1, Series 2022-2, 4.30%, 3/25/67, Callable 4/25/25 @ 100(a)(b) | 870,427 | ||||||
2,000,000 | Dewolf Park CLO, Ltd., Class AR, Series 2017-1A, 1.96%(US0003M+92bps), 10/15/30, Callable 7/15/22 @ 100(a) | 1,960,236 | ||||||
1,440,000 | Diameter Capital CLO 1, Ltd., Class A1A, Series 2021-1A, 2.28%(US0003M+124bps), 7/15/36, Callable 10/15/23 @ 100(a) | 1,399,260 | ||||||
2,095,000 | Dryden 43 Senior Loan Fund, Class AR2, Series 2016-43A, 2.10%(US0003M+104bps), 4/20/34, Callable 4/20/23 @ 100(a) | 2,013,360 | ||||||
800,000 | Dryden 75 CLO, Ltd., Class AR2, Series 2019-75A, 2.08%(US0003M+104bps), 4/15/34, Callable 4/15/23 @ 100(a) | 772,020 | ||||||
4,750,000 | Elmwood CLO II, Ltd., Class AR, Series 2019-2A, 2.21%(US0003M+115bps), 4/20/34, Callable 4/20/23 @ 100(a) | 4,602,484 | ||||||
5,376,908 | Extended Stay America Trust, Class A, Series 2021-ESH, 2.41%(US0001M+108bps), 7/15/38(a) | 5,241,840 | ||||||
566,039 | Flagstar Mortgage Trust, Class A11, Series 2019-1, 1.96%(US0001M+95bps), 10/25/49, Callable 2/25/28 @ 100(a) | 558,247 | ||||||
1,055,303 | FRESB Multifamily Mortgage Pass Through, Class A10H, Series 2019-SB60, 3.50%(US0001M+350bps), 1/25/39, Callable 12/25/28 @ 100 | 1,015,107 | ||||||
1,230,000 | FS RIALTO, Class A, Series 2021-FL2, 2.73%(US0001M+122bps), 4/16/26, Callable 4/16/23 @ 100 | 1,182,696 | ||||||
2,720,000 | FS Rialto Issuer LLC, Class A, Series 2022-FL4, 2.69%(SOFR30A+190bps), 1/19/39, Callable 4/17/24 @ 100(a) | 2,627,504 | ||||||
3,365,275 | GCAT Trust, Class A1, Series 2021-NQM7, 1.91%, 8/25/66, Callable 9/25/24 @ 100(a)(b) | 3,142,291 | ||||||
3,805,635 | GS Mortgage Backed Securities Corp. Trust, Class A4, Series 2022-PJ2, 2.50%, 6/25/52, Callable 3/25/34 @ 100(a)(b) | 3,248,722 | ||||||
1,712,483 | GS Mortgage-Backed Securities Trust, Class A2, Series 2021-PJ6, 2.50%, 11/25/51, Callable 8/25/42 @ 100(a)(b) | 1,463,210 | ||||||
1,525,000 | IMT Trust, Class BFX, Series 2017-APTS, 3.61%, 6/15/34(a)(b) | 1,509,613 | ||||||
270,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D, Series 2022-OPO, 3.56%, 1/5/39(a)(b) | 227,073 | ||||||
2,477,211 | J.P. Morgan Mortgage Trust, Class A3B, Series 2022-INV3, 3.00%, 9/25/52, Callable 9/25/38 @ 100(a)(b) | 2,197,654 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 585,836 | JP Morgan Chase Commercial Mortgage Securities Corp., Class A, Series 2021-MHC, 2.12%(US0001M+80bps), 4/15/38(a) | $ | 565,386 | ||||
3,660,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2021-NYAH, 2.08%(US0001M+76bps), 6/15/38 | 3,476,966 | ||||||
181,211 | JP Morgan Mortgage Trust, Class A11, Series 2019-7, 2.52%(US0001M+90bps), 2/25/50, Callable 10/25/23 @ 100(a) | 178,978 | ||||||
135,790 | JP Morgan Mortgage Trust, Class A11, Series 2019-LTV3, 1.86%(US0001M+85bps), 2/25/50, Callable 3/25/23 @ 100(a) | 134,226 | ||||||
181,593 | JP Morgan Mortgage Trust, Class A5, Series 2019-LTV3, 3.50%, 2/25/50, Callable 3/25/23 @ 100(a)(b) | 177,322 | ||||||
453,861 | JP Morgan Mortgage Trust, Class A11, Series 2019-INV3, 2.01%(US0001M+100bps), 5/25/50, Callable 7/25/28 @ 100(a) | 446,771 | ||||||
508,460 | JP Morgan Mortgage Trust, Class A11, Series 2019-INV2, 2.52%(US0001M+90bps), 2/25/50, Callable 6/25/25 @ 100(a) | 502,214 | ||||||
124,924 | JP Morgan Mortgage Trust, Class A11, Series 2020-LTV1, 2.01%(US0001M+100bps), 6/25/50, Callable 1/25/26 @ 100(a) | 122,847 | ||||||
700,000 | JPMDB Commercial Mortgage Securities Trust, Class A5, Series 2017-C5, 3.69%, 3/15/50, Callable 1/15/27 @ 100 | 683,263 | ||||||
2,904,000 | KNDL Mortgage Trust, Class A, Series 2019-KNSQ, 2.12%(US0001M+80bps), 5/15/36(a) | 2,845,775 | ||||||
1,503,944 | Life Mortgage Trust, Class A, Series 2021-BMR, 2.02%(US0001M+70bps), 3/15/38(a) | 1,441,801 | ||||||
1,875,000 | LoanCore Issuer, Ltd., Class A, Series 2021-CRE6, 2.62%(US0001M+130bps), 11/15/38, Callable 11/15/23 @ 100(a) | 1,795,563 | ||||||
3,062,290 | Mello Mortgage Capital Acceptance, Class A3, Series 2022-INV2, 3.00%, 4/25/52, Callable 7/25/46 @ 100(a)(b) | 2,714,791 | ||||||
630,000 | MF1, Class A, Series 2021-W10, 2.35%(SOFR30A+107bps), 12/15/24(a) | 603,531 | ||||||
3,570,000 | MHP, Class A, Series 2021-STOR, 2.02%(US0001M+70bps), 7/15/38(a) | 3,421,691 | ||||||
1,189,164 | Morgan Stanley Bank of America Merrill Lynch Trust, Class A3, Series 2015-C24, 3.48%, 5/15/48, Callable 5/15/25 @ 100 | 1,162,764 | ||||||
1,563,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-NUGS, 2.45%(US0001M+95bps), 12/15/36(a) | 1,567,126 | ||||||
1,540,000 | Morgan Stanley Capital I Trust, Class A4, Series 2016-BNK2, 3.05%, 11/15/49, Callable 10/15/26 @ 100 | 1,470,223 | ||||||
2,545,000 | MTN Commercial Mortgage Trust, Class A, Series 2022-LPFL, 2.68%(TSFR1M+140bps), 3/15/39(a) | 2,481,167 | ||||||
1,559,193 | OBX Trust, Class A1, Series 2022-INV3, 3.00%, 2/25/52, Callable 6/25/43 @ 100(a)(b) | 1,384,210 | ||||||
1,905,000 | Octagon 66, Ltd., Class A, Series 2022-1A(TSFR3M+194bps), 8/16/33(a) | 1,899,555 | ||||||
1,200,000 | Octagon Investment Partners XVII, Ltd., Class A2R2, Series 2013-1A, 2.28%(US0003M+110bps), 1/25/31, Callable 7/25/22 @ 100(a) | 1,162,407 |
See accompanying notes to the financial statements.
4
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 2,748,228 | One Lincoln Street Commercial Mortgage, Class A1, Series 2004-C3, 5.72%, 10/15/30(a)(b) | $ | 2,796,982 | ||||
1,510,000 | One New York Plaza Trust, Class A, Series 2020-1NYP, 2.27%(US0001M+95bps), 1/15/26(a) | 1,465,832 | ||||||
2,388,664 | PRKCM Trust, Class A1, Series 2021-AFC2, 2.07%, 11/25/56, Callable 8/25/42 @ 100(a)(b) | 2,096,639 | ||||||
1,250,000 | RR 3, Ltd., Class A1R2, Series 2018-3A, 2.13%(US0003M+109bps), 1/15/30, Callable 7/15/22 @ 100(a) | 1,230,341 | ||||||
1,610,672 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2019-2, 3.50%, 8/25/58, Callable 1/25/48 @ 100 | 1,593,264 | ||||||
652,876 | Seasoned Credit Risk Transfer Trust, Class MA, Series 2018-2, 3.50%, 11/25/57, Callable 2/25/35 @ 100 | 640,765 | ||||||
125,000 | SG Commercial Mortgage Securities Trust, Class A4, Series 2016-C5, 3.06%, 10/10/48, Callable 6/10/26 @ 100 | 119,192 | ||||||
1,000,000 | Signal Peak CLO 8, Ltd., Class A, Series 2020-8A, 2.33%(US0003M+127bps), 4/20/33, Callable 7/20/22 @ 100(a) | 974,091 | ||||||
2,300,000 | Taubman Centers Commercial Mortgage Trust, Class A, Series 2022-DPM, 3.46%(TSFR1M+219bps), 5/15/37(a) | 2,190,836 | ||||||
388,839 | Tharaldson Hotel Portfolio Trust, Class A, Series 2018-THL, 2.17%(US0001M+75bps), 11/11/34(a) | 381,637 | ||||||
2,921,900 | Verus Securitization Trust, Class A1, Series 2022-3, 4.13%, 2/25/67, Callable 3/25/25 @ 100(a) | 2,867,718 | ||||||
1,000,000 | Voya CLO, Ltd., Class A1R, Series 2017-3A, 2.10%(US0003M+104bps), 4/20/34, Callable 4/20/23 @ 100(a) | 961,629 | ||||||
1,250,000 | Wells Fargo Commercial Mortgage Trust, Class AS, Series 2015-NXS1, 3.41%, 5/15/48, Callable 4/15/25 @ 100 | 1,227,225 | ||||||
775,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-C28, 3.54%, 5/15/48, Callable 4/15/25 @ 100 | 760,988 | ||||||
1,015,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2015-NXS4, 3.72%, 12/15/48 | 999,694 | ||||||
940,000 | Wells Fargo Commercial Mortgage Trust, Class A4, Series 2018-C46, 4.15%, 8/15/51, Callable 8/15/28 @ 100 | 930,703 | ||||||
8,864,614 | Wells Fargo Commercial Mortgage Trust, Class XA, Series 2016-LC25, 0.98%, 12/15/59, Callable 8/15/26 @ 100(b) | 259,467 | ||||||
1,500,000 | Whitebox CLO III, Ltd., Class A1, Series 2021-3A, 2.26%(US0003M+122bps), 10/15/34, Callable 10/15/23 @ 100(a) | 1,454,145 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $169,934,782) | 161,847,193 | |||||||
|
| |||||||
Corporate Bonds (26.5%): | ||||||||
Aerospace & Defense (1.2%): | ||||||||
2,642,000 | BAE Systems Holdings, Inc., 3.80%, 10/7/24(a) | 2,609,461 | ||||||
647,000 | BAE Systems Holdings, Inc., 3.85%, 12/15/25, Callable 9/15/25 @ 100(a) | 636,134 | ||||||
216,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 201,458 | ||||||
1,062,000 | General Dynamics Corp., 3.50%, 4/1/27, Callable 2/1/27 @ 100 | 1,041,948 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 1,020,000 | General Dynamics Corp., 3.75%, 5/15/28, Callable 2/15/28 @ 100 | $ | 1,003,379 | ||||
1,249,000 | Harris Corp., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | 1,231,278 | ||||||
378,000 | Huntington Ingalls Industries, Inc., 3.84%, 5/1/25, Callable 4/1/25 @ 100 | 373,114 | ||||||
981,000 | Huntington Ingalls Industries, Inc., 3.48%, 12/1/27, Callable 9/1/27 @ 100 | 912,330 | ||||||
1,518,000 | Huntington Ingalls Industries, Inc., 2.04%, 8/16/28, Callable 6/16/28 @ 100 | 1,314,022 | ||||||
1,315,000 | L3Harris Technologies, Inc., 3.85%, 12/15/26, Callable 9/15/26 @ 100 | 1,292,074 | ||||||
1,383,000 | L3Harris Technologies, Inc., 4.40%, 6/15/28, Callable 3/15/28 @ 100 | 1,356,911 | ||||||
305,000 | Lockheed Martin Corp., 3.90%, 6/15/32, Callable 3/15/32 @ 100 | 301,754 | ||||||
391,000 | Lockheed Martin Corp., Series B, 6.15%, 9/1/36 | 450,090 | ||||||
1,051,000 | Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100 | 925,625 | ||||||
1,000,000 | Lockheed Martin Corp., 4.09%, 9/15/52, Callable 3/15/52 @ 100 | 933,827 | ||||||
2,256,000 | Northrop Grumman Corp., 2.93%, 1/15/25, Callable 11/15/24 @ 100 | 2,206,318 | ||||||
214,000 | Northrop Grumman Corp., 4.75%, 6/1/43 | 207,168 | ||||||
217,000 | Northrop Grumman Corp., 3.85%, 4/15/45, Callable 10/15/44 @ 100 | 184,485 | ||||||
1,655,000 | Northrop Grumman Corp., 4.03%, 10/15/47, Callable 4/15/47 @ 100 | 1,478,776 | ||||||
115,000 | Raytheon Technologies Corp., 7.00%, 11/1/28 | 130,376 | ||||||
2,427,000 | Raytheon Technologies Corp., 4.13%, 11/16/28, Callable 8/16/28 @ 100 | 2,402,198 | ||||||
563,000 | Raytheon Technologies Corp., 2.38%, 3/15/32, Callable 12/15/31 @ 100 | 477,374 | ||||||
168,000 | Raytheon Technologies Corp., 4.50%, 6/1/42 | 160,993 | ||||||
415,000 | Raytheon Technologies Corp., 4.20%, 12/15/44, Callable 6/15/44 @ 100 | 369,839 | ||||||
709,000 | Raytheon Technologies Corp., 4.35%, 4/15/47, Callable 10/15/46 @ 100 | 663,003 | ||||||
1,426,000 | Raytheon Technologies Corp., 4.63%, 11/16/48, Callable 5/16/48 @ 100 | 1,401,113 | ||||||
405,000 | Raytheon Technologies Corp., 2.82%, 9/1/51, Callable 3/1/51 @ 100 | 290,783 | ||||||
875,000 | Raytheon Technologies Corp., 3.03%, 3/15/52, Callable 9/15/51 @ 100 | 654,889 | ||||||
264,000 | Textron, Inc., 3.65%, 3/15/27, Callable 12/15/26 @ 100 | 257,726 | ||||||
1,098,000 | Textron, Inc., 3.90%, 9/17/29, Callable 6/17/29 @ 100 | 1,034,250 | ||||||
|
| |||||||
26,502,696 | ||||||||
|
| |||||||
Air Freight & Logistics (0.1%): | ||||||||
620,000 | FedEx Corp., 0.45%, 5/4/29, Callable 2/4/29 @ 100 | 540,764 | ||||||
695,000 | United Parcel Service, Inc., 0.38%, 11/15/23, Callable 8/15/23 @ 100 | 717,371 | ||||||
|
| |||||||
1,258,135 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
844,281 | American Airlines Pass Through Trust, Series 2015-2, Class B, 4.40%, 3/22/25 | 810,985 | ||||||
307,847 | American Airlines Pass Through Trust, Series 2016-1, Class B, 5.25%, 7/15/25 | 288,221 |
See accompanying notes to the financial statements.
5
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Airlines, continued | ||||||||
$ | 68,972 | American Airlines Pass Through Trust, Series 2017-1, Class B, 4.95%, 8/15/26 | $ | 63,110 | ||||
474,567 | American Airlines Pass Through Trust, Series 2015-2, Class AA, 3.60%, 3/22/29 | 435,143 | ||||||
201,082 | American Airlines Pass Through Trust, Series 2016-2, Class AA, 3.20%, 12/15/29 | 182,619 | ||||||
398,038 | American Airlines Pass Through Trust, Series 2016-3, Class AA, 3.00%, 4/15/30 | 356,670 | ||||||
164,378 | American Airlines Pass Through Trust, Series 2017-1, Class AA, 3.65%, 8/15/30 | 151,074 | ||||||
655,306 | American Airlines Pass Through Trust, Series 2019-1, 3.15%, 8/15/33 | 584,977 | ||||||
420,000 | Delta Airlines Pass Through Trust, Series 2019-1, Class AA, 3.20%, 10/25/25 | 407,069 | ||||||
122,000 | Southwest Airlines Co., 2.75%, 11/16/22, Callable 10/16/22 @ 100 | 121,605 | ||||||
40,366 | United Airlines Pass Through Trust, Series 2014-2, Class B, 4.63%, 3/3/24 | 40,249 | ||||||
6,146 | United Airlines Pass Through Trust, Series 2016-2, Class B, 3.65%, 4/7/27 | 5,685 | ||||||
251,764 | United Airlines Pass Through Trust, Series 2018-1, Class B, 4.60%, 9/1/27 | 238,919 | ||||||
1,100,894 | United Airlines Pass Through Trust, Series 2020-1, Class A, 5.88%, 4/15/29 | 1,078,876 | ||||||
10,648 | United Airlines Pass Through Trust, Series 2015-1, Class AA, 3.45%, 6/1/29 | 9,841 | ||||||
358,229 | United Airlines Pass Through Trust, Series 2019-2, Class B, 3.50%, 11/1/29 | 317,563 | ||||||
44,228 | United Airlines Pass Through Trust, Series 2016-2, Class AA, 3.10%, 1/7/30 | 40,406 | ||||||
171,477 | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.88%, 4/7/30 | 153,581 | ||||||
208,474 | United Airlines Pass Through Trust, Series 2018-1, Class AA, 3.50%, 9/1/31 | 187,748 | ||||||
334,459 | United Airlines Pass Through Trust, Series 2016-1, Class AA, 4.15%, 2/25/33 | 313,799 | ||||||
459,576 | United Airlines Pass Through Trust, Series 2019-2, Class AA, 2.70%, 11/1/33 | 390,433 | ||||||
|
| |||||||
6,178,573 | ||||||||
|
| |||||||
Banks (5.1%): | ||||||||
3,470,000 | Bank of America Corp., 3.00% (US0003M+79 bps), 12/20/23, Callable 12/20/22 @ 100 | 3,458,830 | ||||||
4,437,000 | Bank of America Corp., 3.55% (US0003M+78 bps), 3/5/24, Callable 3/5/23 @ 100 | 4,429,360 | ||||||
504,000 | Bank of America Corp., 0.98% (SOFR+69 bps), 4/22/25, Callable 4/22/24 @ 100 | 474,403 | ||||||
1,683,000 | Bank of America Corp., 3.37% (US0003M+81 bps), 1/23/26, Callable 1/23/25 @ 100 | 1,635,127 | ||||||
597,000 | Bank of America Corp., 2.02% (US0003M+64 bps), 2/13/26, Callable 2/13/25 @ 100, MTN | 561,989 | ||||||
2,921,000 | Bank of America Corp., 3.38% (SOFR+133 bps), 4/2/26, Callable 4/2/25 @ 100, MTN | 2,835,181 | ||||||
6,244,000 | Bank of America Corp., 1.32% (SOFR+115 bps), 6/19/26, Callable 6/19/25 @ 100, MTN | 5,670,707 | ||||||
6,920,000 | Bank of America Corp., 1.20% (SOFR+101 bps), 10/24/26, Callable 10/24/25 @ 100, MTN | 6,205,199 | ||||||
6,098,000 | Bank of America Corp., 3.56% (US0003M+106 bps), 4/23/27, Callable 4/23/26 @ 100, MTN | 5,848,494 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 1,447,000 | Bank of America Corp., 1.73% (SOFR+96 bps), 7/22/27, Callable 7/22/26 @ 100 | $ | 1,291,390 | ||||
2,767,000 | Bank of America Corp., 3.82% (US0003M+158 bps), 1/20/28, Callable 1/20/27 @ 100, MTN | 2,657,811 | ||||||
1,925,000 | Bank of America Corp., 2.55% (SOFR+105 bps), 2/4/28, Callable 2/4/27 @ 100 | 1,761,161 | ||||||
3,800,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 3,545,487 | ||||||
821,000 | Bank of America Corp., 3.97% (US0003M+107 bps), 3/5/29, Callable 3/5/28 @ 100, MTN | 784,192 | ||||||
1,535,000 | Bank of America Corp., 4.27% (US0003M+131 bps), 7/23/29, Callable 7/23/28 @ 100 | 1,480,891 | ||||||
735,000 | Bank of America Corp., 3.97% (US0003M+121 bps), 2/7/30, Callable 2/7/29 @ 100, MTN | 699,977 | ||||||
1,510,000 | Bank of America Corp., 3.19% (US0003M+118 bps), 7/23/30, Callable 7/23/29 @ 100, MTN | 1,358,595 | ||||||
6,772,000 | Bank of America Corp., 2.88% (US0003M+119 bps), 10/22/30, Callable 10/22/29 @ 100, MTN | 5,931,175 | ||||||
472,000 | Bank of America Corp., 2.50% (US0003M+99 bps), 2/13/31, Callable 2/13/30 @ 100, MTN | 400,519 | ||||||
793,000 | Bank of America Corp., 2.59% (SOFR+215 bps), 4/29/31, Callable 4/29/30 @ 100 | 676,810 | ||||||
295,000 | Bank of America Corp., 1.90% (SOFR+153 bps), 7/23/31, Callable 7/23/30 @ 100, MTN | 237,371 | ||||||
860,000 | Bank of America Corp., 1.92% (SOFR+137 bps), 10/24/31, Callable 10/24/30 @ 100, MTN | 687,979 | ||||||
665,000 | Bank of America Corp., 2.57% (SOFR+121 bps), 10/20/32, Callable 10/20/31 @ 100 | 549,253 | ||||||
2,372,000 | Bank of America Corp., 2.97% (SOFR+133 bps), 2/4/33, Callable 2/4/32 @ 100 | 2,020,574 | ||||||
3,200,000 | Bank of America Corp., 4.57% (SOFR+183 bps), 4/27/33, Callable 4/27/32 @ 100 | 3,113,488 | ||||||
905,000 | Bank of America Corp., 5.87% (US0003M+293 bps), 12/31/99, Callable 3/15/28 @ 100 | 794,138 | ||||||
345,000 | Citigroup, Inc., 0.78% (SOFR+69 bps), 10/30/24, Callable 10/30/23 @ 100 | 328,842 | ||||||
5,421,000 | Citigroup, Inc., 3.29% (SOFR+153 bps), 3/17/26, Callable 3/17/25 @ 100 | 5,251,404 | ||||||
7,084,000 | Citigroup, Inc., 3.07% (SOFR+128 bps), 2/24/28, Callable 2/24/27 @ 100 | 6,608,111 | ||||||
5,943,000 | Citigroup, Inc., 3.98% (US0003M+134 bps), 3/20/30, Callable 3/20/29 @ 100 | 5,602,549 | ||||||
4,621,000 | Citigroup, Inc., 2.98% (SOFR+142 bps), 11/5/30, Callable 11/5/29 @ 100 | 4,050,242 | ||||||
479,000 | Citigroup, Inc., 2.57% (SOFR+211 bps), 6/3/31, Callable 6/3/30 @ 100 | 402,316 | ||||||
405,000 | Citigroup, Inc., 3.06% (SOFR+135 bps), 1/25/33, Callable 1/25/32 @ 100 | 343,961 | ||||||
380,000 | Citigroup, Inc., 4.91% (SOFR+209 bps), 5/24/33, Callable 5/24/32 @ 100 | 375,073 | ||||||
329,000 | Citigroup, Inc., 4.00% (H15T5Y+4 bps), 12/31/99, Callable 12/10/25 @ 100 | 284,585 | ||||||
491,000 | JPMorgan Chase & Co., 0.70% (SOFR+58 bps), 3/16/24, Callable 3/16/23 @ 100 | 479,987 | ||||||
1,800,000 | JPMorgan Chase & Co., 3.56% (US0003M+73 bps), 4/23/24, Callable 4/23/23 @ 100 | 1,795,502 | ||||||
210,000 | JPMorgan Chase & Co., 4.02% (US0003M+100 bps), 12/5/24, Callable 12/5/23 @ 100 | 209,404 | ||||||
1,636,000 | JPMorgan Chase & Co., 3.85% (SOFR+98 bps), 6/14/25, Callable 6/14/24 @ 100 | 1,621,556 |
See accompanying notes to the financial statements.
6
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 182,000 | JPMorgan Chase & Co., 2.30% (SOFR+116 bps), 10/15/25, Callable 10/15/24 @ 100 | $ | 174,089 | ||||
1,385,000 | JPMorgan Chase & Co., 2.01% (SOFR+159 bps), 3/13/26, Callable 3/13/25 @ 100 | 1,295,924 | ||||||
3,755,000 | JPMorgan Chase & Co., 4.08% (SOFR+132 bps), 4/26/26, Callable 4/26/25 @ 100 | 3,719,992 | ||||||
2,000 | JPMorgan Chase & Co., 3.20%, 6/15/26, Callable 3/15/26 @ 100 | 1,941 | ||||||
2,230,000 | JPMorgan Chase & Co., 3.96% (US0003M+125 bps), 1/29/27, Callable 1/29/26 @ 100 | 2,186,234 | ||||||
2,897,000 | JPMorgan Chase & Co., 1.58% (SOFR+89 bps), 4/22/27, Callable 4/22/26 @ 100 | 2,585,807 | ||||||
4,797,000 | JPMorgan Chase & Co., 3.78% (US0003M+134 bps), 2/1/28, Callable 2/1/27 @ 100 | 4,614,695 | ||||||
3,168,000 | JPMorgan Chase & Co., 2.95% (SOFR+117 bps), 2/24/28, Callable 2/24/27 @ 100 | 2,945,689 | ||||||
1,750,000 | JPMorgan Chase & Co., 4.00% (US0003M+112 bps), 4/23/29, Callable 4/23/28 @ 100 | 1,681,006 | ||||||
1,318,000 | JPMorgan Chase & Co., 3.70% (US0003M+116 bps), 5/6/30, Callable 5/6/29 @ 100 | 1,239,493 | ||||||
977,000 | JPMorgan Chase & Co., 2.74% (SOFR+151 bps), 10/15/30, Callable 10/15/29 @ 100 | 852,922 | ||||||
2,090,000 | JPMorgan Chase & Co., 2.96% (SOFR+126 bps), 1/25/33, Callable 1/25/32 @ 100 | 1,793,922 | ||||||
861,000 | JPMorgan Chase & Co., 4.26% (US0003M+158 bps), 2/22/48, Callable 2/22/47 @ 100 | 779,035 | ||||||
138,000 | JPMorgan Chase & Co., 3.90% (US0003M+122 bps), 1/23/49, Callable 1/23/48 @ 100 | 116,364 | ||||||
105,000 | Synovus Financial Corp., 3.13%, 11/1/22, Callable 10/1/22 @ 100 | 104,848 | ||||||
1,400,000 | Wells Fargo & Co., 2.16% (US0003M+75 bps), 2/11/26, Callable 2/11/25 @ 100, MTN | 1,317,994 | ||||||
1,694,000 | Wells Fargo & Co., 3.91% (SOFRRATE+132 bps), 4/25/26, Callable 4/25/25 @ 100 | 1,668,507 | ||||||
819,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 777,053 | ||||||
1,494,000 | Wells Fargo & Co., 3.58% (US0003M+131 bps), 5/22/28, Callable 5/22/27 @ 100, MTN | 1,419,925 | ||||||
655,000 | Wells Fargo & Co., 4.61% (SOFR+213 bps), 4/25/53, Callable 4/25/52 @ 100 | 609,502 | ||||||
|
| |||||||
116,348,575 | ||||||||
|
| |||||||
Beverages (0.3%): | ||||||||
7,123,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 6,890,320 | ||||||
108,000 | Anheuser-Busch InBev Worldwide, Inc., 4.60%, 4/15/48, Callable 10/15/47 @ 100 | 97,567 | ||||||
|
| |||||||
6,987,887 | ||||||||
|
| |||||||
Biotechnology (0.4%): | ||||||||
2,680,000 | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | 2,643,230 | ||||||
1,789,000 | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | 1,740,727 | ||||||
864,000 | AbbVie, Inc., 4.63%, 10/1/42, Callable 4/1/42 @ 100 | 806,078 | ||||||
527,000 | Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100 | 479,122 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Biotechnology, continued | ||||||||
$ | 612,000 | Amgen, Inc., 4.56%, 6/15/48, Callable 12/15/47 @ 100 | $ | 576,477 | ||||
209,000 | Amgen, Inc., 4.20%, 2/22/52, Callable 8/22/51 @ 100 | 184,040 | ||||||
1,013,000 | Biogen, Inc., 3.15%, 5/1/50, Callable 11/1/49 @ 100 | 698,486 | ||||||
1,178,000 | Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100 | 1,138,546 | ||||||
464,000 | Gilead Sciences, Inc., 4.75%, 3/1/46, Callable 9/1/45 @ 100 | 447,805 | ||||||
|
| |||||||
8,714,511 | ||||||||
|
| |||||||
Capital Markets (3.2%): | ||||||||
2,221,000 | Ares Capital Corp., 4.25%, 3/1/25, Callable 1/1/25 @ 100 | 2,125,857 | ||||||
1,042,000 | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | 961,249 | ||||||
704,000 | Ares Capital Corp., 2.15%, 7/15/26, Callable 6/15/26 @ 100 | 594,312 | ||||||
370,000 | Bank of New York Mellon Corp. (The), 4.62% (US0003M+313 bps), 12/29/49, Callable 9/20/26 @ 100 | 321,900 | ||||||
1,150,000 | Bank of New York Mellon Corp. (The), 3.70% (H15T5Y+335 bps), 12/31/99, Callable 3/20/26 @ 100 | 1,019,187 | ||||||
1,578,000 | Blackstone Private Credit Fund, 3.25%, 3/15/27, Callable 2/15/27 @ 100(a) | 1,339,968 | ||||||
1,152,000 | Blackstone Private Credit Fund, 4.00%, 1/15/29, Callable 11/15/28 @ 100(a) | 944,543 | ||||||
1,435,000 | Charles Schwab Corp. (The), Series E, 4.90% (US0003M+332 bps), 12/29/49, Callable 9/1/22 @ 100^ | 1,352,487 | ||||||
3,115,000 | Charles Schwab Corp. (The), 4.00% (H15T5Y+317 bps), 12/31/99, Callable 6/1/26 @ 100 | 2,643,856 | ||||||
1,291,000 | FactSet Research Systems, 3.45%, 3/1/32, Callable 12/1/31 @ 100 | 1,142,769 | ||||||
4,130,000 | Goldman Sachs Group, Inc., 3.62% (SOFR+185 bps), 3/15/28, Callable 3/15/27 @ 100 | 3,913,340 | ||||||
5,247,000 | Goldman Sachs Group, Inc. (The), 3.50%, 4/1/25, Callable 3/1/25 @ 100 | 5,155,844 | ||||||
908,000 | Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100 | 897,572 | ||||||
730,000 | Goldman Sachs Group, Inc. (The), 0.86% (SOFR+61 bps), 2/12/26, Callable 2/12/25 @ 100 | 665,760 | ||||||
1,234,000 | Goldman Sachs Group, Inc. (The), 2.58% (US0003M+117 bps), 5/15/26, Callable 5/15/25 @ 100 | 1,206,862 | ||||||
4,503,000 | Goldman Sachs Group, Inc. (The), 3.10% (SOFR+141 bps), 2/24/33, Callable 2/24/32 @ 100 | 3,842,099 | ||||||
1,580,000 | Goldman Sachs Group, Inc. The, 0.66% (SOFR+51 bps), 9/10/24, Callable 9/10/23 @ 100 | 1,514,670 | ||||||
8,912,000 | Goldman Sachs Group, Inc. The, 2.64% (SOFR+111 bps), 2/24/28, Callable 2/24/27 @ 100 | 8,131,915 | ||||||
331,000 | Goldman Sachs Group, Inc. The, 2.62% (SOFR+128 bps), 4/22/32, Callable 4/22/31 @ 100 | 275,060 | ||||||
992,000 | Intercontinental Exchange, Inc., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | 831,413 | ||||||
205,000 | Moody S Corp., 3.75%, 2/25/52, Callable 8/25/51 @ 100 | 168,528 |
See accompanying notes to the financial statements.
7
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 683,000 | Moody’s Corp., 3.10%, 11/29/61, Callable 5/29/61 @ 100 | $ | 475,367 | ||||
2,065,000 | Morgan Stanley, 0.53% (SOFR+46 bps), 1/25/24, Callable 1/25/23 @ 100 | 2,024,958 | ||||||
520,000 | Morgan Stanley, 0.73% (SOFR+62 bps), 4/5/24, Callable 4/5/23 @ 100 | 507,356 | ||||||
1,970,000 | Morgan Stanley, 3.62% (SOFRRATE+116 bps), 4/17/25, Callable 4/17/24 @ 100 | 1,945,351 | ||||||
3,423,000 | Morgan Stanley, 3.63%, 1/20/27 | 3,326,677 | ||||||
9,921,000 | Morgan Stanley, 1.59% (SOFR+88 bps), 5/4/27, Callable 5/4/26 @ 100 | 8,818,698 | ||||||
785,000 | Morgan Stanley, 4.21% (SOFR+161 bps), 4/20/28, Callable 4/20/27 @ 100 | 769,178 | ||||||
3,876,000 | Morgan Stanley, 3.59% (US0003M+134 bps), 7/22/28, Callable 7/22/27 @ 100 | 3,677,622 | ||||||
1,102,000 | Morgan Stanley, 3.77% (US0003M+114 bps), 1/24/29, Callable 1/24/28 @ 100 | 1,048,979 | ||||||
1,564,000 | Morgan Stanley, Series G, 4.43% (US0003M+163 bps), 1/23/30, Callable 1/23/29 @ 100, MTN | 1,525,801 | ||||||
6,959,000 | Morgan Stanley, 2.70% (SOFR+114 bps), 1/22/31, Callable 1/22/30 @ 100, MTN | 6,030,516 | ||||||
884,000 | Morgan Stanley, 1.79% (SOFR+1 bps), 2/13/32, Callable 2/13/31 @ 100, MTN | 698,545 | ||||||
210,000 | Morgan Stanley, 1.93% (SOFR+102 bps), 4/28/32, Callable 4/28/31 @ 100, MTN | 166,722 | ||||||
278,000 | Morgan Stanley, 2.24% (SOFR+118 bps), 7/21/32, Callable 7/21/31 @ 100, MTN | 225,556 | ||||||
278,000 | Morgan Stanley, 2.51% (SOFR+120 bps), 10/20/32, Callable 10/20/31 @ 100, MTN | 230,427 | ||||||
806,000 | Morgan Stanley, 2.94% (SOFR+129 bps), 1/21/33, Callable 1/21/32 @ 100 | 689,891 | ||||||
162,000 | S P Global, Inc., 3.90%, 3/1/62, Callable 9/1/61 @ 100(a) | 139,120 | ||||||
196,000 | State Street Corp., 2.90% (SOFR+3 bps), 3/30/26, Callable 3/30/25 @ 100 | 189,904 | ||||||
661,000 | State Street Corp., Series F, 5.43% (US0003M+360 bps), Callable 9/15/22 @ 100 | 644,475 | ||||||
1,415,000 | State Street Corp., Series H, 5.62% (US0003M+254 bps), 12/31/99, Callable 12/15/23 @ 100^ | 1,278,806 | ||||||
|
| |||||||
73,463,140 | ||||||||
|
| |||||||
Chemicals (0.3%): | ||||||||
570,000 | Air Products and Chemicals, Inc., 2.80%, 5/15/50, Callable 11/15/49 @ 100 | 428,587 | ||||||
565,000 | Dow Chemical Co. (The), 5.55%, 11/30/48, Callable 5/30/48 @ 100 | 574,155 | ||||||
3,116,000 | DowDuPont, Inc., 4.49%, 11/15/25, Callable 9/15/25 @ 100 | 3,131,116 | ||||||
525,000 | Ecolab, Inc., 2.75%, 8/18/55, Callable 2/18/55 @ 100 | 371,240 | ||||||
663,000 | LYB International Finance III LLC, 4.20%, 5/1/50, Callable 11/1/49 @ 100 | 539,895 | ||||||
353,000 | Sherwin-Williams Co. (The), 4.50%, 6/1/47, Callable 12/1/46 @ 100 | 312,019 | ||||||
493,000 | Westlake Chemical Corp., 3.38%, 8/15/61, Callable 2/15/61 @ 100 | 334,832 | ||||||
|
| |||||||
5,691,844 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Commercial Services & Supplies (0.0%†): | ||||||||
$ | 640,000 | Republic Services, Inc., 2.38%, 3/15/33, Callable 12/15/32 @ 100 | $ | 523,992 | ||||
107,000 | Waste Management, Inc., 2.95%, 6/1/41, Callable 12/1/40 @ 100 | 83,926 | ||||||
|
| |||||||
607,918 | ||||||||
|
| |||||||
Communications Equipment (0.3%): | ||||||||
1,085,000 | Motorola Solutions, Inc., 4.60%, 2/23/28, Callable 11/23/27 @ 100 | 1,062,591 | ||||||
1,662,000 | Motorola Solutions, Inc., 4.60%, 5/23/29, Callable 2/23/29 @ 100 | 1,595,651 | ||||||
756,000 | Motorola Solutions, Inc., 2.30%, 11/15/30, Callable 8/15/30 @ 100 | 593,218 | ||||||
1,822,000 | Motorola Solutions, Inc., 2.75%, 5/24/31, Callable 2/24/31 @ 100 | 1,482,068 | ||||||
1,115,000 | Motorola Solutions, Inc., 5.60%, 6/1/32, Callable 3/1/32 @ 100 | 1,124,619 | ||||||
27,000 | Motorola Solutions, Inc., 5.50%, 9/1/44 | 25,607 | ||||||
|
| |||||||
5,883,754 | ||||||||
|
| |||||||
Consumer Finance (0.4%): | ||||||||
469,000 | American Express Co., 2.55%, 3/4/27, Callable 2/1/27 @ 100 | 437,012 | ||||||
740,000 | American Honda Finance Corp., 1.38%, 11/10/22 | 777,613 | ||||||
1,731,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 1,532,480 | ||||||
732,000 | Capital One Financial Corp., 5.27% (SOFR+237 bps), 5/10/33, Callable 5/10/32 @ 100 | 719,035 | ||||||
2,321,000 | General Motors Financial Co., Inc., 4.35%, 4/9/25, Callable 2/9/25 @ 100 | 2,294,887 | ||||||
1,317,000 | General Motors Financial Co., Inc., 3.10%, 1/12/32, Callable 10/12/31 @ 100 | 1,061,245 | ||||||
2,065,000 | Hyundai Capital America, 2.38%, 2/10/23(a) | 2,039,049 | ||||||
343,000 | Toyota Motor Credit Corp., 0.80%, 1/9/26, MTN | 310,356 | ||||||
|
| |||||||
9,171,677 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
1,876,000 | Amcor Flexibles North America, Inc., 2.69%, 5/25/31, Callable 2/25/31 @ 100 | 1,535,540 | ||||||
349,000 | International Paper Co., 4.80%, 6/15/44, Callable 12/15/43 @ 100 | 330,416 | ||||||
|
| |||||||
1,865,956 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
145,000 | California Institute of Technology, 4.32%, 8/1/45 | 142,952 | ||||||
360,000 | Massachusetts Institute of Technology, 4.68%, 7/1/14 | 362,735 | ||||||
|
| |||||||
505,687 | ||||||||
|
| |||||||
Diversified Financial Services (0.2%): | ||||||||
305,000 | Berkshire Hathaway Finance Corp., 3.85%, 3/15/52, Callable 9/15/51 @ 100 | 263,238 | ||||||
3,284,000 | Glencore Funding LLC, 1.63%, 4/27/26, Callable 3/27/26 @ 100(a) | 2,908,192 | ||||||
1,032,000 | Glencore Funding LLC, 2.50%, 9/1/30, Callable 6/1/30 @ 100^(a) | 841,658 | ||||||
536,000 | Glencore Funding LLC, 2.85%, 4/27/31, Callable 1/27/31 @ 100(a) | 443,539 | ||||||
654,000 | Glencore Funding LLC, 2.63%, 9/23/31, Callable 6/23/31 @ 100(a) | 527,538 |
See accompanying notes to the financial statements.
8
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Financial Services, continued | ||||||||
$ | 331,000 | Glencore Funding LLC, 3.38%, 9/23/51, Callable 3/23/51 @ 100(a) | $ | 227,323 | ||||
|
| |||||||
5,211,488 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.6%): | ||||||||
2,000,000 | AT&T, Inc., 3.43%, 11/27/22(a)(c) | 1,971,834 | ||||||
425,000 | AT&T, Inc., 2.30%, 6/1/27, Callable 4/1/27 @ 100 | 387,713 | ||||||
435,000 | AT&T, Inc., 1.65%, 2/1/28, Callable 12/1/27 @ 100 | 376,987 | ||||||
375,000 | AT&T, Inc., 4.10%, 2/15/28, Callable 11/15/27 @ 100 | 365,760 | ||||||
1,173,000 | AT&T, Inc., 4.35%, 3/1/29, Callable 12/1/28 @ 100 | 1,161,215 | ||||||
2,753,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 2,681,639 | ||||||
2,600,000 | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | 2,107,534 | ||||||
935,000 | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | 888,356 | ||||||
490,000 | AT&T, Inc., 2.60%, 5/19/38, Callable 11/19/37 @ 100 | 435,038 | ||||||
406,000 | AT&T, Inc., 4.35%, 6/15/45, Callable 12/15/44 @ 100 | 355,123 | ||||||
1,116,000 | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | 1,038,130 | ||||||
602,000 | AT&T, Inc., 4.50%, 3/9/48, Callable 9/9/47 @ 100 | 534,814 | ||||||
786,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 611,640 | ||||||
859,000 | AT&T, Inc., 3.65%, 9/15/59, Callable 3/15/59 @ 100 | 648,545 | ||||||
190,000 | AT&T, Inc., 3.85%, 6/1/60, Callable 12/1/59 @ 100 | 147,914 | ||||||
289,000 | Verizon Communications, Inc., 4.13%, 3/16/27 | 286,927 | ||||||
3,288,000 | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | 2,910,643 | ||||||
807,000 | Verizon Communications, Inc., 4.33%, 9/21/28 | 802,595 | ||||||
3,102,000 | Verizon Communications, Inc., 4.02%, 12/3/29, Callable 9/3/29 @ 100 | 3,011,515 | ||||||
5,577,000 | Verizon Communications, Inc., 3.15%, 3/22/30, Callable 12/22/29 @ 100 | 5,084,997 | ||||||
466,000 | Verizon Communications, Inc., 1.50%, 9/18/30, Callable 6/18/30 @ 100 | 373,104 | ||||||
1,836,000 | Verizon Communications, Inc., 1.68%, 10/30/30, Callable 7/30/30 @ 100 | 1,473,928 | ||||||
2,604,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 2,233,305 | ||||||
1,318,000 | Verizon Communications, Inc., 2.36%, 3/15/32, Callable 12/15/31 @ 100 | 1,091,586 | ||||||
700,000 | Verizon Communications, Inc., 2.88%, 1/15/38 | 663,100 | ||||||
3,139,000 | Verizon Communications, Inc., 2.65%, 11/20/40, Callable 5/20/40 @ 100 | 2,302,472 | ||||||
760,000 | Verizon Communications, Inc., 2.88%, 11/20/50, Callable 5/20/50 @ 100 | 541,758 | ||||||
1,224,000 | Verizon Communications, Inc., 3.00%, 11/20/60, Callable 5/20/60 @ 100 | 835,741 | ||||||
|
| |||||||
35,323,913 | ||||||||
|
| |||||||
Electric Utilities (2.0%): | ||||||||
430,000 | AEP Texas, Inc., 2.40%, 10/1/22 | 430,408 | ||||||
527,000 | AEP Texas, Inc., Series H, 3.45%, 1/15/50, Callable 7/15/49 @ 100 | 407,334 | ||||||
1,185,000 | AEP Texas, Inc., 3.45%, 5/15/51, Callable 11/15/50 @ 100 | 931,438 | ||||||
221,000 | AEP Transmission Co. LLC, 3.75%, 12/1/47, Callable 6/1/47 @ 100 | 193,251 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 565,000 | AEP Transmission Co. LLC, 3.15%, 9/15/49, Callable 3/15/49 @ 100 | $ | 429,106 | ||||
780,000 | AEP Transmission Co. LLC, 2.75%, 8/15/51, Callable 2/15/51 @ 100 | 549,538 | ||||||
1,044,000 | Alabama Power Co., 3.45%, 10/1/49, Callable 4/1/49 @ 100 | 828,001 | ||||||
819,000 | American Transmission Systems, Inc., 2.65%, 1/15/32, Callable 10/15/31 @ 100(a) | 695,772 | ||||||
612,000 | Baltimore Gas & Electric Co., 3.50%, 8/15/46, Callable 2/15/46 @ 100 | 501,158 | ||||||
1,216,000 | Baltimore Gas & Electric Co., 3.75%, 8/15/47, Callable 2/15/47 @ 100 | 1,044,756 | ||||||
335,000 | Baltimore Gas & Electric Co., 3.20%, 9/15/49, Callable 3/15/49 @ 100 | 258,683 | ||||||
750,000 | Commonwealth Edison Co., 3.13%, 3/15/51, Callable 9/15/50 @ 100 | 581,464 | ||||||
119,000 | DTE Electric Co., Series A, 4.05%, 5/15/48, Callable 11/15/47 @ 100 | 109,812 | ||||||
1,088,000 | DTE Electric Co., 3.95%, 3/1/49, Callable 9/1/48 @ 100 | 986,190 | ||||||
65,000 | DTE Electric Co., 3.65%, 3/1/52, Callable 9/1/51 @ 100 | 56,714 | ||||||
118,000 | Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100 | 99,597 | ||||||
718,000 | Duke Energy Carolinas LLC, 3.88%, 3/15/46, Callable 9/15/45 @ 100 | 633,646 | ||||||
259,000 | Duke Energy Carolinas LLC, 3.45%, 4/15/51, Callable 10/15/50 @ 100 | 213,087 | ||||||
2,718,000 | Duke Energy Florida LLC, 2.50%, 12/1/29, Callable 9/1/29 @ 100 | 2,428,329 | ||||||
955,000 | Duke Energy Florida LLC, 1.75%, 6/15/30, Callable 3/15/30 @ 100 | 794,442 | ||||||
397,000 | Duke Energy Florida LLC, 3.40%, 10/1/46, Callable 4/1/46 @ 100 | 314,372 | ||||||
391,000 | Duke Energy Florida LLC, 3.00%, 12/15/51, Callable 6/15/51 @ 100 | 294,135 | ||||||
555,000 | Duke Energy Ohio, Inc., 3.65%, 2/1/29, Callable 11/1/28 @ 100 | 531,011 | ||||||
95,000 | Duke Energy Progress LLC, 3.45%, 3/15/29, Callable 12/15/28 @ 100 | 90,250 | ||||||
337,000 | Duke Energy Progress LLC, 4.20%, 8/15/45, Callable 2/15/45 @ 100 | 304,748 | ||||||
315,000 | Duke Energy Progress LLC, 2.90%, 8/15/51, Callable 2/15/51 @ 100 | 233,996 | ||||||
220,000 | Duke Energy Progress, Inc., 5.70%, 4/1/35 | 234,919 | ||||||
471,000 | Duke Energy Progress, Inc., 4.10%, 5/15/42, Callable 11/15/41 @ 100 | 425,755 | ||||||
719,000 | Duke Energy Progress, Inc., 4.10%, 3/15/43, Callable 9/15/42 @ 100 | 646,490 | ||||||
2,153,000 | Edison International, 2.40%, 9/15/22, Callable 8/15/22 @ 100 | 2,150,412 | ||||||
258,000 | Edison International, 4.95%, 4/15/25, Callable 3/15/25 @ 100 | 258,708 | ||||||
258,000 | Entergy Arkansas LLC, 3.35%, 6/15/52, Callable 12/15/51 @ 100 | 205,059 | ||||||
754,000 | Entergy Louisiana LLC, 1.60%, 12/15/30, Callable 9/15/30 @ 100 | 604,375 | ||||||
386,000 | Entergy Louisiana LLC, 2.35%, 6/15/32, Callable 3/15/32 @ 100 | 323,259 |
See accompanying notes to the financial statements.
9
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 511,000 | Entergy Louisiana LLC, 2.90%, 3/15/51, Callable 9/15/50 @ 100 | $ | 370,597 | ||||
180,000 | Exelon Corp., 2.75%, 3/15/27, Callable 2/15/27 @ 100(a) | 168,739 | ||||||
382,000 | Exelon Corp., 5.63%, 6/15/35 | 393,209 | ||||||
898,000 | Exelon Corp., 4.70%, 4/15/50, Callable 10/15/49 @ 100 | 840,340 | ||||||
136,000 | Exelon Corp., 4.10%, 3/15/52, Callable 9/15/51 @ 100(a) | 117,118 | ||||||
193,000 | FirstEnergy Corp., 2.05%, 3/1/25, Callable 2/1/25 @ 100 | 177,823 | ||||||
517,000 | FirstEnergy Corp., 2.65%, 3/1/30, Callable 12/1/29 @ 100 | 429,249 | ||||||
636,000 | FirstEnergy Corp., Series C, 3.40%, 3/1/50, Callable 9/1/49 @ 100 | 432,086 | ||||||
505,000 | FirstEnergy Transmission LLC, 4.35%, 1/15/25, Callable 10/15/24 @ 100(a) | 498,107 | ||||||
303,000 | FirstEnergy Transmission LLC, 5.45%, 7/15/44, Callable 1/15/44 @ 100(a) | 279,139 | ||||||
990,000 | FirstEnergy Transmission LLC, 4.55%, 4/1/49, Callable 10/1/48 @ 100(a) | 820,226 | ||||||
817,000 | Florida Power & Light Co., 3.70%, 12/1/47, Callable 6/1/47 @ 100 | 715,603 | ||||||
783,000 | Florida Power & Light Co., 3.95%, 3/1/48, Callable 9/1/47 @ 100 | 719,810 | ||||||
449,000 | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | 416,119 | ||||||
1,399,000 | Florida Power & Light Co., 3.15%, 10/1/49, Callable 4/1/49 @ 100 | 1,120,634 | ||||||
658,000 | MidAmerican Energy Co., 3.10%, 5/1/27, Callable 2/1/27 @ 100 | 632,728 | ||||||
1,639,000 | MidAmerican Energy Co., 3.65%, 4/15/29, Callable 1/15/29 @ 100 | 1,599,518 | ||||||
399,000 | MidAmerican Energy Co., 3.15%, 4/15/50, Callable 10/15/49 @ 100 | 314,485 | ||||||
705,000 | Northern States Power Co., 2.90%, 3/1/50, Callable 9/1/49 @ 100 | 531,914 | ||||||
1,070,000 | Northern States Power Co., 2.60%, 6/1/51, Callable 12/1/50 @ 100 | 760,508 | ||||||
174,000 | Northern States Power Co., 3.20%, 4/1/52, Callable 10/1/51 @ 100 | 139,406 | ||||||
2,318,000 | NRG Energy, Inc., 4.45%, 6/15/29, Callable 3/15/29 @ 100(a) | 2,086,200 | ||||||
362,000 | Ohio Power Co., 4.00%, 6/1/49, Callable 12/1/48 @ 100 | 307,885 | ||||||
716,000 | Ohio Power Co., 2.90%, 10/1/51, Callable 4/1/51 @ 100 | 514,024 | ||||||
1,406,000 | Oncor Electric Delivery Co. LLC, 3.70%, 11/15/28, Callable 8/15/28 @ 100 | 1,370,701 | ||||||
10,000 | Oncor Electric Delivery Co. LLC, 5.75%, 3/15/29, Callable 12/15/28 @ 100 | 10,839 | ||||||
271,000 | Oncor Electric Delivery Co. LLC, 3.80%, 9/30/47, Callable 3/30/47 @ 100 | 239,505 | ||||||
383,000 | Oncor Electric Delivery Co. LLC, 4.10%, 11/15/48, Callable 5/15/48 @ 100 | 352,686 | ||||||
97,000 | Pacific Gas and Electric Co., 2.50%, 2/1/31, Callable 11/1/30 @ 100 | 74,560 | ||||||
501,000 | Pacific Gas and Electric Co., 3.25%, 6/1/31, Callable 3/1/31 @ 100 | 402,962 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 404,000 | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | $ | 323,275 | ||||
614,000 | PECO Energy Co., 3.05%, 3/15/51, Callable 9/15/50 @ 100 | 471,128 | ||||||
535,000 | Public Service Electric & Gas Co., 3.65%, 9/1/28, Callable 6/1/28 @ 100 | 518,636 | ||||||
340,000 | Public Service Electric & Gas Co., 2.05%, 8/1/50, Callable 2/1/50 @ 100, MTN | 211,033 | ||||||
2,204,000 | Southern California Edison Co., Series E, 3.70%, 8/1/25, Callable 6/1/25 @ 100 | 2,160,039 | ||||||
869,000 | Southwestern Public Service Co., 3.15%, 5/1/50, Callable 11/1/49 @ 100 | 668,676 | ||||||
215,000 | Tampa Electric Co., 4.20%, 5/15/45, Callable 11/15/44 @ 100 | 186,713 | ||||||
3,000 | Tampa Electric Co., 4.45%, 6/15/49, Callable 12/15/48 @ 100 | 2,775 | ||||||
540,000 | Tampa Electric Co., 3.63%, 6/15/50, Callable 12/15/49 @ 100 | 437,801 | ||||||
500,000 | Virginia Electric & Power Co., 3.45%, 9/1/22, Callable 7/27/22 @ 100 | 500,195 | ||||||
381,000 | Virginia Electric & Power Co., Series A, 6.00%, 5/15/37 | 425,447 | ||||||
451,000 | Virginia Electric & Power Co., Series D, 4.65%, 8/15/43, Callable 2/15/43 @ 100 | 431,726 | ||||||
715,000 | Virginia Electric and Power Co., Series B, 4.20%, 5/15/45, Callable 11/15/44 @ 100 | 643,044 | ||||||
2,301,000 | Vistra Operations Co. LLC, 4.30%, 7/15/29, Callable 4/15/29 @ 100(a) | 2,082,405 | ||||||
|
| |||||||
44,689,828 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%†): | ||||||||
198,000 | Corning, Inc., 4.38%, 11/15/57, Callable 5/15/57 @ 100 | 167,313 | ||||||
|
| |||||||
Entertainment (0.0%†): | ||||||||
892,000 | Electronic Arts, Inc., 1.85%, 2/15/31, Callable 11/15/30 @ 100 | 725,124 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.0%): | ||||||||
256,000 | Alexandria Real Estate Equities, Inc., 2.95%, 3/15/34, Callable 12/15/33 @ 100 | 213,453 | ||||||
91,000 | American Tower Corp., 2.95%, 1/15/25, Callable 12/15/24 @ 100 | 87,914 | ||||||
810,000 | American Tower Corp., 0.40%, 2/15/27, Callable 12/15/26 @ 100 | 730,271 | ||||||
600,000 | American Tower Corp., 3.65%, 3/15/27, Callable 2/15/27 @ 100 | 570,672 | ||||||
1,429,000 | American Tower Corp., 1.50%, 1/31/28, Callable 11/30/27 @ 100 | 1,188,934 | ||||||
1,429,000 | American Tower Corp., 3.80%, 8/15/29, Callable 5/15/29 @ 100 | 1,314,371 | ||||||
1,738,000 | American Tower Corp., 2.10%, 6/15/30, Callable 3/15/30 @ 100 | 1,391,283 | ||||||
682,000 | American Tower Corp., 2.30%, 9/15/31, Callable 6/15/31 @ 100 | 541,489 | ||||||
232,000 | Crown Castle International Corp., 3.15%, 7/15/23, Callable 6/15/23 @ 100 | 229,436 | ||||||
430,000 | Crown Castle International Corp., 3.70%, 6/15/26, Callable 3/15/26 @ 100 | 415,858 | ||||||
592,000 | Crown Castle International Corp., 2.90%, 3/15/27, Callable 2/15/27 @ 100 | 547,724 |
See accompanying notes to the financial statements.
10
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 2,244,000 | Crown Castle International Corp., 3.10%, 11/15/29, Callable 8/15/29 @ 100 | $ | 1,989,073 | ||||
1,155,000 | Crown Castle International Corp., 2.25%, 1/15/31, Callable 10/15/30 @ 100 | 937,180 | ||||||
2,744,000 | Crown Castle International Corp., 2.50%, 7/15/31, Callable 4/15/31 @ 100 | 2,263,402 | ||||||
714,000 | Crown Castle International Corp., 5.20%, 2/15/49, Callable 8/15/48 @ 100 | 687,301 | ||||||
362,000 | Duke Realty LP, 4.00%, 9/15/28, Callable 6/15/28 @ 100 | 351,372 | ||||||
1,136,000 | Duke Realty LP, 1.75%, 2/1/31, Callable 11/1/30 @ 100 | 926,230 | ||||||
2,070,000 | Equinix, Inc., 2.00%, 5/15/28, Callable 3/15/28 @ 100 | 1,781,152 | ||||||
2,277,000 | Equinix, Inc., 3.20%, 11/18/29, Callable 8/18/29 @ 100 | 2,029,288 | ||||||
2,264,000 | Equinix, Inc., 3.90%, 4/15/32, Callable 1/15/32 @ 100 | 2,052,773 | ||||||
329,000 | Invitation Homes Operating Partnership LP, 2.30%, 11/15/28, Callable 9/15/28 @ 100 | 278,700 | ||||||
593,000 | National Retail Properties, Inc., 3.10%, 4/15/50, Callable 10/15/49 @ 100 | 413,584 | ||||||
801,000 | National Retail Properties, Inc., 3.50%, 4/15/51, Callable 10/15/50 @ 100 | 606,956 | ||||||
402,000 | National Retail Properties, Inc., 3.00%, 4/15/52, Callable 10/15/51 @ 100 | 276,244 | ||||||
611,000 | Realty Income Corp., 3.25%, 1/15/31, Callable 10/15/30 @ 100 | 556,774 | ||||||
|
| |||||||
22,381,434 | ||||||||
|
| |||||||
Financial Services (0.0%†): | ||||||||
281,000 | GE Capital Funding LLC, 4.55%, 5/15/32, Callable 2/15/32 @ 100 | 271,718 | ||||||
|
| |||||||
Food Products (0.0%†): | ||||||||
420,000 | General Mills, Inc., 0.45%, 1/15/26, Callable 10/15/25 @ 100 | 408,721 | ||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
262,000 | Atmos Energy Corp., 4.13%, 10/15/44, Callable 4/15/44 @ 100 | 232,436 | ||||||
461,000 | Piedmont Natural Gas Co, Inc., 3.50%, 6/1/29, Callable 3/1/29 @ 100 | 427,934 | ||||||
500,000 | Piedmont Natural Gas Co., Inc., 2.50%, 3/15/31, Callable 12/15/30 @ 100 | 420,383 | ||||||
|
| |||||||
1,080,753 | ||||||||
|
| |||||||
Health Care (0.1%): | ||||||||
610,000 | City of Hope, Series 2013, 5.62%, 11/15/43 | 661,116 | ||||||
462,000 | Nationwide Children’s Hospital, Inc., 4.56%, 11/1/52, Callable 5/1/52 @ 100 | 475,385 | ||||||
|
| |||||||
1,136,501 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
525,000 | Becton Dickinson & Co., 1.40%, 5/24/23, Callable 4/24/23 @ 100 | 549,683 | ||||||
510,000 | Becton Dickinson & Co., 0.03%, 8/13/25, Callable 7/13/25 @ 100 | 494,642 | ||||||
333,000 | Boston Scientific Corp., 2.65%, 6/1/30, Callable 3/1/30 @ 100 | 290,611 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
$ | 100,000 | Medtronic Global Holdings SCA, 1.75%, 7/2/49, Callable 1/2/49 @ 100 | $ | 70,762 | ||||
|
| |||||||
1,405,698 | ||||||||
|
| |||||||
Health Care Providers & Services (1.3%): | ||||||||
275,000 | AHS Hospital Corp., 2.78%, 7/1/51, Callable 1/1/51 @ 100 | 199,008 | ||||||
448,000 | Anthem, Inc., 4.55%, 3/1/48, Callable 9/1/47 @ 100 | 432,999 | ||||||
2,140,000 | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | 2,145,791 | ||||||
1,520,000 | Cigna Corp., 3.40%, 3/1/27, Callable 12/1/26 @ 100 | 1,461,176 | ||||||
350,000 | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | 304,429 | ||||||
498,000 | CVS Health Corp., 5.00%, 12/1/24, Callable 9/1/24 @ 100 | 512,178 | ||||||
5,000 | CVS Health Corp., 2.88%, 6/1/26, Callable 3/1/26 @ 100 | 4,761 | ||||||
1,539,000 | CVS Health Corp., 3.00%, 8/15/26, Callable 6/15/26 @ 100 | 1,478,160 | ||||||
1,470,000 | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | 1,435,205 | ||||||
1,817,000 | CVS Health Corp., 5.13%, 7/20/45, Callable 1/20/45 @ 100 | 1,770,772 | ||||||
1,240,000 | Duke University Health, 3.92%, 6/1/47, Callable 12/1/46 @ 100 | 1,139,937 | ||||||
7,636,000 | HCA, Inc., 5.25%, 4/15/25 | 7,655,090 | ||||||
2,570,000 | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | 2,570,000 | ||||||
730,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 623,238 | ||||||
2,805,000 | HCA, Inc., 3.63%, 3/15/32, Callable 12/15/31 @ 100(a) | 2,395,136 | ||||||
2,871,000 | HCA, Inc., 3.50%, 7/15/51, Callable 1/15/51 @ 100 | 2,009,823 | ||||||
1,088,000 | HCA, Inc., 4.63%, 3/15/52, Callable 9/15/51 @ 100(a) | 875,704 | ||||||
1,361,000 | Humana, Inc., 1.35%, 2/3/27, Callable 1/3/27 @ 100 | 1,194,301 | ||||||
221,000 | UnitedHealth Group, Inc., 4.75%, 7/15/45 | 223,106 | ||||||
957,000 | UnitedHealth Group, Inc., 4.20%, 1/15/47, Callable 7/15/46 @ 100 | 901,117 | ||||||
530,000 | UnitedHealth Group, Inc., 3.75%, 10/15/47, Callable 4/15/47 @ 100 | 468,841 | ||||||
427,000 | UnitedHealth Group, Inc., 4.25%, 6/15/48, Callable 12/15/47 @ 100 | 402,997 | ||||||
|
| |||||||
30,203,769 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
236,000 | Marriott International, Inc., 4.63%, 6/15/30, Callable 3/15/30 @ 100 | 226,929 | ||||||
1,200,000 | McDonald’s Corp., Series G, 1.00%, 11/15/23, MTN(a) | 1,248,685 | ||||||
|
| |||||||
1,475,614 | ||||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
785,000 | 3M Co., Series E, 0.95%, 5/15/23 | 822,663 | ||||||
637,000 | General Electric Co., Series A, 6.75%, 3/15/32 | 714,336 | ||||||
248,000 | Georgia-Pacific LLC, 3.60%, 3/1/25, Callable 12/1/24 @ 100(a) | 247,005 | ||||||
|
| |||||||
1,784,004 | ||||||||
|
|
See accompanying notes to the financial statements.
11
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Industrial Services (0.0%†): | ||||||||
$ | 460,000 | Burlington Northern Santa Fe LLC, 4.45%, 1/15/53, Callable 7/15/52 @ 100 | $ | 447,874 | ||||
|
| |||||||
Insurance (0.3%): | ||||||||
1,013,000 | American International Group, Inc., 4.80%, 7/10/45, Callable 1/10/45 @ 100 | 948,866 | ||||||
330,000 | American International Group, Inc., 4.38%, 6/30/50, Callable 12/30/49 @ 100 | 296,328 | ||||||
572,000 | Aon Corp., 4.50%, 12/15/28, Callable 9/15/28 @ 100 | 566,450 | ||||||
1,903,000 | Aon Corp., 2.80%, 5/15/30, Callable 2/15/30 @ 100 | 1,666,478 | ||||||
171,000 | Aon Corp. / Aon Global Holdings plc, 3.90%, 2/28/52, Callable 8/28/51 @ 100 | 141,148 | ||||||
103,000 | Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43 | 91,616 | ||||||
480,000 | Marsh & McLennan Cos., Inc., 1.35%, 9/21/26, Callable 6/21/26 @ 100 | 474,015 | ||||||
433,000 | Marsh & McLennan Cos., Inc., 4.38%, 3/15/29, Callable 12/15/28 @ 100 | 429,034 | ||||||
833,000 | Marsh & McLennan Cos., Inc., 2.25%, 11/15/30, Callable 8/15/30 @ 100 | 705,153 | ||||||
843,000 | Marsh McLennan Cos., Inc., 2.38%, 12/15/31, Callable 9/15/31 @ 100 | 710,554 | ||||||
404,000 | Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a) | 392,660 | ||||||
|
| |||||||
6,422,302 | ||||||||
|
| |||||||
IT Services (0.4%): | ||||||||
793,000 | Fidelity National Information Services, Inc., 3.10%, 3/1/41, Callable 9/1/40 @ 100 | 581,666 | ||||||
789,000 | Fiserv, Inc., 3.50%, 7/1/29, Callable 4/1/29 @ 100 | 720,726 | ||||||
404,000 | Global Payments, Inc., 2.15%, 1/15/27, Callable 12/15/26 @ 100 | 359,104 | ||||||
2,345,000 | Global Payments, Inc., 3.20%, 8/15/29, Callable 5/15/29 @ 100 | 2,054,086 | ||||||
1,898,000 | Global Payments, Inc., 2.90%, 5/15/30, Callable 2/15/30 @ 100 | 1,605,019 | ||||||
1,053,000 | International Business Machines Corp., 3.30%, 5/15/26 | 1,029,003 | ||||||
175,000 | International Business Machines Corp., 4.25%, 5/15/49 | 155,627 | ||||||
431,000 | International Business Machines Corp., 3.43%, 2/9/52, Callable 8/9/51 @ 100 | 332,585 | ||||||
1,725,000 | MasterCard, Inc., 1.10%, 12/1/22, Callable 9/1/22 @ 100 | 1,810,167 | ||||||
|
| |||||||
8,647,983 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
1,402,000 | Agilent Technologies, Inc., 2.30%, 3/12/31, Callable 12/12/30 @ 100 | 1,148,654 | ||||||
2,442,000 | Thermo Fisher Scientific, Inc., 2.00%, 10/15/31, Callable 7/15/31 @ 100 | 2,060,379 | ||||||
|
| |||||||
3,209,033 | ||||||||
|
| |||||||
Machinery (0.0%†): | ||||||||
663,000 | Parker-Hannifin Corp., 3.25%, 6/14/29, Callable 3/14/29 @ 100 | 609,286 | ||||||
|
| |||||||
Media (0.5%): | ||||||||
2,976,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.95%, 6/30/62, Callable 12/30/61 @ 100 | 2,001,330 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 3,978,000 | Comcast Corp., 2.65%, 2/1/30, Callable 11/1/29 @ 100 | $ | 3,552,927 | ||||
937,000 | Comcast Corp., 3.40%, 7/15/46, Callable 1/15/46 @ 100 | 758,364 | ||||||
850,000 | Comcast Corp., 3.97%, 11/1/47, Callable 5/1/47 @ 100 | 740,979 | ||||||
1,944,000 | Comcast Corp., 2.94%, 11/1/56, Callable 5/1/56 @ 100 | 1,357,355 | ||||||
799,000 | Cox Communications, Inc., 3.60%, 6/15/51, Callable 12/15/50 @ 100(a) | 605,743 | ||||||
724,000 | COX Communications, Inc., 3.15%, 8/15/24, Callable 6/15/24 @ 100(a) | 707,344 | ||||||
1,153,000 | Discovery Communications LLC, 1.90%, 3/19/27, Callable 12/19/26 @ 100^ | 1,131,532 | ||||||
301,000 | NBCUniversal Media LLC, 4.45%, 1/15/43 | 280,991 | ||||||
|
| |||||||
11,136,565 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
1,380,000 | Nucor Corp., 4.30%, 5/23/27, Callable 4/23/27 @ 100 | 1,376,500 | ||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
5,000 | Ameren Illinois Co., 4.15%, 3/15/46, Callable 9/15/45 @ 100 | 4,581 | ||||||
762,000 | Ameren Illinois Co., 3.25%, 3/15/50, Callable 9/15/49 @ 100 | 595,564 | ||||||
245,000 | Ameren Illinois Co., 2.90%, 6/15/51, Callable 12/15/50 @ 100 | 179,801 | ||||||
176,000 | CenterPoint Energy Houston Electric LLC, 3.95%, 3/1/48, Callable 9/1/47 @ 100 | 159,058 | ||||||
695,000 | CenterPoint Energy Houston Electric LLC, 3.35%, 4/1/51, Callable 10/1/50 @ 100 | 563,687 | ||||||
1,542,000 | CenterPoint Energy Resources Corp., 1.75%, 10/1/30, Callable 7/1/30 @ 100 | 1,255,890 | ||||||
301,000 | Consumers Energy Co., 3.80%, 11/15/28, Callable 8/15/28 @ 100 | 289,726 | ||||||
430,000 | Consumers Energy Co., 4.05%, 5/15/48, Callable 11/15/47 @ 100 | 395,573 | ||||||
531,000 | Consumers Energy Co., 3.75%, 2/15/50, Callable 8/15/49 @ 100 | 460,792 | ||||||
778,000 | Consumers Energy Co., 3.10%, 8/15/50, Callable 2/15/50 @ 100 | 605,271 | ||||||
180,000 | Consumers Energy Co., 3.50%, 8/1/51, Callable 2/1/51 @ 100 | 150,653 | ||||||
318,000 | Consumers Energy Co., 2.65%, 8/15/52, Callable 2/15/52 @ 100 | 223,867 | ||||||
|
| |||||||
4,884,463 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.6%): | ||||||||
1,695,000 | Cameron LNG LLC, 3.30%, 1/15/35, Callable 9/15/34 @ 100(a) | 1,454,885 | ||||||
672,000 | Cameron LNG LLC, 3.40%, 1/15/38, Callable 7/15/37 @ 100(a) | 568,996 | ||||||
1,474,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24, Callable 1/1/24 @ 100 | 1,523,747 | ||||||
656,000 | Cheniere Corpus Christi Holdings LLC, 5.88%, 3/31/25, Callable 10/2/24 @ 100 | 671,154 | ||||||
4,397,000 | Cheniere Corpus Christi Holdings LLC, 5.13%, 6/30/27, Callable 1/1/27 @ 100 | 4,399,638 | ||||||
1,650,000 | Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29, Callable 5/18/29 @ 100 | 1,510,905 |
See accompanying notes to the financial statements.
12
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 635,000 | Cheniere Corpus Christi Holdings LLC, 2.74%, 12/31/39, Callable 7/4/39 @ 100 | $ | 493,497 | ||||
469,000 | Devon Energy Corp., 8.25%, 8/1/23, Callable 6/1/23 @ 100 | 488,932 | ||||||
78,000 | Devon Energy Corp., 5.88%, 6/15/28, Callable 6/15/23 @ 102.94 | 79,268 | ||||||
3,600,000 | Devon Energy Corp., 4.50%, 1/15/30, Callable 1/15/25 @ 102.25 | 3,397,500 | ||||||
619,000 | Devon Energy Corp., 4.75%, 5/15/42, Callable 11/15/41 @ 100 | 560,969 | ||||||
3,970,000 | Diamondback Energy, Inc., 3.25%, 12/1/26, Callable 10/1/26 @ 100 | 3,875,712 | ||||||
3,105,000 | Diamondback Energy, Inc., 3.50%, 12/1/29, Callable 9/1/29 @ 100 | 2,848,838 | ||||||
1,586,000 | Diamondback Energy, Inc., 4.40%, 3/24/51, Callable 9/24/50 @ 100 | 1,359,507 | ||||||
1,833,000 | Diamondback Energy, Inc., 4.25%, 3/15/52, Callable 9/15/51 @ 100 | 1,546,037 | ||||||
711,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 703,847 | ||||||
1,007,000 | Energy Transfer LP, 5.88%, 1/15/24, Callable 10/15/23 @ 100 | 1,019,587 | ||||||
1,064,000 | Energy Transfer LP, 5.95%, 12/1/25, Callable 9/1/25 @ 100 | 1,102,570 | ||||||
270,000 | Energy Transfer LP, 4.40%, 3/15/27, Callable 12/15/26 @ 100 | 263,361 | ||||||
587,000 | Energy Transfer LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | 593,604 | ||||||
1,900,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 1,873,875 | ||||||
1,725,000 | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 1,712,062 | ||||||
236,000 | Energy Transfer LP, 8.25%, 11/15/29, Callable 8/15/29 @ 100 | 265,674 | ||||||
1,500,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 1,278,750 | ||||||
266,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 265,667 | ||||||
857,000 | Energy Transfer Operating LP, 4.05%, 3/15/25, Callable 12/15/24 @ 100 | 839,860 | ||||||
675,000 | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 654,750 | ||||||
670,000 | Energy Transfer Partners LP, 3.60%, 2/1/23, Callable 11/1/22 @ 100 | 670,837 | ||||||
515,000 | Enterprise Products Operating LLC, 4.20%, 1/31/50, Callable 7/31/49 @ 100 | 431,519 | ||||||
221,000 | Enterprise Products Operating LLC, 3.20%, 2/15/52, Callable 8/15/51 @ 100 | 159,834 | ||||||
701,000 | Enterprise Products Operating LLC, 3.30%, 2/15/53, Callable 8/15/52 @ 100 | 510,646 | ||||||
1,090,000 | Exxon Mobil Corp., 1.41%, 6/26/39, Callable 12/26/38 @ 100 | 799,529 | ||||||
228,000 | Kinder Morgan Energy Partners LP, 6.95%, 1/15/38, MTN | 245,765 | ||||||
37,000 | Kinder Morgan Energy Partners LP, 7.50%, 11/15/40 | 41,661 | ||||||
639,000 | Kinder Morgan, Inc., 3.60%, 2/15/51, Callable 8/15/50 @ 100 | 472,755 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 1,313,000 | NGPL PipeCo LLC, 3.25%, 7/15/31, Callable 4/15/31 @ 100(a) | $ | 1,104,279 | ||||
1,292,000 | NGPL PipeCo. LLC, 4.88%, 8/15/27, Callable 2/15/27 @ 100(a) | 1,266,160 | ||||||
770,000 | Northern Natural Gas Co., 4.30%, 1/15/49, Callable 7/15/48 @ 100(a) | 670,645 | ||||||
2,523,000 | Northwest Pipeline LLC, 4.00%, 4/1/27, Callable 1/1/27 @ 100 | 2,453,855 | ||||||
215,000 | Sabine Pass Liquefaction LLC, 5.75%, 5/15/24, Callable 2/15/24 @ 100 | 218,763 | ||||||
1,268,000 | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25, Callable 12/1/24 @ 100 | 1,290,190 | ||||||
1,255,000 | Sabine Pass Liquefaction LLC, 5.00%, 3/15/27, Callable 9/15/26 @ 100 | 1,256,569 | ||||||
2,286,000 | Sabine Pass Liquefaction LLC, 4.20%, 3/15/28, Callable 9/15/27 @ 100 | 2,183,130 | ||||||
1,550,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | 1,486,062 | ||||||
720,000 | Targa Resources Corp., 4.95%, 4/15/52, Callable 10/15/51 @ 100 | 624,547 | ||||||
470,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5 | 448,262 | ||||||
220,000 | Texas Eastern Transmission LP, 2.80%, 10/15/22, Callable 8/8/22 @ 100(a) | 220,044 | ||||||
1,373,000 | Texas Eastern Transmission LP, 3.50%, 1/15/28, Callable 10/15/27 @ 100(a) | 1,292,796 | ||||||
1,119,000 | Texas Eastern Transmission LP, 4.15%, 1/15/48, Callable 7/15/47 @ 100(a) | 924,567 | ||||||
2,610,000 | Transcontinental Gas Pipe Line Co. LLC, 7.85%, 2/1/26, Callable 11/1/25 @ 100 | 2,874,899 | ||||||
2,198,000 | Transcontinental Gas Pipe Line Co. LLC, 4.00%, 3/15/28, Callable 12/15/27 @ 100 | 2,119,393 | ||||||
255,000 | Transcontinental Gas Pipe Line Co. LLC, 3.95%, 5/15/50, Callable 11/15/49 @ 100 | 212,492 | ||||||
240,000 | Williams Cos., Inc., Series A, 7.50%, 1/15/31 | 275,774 | ||||||
|
| |||||||
59,608,165 | ||||||||
|
| |||||||
Power (0.1%): | ||||||||
1,783,000 | Texas Electric Market Stabilization Funding N LLC, 4.27%, 8/1/34(a) | 1,773,338 | ||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
2,555,000 | Leidos, Inc., 4.38%, 5/15/30, Callable 2/15/30 @ 100 | 2,366,569 | ||||||
3,657,000 | RELX Capital, Inc., 3.50%, 3/16/23, Callable 2/16/23 @ 100 | 3,649,700 | ||||||
1,797,000 | RELX Capital, Inc., 3.00%, 5/22/30, Callable 2/22/30 @ 100 | 1,629,227 | ||||||
|
| |||||||
7,645,496 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
915,000 | Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a) | 842,269 | ||||||
|
| |||||||
Road & Rail (0.7%): | ||||||||
1,369,000 | Burlington Northern Santa Fe LLC, 4.15%, 12/15/48, Callable 6/15/48 @ 100 | 1,267,135 | ||||||
313,000 | Burlington Northern Santa Fe LLC, 2.88%, 6/15/52, Callable 12/15/51 @ 100 | 235,509 | ||||||
1,794,000 | CSX Corp., 2.60%, 11/1/26, Callable 8/1/26 @ 100 | 1,686,496 |
See accompanying notes to the financial statements.
13
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Road & Rail, continued | ||||||||
$ | 540,000 | CSX Corp., 3.25%, 6/1/27, Callable 3/1/27 @ 100 | $ | 520,114 | ||||
534,000 | CSX Corp., 4.10%, 3/15/44, Callable 9/15/43 @ 100 | 472,439 | ||||||
145,000 | Norfolk Southern Corp., 2.90%, 6/15/26, Callable 3/15/26 @ 100 | 138,658 | ||||||
1,356,000 | Norfolk Southern Corp., 2.55%, 11/1/29, Callable 8/1/29 @ 100 | 1,215,288 | ||||||
1,953,000 | Norfolk Southern Corp., 3.00%, 3/15/32, Callable 12/15/31 @ 100^ | 1,761,501 | ||||||
243,000 | Norfolk Southern Corp., 3.40%, 11/1/49, Callable 5/1/49 @ 100 | 192,300 | ||||||
340,000 | Norfolk Southern Corp., 4.55%, 6/1/53, Callable 12/1/52 @ 100 | 323,111 | ||||||
478,000 | Penske Truck Leasing Co. LP / PTL Finance Corp., 3.95%, 3/10/25, Callable 1/10/25 @ 100(a) | 471,859 | ||||||
1,490,000 | Penske Truck Leasing Co. LP / PTL Finance Corp., 1.20%, 11/15/25, Callable 10/15/25 @ 100(a) | 1,332,890 | ||||||
397,000 | Penske Truck Leasing Co. LP / PTL Finance Corp., 4.45%, 1/29/26, Callable 11/29/25 @ 100(a) | 393,559 | ||||||
633,000 | Ryder System, Inc., 4.63%, 6/1/25, Callable 5/1/25 @ 100, MTN | 636,314 | ||||||
1,566,000 | Ryder System, Inc., 3.35%, 9/1/25, Callable 8/1/25 @ 100, MTN | 1,515,138 | ||||||
349,000 | Ryder System, Inc., 2.90%, 12/1/26, Callable 10/1/26 @ 100 | 325,758 | ||||||
175,000 | Union Pacific Corp., 2.80%, 2/14/32, Callable 12/15/31 @ 100 | 156,211 | ||||||
1,707,000 | Union Pacific Corp., 2.89%, 4/6/36, Callable 1/6/36 @ 100 | 1,429,085 | ||||||
2,000 | Union Pacific Corp., 4.50%, 9/10/48, Callable 3/10/48 @ 100 | 1,927 | ||||||
1,224,000 | Union Pacific Corp., 3.25%, 2/5/50, Callable 8/5/49 @ 100 | 964,166 | ||||||
85,000 | Union Pacific Corp., 2.95%, 3/10/52, Callable 9/10/51 @ 100 | 62,925 | ||||||
366,025 | Union Pacific Railroad Co., Series 2014-1, 3.23%, 5/14/26 | 358,169 | ||||||
|
| |||||||
15,460,552 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.7%): | ||||||||
287,000 | Applied Materials, Inc., 4.35%, 4/1/47, Callable 10/1/46 @ 100 | 281,436 | ||||||
1,271,000 | Broadcom Corp./Broadcom Cayman Finance, Ltd., 3.88%, 1/15/27, Callable 10/15/26 @ 100 | 1,229,853 | ||||||
288,000 | Broadcom, Inc., 3.46%, 9/15/26, Callable 7/15/26 @ 100 | 276,592 | ||||||
859,000 | Broadcom, Inc., 4.15%, 11/15/30, Callable 8/15/30 @ 100 | 788,132 | ||||||
5,000 | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(a) | 4,025 | ||||||
850,000 | Broadcom, Inc., 4.15%, 4/15/32, Callable 1/15/32 @ 100(a) | 770,224 | ||||||
5,854,000 | Broadcom, Inc., 4.93%, 5/15/37, Callable 2/15/37 @ 100(a) | 5,251,173 | ||||||
335,000 | Intel Corp., 3.10%, 2/15/60, Callable 8/15/59 @ 100 | 241,967 | ||||||
1,096,000 | Intel Corp., 3.20%, 8/12/61, Callable 2/12/61 @ 100 | 805,191 | ||||||
16,000 | KLA Corp., 4.65%, 11/1/24, Callable 8/1/24 @ 100 | 16,258 | ||||||
925,000 | KLA Corp., 3.30%, 3/1/50, Callable 8/28/49 @ 100 | 737,483 | ||||||
700,000 | KLA Corp., 5.25%, 7/15/62, Callable 1/15/62 @ 100 | 722,170 | ||||||
2,110,000 | KLA-Tencor Corp., 4.10%, 3/15/29, Callable 12/15/28 @ 100 | 2,092,329 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
$ | 75,000 | Lam Research Corp., 3.75%, 3/15/26, Callable 1/15/26 @ 100 | $ | 74,745 | ||||
303,000 | Lam Research Corp., 4.88%, 3/15/49, Callable 9/15/48 @ 100 | 310,353 | ||||||
627,000 | Lam Research Corp., 2.88%, 6/15/50, Callable 12/15/49 @ 100 | 463,378 | ||||||
359,000 | QUALCOMM, Inc., 4.30%, 5/20/47, Callable 11/20/46 @ 100 | 344,638 | ||||||
1,500,000 | TSMC Arizona Corp., 4.25%, 4/22/32, Callable 1/22/32 @ 100 | 1,485,036 | ||||||
|
| |||||||
15,894,983 | ||||||||
|
| |||||||
Software (1.0%): | ||||||||
1,438,000 | Autodesk, Inc., 2.85%, 1/15/30, Callable 10/15/29 @ 100 | 1,272,032 | ||||||
1,171,000 | Citrix Systems, Inc., 3.30%, 3/1/30, Callable 12/1/29 @ 100 | 1,153,372 | ||||||
3,721,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 3,405,373 | ||||||
3,274,000 | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | 2,825,521 | ||||||
120,000 | Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100 | 104,881 | ||||||
1,072,000 | Oracle Corp., 3.90%, 5/15/35, Callable 11/15/34 @ 100 | 886,624 | ||||||
1,560,000 | Oracle Corp., 3.85%, 7/15/36, Callable 1/15/36 @ 100 | 1,267,787 | ||||||
3,040,000 | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | 2,406,671 | ||||||
591,000 | Oracle Corp., 6.13%, 7/8/39 | 597,105 | ||||||
2,111,000 | Oracle Corp., 3.60%, 4/1/40, Callable 10/1/39 @ 100 | 1,583,455 | ||||||
1,375,000 | Oracle Corp., 5.38%, 7/15/40 | 1,260,621 | ||||||
1,305,000 | Oracle Corp., 3.95%, 3/25/51, Callable 9/25/50 @ 100 | 958,421 | ||||||
1,018,000 | salesforce.com, Inc., 3.05%, 7/15/61, Callable 1/15/61 @ 100 | 752,922 | ||||||
1,499,000 | ServiceNow, Inc., 1.40%, 9/1/30, Callable 6/1/30 @ 100 | 1,179,382 | ||||||
281,000 | Vmware, Inc., 4.65%, 5/15/27, Callable 3/15/27 @ 100 | 280,573 | ||||||
427,000 | Vmware, Inc., 3.90%, 8/21/27, Callable 5/21/27 @ 100 | 410,759 | ||||||
361,000 | Vmware, Inc., 1.80%, 8/15/28, Callable 6/15/28 @ 100 | 299,873 | ||||||
1,164,000 | Vmware, Inc., 2.20%, 8/15/31, Callable 5/15/31 @ 100 | 919,525 | ||||||
545,000 | Workday, Inc., 3.80%, 4/1/32, Callable 1/1/32 @ 100 | 497,918 | ||||||
|
| |||||||
22,062,815 | ||||||||
|
| |||||||
Software & Tech Services (0.0%†): | ||||||||
75,000 | RELX Capital, Inc., 4.75%, 5/20/32, Callable 2/20/32 @ 100 | 76,190 | ||||||
|
| |||||||
Specialty Retail (0.1%): | ||||||||
1,251,000 | Lowe’s Cos., Inc., 4.00%, 4/15/25, Callable 3/15/25 @ 100 | 1,256,683 | ||||||
861,000 | Lowe’s Cos., Inc., 3.65%, 4/5/29, Callable 1/5/29 @ 100 | 814,435 |
See accompanying notes to the financial statements.
14
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Specialty Retail, continued | ||||||||
$ | 486,000 | Lowe’s Cos., Inc., 2.80%, 9/15/41, Callable 3/15/41 @ 100 | $ | 355,126 | ||||
|
| |||||||
2,426,244 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.0%†): | ||||||||
98,000 | Dell International LLC/EMC Corp., 8.35%, 7/15/46, Callable 1/15/46 @ 100 | 122,384 | ||||||
541,000 | Dell International LLC/EMC Corp., 3.45%, 12/15/51, Callable 6/15/51 @ 100(a) | 365,750 | ||||||
344,000 | Hp, Inc., 2.65%, 6/17/31, Callable 3/17/31 @ 100 | 277,758 | ||||||
|
| |||||||
765,892 | ||||||||
|
| |||||||
Telecommunications (0.0%†): | ||||||||
253,000 | T Mobile USA, Inc., 2.70%, 3/15/32, Callable 12/15/31 @ 100(a) | 212,629 | ||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
415,000 | Altria Group, Inc., 2.20%, 6/15/27, Callable 4/15/27 @ 100 | 390,932 | ||||||
4,232,000 | Altria Group, Inc., 5.80%, 2/14/39, Callable 8/14/38 @ 100 | 3,862,225 | ||||||
84,000 | Altria Group, Inc., 6.20%, 2/14/59, Callable 8/14/58 @ 100 | 78,176 | ||||||
1,549,000 | BAT Capital Corp., 3.22%, 9/6/26, Callable 7/6/26 @ 100 | 1,446,657 | ||||||
567,000 | BAT Capital Corp., 4.76%, 9/6/49, Callable 3/6/49 @ 100 | 434,095 | ||||||
948,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 944,827 | ||||||
1,732,000 | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | 1,460,211 | ||||||
|
| |||||||
8,617,123 | ||||||||
|
| |||||||
Utilities (0.2%): | ||||||||
408,000 | AEP Transmission Co. LLC, 4.50%, 6/15/52, Callable 12/1/51 @ 100 | 392,899 | ||||||
220,000 | Baltimore Gas and Electric Co., 4.55%, 6/1/52, Callable 12/1/51 @ 100 | 214,302 | ||||||
470,000 | CenterPoint Ener Houston, 3.60%, 3/1/52, Callable 9/1/51 @ 100 | 405,395 | ||||||
254,000 | Commonwealth Edison Co., 3.85%, 3/15/52, Callable 9/15/51 @ 100 | 224,176 | ||||||
243,000 | Duke Energy Carolinas LLC, 3.55%, 3/15/52, Callable 9/15/51 @ 100 | 202,851 | ||||||
3,266,000 | Vistra Operations Co. LLC, 5.13%, 5/13/25(a) | 3,240,564 | ||||||
|
| |||||||
4,680,187 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.6%): | ||||||||
11,257,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 10,840,761 | ||||||
77,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 72,074 | ||||||
2,779,000 | T-Mobile USA, Inc., 3.30%, 2/15/51, Callable 8/15/50 @ 100 | 2,028,731 | ||||||
673,000 | T-Mobile USA, Inc., 3.40%, 10/15/52, Callable 4/15/52 @ 100(a) | 499,784 | ||||||
|
| |||||||
13,441,350 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $685,772,282) | 599,687,470 | |||||||
|
| |||||||
Foreign Bonds (1.7%): | ||||||||
Aerospace & Defense (0.0%†): | ||||||||
410,000 | Airbus SE, 2.38%, 6/9/40, Callable 3/9/40 @ 100, MTN+(a) | 353,731 | ||||||
|
|
Principal Amount | Value | |||||||
Foreign Bonds, continued | ||||||||
Automobiles (0.0%†): | ||||||||
$ | 300,000 | Volkswagen International Finance NV, 4.13%, 11/16/38+(a) | $ | 293,949 | ||||
|
| |||||||
Banks (0.3%): | ||||||||
900,000 | Banco de Sabadell SA, 1.12%(EUSA1+155bps), 3/11/27, Callable 3/11/26 @ 100^+(a) | 862,430 | ||||||
2,000,000 | BNP Paribas SA, 0.25%(EUR003M+70bps), 4/13/27, Callable 4/13/26 @ 100, MTN+(a) | 1,867,705 | ||||||
800,000 | BNP Paribas SA, 0.50%(EUR0003M+83bps), 1/19/30, Callable 1/19/29 @ 100, MTN+(a) | 682,118 | ||||||
500,000 | BPCE SA, 0.25%, 1/15/26+(a) | 483,995 | ||||||
300,000 | de Volksbank NV, 1.75%(EUSA5+2.1bps), 10/22/30, Callable 10/22/25 @ 100, MTN+(a) | 287,228 | ||||||
300,000 | Erste Group Bank AG, 1.62%(EUAMDB05+210bps), 9/8/31, Callable 6/8/26 @ 100+(a) | 280,549 | ||||||
400,000 | KBC Group NV, Series E, 1.13%, 1/25/24, MTN+(a) | 412,515 | ||||||
1,013,000 | Lloyds Banking Group plc, 4.50%(EUR003M+172.2bps), 3/18/30, Callable 3/18/25 @ 100, MTN+(a) | 1,046,753 | ||||||
1,000,000 | Toronto-Dominion Bank (The), Series E, 0.38%, 4/25/24+(a) | 1,018,473 | ||||||
|
| |||||||
6,941,766 | ||||||||
|
| |||||||
Beverages (0.0%†): | ||||||||
600,000 | Pernod Ricard SA, 1.33%, 10/24/23, Callable 9/24/23 @ 100+(a) | 617,823 | ||||||
|
| |||||||
Capital Markets (0.2%): | ||||||||
1,900,000 | Credit Suisse Group AG, 3.25%(EUAMDB01+350bps), 4/2/26, Callable 4/2/25 @ 100, MTN+(a) | 1,941,051 | ||||||
700,000 | Deutsche Bank AG, 1.00%(EUR003M+1.6bps), 11/19/25, Callable 11/19/24 @ 100+(a) | 691,286 | ||||||
1,200,000 | Deutsche Bank AG, 1.88%(EUR003M+138bps), 2/23/28, Callable 2/23/27 @ 100, MTN+(a) | 1,131,625 | ||||||
670,000 | SELP Finance Sarl, 0.88%, 5/27/29, Callable 2/27/29 @ 100+(a) | 562,379 | ||||||
1,140,000 | Viterra Finance BV, 0.38%, 9/24/25, Callable 8/24/25 @ 100, MTN+(a) | 1,067,972 | ||||||
|
| |||||||
5,394,313 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
390,000 | Covestro AG, 0.88%, 2/3/26, Callable 11/3/25 @ 100, MTN+(a) | 372,208 | ||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
515,000 | BAT International Finance plc, 1.25%, 3/13/27, Callable 12/13/26 @ 100, MTN+(a) | 478,209 | ||||||
825,000 | BP Capital Matkets plc, 3.25%(EUSA5+388bps), Callable 3/22/26 @ 100+(a) | 780,153 | ||||||
400,000 | Total Capital International SA, Series E, 2.13%, 3/15/23, MTN+(a) | 423,563 | ||||||
|
| |||||||
1,681,925 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
400,000 | Verizon Communications, 1.13%, 9/19/35, Callable 6/19/35 @ 100+ | 317,965 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%†): | ||||||||
750,000 | Amphenol Technologies Holding GmbH, 0.75%, 5/4/26, Callable 2/4/26 @ 100+(a) | 732,193 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.2%): | ||||||||
3,000,000 | American Tower Corp., 0.45%, 1/15/27, Callable 11/15/26 @ 100+ | 2,735,860 |
See accompanying notes to the financial statements.
15
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Foreign Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 700,000 | Merlin Properties Socimi SA, 1.88%, 12/4/34, Callable 9/4/34 @ 100+(a) | $ | 526,947 | ||||
|
| |||||||
3,262,807 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.0%†): | ||||||||
200,000 | DH Europe Finance II Sarl, 1.35%, 9/18/39, Callable 3/18/39 @ 100+ | 144,877 | ||||||
320,000 | Medtronic Global Holdings SCA, 1.38%, 10/15/40, Callable 4/15/40 @ 100+ | 235,006 | ||||||
|
| |||||||
379,883 | ||||||||
|
| |||||||
Health Care Providers & Services (0.0%†): | ||||||||
390,000 | Fresenius Finance Ireland plc, 0.88%, 10/1/31, Callable 7/1/31 @ 100, MTN+(a) | 304,357 | ||||||
|
| |||||||
IT Services (0.0%†): | ||||||||
100,000 | Amadeus IT Group SA, 1.88%, 9/24/28, Callable 6/24/28 @ 100, MTN+(a) | 94,779 | ||||||
|
| |||||||
Machinery (0.0%†): | ||||||||
400,000 | KION Group AG, 1.63%, 9/24/25, Callable 6/24/25 @ 100, MTN+(a) | 395,683 | ||||||
|
| |||||||
Media (0.1%): | ||||||||
870,000 | Informa plc, 2.13%, 10/6/25, Callable 7/6/25 @ 100, MTN+(a) | 883,747 | ||||||
160,000 | WPP Finance SA, 2.38%, 5/19/27, MTN+(a) | 162,238 | ||||||
|
| |||||||
1,045,985 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
1,300,000 | E.ON SE, 0.35%, 10/24/22, Callable 9/24/22 @ 100, MTN+(a) | 1,360,642 | ||||||
280,000 | Innogy Finance BV, Series E, 0.75%, 11/30/22, Callable 8/30/22 @ 100, MTN+(a) | 293,367 | ||||||
100,000 | Suez SA, 1.62%(EUAMDB05+215.1bps), Callable 6/1/26 @ 100+(a) | 87,360 | ||||||
100,000 | Veolia Environnement SA, 0.80%, 1/15/32, Callable 10/15/31 @ 100, MTN+(a) | 83,649 | ||||||
|
| |||||||
1,825,018 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.1%): | ||||||||
330,000 | Aker BP ASA, 1.13%, 5/12/29, Callable 2/12/29 @ 100, MTN+(a) | 292,919 | ||||||
600,000 | Digital Dutch Finco BV, 1.00%, 1/15/32, Callable 10/15/31 @ 100+(a) | 446,407 | ||||||
1,100,000 | TotalEnergies SE, 1.75%(EUSA5+176.5bps), 12/31/99, Callable 4/4/24 @ 100, MTN+(a) | 1,080,545 | ||||||
|
| |||||||
1,819,871 | ||||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
500,000 | Merck Financial Services GmbH, 0.13%, 7/16/25, Callable 4/16/25 @ 100, MTN+(a) | 494,766 | ||||||
200,000 | Merck KGaA, 1.62%(EUAMDB05+194.8bps), 6/25/79, Callable 9/18/24 @ 100+(a) | 196,201 | ||||||
375,000 | Takeda Pharmaceutical Co., Ltd., 2.00%, 7/9/40, Callable 1/9/40 @ 100+ | 296,843 | ||||||
840,000 | Upjohn Finance BV, 1.02%, 6/23/24, Callable 5/23/24 @ 100+(a) | 844,269 | ||||||
|
| |||||||
1,832,079 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
520,000 | RELX Finance BV, 1.97%, 3/18/24, Callable 2/18/24 @ 100+(a) | 526,969 |
Principal Amount | Value | |||||||
Foreign Bonds, continued | ||||||||
Professional Services, continued | ||||||||
$ | 220,000 | Wolters Kluwer NV, 0.75%, 7/3/30, Callable 4/3/30 @ 100+(a) | $ | 192,866 | ||||
|
| |||||||
719,835 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
500,000 | Vonovia Se, 1.38%, 1/28/26, Callable 11/28/25 @ 100, MTN+(a) | 484,676 | ||||||
|
| |||||||
Sovereign Bond (0.4%): | ||||||||
11,820,000 | Mexico Government International Bond, 1.45%, 10/25/33, Callable 7/25/33 @ 100, MTN+ | 8,428,119 | ||||||
714,000 | Mexico Government International Bond, 2.13%, 10/25/51, Callable 4/25/51 @ 100+ | 409,526 | ||||||
|
| |||||||
8,837,645 | ||||||||
|
| |||||||
Tobacco (0.1%): | ||||||||
410,000 | Imperial Brands Finance Netherlands BV, 1.75%, 3/18/33, Callable 12/18/32 @ 100, MTN+(a) | 311,884 | ||||||
1,000,000 | Philip Morris International, Inc., 1.88%, 11/6/37, Callable 8/6/37 @ 100+ | 634,171 | ||||||
|
| |||||||
946,055 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.0%†): | ||||||||
490,000 | Imcd NV, 2.13%, 3/31/27, Callable 12/31/26 @ 100+(a) | 459,677 | ||||||
|
| |||||||
Total Foreign Bonds (Cost $48,748,059) | 39,114,223 | |||||||
|
| |||||||
Yankee Debt Obligations (4.3%): | ||||||||
Airlines (0.0%†): | ||||||||
274,968 | Air Canada Pass Through Trust, Series 2017-1, Class A, 3.30%, 7/15/31(a) | 247,220 | ||||||
|
| |||||||
Automobiles (0.1%): | ||||||||
1,122,000 | Nissan Motor Co., Ltd., 4.81%, 9/17/30, Callable 6/17/30 @ 100(a) | 994,247 | ||||||
|
| |||||||
Banking (0.0%†): | ||||||||
200,000 | Santander UK Group Holdings PLC, 2.47% (SOFR+122 bps), 1/11/28, Callable 1/11/27 @ 100 | 177,335 | ||||||
|
| |||||||
Banks (1.1%): | ||||||||
278,000 | Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa, 4.13%, 6/6/24(a) | 273,757 | ||||||
1,800,000 | Banco Santander SA, 2.71%, 6/27/24 | 1,751,650 | ||||||
628,000 | Barclays plc, 2.67% (H15T1Y+120 bps), 3/10/32, Callable 3/10/31 @ 100 | 511,268 | ||||||
2,084,000 | BNP Paribas SA, 2.82% (US0003M+1 bps), 11/19/25, Callable 11/19/24 @ 100(a) | 1,990,741 | ||||||
309,000 | BNP Paribas SA, 2.59% (SOFR+123 bps), 1/20/28, Callable 1/20/27 @ 100(a) | 278,588 | ||||||
250,000 | BPCE SA, 2.70%, 10/1/29(a) | 217,940 | ||||||
854,000 | Danske Bank A/S, 3.88%, 9/12/23(a) | 853,207 | ||||||
1,102,000 | Danske Bank A/S, 5.38%, 1/12/24(a) | 1,112,371 | ||||||
856,000 | Danske Bank A/S, 3.24% (US0003M+159 bps), 12/20/25, Callable 12/20/24 @ 100(a) | 817,869 | ||||||
681,000 | Danske Bank A/S, 1.55%, 9/10/27, Callable 9/10/26 @ 100(a) | 595,836 | ||||||
1,076,000 | HSBC Holdings plc, 2.25% (SOFR+110 bps), 11/22/27, Callable 11/22/26 @ 100 | 957,271 | ||||||
628,000 | HSBC Holdings plc, 4.58% (US0003M+153 bps), 6/19/29, Callable 6/19/28 @ 100 | 605,788 | ||||||
278,000 | HSBC Holdings plc, 2.21% (SOFR+129 bps), 8/17/29, Callable 8/17/28 @ 100 | 234,283 |
See accompanying notes to the financial statements.
16
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Banks, continued | ||||||||
$ | 423,000 | HSBC Holdings plc, 2.80% (SOFR+119 bps), 5/24/32, Callable 5/24/31 @ 100 | $ | 348,557 | ||||
875,000 | ING Groep NV, 4.63%, 1/6/26(a) | 874,124 | ||||||
348,000 | Intercorp Peru, Ltd., 3.88%, 8/15/29, Callable 5/15/29 @ 100(a) | 290,218 | ||||||
1,330,000 | Lloyds Banking Group plc, 2.91% (US0003M+81 bps), 11/7/23, Callable 11/7/22 @ 100 | 1,325,652 | ||||||
1,119,000 | Lloyds Banking Group plc, 4.38%, 3/22/28 | 1,083,323 | ||||||
3,161,000 | Mitsubishi UFJ Financial Group, Inc., 3.20%, 7/18/29 | 2,855,786 | ||||||
1,015,000 | Mizuho Financial Group, Inc., 2.55% (US0003M+110 bps), 9/13/25, Callable 9/13/24 @ 100 | 974,030 | ||||||
2,005,000 | Mizuho Financial Group, Inc., 1.98% (US0003M+127 bps), 9/8/31, Callable 9/8/30 @ 100 | 1,593,891 | ||||||
811,000 | Mizuho Financial Group, Inc., 2.26% (H15T1Y+90 bps), 7/9/32, Callable 7/9/31 @ 100 | 647,728 | ||||||
375,000 | Santander UK Group Holdings plc, 4.80% (US0003M+157 bps), 11/15/24, Callable 11/15/23 @ 100 | 375,965 | ||||||
1,586,000 | Santander UK Group Holdings plc, 1.09% (SOFR+79 bps), 3/15/25, Callable 3/15/24 @ 100 | 1,483,454 | ||||||
1,720,000 | Standard Chartered PLC, 2.61% (H15T1Y+118 bps), 1/12/28, Callable 1/12/27 @ 100(a) | 1,539,737 | ||||||
200,000 | Sumitomo Mitsui Financial Group, Inc., 2.17%, 1/14/27 | 181,241 | ||||||
|
| |||||||
23,774,275 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
1,457,000 | Suntory Holdings, Ltd., 2.25%, 10/16/24, Callable 9/16/24 @ 100(a) | 1,389,909 | ||||||
|
| |||||||
Biotechnology (0.3%): | ||||||||
3,546,000 | Shire Acquisitions Investments, 3.20%, 9/23/26, Callable 6/23/26 @ 100 | 3,409,812 | ||||||
|
| |||||||
Capital Markets (0.2%): | ||||||||
884,000 | Credit Suisse AG, 1.25%, 8/7/26 | 777,392 | ||||||
1,640,000 | Deutsche Bank AG, 1.45% (SOFR+113 bps), 4/1/25, Callable 4/1/24 @ 100 | 1,538,960 | ||||||
206,000 | Deutsche Bank AG, 4.10%, 1/13/26^ | 202,576 | ||||||
2,000 | Macquarie Group, Ltd., 4.65% (US0003M+173 bps), 3/27/29, Callable 3/27/28 @ 100(a) | 1,950 | ||||||
958,000 | Nomura Holdings, Inc., 2.68%, 7/16/30 | 784,768 | ||||||
475,000 | Nomura Holdings, Inc., 2.61%, 7/14/31 | 379,644 | ||||||
650,000 | SA Global Sukuk, Ltd., 2.69%, 6/17/31, Callable 3/17/31 @ 100(a) | 574,295 | ||||||
1,888,000 | UBS Group AG, 2.86% (US0003M+95 bps), 8/15/23, Callable 8/15/22 @ 100(a) | 1,887,594 | ||||||
|
| |||||||
6,147,179 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
255,000 | Sociedad Quimica y Minera de Chile SA, 4.25%, 1/22/50, Callable 7/22/49 @ 100(a) | 215,156 | ||||||
|
| |||||||
Consumer Finance (0.2%): | ||||||||
1,675,000 | Hyundai Capital Services, Inc., 3.00%, 8/29/22(a) | 1,675,452 | ||||||
1,390,000 | Hyundai Capital Services, Inc., 3.75%, 3/5/23(a) | 1,389,764 | ||||||
|
| |||||||
3,065,216 | ||||||||
|
|
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Diversified Financial Services (0.1%): | ||||||||
$ | 270,000 | Banco Latinoamericano de Comercio Exterior SA, 2.38%, 9/14/25, Callable 8/15/25 @ 100(a) | $ | 246,762 | ||||
423,000 | GE Capital International Funding, 4.42%, 11/15/35 | 397,219 | ||||||
55,000 | nVent Finance Sarl, 2.75%, 11/15/31, Callable 8/15/31 @ 100 | 44,631 | ||||||
1,040,000 | ORIX Corp., 2.90%, 7/18/22 | 1,040,021 | ||||||
|
| |||||||
1,728,633 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
389,000 | Deutsche Telekom International Finance BV, 2.49%, 9/19/23, Callable 7/19/23 @ 100(a) | 383,931 | ||||||
|
| |||||||
Energy Production (0.0%†): | ||||||||
327,000 | Kallpa Generacion SA, 4.13%, 8/16/27, Callable 5/16/27 @ 100(a) | 294,385 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.0%†): | ||||||||
269,000 | Trust Fibra Uno, 5.25%, 12/15/24, Callable 9/15/24 @ 100(a) | 263,284 | ||||||
253,000 | Trust Fibra Uno, 6.39%, 1/15/50, Callable 7/15/49 @ 100(a) | 201,135 | ||||||
|
| |||||||
464,419 | ||||||||
|
| |||||||
Financial Services (0.0%†): | ||||||||
344,000 | Eig Pearl Holdings Sarl, 4.39%, 11/30/46(a) | 270,470 | ||||||
|
| |||||||
Food & Staples Retailing (0.0%†): | ||||||||
250,000 | Cencosud SA, 5.15%, 2/12/25, Callable 11/12/24 @ 100(a) | 249,200 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.0%†): | ||||||||
270,000 | AES Panama Generation Holdings SRL, 4.38%, 5/31/30, Callable 2/28/30 @ 100(a) | 232,875 | ||||||
210,000 | Colbun SA, 3.15%, 1/19/32, Callable 10/19/31 @ 100(a) | 168,935 | ||||||
|
| |||||||
401,810 | ||||||||
|
| |||||||
Interactive Media & Services (0.1%): | ||||||||
490,000 | Baidu, Inc., 4.38%, 5/14/24, Callable 4/14/24 @ 100 | 493,475 | ||||||
475,000 | Baidu, Inc., 4.38%, 3/29/28, Callable 12/29/27 @ 100 | 468,639 | ||||||
1,511,000 | Tencent Holdings, Ltd., 2.99%, 1/19/23, Callable 12/19/22 @ 100(a) | 1,507,969 | ||||||
515,000 | Tencent Holdings, Ltd., 3.60%, 1/19/28, Callable 10/19/27 @ 100(a) | 489,393 | ||||||
|
| |||||||
2,959,476 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.0%†): | ||||||||
320,000 | Alibaba Group Holding, Ltd., 2.80%, 6/6/23, Callable 5/6/23 @ 100 | 317,544 | ||||||
|
| |||||||
Machinery (0.0%†): | ||||||||
670,000 | Trane Technologies Luxembourg Finance SA, 3.50%, 3/21/26, Callable 1/21/26 @ 100 | 655,368 | ||||||
|
| |||||||
Materials (0.0%†): | ||||||||
260,000 | Celulosa Arauco y Constitucion SA, 4.20%, 1/29/30, Callable 10/29/29 @ 100(a) | 231,343 | ||||||
366,000 | Equate Petrochemical BV, 4.25%, 11/3/26(a) | 360,125 | ||||||
137,000 | Fibria Overseas Finance, Ltd., 5.50%, 1/17/27 | 135,801 | ||||||
240,000 | SABIC Capital II BV, 4.50%, 10/10/28(a) | 242,564 | ||||||
|
| |||||||
969,833 | ||||||||
|
| |||||||
Metals & Mining (0.3%): | ||||||||
2,622,000 | Anglo American Capital plc, 4.75%, 4/10/27(a) | 2,607,207 | ||||||
365,000 | Anglo American Capital plc, 4.00%, 9/11/27(a) | 348,292 |
See accompanying notes to the financial statements.
17
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Metals & Mining, continued | ||||||||
$ | 1,332,000 | Anglo American Capital plc, 4.50%, 3/15/28, Callable 12/15/27 @ 100(a) | $ | 1,296,099 | ||||
1,074,000 | Anglo American Capital plc, 2.25%, 3/17/28, Callable 1/17/28 @ 100(a) | 926,901 | ||||||
|
| |||||||
5,178,499 | ||||||||
|
| |||||||
National (0.0%†): | ||||||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, 4.40%, 6/6/27(a) | 198,750 | ||||||
|
| |||||||
Oil & Gas (0.0%†): | ||||||||
200,000 | Empresa Nacional del Petroleo, 4.38%, 10/30/24(a) | 199,500 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
342,000 | Cenovus Energy, Inc., 3.75%, 2/15/52, Callable 8/15/51 @ 100^ | 259,960 | ||||||
555,000 | Ecopetrol SA, 4.13%, 1/16/25 | 514,069 | ||||||
226,000 | Galaxy Pipeline Assets Bidco, Ltd., 2.94%, 9/30/40(a) | 185,032 | ||||||
270,000 | KazMunayGas National Co. JSC, 3.50%, 4/14/33, Callable 10/14/32 @ 100(a) | 193,654 | ||||||
270,000 | Pertamina Persero PT, 3.10%, 1/21/30, Callable 10/21/29 @ 100(a) | 233,887 | ||||||
230,000 | Petronas Capital, Ltd., 4.55%, 4/21/50, Callable 10/21/49 @ 100(a) | 218,766 | ||||||
275,000 | Qatar Energy, 2.25%, 7/12/31, Callable 4/12/31 @ 100(a) | 235,360 | ||||||
290,000 | Saudi Arabian Oil Co., 3.25%, 11/24/50, Callable 5/24/50 @ 100(a) | 210,250 | ||||||
290,000 | Saudi Arabian Oil Co., 3.50%, 11/24/70, Callable 5/24/70 @ 100(a) | 205,175 | ||||||
298,000 | Suncor Energy, Inc., 6.80%, 5/15/38 | 338,051 | ||||||
250,000 | Transportadora de Gas Internacional SA ESP, 5.55%, 11/1/28, Callable 8/1/28 @ 100(a) | 225,937 | ||||||
|
| |||||||
2,820,141 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%†): | ||||||||
240,000 | Suzano Austria GmbH, 5.75%, 7/14/26(a) | 242,981 | ||||||
156,000 | Suzano Austria GmbH, 3.75%, 1/15/31, Callable 10/15/30 @ 100 | 126,255 | ||||||
|
| |||||||
369,236 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
250,000 | Mitsui Fudosan Co., Ltd., 2.95%, 1/23/23, Callable 12/23/22 @ 100(a) | 249,758 | ||||||
|
| |||||||
Sovereign Bond (1.2%): | ||||||||
200,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 178,468 | ||||||
400,000 | Chile Government International Bond, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | 376,080 | ||||||
1,560,000 | Chile Government International Bond, 2.55%, 1/27/32, Callable 10/27/31 @ 100^ | 1,320,230 | ||||||
200,000 | Chile Government International Bond, 3.86%, 6/21/47 | 165,985 | ||||||
1,905,000 | Colombia Government International Bond, 3.13%, 4/15/31, Callable 1/15/31 @ 100 | 1,403,562 | ||||||
860,000 | Colombia Government International Bond, 3.25%, 4/22/32, Callable 1/22/32 @ 100 | 618,407 | ||||||
200,000 | Hungary Government International Bond, 5.25%, 6/16/29(a) | 202,033 |
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 236,000 | Indonesia Government International Bond, 7.75%, 1/17/38(a) | $ | 282,313 | ||||
200,000 | Indonesia Government International Bond, 6.75%, 1/15/44(a) | 229,491 | ||||||
210,000 | Mexico Government International Bond, 3.75%, 1/11/28 | 200,503 | ||||||
390,000 | Mexico Government International Bond, 4.75%, 4/27/32, Callable 1/27/32 @ 100^ | 373,321 | ||||||
108,000 | Mexico Government International Bond, 5.75%, 10/12/10 | 89,743 | ||||||
589,561 | Oriental Republic of Uruguay, 4.50%, 8/14/24^ | 594,284 | ||||||
2,265,000 | Oriental Republic of Uruguay, 4.38%, 10/27/27 | 2,281,987 | ||||||
655,000 | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | 578,856 | ||||||
2,295,000 | Panama Government International Bond, 4.50%, 4/1/56, Callable 10/1/55 @ 100 | 1,818,787 | ||||||
245,000 | Peruvian Government International Bond, 2.78%, 1/23/31, Callable 10/23/30 @ 100 | 207,273 | ||||||
129,000 | Peruvian Government International Bond, 1.86%, 12/1/32, Callable 9/1/32 @ 100 | 97,655 | ||||||
30,000 | Peruvian Government International Bond, 3.00%, 1/15/34, Callable 10/15/33 @ 100 | 24,192 | ||||||
230,000 | Philippine Government International Bond, 1.65%, 6/10/31^ | 184,949 | ||||||
1,725,000 | Philippine Government International Bond, 1.95%, 1/6/32 | 1,411,015 | ||||||
689,000 | Province of Manitoba, 3.05%, 5/14/24 | 687,991 | ||||||
200,000 | Qatar Government International Bond, 4.00%, 3/14/29(a) | 202,287 | ||||||
200,000 | Qatar Government International Bond, 3.75%, 4/16/30(a) | 198,870 | ||||||
3,516,000 | Republic of Colombia, 3.88%, 4/25/27, Callable 1/25/27 @ 100 | 3,086,858 | ||||||
275,000 | Republic of Colombia, 4.50%, 3/15/29, Callable 12/15/28 @ 100 | 235,863 | ||||||
567,000 | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100^ | 428,637 | ||||||
581,000 | Republic of Indonesia, 4.10%, 4/24/28 | 571,573 | ||||||
2,840,000 | Republic of Indonesia, 2.85%, 2/14/30 | 2,531,161 | ||||||
327,000 | Republic of Panama, 4.00%, 9/22/24, Callable 6/22/24 @ 100 | 325,774 | ||||||
820,000 | Republic of Panama, 3.88%, 3/17/28, Callable 12/17/27 @ 100 | 777,975 | ||||||
540,000 | Republic of Panama, 4.50%, 5/15/47 | 444,150 | ||||||
1,091,000 | Republic of Peru, 4.13%, 8/25/27 | 1,067,762 | ||||||
1,031,000 | Republic of Peru, 5.63%, 11/18/50 | 1,065,815 | ||||||
3,200,000 | Republic of Philippines, 3.00%, 2/1/28 | 3,031,680 | ||||||
124,000 | Romanian Government International Bond, 5.25%, 11/25/27(a) | 118,432 | ||||||
114,000 | Romanian Government International Bond, 3.63%, 3/27/32(a) | 90,100 | ||||||
236,000 | Romanian Government International Bond, 4.00%, 2/14/51(a) | 155,051 | ||||||
212,000 | Saudi Government International Bond, 2.75%, 2/3/32(a) | 189,450 | ||||||
200,000 | Saudi Government International Bond, 5.00%, 4/17/49(a) | 197,018 |
See accompanying notes to the financial statements.
18
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Sovereign Bond, continued | ||||||||
$ | 1,165,264 | Uruguay Government International Bond, 4.38%, 1/23/31, Callable 10/23/30 @ 100 | $ | 1,174,003 | ||||
|
| |||||||
29,219,584 | ||||||||
|
| |||||||
Tech Hardware & Semiconductors (0.4%): | ||||||||
1,077,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.15%, 5/1/27, Callable 3/1/27 @ 100 | 1,000,711 | ||||||
4,280,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.30%, 6/18/29, Callable 3/18/29 @ 100 | 4,090,255 | ||||||
372,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.40%, 5/1/30, Callable 2/1/30 @ 100 | 331,518 | ||||||
1,164,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.50%, 5/11/31, Callable 2/11/31 @ 100 | 956,127 | ||||||
48,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 3.25%, 11/30/51, Callable 5/30/51 @ 100 | 33,574 | ||||||
|
| |||||||
6,412,185 | ||||||||
|
| |||||||
Transportation Infrastructure (0.0%†): | ||||||||
270,000 | Adani Ports & Special Economic Zone, Ltd., 3.38%, 7/24/24(a) | 262,881 | ||||||
|
| |||||||
Utilities (0.0%†): | ||||||||
200,000 | Comision Federal de Electricidad, 4.88%, 1/15/24^(a) | 199,122 | ||||||
285,000 | Israel Electric Corp., Ltd., 4.25%, 8/14/28, MTN | 274,813 | ||||||
|
| |||||||
473,935 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
280,000 | Bharti Airtel, Ltd., 3.25%, 6/3/31, Callable 3/5/31 @ 100(a) | 236,891 | ||||||
3,243,000 | Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100(a) | 2,978,605 | ||||||
1,221,000 | Rogers Communications, Inc., 4.55%, 3/15/52, Callable 9/15/51 @ 100(a) | 1,076,037 | ||||||
|
| |||||||
4,291,533 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $109,820,711) | 97,791,420 | |||||||
|
| |||||||
Municipal Bonds (0.6%): | ||||||||
California (0.3%): | ||||||||
905,000 | California State University Revenue, Series B, 2.72%, 11/1/52 | 678,116 | ||||||
600,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | 816,624 | ||||||
2,550,000 | City of San Francisco CA Public Utilities Commission Water Revenue, 2.83%, 11/1/41, Continuously Callable @100 | 2,039,133 | ||||||
1,240,000 | Los Angeles Department of Water & Power Power System Revenue, 6.57%, 7/1/45 | 1,622,664 | ||||||
645,000 | Regents of the University of California Medical Center Pooled Revenue, 4.13%, 5/15/32, Continuously Callable @100 | 639,608 | ||||||
347,000 | University of California Revenue, 4.77%, 5/15/15 | 322,648 | ||||||
50,000 | University of California Revenue, 4.86%, 5/15/12 | 47,282 | ||||||
|
| |||||||
6,166,075 | ||||||||
|
| |||||||
Michigan (0.0%†): | ||||||||
801,000 | University of Michigan Revenue, 3.50%, 4/1/52, Continuously Callable @100 | 711,905 | ||||||
|
| |||||||
Minnesota (0.0%†): | ||||||||
406,000 | University of Minnesota, 4.05%, 4/1/52 | 400,239 | ||||||
|
|
Principal Amount | Value | |||||||
Municipal Bonds, continued | ||||||||
New Jersey (0.1%): | ||||||||
$ | 575,000 | New Jersey State Transportation Authority Revenue, Build America Bonds, GO, 6.56%, 12/15/40 | $ | 669,340 | ||||
270,000 | New Jersey Transportation Trust Fund Authority Revenue, 4.13%, 6/15/42 | 246,359 | ||||||
165,000 | New Jersey Turnpike Authority Revenue, Series B, 2.78%, 1/1/40, Continuously Callable @100 | 129,718 | ||||||
|
| |||||||
1,045,417 | ||||||||
|
| |||||||
New York (0.2%): | ||||||||
1,420,000 | New York State Dormitory Authority Revenue, 2.15%, 3/15/31 | 1,169,995 | ||||||
1,045,000 | New York State Dormitory Authority Revenue, 2.05%, 3/15/30 | 908,565 | ||||||
1,160,000 | New York State Dormitory Authority Revenue, 5.00%, 2/15/31, Continuously Callable @100 | 1,330,125 | ||||||
|
| |||||||
3,408,685 | ||||||||
|
| |||||||
Texas (0.0%†): | ||||||||
710,000 | City of Houston TX, GO, 3.96%, 3/1/47 | 671,326 | ||||||
430,000 | State of Texas, GO, Series B, 2.75%, 10/1/41, Continuously Callable @100 | 339,954 | ||||||
|
| |||||||
1,011,280 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $14,333,861) | 12,743,601 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (31.3%): | ||||||||
Federal National Mortgage Association (17.0%) | ||||||||
72,137 | 2.50%, 9/1/27, Pool #AB6194 | 69,073 | ||||||
47,415 | 2.50%, 9/1/27, Pool #AP5205 | 45,586 | ||||||
18,096 | 2.50%, 2/1/28, Pool #AB8446 | 17,682 | ||||||
43,896 | 2.50%, 4/1/28, Pool #AB8870 | 43,021 | ||||||
28,240 | 3.00%, 4/1/28, Pool #AT3121 | 27,883 | ||||||
31,295 | 3.00%, 5/1/28, Pool #AT6033 | 30,899 | ||||||
125,199 | 2.50%, 8/1/28, Pool #AS0190 | 122,700 | ||||||
74,501 | 3.00%, 10/1/28, Pool #AU8774 | 73,555 | ||||||
6,841 | 3.00%, 10/1/28, Pool #AQ4132 | 6,732 | ||||||
145,940 | 3.50%, 10/1/28, Pool #AV0198 | 145,342 | ||||||
8,080 | 3.00%, 11/1/28, Pool #AV0298 | 7,949 | ||||||
272,126 | 3.50%, 11/1/28, Pool #AV1360 | 271,010 | ||||||
179,204 | 3.00%, 4/1/29, Pool #AW0937 | 176,268 | ||||||
152,930 | 3.00%, 5/1/29, Pool #AW2544 | 150,099 | ||||||
258,308 | 3.00%, 6/1/29, Pool #AS2676 | 254,077 | ||||||
59,910 | 3.00%, 7/1/29, Pool #AW1281 | 58,802 | ||||||
355,675 | 3.00%, 7/1/29, Pool #AW4229 | 349,065 | ||||||
513,971 | 3.00%, 9/1/29, Pool #AL6897 | 504,467 | ||||||
165,906 | 3.00%, 9/1/29, Pool #AS3220 | 163,180 | ||||||
64,260 | 3.50%, 9/1/29, Pool #AX0105 | 64,268 | ||||||
99,630 | 3.00%, 10/1/29, Pool #AS3594 | 97,782 | ||||||
21,622 | 3.50%, 10/1/29, Pool #AX2741 | 21,625 | ||||||
370,592 | 3.00%, 1/1/30, Pool #AL6144 | 364,521 | ||||||
2,605,000 | 3.75%, 1/15/30(c) | 2,024,234 | ||||||
47,799 | 2.50%, 2/1/30, Pool #BM3403 | 45,764 | ||||||
14,138 | 2.50%, 2/1/30, Pool #AS4488 | 13,607 | ||||||
12,798 | 2.50%, 2/1/30, Pool #AS4485 | 12,288 | ||||||
75,637 | 3.00%, 3/1/30, Pool #AL6583 | 74,304 | ||||||
98,574 | 2.50%, 3/1/30, Pool #AS4688 | 94,406 | ||||||
61,374 | 3.00%, 4/1/30, Pool #AL6584 | 60,213 | ||||||
40,506 | 2.50%, 4/1/30, Pool #AY3416 | 38,795 | ||||||
35,594 | 3.00%, 5/1/30, Pool #AL6761 | 34,937 |
See accompanying notes to the financial statements.
19
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 21,526 | 2.50%, 5/1/30, Pool #AY0828 | $ | 20,639 | ||||
3,901,000 | 3.80%, 5/15/30(c) | 2,993,042 | ||||||
194,729 | 3.00%, 6/1/30, Pool #AL9381 | 191,178 | ||||||
51,274 | 3.00%, 7/1/30, Pool #AL7139 | 50,305 | ||||||
9,063 | 3.00%, 7/1/30, Pool #AZ2297 | 8,904 | ||||||
24,229 | 2.50%, 7/1/30, Pool #AZ2170 | 23,207 | ||||||
13,831 | 2.50%, 7/1/30, Pool #AS5405 | 13,280 | ||||||
80,204 | 2.50%, 7/1/30, Pool #AS5403 | 77,219 | ||||||
66,043 | 3.00%, 7/1/30, Pool #AX9701 | 64,791 | ||||||
13,252 | 3.00%, 7/1/30, Pool #AX9700 | 13,018 | ||||||
74,925 | 3.00%, 8/1/30, Pool #AL7227 | 73,601 | ||||||
5,365 | 3.00%, 8/1/30, Pool #AZ8597 | 5,271 | ||||||
12,558 | 3.00%, 8/1/30, Pool #AZ7833 | 12,335 | ||||||
13,862 | 3.00%, 8/1/30, Pool #AX3298 | 13,617 | ||||||
90,532 | 3.00%, 8/1/30, Pool #AL7225 | 88,819 | ||||||
61,670 | 3.00%, 8/1/30, Pool #AS5622 | 60,506 | ||||||
52,069 | 3.50%, 8/1/30, Pool #AS5708 | 51,926 | ||||||
144,187 | 2.50%, 8/1/30, Pool #BM3552 | 138,131 | ||||||
51,190 | 2.50%, 8/1/30, Pool #AS5614 | 49,027 | ||||||
65,953 | 3.00%, 8/1/30, Pool #AS5623 | 64,787 | ||||||
82,394 | 2.50%, 8/1/30, Pool #AS5616 | 79,114 | ||||||
36,160 | 2.50%, 8/1/30, Pool #AS5548 | 34,823 | ||||||
65,855 | 3.00%, 9/1/30, Pool #AS5728 | 64,695 | ||||||
17,522 | 3.00%, 9/1/30, Pool #AL7320 | 17,197 | ||||||
48,311 | 2.50%, 9/1/30, Pool #AS5786 | 46,512 | ||||||
63,174 | 2.50%, 9/1/30, Pool #AS5872 | 60,498 | ||||||
55,460 | 3.00%, 9/1/30, Pool #AS5714 | 54,406 | ||||||
27,025 | 3.00%, 9/1/30, Pool #AZ5719 | 26,550 | ||||||
60,855 | 2.50%, 11/1/30, Pool #AS6141 | 58,285 | ||||||
50,565 | 2.50%, 11/1/30, Pool #AS6142 | 48,687 | ||||||
52,977 | 2.50%, 11/1/30, Pool #AS6115 | 50,859 | ||||||
47,038 | 2.50%, 11/1/30, Pool #AS6116 | 45,166 | ||||||
7,945 | 2.50%, 11/1/30, Pool #AL7800 | 7,627 | ||||||
928,050 | 3.00%, 1/1/31, Pool #BM3537 | 911,387 | ||||||
77,156 | 2.50%, 3/1/31, Pool #BM1595 | 74,350 | ||||||
93,019 | 2.50%, 6/1/31, Pool #AS7320 | 89,136 | ||||||
154,213 | 2.50%, 7/1/31, Pool #AS7605 | 147,775 | ||||||
159,158 | 2.50%, 7/1/31, Pool #AS7617 | 152,532 | ||||||
6,025 | 2.50%, 8/1/31, Pool #BC2777 | 5,775 | ||||||
16,882 | 4.00%, 8/1/31, Pool #AY4688 | 17,062 | ||||||
36,666 | 4.00%, 8/1/31, Pool #AY4707 | 37,326 | ||||||
1,105,529 | 3.00%, 8/1/31, Pool #AL9376 | 1,082,470 | ||||||
103,504 | 3.00%, 9/1/31, Pool #AL9378 | 101,506 | ||||||
377,860 | 2.50%, 10/1/31, Pool #AS8208 | 362,108 | ||||||
662,969 | 2.50%, 10/1/31, Pool #AS8195 | 635,406 | ||||||
265,802 | 2.50%, 10/1/31, Pool #AS8193 | 254,540 | ||||||
1,300,904 | 2.50%, 10/1/31, Pool #BC4773 | 1,246,529 | ||||||
52,699 | 2.00%, 10/1/31, Pool #MA2774 | 49,309 | ||||||
203,199 | 2.50%, 10/1/31, Pool #AS8009 | 194,588 | ||||||
110,921 | 2.50%, 11/1/31, Pool #AS8245 | 106,299 | ||||||
141,144 | 2.50%, 11/1/31, Pool #AS8241 | 135,183 | ||||||
225,236 | 2.50%, 11/1/31, Pool #AS8240 | 215,826 | ||||||
263,290 | 2.00%, 11/1/31, Pool #AS8251 | 246,356 | ||||||
306,139 | 2.00%, 11/1/31, Pool #BM3054 | 286,445 | ||||||
88,762 | 2.00%, 11/1/31, Pool #BC9040 | 83,036 | ||||||
128,127 | 2.50%, 11/1/31, Pool #BC2628 | 122,767 | ||||||
92,361 | 2.50%, 11/1/31, Pool #BC2629 | 88,515 | ||||||
207,210 | 2.50%, 11/1/31, Pool #BC2631 | 199,179 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 16,243 | 2.00%, 11/1/31, Pool #AS8291 | $ | 15,198 | ||||
73,315 | 2.00%, 12/1/31, Pool #MA2845 | 68,596 | ||||||
19,751 | 2.50%, 2/1/32, Pool #BM1036 | 18,988 | ||||||
12,093 | 3.00%, 2/1/32, Pool #BE5670 | 11,845 | ||||||
217,410 | 2.50%, 3/1/32, Pool #AS9316 | 208,483 | ||||||
482,923 | 2.00%, 3/1/32, Pool #BM3061 | 451,762 | ||||||
298,564 | 3.00%, 3/1/32, Pool #AS9327 | 292,412 | ||||||
204,600 | 2.50%, 3/1/32, Pool #AS9317 | 195,876 | ||||||
362,801 | 2.50%, 3/1/32, Pool #AS9321 | 347,602 | ||||||
382,550 | 2.50%, 3/1/32, Pool #AS9319 | 370,461 | ||||||
344,336 | 2.50%, 3/1/32, Pool #AS9318 | 331,231 | ||||||
1,521,077 | 3.50%, 4/1/32, Pool #BM3503 | 1,518,175 | ||||||
2,060,000 | Class A2 , Series 2022-M1S2.08%, 4/25/32 | 1,792,440 | ||||||
1,101,940 | 3.50%, 5/1/32, Pool #BM1602 | 1,101,004 | ||||||
1,566,865 | 3.00%, 6/1/32, Pool #BM1791 | 1,534,739 | ||||||
467,447 | 2.50%, 8/1/32, Pool #BM3578 | 449,658 | ||||||
184,071 | 3.00%, 9/1/32, Pool #BM3240 | 180,826 | ||||||
59,747 | 3.50%, 11/1/32, Pool #BJ2054 | 59,633 | ||||||
36,829 | 3.50%, 1/1/33, Pool #BJ2096 | 36,844 | ||||||
62,729 | 5.50%, 1/1/33, Pool #676661 | 66,200 | ||||||
921,842 | 2.50%, 2/1/33, Pool #BM3793 | 882,870 | ||||||
43,428 | 5.50%, 5/1/33, Pool #555424 | 46,659 | ||||||
2,036,520 | 3.00%, 5/1/33, Pool #FM1880 | 2,003,100 | ||||||
52,876 | 4.00%, 9/1/33, Pool #BK7642 | 53,656 | ||||||
173,058 | 4.00%, 10/1/33, Pool #CA2527 | 175,446 | ||||||
175,369 | 4.00%, 11/1/33, Pool #CA2555 | 178,549 | ||||||
337,871 | 2.50%, 12/1/33, Pool #FM1680 | 327,235 | ||||||
3,430,000 | Class A3 , Series 2022-M52.47%, 1/1/34 | 3,000,020 | ||||||
106,039 | 5.50%, 2/1/35, Pool #735989 | 113,924 | ||||||
312,154 | 5.00%, 2/1/35, Pool #735226 | 326,348 | ||||||
25,409 | 5.00%, 3/1/35, Pool #735288 | 26,591 | ||||||
9,986 | 6.00%, 4/1/35, Pool #735504 | 10,268 | ||||||
186,440 | 3.00%, 8/1/35, Pool #CA6849 | 183,464 | ||||||
183,960 | 3.00%, 8/1/35, Pool #CA6876 | 180,355 | ||||||
49,407 | 5.00%, 9/1/35, Pool #889974 | 51,590 | ||||||
56,025 | 3.00%, 12/1/35, Pool #CA8391 | 54,862 | ||||||
1,022,840 | 2.50%, 12/1/35, Pool #CA8387 | 979,092 | ||||||
1,139,885 | 2.50%, 12/1/35, Pool #CA8388 | 1,094,977 | ||||||
115,656 | 3.00%, 12/1/35, Pool #CA8389 | 113,378 | ||||||
119,898 | 4.00%, 1/1/36, Pool #AB0686 | 123,754 | ||||||
244,732 | 5.50%, 9/1/36, Pool #995113 | 262,939 | ||||||
26,632 | 3.00%, 10/1/36, Pool #AL9227 | 24,893 | ||||||
218,677 | 3.00%, 11/1/36, Pool #AS8348 | 204,261 | ||||||
87,364 | 3.00%, 11/1/36, Pool #AS8349 | 85,214 | ||||||
204,956 | 3.00%, 12/1/36, Pool #BE1896 | 200,690 | ||||||
284,341 | 3.00%, 12/1/36, Pool #AS8553 | 277,339 | ||||||
2,188,000 | 2.50%, 7/25/37, TBA | 2,092,275 | ||||||
9,233,000 | 1.50%, 7/25/37, TBA | 8,400,587 | ||||||
25,032,000 | 2.00%, 7/25/37, TBA | 23,389,275 | ||||||
12,003 | 5.50%, 2/1/38, Pool #961545 | 12,692 | ||||||
8,685 | 6.00%, 3/1/38, Pool #889529 | 9,274 | ||||||
56,186 | 5.50%, 5/1/38, Pool #889692 | 60,690 | ||||||
49,330 | 5.50%, 5/1/38, Pool #889441 | 51,767 | ||||||
24,810 | 6.00%, 5/1/38, Pool #889466 | 26,492 | ||||||
36,770 | 5.50%, 6/1/38, Pool #995018 | 39,714 | ||||||
10,607 | 5.50%, 9/1/38, Pool #889995 | 11,456 | ||||||
26,080 | 6.00%, 10/1/38, Pool #889983 | 29,762 | ||||||
150,505 | 5.50%, 1/1/39, Pool #AB0200 | 160,689 |
See accompanying notes to the financial statements.
20
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 45,675 | 4.50%, 4/1/39, Pool #930922 | $ | 46,950 | ||||
39,298 | 3.50%, 5/1/39, Pool #MA3660 | 38,699 | ||||||
61,765 | 4.50%, 5/1/39, Pool #AL1472 | 64,041 | ||||||
594,604 | 5.00%, 6/1/39, Pool #AL7521 | 620,867 | ||||||
398,319 | 6.00%, 7/1/39, Pool #BF0056 | 417,814 | ||||||
26,679 | 5.50%, 10/1/39, Pool #AD0362 | 28,225 | ||||||
26,350 | 5.50%, 12/1/39, Pool #AD0571 | 29,040 | ||||||
163,472 | 3.50%, 12/1/39, Pool #MA3869 | 159,472 | ||||||
202,624 | 5.50%, 12/1/39, Pool #AC6680 | 214,385 | ||||||
73,088 | 3.50%, 1/1/40, Pool #MA3891 | 71,300 | ||||||
2,661,359 | 4.50%, 1/1/40, Pool #AC8568 | 2,749,389 | ||||||
123,434 | 3.50%, 2/1/40, Pool #MA3935 | 119,878 | ||||||
22,829 | 5.50%, 3/1/40, Pool #AL5304 | 25,330 | ||||||
20,460 | 4.50%, 4/1/40, Pool #AD4038 | 20,933 | ||||||
170,397 | 6.00%, 4/1/40, Pool #AL4141 | 190,056 | ||||||
32,449 | 6.50%, 5/1/40, Pool #AL1704 | 33,748 | ||||||
35,055 | 4.50%, 7/1/40, Pool #AB1226 | 36,222 | ||||||
44,979 | 4.50%, 7/1/40, Pool #AD7127 | 46,214 | ||||||
20,377 | 6.00%, 9/1/40, Pool #AE0823 | 22,137 | ||||||
2,680,000 | Class CY , Series 2010-1364.00%, 12/25/40 | 2,675,132 | ||||||
19,976 | 4.00%, 1/1/41, Pool #AL7167 | 20,092 | ||||||
3,112,572 | Class ZA , Series 2011-84.00%, 2/25/41 | 3,138,479 | ||||||
42,049 | 6.00%, 6/1/41, Pool #AL4142 | 43,375 | ||||||
15,680 | 4.50%, 7/1/41, Pool #AB3314 | 16,087 | ||||||
274,889 | 5.00%, 7/1/41, Pool #AL7524 | 292,067 | ||||||
28,148 | 4.50%, 9/1/41, Pool #AI8961 | 28,885 | ||||||
510,414 | 5.50%, 9/1/41, Pool #AL8430 | 551,333 | ||||||
15,400,351 | 1.50%, 11/1/41, Pool #FS0316 | 13,110,336 | ||||||
2,470,268 | 2.00%, 12/1/41, Pool #MA4501 | 2,197,024 | ||||||
7,841,414 | 1.50%, 12/1/41, Pool #MA4500 | 6,667,175 | ||||||
143,541 | 3.50%, 1/1/42, Pool #AW8154 | 140,163 | ||||||
640,432 | 4.00%, 1/1/42, Pool #AB4307 | 647,740 | ||||||
623,466 | 2.00%, 2/1/42, Pool #MA4540 | 557,375 | ||||||
920,956 | 2.00%, 3/1/42, Pool #MA4586 | 823,311 | ||||||
5,989,843 | 2.00%, 3/1/42, Pool #MA4570 | 5,354,827 | ||||||
24,112 | 3.50%, 4/1/42, Pool #AK7510 | 23,585 | ||||||
56,652 | 3.50%, 4/1/42, Pool #AO0777 | 54,567 | ||||||
124,231 | 4.00%, 5/1/42, Pool #AO2961 | 122,921 | ||||||
34,909 | 4.00%, 5/1/42, Pool #A02114 | 34,542 | ||||||
10,239 | 3.50%, 5/1/42, Pool #AO2881 | 10,020 | ||||||
10,115 | 3.50%, 6/1/42, Pool #AO3048 | 9,894 | ||||||
13,419 | 3.50%, 6/1/42, Pool #AK9225 | 13,129 | ||||||
28,307 | 3.50%, 7/1/42, Pool #AO9707 | 27,694 | ||||||
126,455 | 4.50%, 9/1/42, Pool #AL2482 | 130,298 | ||||||
761,185 | 4.50%, 1/1/43, Pool #AL8206 | 786,402 | ||||||
46,927 | 3.00%, 3/1/43, Pool #AR7568 | 44,639 | ||||||
57,529 | 3.00%, 3/1/43, Pool #AR7576 | 53,754 | ||||||
67,538 | 3.00%, 3/1/43, Pool #AR9218 | 63,170 | ||||||
24,242 | 3.00%, 4/1/43, Pool #AT2037 | 23,057 | ||||||
68,880 | 3.00%, 4/1/43, Pool #AR8630 | 64,429 | ||||||
56,696 | 3.00%, 4/1/43, Pool #AB8924 | 52,951 | ||||||
62,984 | 3.00%, 4/1/43, Pool #AT2043 | 58,868 | ||||||
61,825 | 3.00%, 4/1/43, Pool #AB8923 | 57,811 | ||||||
658 | 3.50%, 4/1/43, Pool #CA1530 | 641 | ||||||
92,961 | 3.00%, 4/1/43, Pool #AT2040 | 86,927 | ||||||
7,971 | 3.00%, 6/1/43, Pool #AB9564 | 7,552 | ||||||
510,185 | 5.00%, 12/1/43, Pool #AL7777 | 537,579 | ||||||
260,774 | 5.00%, 11/1/44, Pool #AL8878 | 263,647 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 211,485 | 3.50%, 2/1/45, Pool #BM1100 | $ | 205,073 | ||||
646,330 | 3.50%, 2/1/45, Pool #FM5294 | 637,760 | ||||||
145,524 | 5.00%, 6/1/45, Pool #BM3784 | 153,826 | ||||||
105,689 | 4.50%, 9/1/45, Pool #AL7936 | 111,100 | ||||||
2,876,332 | 3.50%, 9/1/45, Pool #FM3224 | 2,830,336 | ||||||
3,023 | 4.50%, 11/1/45, Pool #AS6233 | 3,068 | ||||||
5,891,795 | 3.50%, 11/1/45, Pool #FM6411 | 5,775,396 | ||||||
60,310 | 4.50%, 11/1/45, Pool #AL9501 | 63,740 | ||||||
148,855 | 4.50%, 12/1/45, Pool #BM1756 | 154,039 | ||||||
15,600 | 3.00%, 6/1/46, Pool #AS7365 | 14,783 | ||||||
980,438 | 3.50%, 7/1/46, Pool #BA7748 | 973,711 | ||||||
356,836 | 4.50%, 7/1/46, Pool #BM3053 | 379,691 | ||||||
450,002 | 4.50%, 7/1/46, Pool #BM1920 | 474,177 | ||||||
19,488 | 3.00%, 8/1/46, Pool #AL9031 | 18,530 | ||||||
646,032 | Class UF , Series 2016-482.02%(US0001M+40bps), 8/25/46 | 642,531 | ||||||
1,030,041 | 3.00%, 9/1/46, Pool #BD1469 | 971,188 | ||||||
224,614 | 3.00%, 11/1/46, Pool #BD9645 | 210,367 | ||||||
291,927 | 3.00%, 11/1/46, Pool #BD9644 | 272,946 | ||||||
116,770 | 3.00%, 11/1/46, Pool #BD9643 | 109,100 | ||||||
243,403 | 3.50%, 12/1/46, Pool #BE2103 | 235,454 | ||||||
1,013,895 | 3.00%, 12/1/46, Pool #AS8486 | 955,578 | ||||||
374,592 | 3.50%, 2/1/47, Pool #BE1534 | 361,211 | ||||||
885,739 | 3.50%, 2/1/47, Pool #AL9920 | 856,884 | ||||||
72,945 | 3.50%, 3/1/47, Pool #BH0158 | 70,336 | ||||||
522,932 | 3.50%, 5/1/47, Pool #BD2417 | 504,378 | ||||||
181,769 | 3.50%, 5/1/47, Pool #BE9375 | 175,272 | ||||||
315,106 | 4.00%, 5/1/47, Pool #BH0398 | 312,872 | ||||||
395,319 | 3.50%, 5/1/47, Pool #BM1174 | 384,783 | ||||||
143,137 | 3.50%, 6/1/47, Pool #BH0567 | 138,037 | ||||||
234,416 | 4.00%, 7/1/47, Pool #BH3401 | 232,780 | ||||||
341,081 | 4.00%, 8/1/47, Pool #BM1619 | 338,683 | ||||||
23,078 | 4.00%, 9/1/47, Pool #MA3121 | 23,097 | ||||||
173,993 | 4.50%, 10/1/47, Pool #BM3052 | 177,210 | ||||||
709,558 | 3.50%, 11/1/47, Pool #MA3182 | 692,901 | ||||||
203,402 | 4.50%, 12/1/47, Pool #BH7067 | 206,301 | ||||||
428,962 | 3.50%, 1/1/48, Pool #MA3238 | 418,892 | ||||||
1,539,424 | 3.50%, 1/1/48, Pool #FM5293 | 1,495,141 | ||||||
69,808 | 4.00%, 2/1/48, Pool #BJ9057 | 69,468 | ||||||
330,642 | 3.50%, 2/1/48, Pool #BH9277 | 322,360 | ||||||
100,217 | 4.00%, 2/1/48, Pool #BJ9058 | 99,686 | ||||||
140,486 | 3.50%, 3/1/48, Pool #BK1958 | 136,992 | ||||||
409,759 | 3.50%, 3/1/48, Pool #BJ4916 | 399,522 | ||||||
218,611 | 3.50%, 3/1/48, Pool #BJ0648 | 213,145 | ||||||
258,209 | 3.50%, 4/1/48, Pool #FM5295 | 254,878 | ||||||
169,710 | 4.50%, 4/1/48, Pool #BM3846 | 175,702 | ||||||
4,010,059 | 4.50%, 4/1/48, Pool #FM7783 | 4,076,046 | ||||||
41,306 | 4.00%, 4/1/48, Pool # MA3333 | 41,239 | ||||||
14,619 | 3.50%, 5/1/48, Pool #MA3356 | 14,253 | ||||||
47,519 | 4.00%, 5/1/48, Pool #CA2708 | 47,442 | ||||||
2,315,274 | 4.50%, 5/1/48, Pool #CA1704 | 2,347,626 | ||||||
34,011 | 4.00%, 6/1/48, Pool # MA3384 | 33,956 | ||||||
190,427 | 5.00%, 6/1/48, Pool #CA2317 | 196,742 | ||||||
81,320 | 4.50%, 7/1/48, Pool #BK6113 | 84,012 | ||||||
14,895 | 4.50%, 7/1/48, Pool #BK4471 | 15,106 | ||||||
34,095 | 4.00%, 7/1/48, Pool #MA3415 | 34,040 | ||||||
800,205 | 5.00%, 9/1/48, Pool #MA3472 | 826,472 | ||||||
59,995 | 5.00%, 10/1/48, Pool #MA3501 | 61,963 |
See accompanying notes to the financial statements.
21
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 100,460 | 4.00%, 10/1/48, Pool #CA2469 | $ | 99,301 | ||||
144,070 | 5.00%, 10/1/48, Pool #BK7881 | 148,796 | ||||||
110,184 | 5.00%, 11/1/48, Pool #MA3527 | 113,798 | ||||||
9,730 | 3.50%, 11/1/48, Pool #FM1543 | 9,491 | ||||||
38,874 | 5.00%, 12/1/48, Pool #BN4404 | 39,838 | ||||||
114,339 | 5.00%, 1/1/49, Pool #BN3949 | 118,102 | ||||||
42,198 | 5.00%, 1/1/49, Pool #BN4430 | 43,258 | ||||||
1,398,790 | 4.00%, 1/1/49, Pool #FM5296 | 1,395,238 | ||||||
305,349 | 3.50%, 6/1/49, Pool #FM5315 | 297,944 | ||||||
927,846 | 4.00%, 9/1/49, Pool #FM3665 | 917,148 | ||||||
710,616 | 3.50%, 12/1/49, Pool #MA3210 | 693,930 | ||||||
449,908 | 4.00%, 3/1/50, Pool #CA5368 | 445,138 | ||||||
5,320,104 | 3.00%, 3/1/50, Pool #FM5290 | 5,006,995 | ||||||
375,790 | 4.00%, 5/1/50, Pool #FM7973 | 373,803 | ||||||
499,382 | 4.00%, 6/1/50, Pool #CA6106 | 494,539 | ||||||
3,249,816 | 2.50%, 7/1/50, Pool #CA6341 | 2,956,407 | ||||||
3,216,509 | 2.50%, 7/1/50, Pool #CA6342 | 2,926,149 | ||||||
3,256,171 | 2.50%, 7/1/50, Pool #CA6343 | 2,962,085 | ||||||
1,906,785 | 2.50%, 7/1/50, Pool #CA6359 | 1,738,487 | ||||||
1,969,103 | 3.00%, 8/1/50, Pool #FM5292 | 1,851,311 | ||||||
313,445 | 4.00%, 8/1/50, Pool #FM7703 | 312,554 | ||||||
943,764 | 2.50%, 8/1/50, Pool #CA6711 | 858,586 | ||||||
3,120,604 | 2.50%, 8/1/50, Pool #CA6636 | 2,838,849 | ||||||
3,776,613 | 2.50%, 8/1/50, Pool #CA6577 | 3,435,357 | ||||||
1,321,558 | 2.00%, 9/1/50, Pool #MA4119 | 1,148,630 | ||||||
415,298 | 2.00%, 9/1/50, Pool #BQ0697 | 360,948 | ||||||
2,375,010 | 2.00%, 10/1/50, Pool #MA4158 | 2,064,161 | ||||||
337,026 | 2.00%, 11/1/50, Pool #BQ6334 | 292,883 | ||||||
2,158,848 | 2.50%, 11/1/50, Pool #CA7597 | 1,968,336 | ||||||
621,685 | 2.50%, 11/1/50, Pool #FM4874 | 566,897 | ||||||
461,237 | 2.00%, 12/1/50, Pool #FM5305 | 400,897 | ||||||
1,460,705 | 2.00%, 12/1/50, Pool #FM5176 | 1,280,614 | ||||||
1,926,933 | 4.00%, 1/1/51, Pool #FM7031 | 1,920,278 | ||||||
549,875 | 2.50%, 1/1/51, Pool #CA8592 | 500,184 | ||||||
16,372,004 | 3.50%, 1/1/51, Pool #FM7599 | 15,911,948 | ||||||
1,566,698 | 2.50%, 2/1/51, Pool #CA9038 | 1,421,535 | ||||||
2,893,144 | 2.00%, 2/1/51, Pool #BR1615 | 2,513,208 | ||||||
525,134 | 2.00%, 3/1/51, Pool #BN9004 | 456,587 | ||||||
2,111,523 | 4.00%, 3/1/51, Pool #FM7460 | 2,104,888 | ||||||
947,924 | 2.00%, 3/1/51, Pool #BN8997 | 824,361 | ||||||
197,091 | 2.50%, 3/1/51, Pool #BR4654 | 177,851 | ||||||
717,634 | 2.00%, 4/1/51, Pool #BR7241 | 624,453 | ||||||
1,363,900 | 2.00%, 4/1/51, Pool #FM6863 | 1,185,441 | ||||||
242,075 | 2.50%, 4/1/51, Pool #BR8896 | 218,366 | ||||||
331,834 | 2.00%, 4/1/51, Pool #FS0599 | 288,435 | ||||||
140,781 | 2.50%, 4/1/51, Pool #BR8283 | 127,275 | ||||||
900,111 | 2.00%, 4/1/51, Pool #BR7802 | 782,776 | ||||||
124,874 | 2.50%, 5/1/51, Pool #BR8915 | 112,654 | ||||||
5,180,825 | 4.00%, 5/1/51, Pool #FS1463 | 5,170,804 | ||||||
73,485 | 2.50%, 5/1/51, Pool #BR8296 | 66,403 | ||||||
2,316,218 | 2.50%, 5/1/51, Pool #CB0383 | 2,106,585 | ||||||
6,756,590 | 3.00%, 6/1/51, Pool #CB0848 | 6,325,994 | ||||||
217,417 | 2.50%, 7/1/51, Pool #BP3574 | 196,115 | ||||||
11,030,361 | 2.00%, 8/1/51, Pool #CB1309 | 9,583,031 | ||||||
9,310,527 | 2.00%, 8/1/51, Pool #CB1310 | 8,088,855 | ||||||
641,000 | 5.00%, 8/25/51, TBA | 652,518 | ||||||
15,284,000 | 4.00%, 8/25/51 | 15,051,158 | ||||||
772,885 | 2.50%, 10/1/51, Pool #CB1806 | 697,339 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 72,421 | 2.50%, 10/1/51, Pool #BT8452 | $ | 65,322 | ||||
2,473,375 | 2.00%, 11/1/51, Pool #CB2079 | 2,148,905 | ||||||
1,302,092 | 2.00%, 11/1/51, Pool #CB2139 | 1,131,281 | ||||||
2,686,643 | 2.00%, 11/1/51, Pool #CB2054 | 2,334,343 | ||||||
1,037,247 | 2.50%, 11/1/51, Pool #FS0026 | 936,955 | ||||||
2,372,075 | 2.00%, 11/1/51, Pool #FM9538 | 2,061,121 | ||||||
1,144,118 | 2.00%, 11/1/51, Pool #FM9452 | 996,680 | ||||||
319,790 | 2.00%, 11/1/51, Pool #MA4465 | 277,820 | ||||||
3,262,000 | 2.00%, 11/1/51, Pool #FS1334 | 2,834,881 | ||||||
2,821,329 | 3.00%, 11/1/51, Pool #CB2165 | 2,643,344 | ||||||
588,382 | 2.50%, 12/1/51, Pool #CB2372 | 530,850 | ||||||
330,631 | 2.00%, 12/1/51, Pool #FS0598 | 288,162 | ||||||
1,695,216 | 2.00%, 12/1/51, Pool #FS0211 | 1,472,949 | ||||||
6,960,834 | 2.00%, 12/1/51, Pool #MA4492 | 6,047,067 | ||||||
1,715,662 | 2.00%, 12/1/51, Pool #FS0212 | 1,490,786 | ||||||
1,259,154 | 3.00%, 12/1/51, Pool #CB2418 | 1,179,860 | ||||||
737,131 | 2.00%, 12/1/51, Pool #FM9730 | 640,419 | ||||||
1,114,715 | 2.00%, 12/1/51, Pool #FM9925 | 969,563 | ||||||
1,532,715 | 2.00%, 1/1/52, Pool #CB2601 | 1,333,082 | ||||||
3,181,158 | 2.50%, 1/1/52, Pool #FS0209 | 2,869,634 | ||||||
2,551,972 | 2.50%, 1/1/52, Pool #FS0208 | 2,302,951 | ||||||
1,201,646 | 2.50%, 1/1/52, Pool #CB2633 | 1,087,008 | ||||||
2,069,432 | 2.00%, 1/1/52, Pool #FS0497 | 1,802,504 | ||||||
2,858,046 | 2.50%, 1/1/52, Pool #FS0378 | 2,605,025 | ||||||
1,343,369 | 2.00%, 1/1/52, Pool #FS0290 | 1,168,462 | ||||||
2,548,405 | 2.50%, 1/1/52, Pool #CB2621 | 2,301,346 | ||||||
2,095,820 | 2.50%, 1/1/52, Pool #CB2620 | 1,893,919 | ||||||
848,045 | 2.00%, 1/1/52, Pool #FS1406 | 737,242 | ||||||
1,911,348 | 2.50%, 1/1/52, Pool #FS0193 | 1,724,154 | ||||||
3,853,241 | 2.50%, 1/1/52, Pool #CB2622 | 3,477,049 | ||||||
607,088 | 2.50%, 2/1/52, Pool #CB2854 | 548,573 | ||||||
34,493,131 | 2.00%, 2/1/52, Pool #FS2040 | 29,972,441 | ||||||
1,797,800 | 2.00%, 2/1/52, Pool #CB2837 | 1,561,879 | ||||||
794,297 | 2.00%, 2/1/52, Pool #CB2836 | 690,021 | ||||||
2,567,056 | 2.50%, 2/1/52, Pool #CB2856 | 2,316,478 | ||||||
3,987,730 | 2.00%, 2/1/52, Pool #CB2838 | 3,464,293 | ||||||
423,738 | 2.50%, 2/1/52, Pool #CB2863 | 383,285 | ||||||
2,159,864 | 2.50%, 2/1/52, Pool #CB2855 | 1,950,357 | ||||||
948,655 | 2.00%, 2/1/52, Pool #FS0646 | 824,162 | ||||||
1,000,377 | 2.50%, 3/1/52, Pool #FS1661 | 911,918 | ||||||
312,995 | 3.00%, 3/1/52, Pool #CB3115 | 293,240 | ||||||
1,699,056 | 2.00%, 3/1/52, Pool #CB3105 | 1,475,932 | ||||||
4,492,506 | 2.00%, 3/1/52, Pool #CB3102 | 3,902,729 | ||||||
2,454,813 | 2.00%, 3/1/52, Pool #CB3101 | 2,132,536 | ||||||
912,900 | 3.00%, 4/1/52, Pool #FS1520 | 855,859 | ||||||
5,159,405 | 4.00%, 5/1/52, Pool #FS1133 | 5,145,051 | ||||||
1,436,439 | 3.00%, 5/1/52, Pool #FS1522 | 1,344,417 | ||||||
9,231,300 | 1.50%, 7/25/52, TBA | 7,657,652 | ||||||
979,000 | 3.50%, 7/25/52, TBA | 941,676 | ||||||
1,428,000 | 4.00%, 7/25/52, TBA | 1,408,811 | ||||||
770,000 | 4.50%, 7/25/52, TBA | 773,248 | ||||||
3,743,000 | 3.00%, 7/25/52, TBA | 3,490,932 | ||||||
1,318,055 | 3.50%, 8/25/52, TBA | 1,266,363 | ||||||
|
| |||||||
385,927,730 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (8.4%) | ||||||||
3,358,351 | Class A2 , Series KC023.37%, 7/25/25 | 3,333,163 | ||||||
90,807 | 3.00%, 9/1/27, Pool #U70060 | 88,939 | ||||||
53,876 | 3.00%, 7/1/28, Pool #U79018 | 52,909 |
See accompanying notes to the financial statements.
22
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 591,000 | 3.73%, 9/15/29(c) | $ | 464,391 | ||||
4,510,000 | Class XFX , Series KL061.36%, 12/25/29 | 327,832 | ||||||
28,165 | 3.00%, 1/1/30, Pool #V60724 | 27,677 | ||||||
22,433 | 3.00%, 1/1/30, Pool #V60696 | 22,015 | ||||||
47,648 | 2.50%, 3/1/30, Pool #V60770 | 45,801 | ||||||
103,879 | 3.00%, 5/1/30, Pool #J31689 | 102,276 | ||||||
52,833 | 2.50%, 5/1/30, Pool #J31418 | 50,975 | ||||||
75,419 | 2.50%, 5/1/30, Pool #V60796 | 72,484 | ||||||
116,424 | 2.50%, 5/1/30, Pool #J31728 | 111,917 | ||||||
201,053 | 3.00%, 6/1/30, Pool #V60840 | 197,508 | ||||||
17,701 | 2.50%, 7/1/30, Pool #J32209 | 17,078 | ||||||
12,915 | 3.00%, 7/1/30, Pool #J32181 | 12,717 | ||||||
5,185 | 2.50%, 7/1/30, Pool #V60905 | 4,983 | ||||||
95,591 | 3.00%, 7/1/30, Pool #G15520 | 94,060 | ||||||
4,594 | 2.50%, 7/1/30, Pool #J32491 | 4,414 | ||||||
18,434 | 2.50%, 7/1/30, Pool #J32204 | 17,824 | ||||||
13,364 | 3.00%, 8/1/30, Pool #J32436 | 13,148 | ||||||
21,120 | 3.00%, 8/1/30, Pool #V60909 | 20,749 | ||||||
71,680 | 2.50%, 8/1/30, Pool #V60902 | 69,073 | ||||||
82,873 | 2.50%, 8/1/30, Pool #V60886 | 79,866 | ||||||
64,619 | 2.50%, 9/1/30, Pool #V60903 | 62,290 | ||||||
206,134 | 2.50%, 9/1/30, Pool #V60904 | 198,094 | ||||||
7,238,915 | Class X1 , Series K1211.12%, 10/25/30, Callable 7/25/30 @ 100.00 | 470,457 | ||||||
197,000 | 3.91%, 3/15/31(c) | 146,466 | ||||||
190,000 | 6.75%, 3/15/31 | 238,680 | ||||||
354,624 | 2.50%, 4/1/31, Pool #G16186 | 341,157 | ||||||
570,000 | Class A2 , Series K1422.40%, 3/25/32 | 513,673 | ||||||
2,300,000 | Class A2 , Series K1442.45%, 4/25/32 | 2,080,281 | ||||||
1,740,000 | Class A2 , Series WI-K1462.92%, 7/25/32 | 1,634,121 | ||||||
6,746 | 3.00%, 10/1/32, Pool #J37706 | 6,657 | ||||||
9,448 | 3.00%, 11/1/32, Pool #J37835 | 9,321 | ||||||
7,016 | 3.00%, 12/1/32, Pool #J38060 | 6,922 | ||||||
2,382,685 | 2.50%, 4/1/33, Pool #ZS8087 | 2,304,032 | ||||||
115,269 | 3.50%, 1/1/34, Pool #ZS9068 | 114,896 | ||||||
71,754 | 5.50%, 2/1/35, Pool #G04692 | 73,001 | ||||||
432,250 | 3.50%, 5/1/35, Pool #SC0063 | 416,338 | ||||||
48,553 | 3.00%, 9/1/37, Pool #ZA2471 | 46,326 | ||||||
1,003,553 | 3.00%, 6/1/38, Pool #SC0111 | 954,440 | ||||||
114,027 | 6.00%, 4/1/39, Pool #G07613 | 131,497 | ||||||
16,002 | 4.50%, 12/1/39, Pool #A90196 | 16,336 | ||||||
502,455 | 3.50%, 1/1/40, Pool #RB5028 | 489,779 | ||||||
63,576 | 3.50%, 2/1/40, Pool #RB5034 | 61,965 | ||||||
16,384 | 4.50%, 7/1/40, Pool #A93010 | 16,752 | ||||||
17,866 | 4.00%, 8/1/40, Pool #A93534 | 18,075 | ||||||
125,250 | 4.00%, 9/1/40, Pool #A93851 | 126,039 | ||||||
338,869 | 4.50%, 9/1/40, Pool #A93700 | 347,474 | ||||||
27,235 | 4.00%, 10/1/40, Pool #A95923 | 27,553 | ||||||
16,409 | 4.00%, 11/1/40, Pool #A95144 | 16,597 | ||||||
17,328 | 4.00%, 11/1/40, Pool #A94977 | 17,530 | ||||||
16,629 | 4.00%, 11/1/40, Pool #A94779 | 16,823 | ||||||
1,106 | 4.00%, 4/1/41, Pool #Q00093 | 1,121 | ||||||
46,992 | 4.50%, 5/1/41, Pool #Q00959 | 48,561 | ||||||
39,322 | 4.50%, 5/1/41, Pool #Q00804 | 40,631 | ||||||
249,530 | Class FL , Series 42481.77%(US0001M+45bps), 5/15/41 | 249,510 | ||||||
278,618 | 5.50%, 6/1/41, Pool #G07553 | 299,926 | ||||||
58,071 | 5.00%, 10/1/41, Pool #G07642 | 60,546 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 20,024 | 4.00%, 10/1/41, Pool #Q03841 | $ | 20,199 | ||||
27,783 | 4.00%, 10/1/41, Pool #Q04022 | 28,028 | ||||||
379,279 | 2.00%, 2/1/42, Pool #RB5145 | 339,072 | ||||||
1,981,448 | 2.00%, 3/1/42, Pool #RB5148 | 1,771,365 | ||||||
150,636 | 3.50%, 4/1/42, Pool #C03811 | 147,498 | ||||||
392,795 | 2.00%, 4/1/42, Pool #RB5153 | 351,143 | ||||||
131,929 | 3.50%, 4/1/42, Pool #Q07417 | 129,178 | ||||||
4,397 | 3.50%, 5/1/42, Pool #Q08306 | 4,306 | ||||||
12,847 | 3.50%, 5/1/42, Pool #Q08239 | 12,580 | ||||||
18,922 | 3.50%, 8/1/42, Pool #Q12162 | 18,529 | ||||||
119,824 | 3.50%, 8/1/42, Pool #G07106 | 117,341 | ||||||
7,115 | 3.50%, 10/1/42, Pool #Q11909 | 6,938 | ||||||
180,950 | 3.00%, 1/1/43, Pool #Q14866 | 173,319 | ||||||
73,737 | 3.00%, 3/1/43, Pool #Q16403 | 70,009 | ||||||
135,400 | 3.00%, 3/1/43, Pool #Q16673 | 128,458 | ||||||
78,205 | 3.50%, 6/1/43, Pool #Q18718 | 76,034 | ||||||
128,981 | 3.50%, 7/1/43, Pool #Q20206 | 125,107 | ||||||
53,615 | 4.00%, 9/1/43, Pool #Q21579 | 53,851 | ||||||
173,565 | 4.50%, 12/1/43, Pool #Q23779 | 177,063 | ||||||
107,214 | 4.50%, 12/1/43, Pool #G60018 | 108,927 | ||||||
13,554 | 3.50%, 1/1/44, Pool #Q24368 | 13,148 | ||||||
1,006,735 | Class XZ , Series 43164.50%, 3/15/44 | 1,059,254 | ||||||
57,269 | 4.00%, 4/1/44, Pool #Q25643 | 57,303 | ||||||
599,901 | 3.50%, 4/1/44, Pool #G07848 | 583,662 | ||||||
1,065,041 | Class ZX , Series 43524.00%, 4/15/44 | 1,072,256 | ||||||
15,118 | 3.50%, 5/1/44, Pool #Q26218 | 14,866 | ||||||
71,740 | 3.50%, 6/1/44, Pool #Q28764 | 70,250 | ||||||
1,963,805 | 3.00%, 6/1/44, Pool #SD0498 | 1,845,002 | ||||||
55,911 | 4.00%, 7/1/44, Pool #G60901 | 56,419 | ||||||
13,227 | 3.50%, 7/1/44, Pool #Q27319 | 13,006 | ||||||
22,054 | 3.50%, 9/1/44, Pool #Q28604 | 21,684 | ||||||
2,065,032 | 3.50%, 9/1/44, Pool #SD0481 | 2,035,837 | ||||||
1,987,631 | 4.00%, 1/1/45, Pool #SD0478 | 2,001,504 | ||||||
2,273,554 | 4.00%, 1/1/45, Pool #SD0490 | 2,274,756 | ||||||
16,633 | 4.00%, 2/1/45, Pool #Q31338 | 16,755 | ||||||
7,155 | 4.00%, 2/1/45, Pool #Q31128 | 7,208 | ||||||
15,910 | 3.50%, 9/1/45, Pool #Q36302 | 15,655 | ||||||
3,031,184 | 4.00%, 9/1/45, Pool #SD0507 | 3,091,597 | ||||||
23,170 | 4.00%, 12/1/45, Pool #Q37955 | 23,342 | ||||||
19,742 | 4.00%, 12/1/45, Pool #Q37957 | 19,856 | ||||||
1,372,175 | 3.50%, 3/1/46, Pool #SD0485 | 1,346,837 | ||||||
441,271 | Class FB , Series 46061.82%(US0001M+50bps), 8/15/46 | 441,233 | ||||||
681,444 | 3.00%, 9/1/46, Pool #Q42979 | 638,392 | ||||||
260,880 | 3.50%, 9/1/46, Pool #SD0486 | 256,000 | ||||||
244,648 | 3.00%, 9/1/46, Pool #G60718 | 229,250 | ||||||
70,839 | 3.00%, 12/1/46, Pool #Q45083 | 67,091 | ||||||
144,911 | 3.00%, 12/1/46, Pool #Q45080 | 137,430 | ||||||
262,153 | 3.00%, 12/1/46, Pool #Q45064 | 245,580 | ||||||
844,370 | 3.00%, 12/1/46, Pool #V82781 | 792,067 | ||||||
702,427 | 3.00%, 2/1/47, Pool #SD0496 | 660,412 | ||||||
411,768 | 3.50%, 3/1/47, Pool #G60968 | 423,168 | ||||||
731,636 | 4.00%, 7/1/47, Pool #SD0504 | 738,756 | ||||||
954,040 | 4.50%, 7/1/47, Pool #G61047 | 974,013 | ||||||
382,835 | 3.50%, 10/1/47, Pool #G61178 | 373,240 | ||||||
487,826 | 3.50%, 12/1/47, Pool #G61208 | 475,602 | ||||||
99,647 | 3.50%, 1/1/48, Pool #Q53648 | 96,958 | ||||||
432,743 | 3.50%, 1/1/48, Pool #ZS4751 | 422,594 |
See accompanying notes to the financial statements.
23
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 66,612 | 3.50%, 1/1/48, Pool #Q53630 | $ | 64,941 | ||||
436,385 | 3.50%, 2/1/48, Pool #ZT1353 | 426,465 | ||||||
668,658 | 4.00%, 4/1/48, Pool #SD0489 | 679,287 | ||||||
3,183,193 | 4.00%, 8/1/48, Pool #SD0492 | 3,179,960 | ||||||
1,082,599 | 4.50%, 8/1/48, Pool #G67715 | 1,120,751 | ||||||
2,529,944 | 4.00%, 5/1/49, Pool #SD0488 | 2,510,316 | ||||||
552,094 | 2.50%, 7/1/50, Pool #QB1193 | 498,347 | ||||||
13,796 | 3.00%, 7/1/50, Pool #QB1488 | 12,987 | ||||||
32,184 | 3.00%, 7/1/50, Pool #QB1486 | 30,298 | ||||||
114,556 | 3.00%, 7/1/50, Pool #QB1479 | 107,658 | ||||||
13,590 | 3.00%, 7/1/50, Pool #QB1158 | 13,017 | ||||||
906,604 | 3.00%, 8/1/50, Pool #RA3282 | 855,995 | ||||||
94,601 | 3.00%, 8/1/50, Pool #QB2339 | 89,076 | ||||||
302,854 | 2.00%, 8/1/50, Pool #QB2296 | 265,511 | ||||||
896,761 | 3.00%, 8/1/50, Pool #RA3313 | 840,138 | ||||||
6,016,424 | 3.00%, 9/1/50, Pool #SD0592 | 5,687,600 | ||||||
664,467 | 2.00%, 11/1/50, Pool #SD7528 | 577,576 | ||||||
1,172,565 | 3.00%, 12/1/50, Pool #SD0519 | 1,100,440 | ||||||
999,688 | 4.00%, 12/1/50, Pool #SD0520 | 1,011,893 | ||||||
4,189,280 | 2.50%, 2/1/51, Pool #SD7534 | 3,819,769 | ||||||
5,697,018 | 2.00%, 3/1/51, Pool #SD8134 | 4,950,974 | ||||||
2,187,262 | 2.00%, 4/1/51, Pool #SD7539 | 1,919,287 | ||||||
2,625,905 | 2.50%, 5/1/51, Pool #SD0702 | 2,398,122 | ||||||
1,173,966 | 2.00%, 5/1/51, Pool #SD7541 | 1,020,988 | ||||||
9,187,580 | 2.50%, 5/1/51, Pool #RA5077 | 8,367,497 | ||||||
1,275,077 | 3.00%, 7/1/51, Pool #SD7544 | 1,196,798 | ||||||
3,823,889 | 2.00%, 7/1/51, Pool #SD0716 | 3,323,489 | ||||||
814,529 | 2.00%, 9/1/51, Pool #SD0730 | 707,885 | ||||||
1,095,908 | 2.00%, 9/1/51, Pool #SD0732 | 952,110 | ||||||
3,592,352 | 2.00%, 10/1/51, Pool #RA6071 | 3,121,318 | ||||||
821,003 | 2.00%, 10/1/51, Pool #SD8172 | 713,285 | ||||||
1,098,328 | 3.00%, 10/1/51, Pool #RA6015 | 1,028,070 | ||||||
2,498,384 | 2.50%, 11/1/51, Pool #RA6397 | 2,257,947 | ||||||
8,049,727 | 2.50%, 11/1/51, Pool #SD7548 | 7,310,536 | ||||||
1,188,733 | 2.00%, 12/1/51, Pool #SD0786 | 1,032,701 | ||||||
4,889,442 | 2.50%, 12/1/51, Pool #RA6388 | 4,412,549 | ||||||
6,017,592 | 2.00%, 12/1/51, Pool #SD8182 | 5,227,811 | ||||||
216,306 | 2.00%, 12/1/51, Pool #SD0789 | 188,273 | ||||||
1,129,815 | 2.00%, 12/1/51, Pool #SD0785 | 981,625 | ||||||
437,828 | 2.00%, 12/1/51, Pool #SD0783 | 380,378 | ||||||
25,190,616 | 2.50%, 1/1/52, Pool #SD7552 | 22,774,153 | ||||||
2,065,643 | 2.00%, 1/1/52, Pool #SD0894 | 1,794,844 | ||||||
2,770,921 | 2.00%, 1/1/52, Pool #SD0892 | 2,407,493 | ||||||
7,608,390 | 2.50%, 1/1/52, Pool #SD0923 | 6,871,120 | ||||||
8,614,635 | 2.00%, 1/1/52, Pool #SD7549 | 7,485,404 | ||||||
1,434,846 | 2.00%, 2/1/52, Pool #RA6768 | 1,246,283 | ||||||
935,593 | 3.00%, 2/1/52, Pool #SD7550 | 879,045 | ||||||
25,186,030 | 3.00%, 3/1/52, Pool #SD7553 | 23,691,924 | ||||||
5,130,000 | Class A2 , Series K1452.58%, 6/25/55, Callable 5/25/32 @ 100.00 | 4,691,642 | ||||||
|
| |||||||
189,532,170 | ||||||||
|
| |||||||
Government National Mortgage Association (5.7%) | ||||||||
9,640 | 4.50%, 9/15/33, Pool #615516 | 10,174 | ||||||
35,580 | �� | 5.00%, 12/15/33, Pool #783571 | 37,990 | |||||
10,983 | 6.50%, 8/20/38, Pool #4223 | 12,535 | ||||||
7,937 | 6.50%, 10/15/38, Pool #673213 | 8,521 | ||||||
6,281 | 6.50%, 11/20/38, Pool #4292 | 7,171 | ||||||
11,285 | 6.50%, 12/15/38, Pool #782510 | 12,136 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 122,067 | 5.00%, 1/15/39, Pool #782557 | $ | 129,100 | ||||
54,568 | 5.00%, 4/15/39, Pool #711939 | 58,075 | ||||||
74,368 | 5.00%, 4/15/39, Pool #782619 | 79,104 | ||||||
7,721 | 4.00%, 4/20/39, Pool #4422 | 7,805 | ||||||
7,281 | 5.00%, 6/15/39, Pool #782696 | 7,746 | ||||||
24,869 | 4.00%, 7/20/39, Pool #4494 | 25,141 | ||||||
43,905 | 5.00%, 10/20/39, Pool #4559 | 46,950 | ||||||
4,827 | 4.50%, 12/20/39, Pool #G24598 | 5,037 | ||||||
12,558 | 4.50%, 1/15/40, Pool #728627 | 13,273 | ||||||
5,885 | 4.50%, 1/20/40, Pool #4617 | 6,141 | ||||||
4,819 | 4.50%, 2/20/40, Pool #G24636 | 5,164 | ||||||
35,433 | 5.00%, 5/15/40, Pool #782958 | 37,679 | ||||||
312 | 4.50%, 5/20/40, Pool #G24696 | 325 | ||||||
21,766 | 5.00%, 6/15/40, Pool #697862 | 23,654 | ||||||
233,110 | 4.50%, 7/15/40, Pool #733795 | 246,280 | ||||||
29,796 | 4.50%, 7/15/40, Pool #745793 | 30,995 | ||||||
12,079 | 4.50%, 7/20/40, Pool #4746 | 12,606 | ||||||
22,195 | 4.50%, 8/20/40, Pool #4771 | 23,162 | ||||||
13,706 | 4.50%, 9/20/40, Pool #748948 | 14,381 | ||||||
6,566 | 4.00%, 9/20/40, Pool #G24800 | 6,688 | ||||||
48,282 | 4.50%, 10/15/40, Pool #783609 | 50,654 | ||||||
22,258 | 4.50%, 10/20/40, Pool #4834 | 23,229 | ||||||
172,956 | 4.00%, 10/20/40, Pool #G24833 | 176,147 | ||||||
324,133 | 4.00%, 11/20/40, Pool #4853 | 337,085 | ||||||
158,416 | 4.00%, 12/20/40, Pool #G24882 | 161,341 | ||||||
84,887 | 4.00%, 1/15/41, Pool #759138 | 87,351 | ||||||
143,183 | 4.00%, 1/20/41, Pool #4922 | 145,827 | ||||||
15,072 | 4.50%, 2/15/41, Pool #738019 | 15,846 | ||||||
2,464 | 4.00%, 2/20/41, Pool #4945 | 2,509 | ||||||
580,901 | 4.00%, 2/20/41, Pool #742887 | 582,981 | ||||||
45,837 | 4.00%, 3/15/41, Pool #762838 | 47,161 | ||||||
3,619 | 5.00%, 4/20/41, Pool #5018 | 3,853 | ||||||
7,789 | 5.00%, 6/20/41, Pool #5083 | 8,292 | ||||||
56,640 | 4.50%, 6/20/41, Pool #783590 | 57,551 | ||||||
126,863 | 4.00%, 7/20/41, Pool #742895 | 128,231 | ||||||
4,204 | 5.00%, 7/20/41, Pool #5116 | 4,476 | ||||||
133,488 | 4.50%, 7/20/41, Pool #5115 | 144,300 | ||||||
22,940 | 4.50%, 7/20/41, Pool #754367 | 23,671 | ||||||
39,608 | 4.50%, 7/20/41, Pool #783584 | 40,245 | ||||||
40,182 | 4.50%, 11/15/41, Pool #783610 | 42,463 | ||||||
111,045 | 3.50%, 1/15/42, Pool #553461 | 111,719 | ||||||
158,273 | 4.00%, 4/20/42, Pool #MA0023 | 161,682 | ||||||
70,040 | 5.00%, 7/20/42, Pool #MA0223 | 74,913 | ||||||
158,983 | 3.50%, 4/15/43, Pool #AD2334 | 163,951 | ||||||
301,836 | 3.50%, 4/20/43, Pool #MA0934 | 303,848 | ||||||
170,799 | 3.50%, 5/20/43, Pool #MA1012 | 171,937 | ||||||
14,778 | 4.00%, 7/20/43, Pool #MA1158 | 14,916 | ||||||
589,709 | 4.50%, 6/20/44, Pool #MA1997 | 614,483 | ||||||
14,870 | 4.00%, 8/20/44, Pool #AI4167 | 14,848 | ||||||
1,642 | 4.00%, 8/20/44, Pool #AI4166 | 1,641 | ||||||
479,469 | 4.00%, 8/20/44, Pool #MA2149 | 486,485 | ||||||
11,878 | 4.00%, 8/20/44, Pool #AJ4687 | 11,861 | ||||||
11,831 | 4.00%, 8/20/44, Pool #AJ2723 | 11,814 | ||||||
23,091 | 3.00%, 12/20/44, Pool #MA2444 | 22,053 | ||||||
274,279 | 5.00%, 12/20/44, Pool #MA2448 | 292,036 | ||||||
276,639 | 3.00%, 2/15/45, Pool #784439 | 261,530 | ||||||
1,225,440 | 3.50%, 5/20/45, Pool #MA2826 | 1,207,874 | ||||||
167,579 | 5.00%, 12/20/45, Pool #MA3313 | 184,243 |
See accompanying notes to the financial statements.
24
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 6,226,061 | 3.50%, 3/20/46, Pool #MA3521 | $ | 6,126,397 | ||||
1,188,818 | 3.50%, 5/20/46, Pool #MA3663 | 1,169,800 | ||||||
397,926 | 3.50%, 7/20/46, Pool #MA3803 | 391,563 | ||||||
1,618,037 | 3.50%, 9/20/46, Pool #MA3937 | 1,592,160 | ||||||
68,898 | 3.50%, 10/20/46, Pool #AX4341 | 69,844 | ||||||
75,390 | 3.50%, 10/20/46, Pool #AX4342 | 74,401 | ||||||
100,527 | 3.50%, 10/20/46, Pool #AX4345 | 101,282 | ||||||
154,685 | 3.50%, 10/20/46, Pool #AX4344 | 154,540 | ||||||
57,138 | 3.50%, 10/20/46, Pool #AX4343 | 55,769 | ||||||
10,175 | 4.00%, 10/20/46, Pool #AQ0542 | 10,360 | ||||||
80,379 | 4.50%, 3/15/47, Pool #AZ8560 | 84,161 | ||||||
123,128 | 4.50%, 4/15/47, Pool #AZ8596 | 126,688 | ||||||
71,804 | 4.50%, 4/15/47, Pool #AZ8597 | 75,179 | ||||||
69,782 | 4.50%, 5/15/47, Pool #BA7888 | 71,803 | ||||||
1,539,371 | 4.00%, 6/20/47, Pool #MA4511 | 1,549,935 | ||||||
19,179 | 4.00%, 9/15/47, Pool #BC5919 | 19,359 | ||||||
17,575 | 4.00%, 10/15/47, Pool #BD3187 | 17,842 | ||||||
19,112 | 4.00%, 10/15/47, Pool #BE1031 | 19,289 | ||||||
18,254 | 4.00%, 11/15/47, Pool #BE1030 | 18,582 | ||||||
1,213,886 | 4.00%, 11/20/47, Pool #MA4838 | 1,222,205 | ||||||
21,318 | 4.00%, 12/15/47, Pool #BE4664 | 21,515 | ||||||
590,271 | 4.00%, 12/20/47, Pool #MA4901 | 594,319 | ||||||
19,248 | 4.00%, 1/15/48, Pool #BE0204 | 19,418 | ||||||
24,527 | 4.00%, 1/15/48, Pool #BE0143 | 24,757 | ||||||
291,785 | 4.50%, 9/20/48, Pool #BD0560 | 295,432 | ||||||
508,506 | 4.50%, 3/20/49, Pool #MA5818 | 522,240 | ||||||
21,376 | 4.50%, 4/20/49, Pool #MA5877 | 21,953 | ||||||
228,229 | 4.50%, 5/20/49, Pool #MA5932 | 234,394 | ||||||
418,200 | 4.50%, 4/20/50, Pool #MA6602 | 423,983 | ||||||
684,105 | 3.00%, 4/20/50, Pool #MA6599 | 646,916 | ||||||
317,852 | 4.00%, 5/20/50, Pool #MA6658 | 317,666 | ||||||
87,428 | 3.00%, 5/20/50, Pool #MA6656 | 83,181 | ||||||
6,448,287 | 2.00%, 8/20/50, Pool #MA6818 | 5,729,405 | ||||||
1,579,669 | 3.00%, 10/20/50, Pool #MA6932 | 1,496,532 | ||||||
5,992,737 | 2.00%, 11/20/50, Pool #MA6994 | 5,341,542 | ||||||
1,412,301 | 3.00%, 1/20/51, Pool #MA7137 | 1,335,517 | ||||||
14,047,834 | 2.00%, 1/20/51, Pool #MA7135 | 12,537,069 | ||||||
2,133,115 | 2.00%, 2/20/51, Pool #MA7192 | 1,895,142 | ||||||
497,851 | 2.50%, 4/20/51, Pool #MA7312 | 456,819 | ||||||
7,337,573 | 3.00%, 6/20/51, Pool #MA7419 | 6,937,063 | ||||||
8,703,763 | 3.00%, 8/20/51, Pool #MA7535 | 8,226,379 | ||||||
6,538,433 | 2.50%, 10/20/51, Pool #MA7649 | 6,010,937 | ||||||
12,312,971 | 2.50%, 12/20/51, Pool #MA7767 | 11,292,131 | ||||||
2,318,390 | 3.00%, 12/20/51, Pool #MA7768 | 2,190,663 | ||||||
873,000 | 5.00%, 7/20/52, TBA | 894,825 | ||||||
5,462,500 | 3.00%, 7/20/52, TBA | 5,155,234 | ||||||
8,641,300 | 2.00%, 7/20/52, TBA | 7,663,753 | ||||||
18,551,100 | 2.50%, 7/20/52, TBA | 16,991,648 | ||||||
1,122,000 | 4.50%, 7/20/52, TBA | 1,138,479 | ||||||
3,448,000 | 4.00%, 7/20/52, TBA | 3,432,915 | ||||||
497,000 | 3.50%, 7/20/52, TBA | 482,789 | ||||||
8,257,797 | 3.50%, 8/1/52, TBA | 8,010,063 | ||||||
|
| |||||||
130,438,718 | ||||||||
|
| |||||||
Federal Home Loan Bank (0.2%) | ||||||||
4,080,000 | 3.56%, 5/16/33 | 4,100,388 | ||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $740,185,502) | 709,999,006 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. Treasury Obligations (24.5%): | ||||||||
U.S. Treasury Bonds (11.8%) | ||||||||
$ | 2,480,000 | 5.38%, 2/15/31 | $ | 2,920,975 | ||||
14,025,000 | 4.75%, 2/15/37 | 16,992,164 | ||||||
10,000,000 | 5.00%, 5/15/37 | 12,396,875 | ||||||
12,855,000 | 1.13%, 8/15/40 | 8,928,199 | ||||||
35,585,000 | 1.88%, 2/15/41(d) | 28,067,669 | ||||||
30,115,000 | 1.75%, 8/15/41 | 23,042,680 | ||||||
17,020,000 | 2.00%, 11/15/41 | 13,594,725 | ||||||
29,385,000 | 3.13%, 11/15/41(d) | 28,351,934 | ||||||
5,045,000 | 2.38%, 2/15/42 | 4,302,439 | ||||||
7,022,500 | 3.63%, 8/15/43 | 7,245,245 | ||||||
1,205,000 | 3.13%, 8/15/44 | 1,148,516 | ||||||
15,000 | 2.50%, 2/15/45 | 12,806 | ||||||
955,000 | 3.00%, 5/15/45 | 891,731 | ||||||
1,770,000 | 2.88%, 8/15/45 | 1,618,444 | ||||||
12,235,000 | 3.00%, 11/15/45 | 11,447,372 | ||||||
22,700,000 | 2.25%, 8/15/46 | 18,436,656 | ||||||
6,855,000 | 2.88%, 11/15/46 | 6,291,605 | ||||||
3,105,000 | 2.75%, 11/15/47 | 2,802,263 | ||||||
5,645,000 | 3.00%, 2/15/48 | 5,358,340 | ||||||
30,570,000 | 3.13%, 5/15/48(d) | 29,800,973 | ||||||
4,055,000 | 3.38%, 11/15/48 | 4,153,207 | ||||||
8,700,000 | 3.00%, 2/15/49 | 8,356,078 | ||||||
125,000 | 2.88%, 5/15/49 | 117,480 | ||||||
10,975,000 | 1.25%, 5/15/50 | 7,044,578 | ||||||
8,590,000 | 1.38%, 8/15/50 | 5,704,297 | ||||||
11,849,000 | 1.63%, 11/15/50 | 8,407,236 | ||||||
1,102,000 | 1.88%, 11/15/51 | 834,076 | ||||||
629,000 | 2.25%, 2/15/52 | 522,070 | ||||||
8,683,000 | 2.88%, 5/15/52 | 8,267,844 | ||||||
|
| |||||||
267,058,477 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (2.1%) | ||||||||
47,175,000 | 0.13%, 4/15/27 | 47,610,459 | ||||||
|
| |||||||
U.S. Treasury Notes (10.6%) | ||||||||
1,390,000 | 2.50%, 5/31/24^ | 1,378,489 | ||||||
1,140,000 | 1.38%, 1/31/25 | 1,094,222 | ||||||
12,970,000 | 1.13%, 2/28/25 | 12,353,925 | ||||||
34,235,000 | 1.75%, 3/15/25 | 33,133,061 | ||||||
3,164,000 | 0.50%, 3/31/25 | 2,955,374 | ||||||
7,030,000 | 2.63%, 4/15/25 | 6,959,700 | ||||||
16,246,000 | 0.38%, 4/30/25 | 15,091,011 | ||||||
13,710,000 | 0.25%, 5/31/25 | 12,662,470 | ||||||
890,000 | 3.00%, 10/31/25 | 889,444 | ||||||
1,550,000 | 2.88%, 11/30/25 | 1,542,250 | ||||||
7,810,000 | 0.38%, 12/31/25 | 7,124,184 | ||||||
4,310,000 | 0.50%, 2/28/26 | 3,932,875 | ||||||
2,435,000 | 2.38%, 4/30/26 | 2,379,452 | ||||||
1,520,000 | 2.13%, 5/31/26 | 1,470,125 | ||||||
2,407,000 | 1.88%, 6/30/26 | 2,304,703 | ||||||
2,430,000 | 1.88%, 7/31/26 | 2,323,688 | ||||||
14,160,000 | 0.63%, 7/31/26 | 12,854,625 | ||||||
25,303,000 | 0.75%, 8/31/26 | 23,061,312 | ||||||
1,973,000 | 1.25%, 12/31/26 | 1,826,258 | ||||||
12,630,000 | 2.63%, 5/31/27 | 12,408,975 | ||||||
3,550,000 | 3.25%, 6/30/27 | 3,590,492 | ||||||
10,580,000 | 0.38%, 7/31/27 | 9,264,113 | ||||||
4,620,000 | 0.38%, 9/30/27 | 4,025,175 | ||||||
5,455,000 | 1.25%, 6/30/28 | 4,916,319 | ||||||
1,005,000 | 1.00%, 7/31/28 | 890,524 | ||||||
3,458,000 | 2.88%, 8/15/28 | 3,421,799 |
See accompanying notes to the financial statements.
25
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes, continued | ||||||||
$ | 10,026,000 | 1.88%, 2/28/29 | $ | 9,339,846 | ||||
15,853,000 | 2.38%, 3/31/29 | 15,206,495 | ||||||
255,000 | 2.38%, 5/15/29 | 244,720 | ||||||
45,000 | 2.75%, 5/31/29 | 44,212 | ||||||
12,975,000 | 3.25%, 6/30/29 | 13,153,406 | ||||||
11,880,000 | 0.63%, 5/15/30 | 9,930,938 | ||||||
925,000 | 0.63%, 8/15/30 | 768,906 | ||||||
7,270,000 | 2.88%, 5/15/32 | 7,208,659 | ||||||
|
| |||||||
239,751,747 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $613,028,531) | 554,420,683 | |||||||
|
| |||||||
Certificate of Deposit (1.1%): | ||||||||
$ | 26,335,000 | MUFG Bank, Ltd.,, 1.79%, 1/27/23 | 26,262,316 | |||||
|
| |||||||
Total Certificate of Deposit (Cost $26,335,000) | 26,262,316 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.4%): | ||||||||
8,809,111 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(c)(e) | 8,809,111 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 8,809,111 | ||||||
|
|
Shares | Value | |||||||
Unaffiliated Investment Company (4.2%): | ||||||||
Money Markets (4.2%): | ||||||||
95,232,996 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | $ | 95,232,996 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $95,232,996) | 95,232,996 | |||||||
|
| |||||||
Total Investment Securities | ||||||||
(Cost $2,615,893,999) — 106.1% | 2,405,335,546 | |||||||
Net other assets (liabilities) — (6.1)% | (138,976,341 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,266,359,205 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
EUR003M—3 Month EUR LIBOR
EUAMDB01—1 Year EUR LIBOR
EUSA1—Euro 1 Year Swap Rate
EUSA5—Euro 5 Year Swap Rate
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $8,122,936. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
(d) | All or a portion of this security has been pledged as collateral for open derivative positions. |
(e) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
See accompanying notes to the financial statements.
26
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Securities Sold Short (-1.2%):
At June 30, 2022, the Fund’s securities sold short were as follows:
Security Description | Coupon Rate | Maturity Date | Par Amount | Proceeds Received | Value | |||||||||||||||
U.S. Government Agency Mortgages | ||||||||||||||||||||
Federal National Mortgage Association |
| |||||||||||||||||||
Federal National Mortgage Association, TBA | 5.00% | 7/25/52 | $ | (261,000 | ) | $ | (266,934 | ) | $ | (266,597 | ) | |||||||||
Federal National Mortgage Association, TBA | 2.50% | 8/25/52 | (4,705,200 | ) | (4,141,888 | ) | (4,231,004 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 2.00% | 7/25/52 | (5,556,000 | ) | (4,800,624 | ) | (4,822,434 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 2.00% | 8/25/52 | (13,352,212 | ) | (11,463,382 | ) | (11,574,699 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 2.50% | 7/25/52 | (3,922,300 | ) | (3,523,150 | ) | (3,531,296 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 3.00% | 7/25/37 | (450,000 | ) | (438,187 | ) | (439,805 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 3.00% | 8/25/51 | (703,468 | ) | (645,816 | ) | (655,324 | ) | ||||||||||||
Federal National Mortgage Association, TBA | 3.50% | 7/25/37 | (952,766 | ) | (946,908 | ) | (947,407 | ) | ||||||||||||
|
|
|
| |||||||||||||||||
$ | (26,226,889 | ) | $ | (26,468,566 | ) | |||||||||||||||
|
|
|
|
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Short Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
30-Day Federal Funds September Futures (U.S. Dollar) | 6/30/22 | 9 | $ | (3,705,109 | ) | $ | 643 | |||||||||
Euro Buxl 30-Year Bond September Futures (Euro) | 9/8/22 | 11 | (1,885,161 | ) | 86,317 | |||||||||||
Euro-Bobl September Futures (Euro) | 9/8/22 | 127 | (16,526,048 | ) | 71,478 | |||||||||||
Euro-Bund September Futures (Euro) | 9/8/22 | 107 | (16,680,421 | ) | 254,721 | |||||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/21/22 | 130 | (16,558,750 | ) | 121,487 | |||||||||||
U.S. Treasury 30-Year Bond September Futures (U.S. Dollar) | 9/21/22 | 116 | (16,080,500 | ) | 70,157 | |||||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/30/22 | 78 | (8,755,500 | ) | (16,579 | ) | ||||||||||
Ultra Long Term U.S. Treasury Bond March Futures (U.S. Dollar) | 9/21/22 | 76 | (11,730,125 | ) | 189,241 | |||||||||||
|
| |||||||||||||||
$ | 777,465 | |||||||||||||||
|
|
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Euro Schatz Index September Futures (Euro) | 9/8/22 | 20 | $ | 2,287,244 | $ | (2,179 | ) | |||||||||
U.S. Treasury 10-Year Note September Futures (U.S. Dollar) | 9/21/22 | 81 | 9,601,031 | 88,128 | ||||||||||||
U.S. Treasury 2-Year Note September Futures (U.S. Dollar) | 9/30/22 | 879 | 184,603,734 | 311,305 | ||||||||||||
|
| |||||||||||||||
$ | 397,254 | |||||||||||||||
|
| |||||||||||||||
Total Net Futures Contracts | $ | 1,174,719 | ||||||||||||||
|
|
Forward Currency Contracts
At June 30, 2022, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
U.S. Dollar | 53,887,234 | European Euro | 50,883,000 | Bank National Paribas | 9/21/22 | $ | 246,560 | |||||||||||||
|
| |||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | 246,560 | |||||||||||||||||
|
|
See accompanying notes to the financial statements.
27
AZL Enhanced Bond Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Balances Reported in the Statement of Assets and Liabilities for Forward Currency Contracts
Unrealized Appreciation | Unrealized Depreciation | |||||||
Forward currency contracts | $ | 246,560 | $ | — |
See accompanying notes to the financial statements.
28
AZL Enhanced Bond Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 2,615,893,999 | |||
|
| ||||
Investment securities, at value(a) | $ | 2,405,335,546 | |||
Deposit at broker for futures contracts collateral | 111,000 | ||||
Interest and dividends receivable | 12,333,598 | ||||
Foreign currency, at value (cost $904,776) | 899,461 | ||||
Unrealized appreciation on forward currency contracts | 246,560 | ||||
Receivable for investments sold | 38,387,361 | ||||
Receivable for TBA investments sold | 218,691,110 | ||||
Prepaid expenses | 7,207 | ||||
|
| ||||
Total Assets | 2,676,011,843 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 16,405 | ||||
Payable for investments purchased | 68,431,614 | ||||
Payable for TBA investments purchased | 302,583,964 | ||||
Payable for capital shares redeemed | 1,195,324 | ||||
Payable for collateral received on loaned securities | 8,809,111 | ||||
Securities sold short (Proceeds received $26,337,889) | 26,579,566 | ||||
Payable for variation margin on futures contracts | 506,377 | ||||
Manager fees payable | 655,773 | ||||
Administration fees payable | 330,596 | ||||
Distribution fees payable | 468,411 | ||||
Custodian fees payable | 9,813 | ||||
Administrative and compliance services fees payable | 2,447 | ||||
Transfer agent fees payable | 1,164 | ||||
Trustee fees payable | 20,806 | ||||
Other accrued liabilities | 41,267 | ||||
|
| ||||
Total Liabilities | 409,652,638 | ||||
|
| ||||
Net Assets | $ | 2,266,359,205 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 2,503,409,727 | |||
Total distributable earnings | (237,050,522 | ) | |||
|
| ||||
Net Assets | $ | 2,266,359,205 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 227,744,326 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.95 | |||
|
|
(a) | Includes securities on loan of $8,122,936. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 24,361,320 | |||
Dividends | 83,761 | ||||
Income from securities lending | 31,107 | ||||
Foreign withholding tax | (5,978 | ) | |||
|
| ||||
Total Investment Income | 24,470,210 | ||||
|
| ||||
Expenses: | |||||
Management fees | 4,264,775 | ||||
Administration fees | 245,695 | ||||
Distribution fees | 3,046,274 | ||||
Custodian fees | 41,805 | ||||
Administrative and compliance services fees | 14,607 | ||||
Transfer agent fees | 3,343 | ||||
Trustee fees | 57,669 | ||||
Professional fees | 46,642 | ||||
Shareholder reports | 15,816 | ||||
Other expenses | 23,990 | ||||
|
| ||||
Total expenses | 7,760,616 | ||||
|
| ||||
Net Investment Income/(Loss) | 16,709,594 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (82,852,694 | ) | |||
Net realized gains/(losses) on forward currency contracts | 5,009,739 | ||||
Net realized gains/(losses) on futures contracts | 2,963,398 | ||||
Net realized gains/(losses) on securities held short | 1,084,592 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (233,928,763 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | 944,141 | ||||
Change in net unrealized appreciation/depreciation on futures contracts | 1,187,952 | ||||
Change in net unrealized appreciation/depreciation on securities held short | (242,570 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (305,834,205 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (289,124,611 | ) | ||
|
|
See accompanying notes to the financial statements.
29
AZL Enhanced Bond Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 16,709,594 | $ | 19,502,658 | ||||||
Net realized gains/(losses) on investments | (73,794,965 | ) | 15,203,675 | |||||||
Change in unrealized appreciation/depreciation on investments | (232,039,240 | ) | (74,635,557 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (289,124,611 | ) | (39,929,224 | ) | ||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (89,324,077 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (89,324,077 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 3,523,685 | 711,480,744 | ||||||||
Proceeds from dividends reinvested | — | 89,324,077 | ||||||||
Value of shares redeemed | (137,772,425 | ) | (63,249,445 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (134,248,740 | ) | 737,555,376 | |||||||
|
|
|
| |||||||
Change in net assets | (423,373,351 | ) | 608,302,075 | |||||||
Net Assets: | ||||||||||
Beginning of period | 2,689,732,556 | 2,081,430,481 | ||||||||
|
|
|
| |||||||
End of period | $ | 2,266,359,205 | $ | 2,689,732,556 | ||||||
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|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 332,729 | 61,577,341 | ||||||||
Dividends reinvested | — | 7,989,631 | ||||||||
Shares redeemed | (13,402,856 | ) | (5,508,649 | ) | ||||||
|
|
|
| |||||||
Change in shares | (13,070,127 | ) | 64,058,323 | |||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
30
AZL Enhanced Bond Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.17 | $ | 11.78 | $ | 11.21 | $ | 10.59 | $ | 10.89 | $ | 10.67 | ||||||||||||||||||
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|
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|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | (a) | 0.09 | (a) | 0.17 | (a) | 0.25 | (a) | 0.28 | 0.20 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.29 | ) | (0.32 | ) | 0.67 | 0.64 | (0.35 | ) | 0.12 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.22 | ) | (0.23 | ) | 0.84 | 0.89 | (0.07 | ) | 0.32 | |||||||||||||||||||||
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|
|
|
|
|
|
|
|
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| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.09 | ) | (0.27 | ) | (0.27 | ) | (0.23 | ) | (0.10 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.29 | ) | — | — | — | — | |||||||||||||||||||||||
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|
|
|
|
|
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| |||||||||||||||||||
Total Dividends | — | (0.38 | ) | (0.27 | ) | (0.27 | ) | (0.23 | ) | (0.10 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.95 | $ | 11.17 | $ | 11.78 | $ | 11.21 | $ | 10.59 | $ | 10.89 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (10.92 | )%(c) | (1.94 | )% | 7.53 | % | 8.38 | % | (0.58 | )% | 3.01 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,266,359 | $ | 2,689,733 | $ | 2,081,430 | $ | 2,239,557 | $ | 1,936,318 | $ | 2,048,679 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.37 | % | 0.80 | % | 1.45 | % | 2.28 | % | 2.41 | % | 1.87 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.64 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.64 | % | 0.66 | % | 0.66 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||||||||||||||
Portfolio Turnover Rate | 65 | %(c) | 137 | % | 140 | % | 119 | % | 144 | % | 214 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
31
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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. The Fund will not pay for such securities or start earning interest on them until they are received. When the 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. The 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
32
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Fund Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $3,078 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $8,809,111 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2022, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction
33
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund participated in the following cross-trade transactions:
Purchases | Sales | Realized Gains/(Losses) | |||||||||||||
AZL Enhanced Bond Index Fund | $1,026,981 | $ | — | $ | — |
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, 2022, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $15.8 million and the monthly average notional amount for short contracts was $85.7 million. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $273.4 million, and the monthly average notional amount for short contracts was $134.4 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Interest Rate Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 1,193,477 | Payable for variation margin on futures contracts* | $ | 18,758 | ||||||
Foreign Exchange Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 246,560 | Unrealized depreciation on forward currency contracts | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Interest Rate Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | 2,963,398 | $ | 1,187,952 | |||||
Foreign Exchange Risk | ||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | 5,009,739 | 944,141 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2022. For financial reporting
34
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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, 2022.
As of June 30, 2022, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 246,560 | $ | — | ||||||
Futures contracts | — | 506,377 | ||||||||
|
|
|
| |||||||
Written option contracts | — | — | ||||||||
Swap agreements | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 246,560 | 506,377 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | (506,377 | ) | |||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | 246,560 | $ | — | ||||||
|
|
|
|
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, 2022:
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 National Paribas | $ | 246,560 | $ | — | $ | — | $ | — | $ | 246,560 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 246,560 | $ | — | $ | — | $ | — | $ | 246,560 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Financial Management, Inc. (“BlackRock Financial”), BlackRock Financial provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, 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 with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2022, there were no such waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
35
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (��NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
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, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 99,427,527 | $ | — | $ | 99,427,527 | ||||||||||||
Collateralized Mortgage Obligations | — | 161,847,193 | — | 161,847,193 | ||||||||||||||||
Corporate Bonds+ | — | 599,687,470 | — | 599,687,470 | ||||||||||||||||
Foreign Bonds+ | — | 39,114,223 | — | 39,114,223 | ||||||||||||||||
Yankee Debt Obligations+ | — | 97,791,420 | — | 97,791,420 | ||||||||||||||||
Municipal Bonds | — | 12,743,601 | — | 12,743,601 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 709,999,006 | — | 709,999,006 | ||||||||||||||||
U.S. Treasury Obligations | — | 554,420,683 | — | 554,420,683 | ||||||||||||||||
Certificate of Deposit | — | 26,262,316 | — | 26,262,316 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 8,809,111 | — | — | 8,809,111 | ||||||||||||||||
Unaffiliated Investment Company | 95,232,996 | — | — | 95,232,996 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 104,042,107 | 2,301,293,439 | — | 2,405,335,546 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Securities Sold Short | — | (26,468,566 | ) | — | (26,468,566 | ) |
36
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 1,174,719 | — | — | 1,174,719 | ||||||||||||||||
Forward Currency Contracts | — | 246,560 | — | 246,560 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 105,216,826 | $ | 2,275,071,433 | $ | — | $ | 2,380,288,259 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts and forward currency contracts. These investments are generally presented in the financial statements at variation margin for futures contracts or at unrealized gain or loss on forward contracts. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 1,729,803,719 | $ | 1,360,066,932 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Enhanced Bond Index Fund | $ | 2,190,230,909 | $ | 1,925,842,886 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor or SOFR) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities 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, investments in mortgage-related securities may cause the fund to 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 the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the 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. The 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.
37
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $3,232,395,652. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 44,437,542 | ||
Unrealized (depreciation) | (24,108,553 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 20,328,989 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Enhanced Bond Index Fund | $ | 74,372,219 | $ | 14,951,858 | $ | 89,324,077 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Earnings/ (Deficit) | |||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 33,653,816 | $ | 892,325 | $ | — | $ | 19,627,868 | $ | 54,174,009 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 25% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
38
AZL Enhanced Bond Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
39
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
40
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
41
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Fidelity Institutional Asset Management Multi-Strategy Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 30 |
Page 30 |
Statements of Changes in Net Assets Page 31 |
Page 32 |
Notes to the Financial Statements Page 33 |
Page 41 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 42 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 | $ | 1,000.00 | $ | 862.00 | $ | 2.08 | 0.45 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | $ | 1,000.00 | $ | 860.80 | $ | 3.23 | 0.70 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 | $ | 1,000.00 | $ | 1,022.56 | $ | 2.26 | 0.45 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | $ | 1,000.00 | $ | 1,021.32 | $ | 3.51 | 0.70 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 37.7 | % | |||
U.S. Treasury Obligations | 21.5 | ||||
Corporate Bonds | 19.8 | ||||
U.S. Government Agency Mortgages | 11.1 | ||||
Yankee Debt Obligations | 6.0 | ||||
Collateralized Mortgage Obligations | 5.5 | ||||
Unaffiliated Investment Company | 1.2 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.6 | ||||
Asset Backed Securities | 0.6 | ||||
Municipal Bonds | 0.2 | ||||
Convertible Bonds | 0.1 | ||||
Bank Loans | 0.1 | ||||
Warrants | — | † | |||
Preferred Stock | — | † | |||
|
| ||||
Total Investment Securities | 104.4 | ||||
Net other assets (liabilities) | (4.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (37.7%): | ||||||||
Aerospace & Defense (0.7%): | ||||||||
5,159 | Aerojet Rocketdyne Holdings, Inc.* | $ | 209,455 | |||||
10,680 | Lockheed Martin Corp. | 4,591,973 | ||||||
9,248 | Moog, Inc., Class A | 734,199 | ||||||
1,451 | Northrop Grumman Corp. | 694,405 | ||||||
10,403 | Parsons Corp.* | 420,489 | ||||||
2,420 | Raytheon Technologies Corp. | 232,586 | ||||||
51,214 | Textron, Inc. | 3,127,639 | ||||||
|
| |||||||
10,010,746 | ||||||||
|
| |||||||
Air Freight & Logistics (0.1%): | ||||||||
7,565 | United Parcel Service, Inc., Class B | 1,380,915 | ||||||
13,428 | XPO Logistics, Inc.* | 646,693 | ||||||
|
| |||||||
2,027,608 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
3,709 | Alaska Air Group, Inc.* | 148,545 | ||||||
57,004 | Southwest Airlines Co.* | 2,058,985 | ||||||
|
| |||||||
2,207,530 | ||||||||
|
| |||||||
Automobiles (0.5%): | ||||||||
71,328 | Ford Motor Co. | 793,881 | ||||||
2,112 | Harley-Davidson, Inc. | 66,866 | ||||||
10,432 | Tesla, Inc.* | 7,025,117 | ||||||
3,676 | Thor Industries, Inc. | 274,707 | ||||||
|
| |||||||
8,160,571 | ||||||||
|
| |||||||
Banks (1.4%): | ||||||||
207,394 | Bank of America Corp. | 6,456,175 | ||||||
11,836 | Citizens Financial Group, Inc. | 422,427 | ||||||
38,318 | Fifth Third Bancorp | 1,287,485 | ||||||
7,103 | First Republic Bank | 1,024,253 | ||||||
71,515 | JPMorgan Chase & Co. | 8,053,304 | ||||||
31,667 | U.S. Bancorp | 1,457,315 | ||||||
36,754 | Wells Fargo & Co. | 1,439,654 | ||||||
|
| |||||||
20,140,613 | ||||||||
|
| |||||||
Beverages (0.8%): | ||||||||
15,579 | Brown-Forman Corp., Class B | 1,093,023 | ||||||
108,710 | Coca-Cola Co. (The) | 6,838,946 | ||||||
199 | Coca-Cola Consolidated, Inc. | 112,216 | ||||||
6,182 | Monster Beverage Corp.* | 573,072 | ||||||
17,843 | PepsiCo, Inc. | 2,973,714 | ||||||
|
| |||||||
11,590,971 | ||||||||
|
| |||||||
Biotechnology (1.2%): | ||||||||
10,897 | AbbVie, Inc. | 1,668,984 | ||||||
12,182 | Amgen, Inc. | 2,963,881 | ||||||
12,057 | Biogen, Inc.* | 2,458,905 | ||||||
8,199 | Exelixis, Inc.* | 170,703 | ||||||
68,049 | Gilead Sciences, Inc. | 4,206,109 | ||||||
12,861 | Incyte Corp.* | 977,050 | ||||||
8,941 | Moderna, Inc.* | 1,277,222 | ||||||
4,456 | Regeneron Pharmaceuticals, Inc.* | 2,634,075 | ||||||
6,016 | United Therapeutics Corp.* | 1,417,610 | ||||||
|
| |||||||
17,774,539 | ||||||||
|
| |||||||
Capital Markets (0.9%): | ||||||||
6,719 | BlackRock, Inc., Class A | 4,092,140 | ||||||
885 | Cboe Global Markets, Inc. | 100,173 | ||||||
4,249 | Charles Schwab Corp. (The) | 268,452 | ||||||
13,954 | Goldman Sachs Group, Inc. (The) | 4,144,617 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
38,642 | Morgan Stanley | $ | 2,939,110 | |||||
7,236 | Raymond James Financial, Inc. | 646,971 | ||||||
17,119 | Stifel Financial Corp. | 959,006 | ||||||
|
| |||||||
13,150,469 | ||||||||
|
| |||||||
Chemicals (0.6%): | ||||||||
13,497 | CF Industries Holdings, Inc. | 1,157,098 | ||||||
24,313 | Chemours Co. (The) | 778,502 | ||||||
376 | Eastman Chemical Co. | 33,754 | ||||||
9,052 | LyondellBasell Industries NV, Class A | 791,688 | ||||||
55,978 | Olin Corp. | 2,590,662 | ||||||
5,209 | Sherwin-Williams Co. (The) | 1,166,347 | ||||||
19,106 | Westlake Corp. | 1,872,770 | ||||||
|
| |||||||
8,390,821 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
59 | Cintas Corp. | 22,038 | ||||||
754 | Clean Harbors, Inc.* | 66,103 | ||||||
19,991 | Republic Services, Inc. | 2,616,222 | ||||||
435 | Waste Management, Inc. | 66,547 | ||||||
|
| |||||||
2,770,910 | ||||||||
|
| |||||||
Communications Equipment (0.4%): | ||||||||
5,496 | Ciena Corp.* | 251,167 | ||||||
134,543 | Cisco Systems, Inc. | 5,736,914 | ||||||
|
| |||||||
5,988,081 | ||||||||
|
| |||||||
Construction & Engineering (0.0%†): | ||||||||
5,695 | EMCOR Group, Inc. | 586,357 | ||||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
20,661 | Capital One Financial Corp. | 2,152,670 | ||||||
5,707 | Discover Financial Services | 539,768 | ||||||
8,463 | OneMain Holdings, Inc. | 316,347 | ||||||
36,873 | Synchrony Financial | 1,018,432 | ||||||
|
| |||||||
4,027,217 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
45,541 | Westrock Co. | 1,814,353 | ||||||
|
| |||||||
Distributors (0.1%): | ||||||||
7,673 | Genuine Parts Co. | 1,020,509 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
7,799 | Service Corp. International | 539,067 | ||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
42,229 | Berkshire Hathaway, Inc., Class B* | 11,529,362 | ||||||
|
| |||||||
Diversified Telecommunication Services (0.4%): | ||||||||
1,791 | Frontier Communications Parent, Inc.* | 42,160 | ||||||
4,700 | Iridium Communications, Inc.* | 176,532 | ||||||
126,143 | Verizon Communications, Inc. | 6,401,757 | ||||||
|
| |||||||
6,620,449 | ||||||||
|
| |||||||
Electric Utilities (0.4%): | ||||||||
752 | Duke Energy Corp. | 80,622 | ||||||
6,214 | FirstEnergy Corp. | 238,555 | ||||||
45,706 | Hawaiian Electric Industries, Inc. | 1,869,375 | ||||||
38,433 | NextEra Energy, Inc. | 2,977,020 | ||||||
14,352 | Xcel Energy, Inc. | 1,015,548 | ||||||
|
| |||||||
6,181,120 | ||||||||
|
| |||||||
Electrical Equipment (0.3%): | ||||||||
10,937 | AMETEK, Inc. | 1,201,867 | ||||||
19,330 | Atkore, Inc.* | 1,604,583 |
See accompanying notes to the financial statements.
2
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
28,366 | Emerson Electric Co. | $ | 2,256,232 | |||||
|
| |||||||
5,062,682 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.4%): | ||||||||
15,236 | CDW Corp. | 2,400,584 | ||||||
19,131 | Corning, Inc. | 602,818 | ||||||
4,246 | Keysight Technologies, Inc.* | 585,311 | ||||||
23,261 | National Instruments Corp. | 726,441 | ||||||
61,395 | Vontier Corp. | 1,411,471 | ||||||
2,307 | Zebra Technologies Corp., Class A* | 678,143 | ||||||
|
| |||||||
6,404,768 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
5,739 | Baker Hughes Co. | 165,685 | ||||||
16,450 | ChampionX Corp. | 326,532 | ||||||
14,031 | Halliburton Co. | 440,012 | ||||||
10,178 | NOV, Inc. | 172,110 | ||||||
18,395 | Patterson-UTI Energy, Inc. | 289,905 | ||||||
53,493 | Schlumberger, Ltd. | 1,912,910 | ||||||
|
| |||||||
3,307,154 | ||||||||
|
| |||||||
Entertainment (0.3%): | ||||||||
4,604 | Activision Blizzard, Inc. | 358,467 | ||||||
17,908 | Electronic Arts, Inc. | 2,178,508 | ||||||
81,590 | Playtika Holding Corp.* | 1,080,252 | ||||||
2,398 | Walt Disney Co. (The)* | 226,371 | ||||||
23,606 | Warner Bros Discovery, Inc.* | 316,793 | ||||||
|
| |||||||
4,160,391 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.0%): | ||||||||
27,713 | American Homes 4 Rent, Class A | 982,149 | ||||||
5,839 | American Tower Corp. | 1,492,390 | ||||||
380 | AvalonBay Communities, Inc. | 73,815 | ||||||
7,607 | Camden Property Trust | 1,022,989 | ||||||
7,429 | Crown Castle International Corp. | 1,250,895 | ||||||
6,669 | Douglas Emmett, Inc. | 149,252 | ||||||
2,687 | EastGroup Properties, Inc. | 414,685 | ||||||
1,991 | Essex Property Trust, Inc. | 520,666 | ||||||
4,968 | Extra Space Storage, Inc. | 845,156 | ||||||
12,974 | Highwoods Properties, Inc. | 443,581 | ||||||
9,675 | National Retail Properties, Inc. | 416,025 | ||||||
8,670 | National Storage Affiliates Trust | 434,107 | ||||||
8,280 | Public Storage | 2,588,908 | ||||||
3,738 | SBA Communications Corp. | 1,196,347 | ||||||
99,134 | STORE Capital Corp. | 2,585,415 | ||||||
2,820 | Terreno Realty Corp. | 157,159 | ||||||
4,559 | Ventas, Inc. | 234,469 | ||||||
|
| |||||||
14,808,008 | ||||||||
|
| |||||||
Food & Staples Retailing (0.7%): | ||||||||
10,887 | Costco Wholesale Corp. | 5,217,921 | ||||||
13,572 | Kroger Co. (The) | 642,363 | ||||||
12,658 | Sprouts Farmers Market, Inc.* | 320,500 | ||||||
38,691 | Walmart, Inc. | 4,704,052 | ||||||
|
| |||||||
10,884,836 | ||||||||
|
| |||||||
Food Products (0.5%): | ||||||||
14,829 | Archer-Daniels-Midland Co. | 1,150,730 | ||||||
9,295 | General Mills, Inc. | 701,308 | ||||||
87,062 | Kraft Heinz Co. (The) | 3,320,545 | ||||||
11,811 | Mondelez International, Inc., Class A | 733,345 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
16,378 | Tyson Foods, Inc., Class A | $ | 1,409,490 | |||||
|
| |||||||
7,315,418 | ||||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
8,306 | Brookfield Infrastructure Corp., Class A | 353,005 | ||||||
7,980 | UGI Corp. | 308,108 | ||||||
|
| |||||||
661,113 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.7%): | ||||||||
44,706 | Abbott Laboratories | 4,857,307 | ||||||
127 | ABIOMED, Inc.* | 31,434 | ||||||
7,113 | Danaher Corp. | 1,803,288 | ||||||
12,142 | Edwards Lifesciences Corp.* | 1,154,583 | ||||||
6,888 | Embecta Corp.* | 174,404 | ||||||
2,000 | Figs, Inc., Class A*^ | 18,220 | ||||||
12,779 | Hologic, Inc.* | 885,585 | ||||||
498 | Intuitive Surgical, Inc.* | 99,953 | ||||||
16,036 | Medtronic plc | 1,439,231 | ||||||
1,731 | Teleflex, Inc. | 425,566 | ||||||
276 | West Pharmaceutical Services, Inc. | 83,454 | ||||||
|
| |||||||
10,973,025 | ||||||||
|
| |||||||
Health Care Providers & Services (1.3%): | ||||||||
48,263 | CVS Health Corp. | 4,472,050 | ||||||
13,733 | DaVita, Inc.* | 1,098,091 | ||||||
8,729 | Elevance Health, Inc. | 4,212,441 | ||||||
3,457 | Laboratory Corp. of America Holdings | 810,182 | ||||||
1,374 | Molina Healthcare, Inc.* | 384,184 | ||||||
17,562 | UnitedHealth Group, Inc. | 9,020,370 | ||||||
|
| |||||||
19,997,318 | ||||||||
|
| |||||||
Health Care Technology (0.2%): | ||||||||
11,431 | Veeva Systems, Inc., Class A* | 2,263,795 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.8%): | ||||||||
9,790 | Airbnb, Inc., Class A* | 872,093 | ||||||
290 | Booking Holdings, Inc.* | 507,207 | ||||||
2,600 | Caesars Entertainment, Inc.* | 99,580 | ||||||
479 | Chipotle Mexican Grill, Inc.* | 626,177 | ||||||
8,390 | Expedia Group, Inc.* | 795,624 | ||||||
1,526 | Hyatt Hotels Corp., Class A* | 112,787 | ||||||
71,710 | International Game Technology plc | 1,330,938 | ||||||
19,090 | McDonald’s Corp. | 4,712,939 | ||||||
4,390 | MGM Resorts International | 127,090 | ||||||
18,277 | Starbucks Corp. | 1,396,180 | ||||||
1,749 | Texas Roadhouse, Inc., Class A | 128,027 | ||||||
6,141 | Travel + Leisure Co. | 238,394 | ||||||
60,505 | Wendy’s Co. (The) | 1,142,334 | ||||||
3,009 | Yum! Brands, Inc. | 341,552 | ||||||
|
| |||||||
12,430,922 | ||||||||
|
| |||||||
Household Products (0.7%): | ||||||||
3,282 | Church & Dwight Co., Inc. | 304,110 | ||||||
27,954 | Colgate-Palmolive Co. | 2,240,233 | ||||||
50,202 | Procter & Gamble Co. (The) | 7,218,546 | ||||||
|
| |||||||
9,762,889 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
38,861 | Vistra Corp. | 887,974 | ||||||
|
| |||||||
Industrial Conglomerates (0.3%): | ||||||||
25,921 | 3M Co. | 3,354,436 | ||||||
6,285 | Honeywell International, Inc. | 1,092,396 | ||||||
|
| |||||||
4,446,832 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance (0.7%): | ||||||||
10,213 | American International Group, Inc. | $ | 522,191 | |||||
13,167 | Aon plc, Class A | 3,550,877 | ||||||
35,745 | Brown & Brown, Inc. | 2,085,363 | ||||||
7,097 | Loews Corp. | 420,568 | ||||||
1,016 | Progressive Corp. (The) | 118,130 | ||||||
11,589 | Travelers Cos., Inc. (The) | 1,960,048 | ||||||
22,670 | WR Berkley Corp. | 1,547,454 | ||||||
|
| |||||||
10,204,631 | ||||||||
|
| |||||||
Interactive Media & Services (2.2%): | ||||||||
5,339 | Alphabet, Inc., Class A* | 11,635,069 | ||||||
5,270 | Alphabet, Inc., Class C* | 11,527,862 | ||||||
57,694 | Meta Platforms, Inc., Class A* | 9,303,157 | ||||||
|
| |||||||
32,466,088 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (1.1%): | ||||||||
132,115 | Amazon.com, Inc.* | 14,031,934 | ||||||
62,374 | eBay, Inc. | 2,599,124 | ||||||
23,103 | Qurate Retail, Inc., Class A | 66,306 | ||||||
|
| |||||||
16,697,364 | ||||||||
|
| |||||||
IT Services (1.4%): | ||||||||
993 | Accenture plc, Class A | 275,706 | ||||||
46,205 | Alliance Data Systems Corp. | 1,712,357 | ||||||
19,060 | Amdocs, Ltd. | 1,587,889 | ||||||
10,677 | Automatic Data Processing, Inc. | 2,242,597 | ||||||
2,613 | Cognizant Technology Solutions Corp., Class A | 176,351 | ||||||
1,037 | Fidelity National Information Services, Inc. | 95,062 | ||||||
14,921 | FleetCor Technologies, Inc.* | 3,135,051 | ||||||
6,341 | Gartner, Inc.* | 1,533,444 | ||||||
5,726 | GoDaddy, Inc., Class A* | 398,301 | ||||||
13,570 | Mastercard, Inc., Class A | 4,281,064 | ||||||
4,216 | Paychex, Inc. | 480,076 | ||||||
2,851 | VeriSign, Inc.* | 477,058 | ||||||
22,951 | Visa, Inc., Class A | 4,518,822 | ||||||
|
| |||||||
20,913,778 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
13,583 | Brunswick Corp. | 888,057 | ||||||
|
| |||||||
Life Sciences Tools & Services (0.5%): | ||||||||
23,539 | Agilent Technologies, Inc. | 2,795,727 | ||||||
1,280 | Bio-Rad Laboratories, Inc., Class A* | 633,600 | ||||||
4,587 | IQVIA Holdings, Inc.* | 995,333 | ||||||
5,592 | Thermo Fisher Scientific, Inc. | 3,038,022 | ||||||
|
| |||||||
7,462,682 | ||||||||
|
| |||||||
Machinery (0.2%): | ||||||||
8,060 | Allison Transmission Holdings, Inc. | 309,907 | ||||||
4,876 | Caterpillar, Inc. | 871,634 | ||||||
1,986 | Cummins, Inc. | 384,351 | ||||||
8,671 | PACCAR, Inc. | 713,970 | ||||||
1,387 | Parker-Hannifin Corp. | 341,271 | ||||||
|
| |||||||
2,621,133 | ||||||||
|
| |||||||
Marine (0.0%†): | ||||||||
5,509 | Matson, Inc. | 401,496 | ||||||
|
| |||||||
Media (0.3%): | ||||||||
33,810 | Altice USA, Inc., Class A* | 312,743 | ||||||
1,770 | Charter Communications, Inc., Class A* | 829,298 | ||||||
91,597 | Comcast Corp., Class A | 3,594,266 | ||||||
|
| |||||||
4,736,307 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (0.1%): | ||||||||
18,687 | Nucor Corp. | $ | 1,951,110 | |||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
7,313 | Starwood Property Trust, Inc. | 152,769 | ||||||
|
| |||||||
Multiline Retail (0.1%): | ||||||||
38 | Dillard’s, Inc., Class A^ | 8,382 | ||||||
1,092 | Dollar General Corp. | 268,020 | ||||||
53,261 | Macy’s, Inc. | 975,742 | ||||||
|
| |||||||
1,252,144 | ||||||||
|
| |||||||
Multi-Utilities (0.4%): | ||||||||
30,295 | Public Service Enterprise Group, Inc. | 1,917,068 | ||||||
2,166 | Sempra Energy | 325,485 | ||||||
32,752 | WEC Energy Group, Inc. | 3,296,161 | ||||||
|
| |||||||
5,538,714 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.9%): | ||||||||
52,085 | Chevron Corp. | 7,540,866 | ||||||
29,016 | ConocoPhillips | 2,605,927 | ||||||
20,328 | Coterra Energy, Inc. | 524,259 | ||||||
5,526 | Denbury, Inc.* | 331,505 | ||||||
4,181 | Devon Energy Corp. | 230,415 | ||||||
21,603 | EOG Resources, Inc. | 2,385,835 | ||||||
3,400 | EQT Corp. | 116,960 | ||||||
90,587 | Exxon Mobil Corp. | 7,757,871 | ||||||
29,882 | Marathon Oil Corp. | 671,747 | ||||||
17,556 | Marathon Petroleum Corp. | 1,443,279 | ||||||
10,315 | Murphy Oil Corp. | 311,410 | ||||||
32,326 | Occidental Petroleum Corp. | 1,903,355 | ||||||
12,931 | Phillips 66 | 1,060,213 | ||||||
1,793 | Pioneer Natural Resources Co. | 399,982 | ||||||
4,011 | Sanchez Energy Corp.* | 250,101 | ||||||
16,344 | Targa Resources Corp. | 975,246 | ||||||
1,750 | Valero Energy Corp. | 185,990 | ||||||
|
| |||||||
28,694,961 | ||||||||
|
| |||||||
Pharmaceuticals (2.0%): | ||||||||
61,259 | Bristol-Myers Squibb Co. | 4,716,943 | ||||||
6,793 | Eli Lilly & Co. | 2,202,494 | ||||||
56,947 | Johnson & Johnson | 10,108,662 | ||||||
58,399 | Merck & Co., Inc. | 5,324,237 | ||||||
141,780 | Pfizer, Inc. | 7,433,526 | ||||||
|
| |||||||
29,785,862 | ||||||||
|
| |||||||
Professional Services (0.2%): | ||||||||
615 | Booz Allen Hamilton Holding Corp. | 55,571 | ||||||
25,758 | CoStar Group, Inc.* | 1,556,041 | ||||||
5,926 | Leidos Holdings, Inc. | 596,807 | ||||||
2,503 | TriNet Group, Inc.* | 194,283 | ||||||
|
| |||||||
2,402,702 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
5,482 | CBRE Group, Inc., Class A* | 403,530 | ||||||
|
| |||||||
Road & Rail (0.4%): | ||||||||
94,597 | CSX Corp. | 2,748,989 | ||||||
5,617 | Norfolk Southern Corp. | 1,276,688 | ||||||
11,538 | Union Pacific Corp. | 2,460,824 | ||||||
|
| |||||||
6,486,501 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (1.9%): | ||||||||
15,529 | Advanced Micro Devices, Inc.* | 1,187,503 | ||||||
12,578 | Applied Materials, Inc. | 1,144,346 |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
12,390 | Broadcom, Inc. | $ | 6,019,186 | |||||
701 | Diodes, Inc.* | 45,264 | ||||||
147,975 | Intel Corp. | 5,535,745 | ||||||
16,855 | Kulicke & Soffa Industries, Inc. | 721,563 | ||||||
3,241 | Lam Research Corp. | 1,381,152 | ||||||
16,724 | Micron Technology, Inc. | 924,503 | ||||||
3,185 | MKS Instruments, Inc. | 326,876 | ||||||
25,867 | NVIDIA Corp. | 3,921,178 | ||||||
736 | NXP Semiconductors NV | 108,950 | ||||||
42,570 | Qualcomm, Inc. | 5,437,892 | ||||||
3,090 | Semtech Corp.* | 169,857 | ||||||
575 | Skyworks Solutions, Inc. | 53,268 | ||||||
6,000 | Texas Instruments, Inc. | 921,900 | ||||||
|
| |||||||
27,899,183 | ||||||||
|
| |||||||
Software (3.8%): | ||||||||
12,295 | Adobe, Inc.* | 4,500,708 | ||||||
59,871 | Box, Inc.* | 1,505,157 | ||||||
11,472 | Cadence Design Systems, Inc.* | 1,721,144 | ||||||
136,199 | Dropbox, Inc., Class A* | 2,858,817 | ||||||
588 | HubSpot, Inc.* | 176,782 | ||||||
124,775 | Microsoft Corp. | 32,045,963 | ||||||
36,549 | Oracle Corp. | 2,553,679 | ||||||
523 | Palo Alto Networks, Inc.* | 258,331 | ||||||
956 | RingCentral, Inc., Class A* | 49,960 | ||||||
25,128 | Salesforce, Inc.* | 4,147,125 | ||||||
4,306 | ServiceNow, Inc.* | 2,047,589 | ||||||
621 | Splunk, Inc.* | 54,934 | ||||||
4,626 | SS&C Technologies Holdings, Inc. | 268,632 | ||||||
12,268 | Synopsys, Inc.* | 3,725,792 | ||||||
2,230 | Workday, Inc., Class A* | 311,263 | ||||||
|
| |||||||
56,225,876 | ||||||||
|
| |||||||
Specialty Retail (0.8%): | ||||||||
5,624 | AutoNation, Inc.* | 628,538 | ||||||
16,933 | Home Depot, Inc. (The) | 4,644,214 | ||||||
4,977 | Lithia Motors, Inc. | 1,367,729 | ||||||
6,984 | Lowe’s Cos., Inc. | 1,219,895 | ||||||
1,485 | O’Reilly Automotive, Inc.* | 938,164 | ||||||
6,545 | Ulta Beauty, Inc.* | 2,522,967 | ||||||
465 | Williams-Sonoma, Inc. | 51,592 | ||||||
|
| |||||||
11,373,099 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.5%): | ||||||||
249,642 | Apple, Inc. | 34,131,054 | ||||||
19,136 | Dell Technologies, Inc., Class C | 884,275 | ||||||
14,842 | NetApp, Inc. | 968,292 | ||||||
50,719 | Pure Storage, Inc., Class A* | 1,303,985 | ||||||
4,985 | Western Digital Corp.* | 223,478 | ||||||
|
| |||||||
37,511,084 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.1%): | ||||||||
33,834 | Crocs, Inc.* | 1,646,701 | ||||||
|
| |||||||
Thrifts & Mortgage Finance (0.1%): | ||||||||
49,424 | MGIC Investment Corp. | 622,742 | ||||||
11,874 | TFS Financial Corp. | 163,030 | ||||||
|
| |||||||
785,772 | ||||||||
|
| |||||||
Tobacco (0.2%): | ||||||||
51,522 | Altria Group, Inc. | 2,152,074 |
Shares, Contracts or Principal Amount | Value | |||||||
Common Stocks, continued | ||||||||
Tobacco, continued | ||||||||
5,550 | Philip Morris International, Inc. | $ | 548,007 | |||||
|
| |||||||
2,700,081 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
25,546 | Boise Cascade Co. | 1,519,732 | ||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
13,469 | American Water Works Co., Inc. | 2,003,783 | ||||||
|
| |||||||
Total Common Stocks (Cost $595,814,431) | 562,623,558 | |||||||
|
| |||||||
Preferred Stock (0.0%†): | ||||||||
Electric Utilities (0.0%†): | ||||||||
1,000 | PG&E Corp., 5.50%, 8/16/23 | 95,600 | ||||||
|
| |||||||
Total Preferred Stock (Cost $117,395) | 95,600 | |||||||
|
| |||||||
Warrants (0.0%†): | ||||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
63 | California Resources Corp., 10/27/24* | 647 | ||||||
4,272 | Occidental Petroleum Corp., 8/3/27 | 157,936 | ||||||
|
| |||||||
158,583 | ||||||||
|
| |||||||
Total Warrants (Cost $50,290) | 158,583 | |||||||
|
| |||||||
Asset Backed Securities (0.6%): | ||||||||
$ | 845,283 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(a) | 701,482 | |||||
160,110 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(a) | 70,054 | ||||||
136,893 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(a) | 94,061 | ||||||
251,382 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(a) | 191,131 | ||||||
1,432,022 | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(a) | 1,306,159 | ||||||
756,568 | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(a) | 659,187 | ||||||
135,632 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(a) | 113,766 | ||||||
206,293 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(a) | 138,915 | ||||||
1,065,980 | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(a) | 923,238 | ||||||
79,089 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 76,189 | ||||||
522,493 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(a)(b) | 471,382 | ||||||
163,602 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(a) | 147,037 | ||||||
186,315 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(a) | 147,578 | ||||||
211,537 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(a) | 186,609 | ||||||
202,242 | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(a) | 181,398 | ||||||
367,477 | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(a) | 324,459 |
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 352,360 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(a) | $ | 335,829 | ||||
200,567 | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(a) | 174,503 | ||||||
211,343 | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(a) | 187,007 | ||||||
214,500 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(a) | 190,697 | ||||||
554,610 | Planet Fitness Master Issuer LLC, Class A2II, Series 2022-1A, 4.01%, 12/5/51, Callable 12/5/27 @ 100(a) | 494,590 | ||||||
617,453 | Planet Fitness Master Issuer LLC, Class A2I, Series 2022-1A, 3.25%, 12/5/51, Callable 12/5/24 @ 100(a) | 555,744 | ||||||
234,777 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(a) | 201,490 | ||||||
233,783 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(a) | 156,338 | ||||||
226,936 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(a) | 198,650 | ||||||
330,726 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(a) | 283,636 | ||||||
227,853 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(a)(b) | 195,940 | ||||||
322,622 | Thunderbolt II Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(a)(b) | 284,522 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $10,422,236) | 8,991,591 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (5.5%): | ||||||||
250,000 | Aimco CLO, Class AR, Series 2018-BA, 2.14%(US0003M+110bps), 1/15/32, Callable 7/15/22 @ 100(a) | 244,128 | ||||||
523,000 | Aimco CLO 11, Ltd., Class AR, Series 2020-11A, 2.17%(US0003M+113bps), 10/17/34, Callable 10/17/23 @ 100(a) | 502,724 | ||||||
387,000 | Aimco CLO 14, Ltd., Class A, Series 2021-14A, 2.05%(US0003M+99bps), 4/20/34, Callable 4/20/23 @ 100(a) | 372,017 | ||||||
250,000 | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 2.20%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(a) | 240,505 | ||||||
2,812,000 | Allegro CLO XIV, Ltd., Class A1, Series 2021-2A, 2.20%(US0003M+116bps), 10/15/34, Callable 10/15/23 @ 100(a) | 2,713,226 | ||||||
624,000 | Allegro CLO XV, Ltd., Class A, Series 2022-1A, 3.18%(TSFR3M+150bps), 7/20/35(a) | 608,122 | ||||||
256,000 | Ares CLO, Ltd., Class A, Series 2019-54A, 2.36%(US0003M+132bps), 10/15/32, Callable 7/15/22 @ 100(a) | 250,056 | ||||||
853,000 | Ares LV CLO, Ltd., Class A1R, Series 2020-55A, 2.17%(US0003M+113bps), 7/15/34, Callable 7/15/23 @ 100(a) | 826,197 | ||||||
273,000 | Ares XLI CLO, Ltd., Class AR2, Series 2016-41A, 2.11%(US0003M+107bps), 4/15/34, Callable 4/15/23 @ 100(a) | 262,772 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 100,000 | BAMLL Commercial Mortgage Securities Trust, Class C, Series 2022-DKLX, 3.43%(TSFR1M+215bps), 1/15/39(a) | $ | 96,115 | ||||
105,000 | BAMLL Commercial Mortgage Securities Trust, Class B, Series 2022-DKLX, 2.83%(TSFR1M+155bps), 1/15/39(a) | 101,600 | ||||||
555,000 | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2022-DKLX, 2.43%(TSFR1M+115bps), 1/15/39(a) | 539,182 | ||||||
177,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(a) | 168,823 | ||||||
30,000 | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52, Callable 9/15/29 @ 100 | 27,312 | ||||||
310,000 | Barings CLO, Ltd., Class A, Series 2020-4A, 2.28%(US0003M+122bps), 1/20/32, Callable 7/20/22 @ 100(a) | 303,418 | ||||||
536,000 | Barings CLO, Ltd., Class AR, Series 2020-1A, 2.19%(US0003M+115bps), 10/15/36, Callable 10/15/23 @ 100(a) | 517,347 | ||||||
34,000 | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(b) | 33,656 | ||||||
808,000 | Bethpage Park CLO, Ltd., Class A, Series 2021-1A, 2.17%(US0003M+113bps), 1/15/35, Callable 10/15/23 @ 100(a) | 778,087 | ||||||
139,000 | BFLD Trust, Class A, Series 2020-OBRK, 3.37%(US0001M+205bps), 11/15/22(a) | 134,189 | ||||||
1,835,000 | BPR Trust, Class A, Series 2022-OANA, 3.18%(TSFR1M+190bps), 4/15/37(a) | 1,795,405 | ||||||
488,000 | BPR Trust, Class B, Series 2022-OANA, 3.73%(TSFR1M+245bps), 4/15/37(a) | 484,084 | ||||||
307,861 | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 2.03%(US0003M+99bps), 4/15/29, Callable 7/15/22 @ 100(a) | 303,064 | ||||||
76,300 | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 3.95%(US0001M+263bps), 9/15/37(a) | 63,552 | ||||||
119,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 3.22%(US0001M+190bps), 4/15/34(a) | 113,057 | ||||||
113,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 2.92%(US0001M+160bps), 4/15/34(a) | 108,161 | ||||||
172,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 2.62%(US0001M+130bps), 4/15/34(a) | 165,068 | ||||||
5,017,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 2.32%(US0001M+100bps), 4/15/34(a) | 4,890,613 | ||||||
155,550 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 2.57%(US0001M+125bps), 10/15/36(a) | 150,899 | ||||||
1,305,487 | BX Commercial Mortgage Trust, Class A, Series 2022-LP2, 2.35%(TSFR1M+101bps), 2/15/39(a) | 1,247,186 | ||||||
309,400 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 3.12%(US0001M+180bps), 10/15/36(a) | 298,549 |
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 220,150 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 2.77%(US0001M+145bps), 10/15/36(a) | $ | 213,013 | ||||
393,140 | BX Commercial Mortgage Trust, Class B, Series 2022-LP2, 2.65%(TSFR1M+131bps), 2/15/39(a) | 374,282 | ||||||
393,140 | BX Commercial Mortgage Trust, Class C, Series 2022-LP2, 2.90%(TSFR1M+156bps), 2/15/39(a) | 369,733 | ||||||
393,140 | BX Commercial Mortgage Trust, Class D, Series 2022-LP2, 3.29%(TSFR1M+196bps), 2/15/39(a) | 371,259 | ||||||
124,100 | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 2.40%(US0001M+108bps), 10/15/36(a) | 121,002 | ||||||
730,000 | BX Mortgage Trust, Class E, Series 2021-PAC, 3.27%(US0001M+195bps), 10/15/36(a) | 679,637 | ||||||
210,000 | BX Mortgage Trust, Class D, Series 2021-PAC, 2.62%(US0001M+130bps), 10/15/36(a) | 194,137 | ||||||
1,081,000 | BX Mortgage Trust, Class A, Series 2021-PAC, 2.01%(US0001M+69bps), 10/15/36(a) | 1,027,351 | ||||||
216,000 | BX Mortgage Trust, Class C, Series 2021-PAC, 2.42%(US0001M+110bps), 10/15/36(a) | 201,706 | ||||||
162,000 | BX Mortgage Trust, Class B, Series 2021-PAC, 2.22%(US0001M+90bps), 10/15/36(a) | 153,101 | ||||||
988,000 | BX Trust, Class A, Series 2022-IND A, 2.82%(TSFR1M+149bps), 4/15/37(a) | 961,255 | ||||||
114,000 | BX Trust, Class C, Series 2022-IND, 3.62%(TSFR1M+229bps), 4/15/37(a) | 109,081 | ||||||
4,962,409 | BX Trust, Class A, Series 2021-SOAR, 2.00%(US0001M+67bps), 6/15/38(a) | 4,764,161 | ||||||
95,000 | BX Trust, Class D, Series 2022-IND, 4.17%(TSFR1M+284bps), 4/15/37(a) | 90,711 | ||||||
504,000 | BX Trust, Class B, Series 2022-IND, 3.27%(TSFR1M+194bps), 4/15/37(a) | 487,298 | ||||||
519,889 | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 7/25/22 @ 100(a)(b) | 509,724 | ||||||
17,105,000 | Cedar Funding V CLO, Ltd., Class A1R, Series 2016-5A, 2.14%(US0003M+110bps), 7/17/31, Callable 7/17/22 @ 100(a) | 16,773,675 | ||||||
235,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 2.11%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(a) | 224,787 | ||||||
643,000 | Cedar Funding X CLO, Ltd., Class AR, Series 2019-10A, 2.16%(US0003M+110bps), 10/20/32, Callable 10/20/22 @ 100(a) | 623,949 | ||||||
485,000 | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 2.31%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 466,614 | ||||||
942,000 | Cedar Funding XV CLO, Ltd., Class A, Series 2022-15A, 2.03%(TSFR3M+132bps), 4/20/35, Callable 4/20/24 @ 100(a) | 901,348 | ||||||
402,957 | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 2.44%(US0001M+112bps), 6/15/34(a) | 393,626 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 99,251 | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 2.82%(US0001M+150bps), 6/15/34(a) | $ | 96,613 | ||||
99,251 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 3.07%(US0001M+175bps), 6/15/34(a) | 95,611 | ||||||
153,000 | CIM Retail Portfolio Trust, Class D, Series 2021-RETL, 4.38%(US0001M+305bps), 8/15/36(a) | 148,918 | ||||||
45,865 | CIM Retail Portfolio Trust, Class C, Series 2021-RETL, 3.62%(US0001M+230bps), 8/15/36(a) | 44,847 | ||||||
791,000 | Columbia Cent CLO 29, Ltd., Class AR, Series 2020-29A, 2.23%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(a) | 760,217 | ||||||
410,000 | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A, 2.37%(US0003M+131bps), 1/20/34, Callable 4/20/23 @ 100(a) | 399,233 | ||||||
310,000 | Columbia Cent CLO 31, Ltd., Class A1, Series 2021-31A, 2.26%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(a) | 298,669 | ||||||
920,000 | Columbia Cent CLO 32, Ltd., Class A1, Series 2022-32A(TSFR3M+170bps), 7/24/34(a) | 911,634 | ||||||
57,000 | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | 56,588 | ||||||
3,686,288 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(a) | 3,415,641 | ||||||
243,000 | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 2.55%(US0001M+123bps), 5/15/36(a) | 237,231 | ||||||
100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(a) | 97,305 | ||||||
100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(a) | 97,828 | ||||||
860,000 | CSMC Trust, Class D, Series 2017-PFHP, 3.57%(US0001M+225bps), 12/15/30(a) | 856,388 | ||||||
205,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(a) | 202,220 | ||||||
100,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(a) | 93,553 | ||||||
527,000 | Dryden 76 CLO, Ltd., Class A1R, Series 2019-76A, 2.21%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(a) | 508,795 | ||||||
577,000 | Dryden 83 CLO, Ltd., Class A, Series 2020-83A, 2.26%(US0003M+122bps), 1/18/32, Callable 7/18/22 @ 100(a) | 564,480 | ||||||
723,000 | Dryden 85 CLO, Ltd., Class AR, Series 2020-85A, 2.19%(US0003M+115bps), 10/15/35, Callable 10/15/23 @ 100(a) | 696,545 | ||||||
420,000 | Dryden 90 CLO, Ltd., Class A1A, Series 2021-90A, 2.61%(US0003M+113bps), 2/20/35, Callable 2/20/24 @ 100(a) | 404,132 | ||||||
250,000 | Dryden CLO, Ltd., Class A, Series 2020-78A, 2.22%(US0003M+118bps), 4/17/33, Callable 7/17/22 @ 100(a) | 242,868 |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 930,000 | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 2.19%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(a) | $ | 899,419 | ||||
363,000 | Eaton Vance CLO, Ltd., Class AR, Series 2019-1A, 2.14%(US0003M+110bps), 4/15/31, Callable 7/15/22 @ 100(a) | 354,917 | ||||||
250,000 | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 2.29%(US0003M+125bps), 1/15/34, Callable 1/15/23 @ 100(a) | 243,319 | ||||||
1,469,000 | ELP Commercial Mortgage Trust, Class A, Series 2021-ELP, 2.03%(US0001M+70bps), 11/15/36(a) | 1,402,880 | ||||||
531,727 | Extended Stay America Trust, Class A, Series 2021-ESH, 2.41%(US0001M+108bps), 7/15/38(a) | 518,370 | ||||||
223,624 | Extended Stay America Trust, Class C, Series 2021-ESH, 3.03%(US0001M+170bps), 7/15/38(a) | 216,341 | ||||||
447,247 | Extended Stay America Trust, Class D, Series 2021-ESH, 3.58%(US0001M+225bps), 7/15/38(a) | 431,545 | ||||||
303,134 | Extended Stay America Trust, Class B, Series 2021-ESH, 2.71%(US0001M+138bps), 7/15/38(a) | 294,022 | ||||||
508,000 | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 2.78%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(a) | 493,881 | ||||||
250,000 | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 2.15%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(a) | 241,049 | ||||||
643,000 | GS Mortgage Securities Corp. Trust, Class A, Series 2021-IP, 2.27%(US0001M+95bps), 10/15/36(a) | 619,452 | ||||||
100,000 | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 2.47%(US0001M+115bps), 10/15/36(a) | 96,518 | ||||||
100,000 | GS Mortgage Securities Corp. Trust, Class C, Series 2021-IP, 2.87%(US0001M+155bps), 10/15/36(a) | 93,560 | ||||||
556,000 | Invesco CLO, Ltd., Class A, Series 2021-3A, 2.27%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(a) | 534,021 | ||||||
64,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(a) | 61,958 | ||||||
41,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(a) | 40,368 | ||||||
87,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(a) | 85,692 | ||||||
1,420,000 | Life Mortgage Trust, Class A1, Series 2022-BMR2, 2.57%(TSFR1M+130bps), 5/15/39, Callable 5/15/24 @ 100(a) | 1,384,402 | ||||||
855,000 | Life Mortgage Trust, Class B, Series 2022-BMR2, 3.07%(TSFR1M+179bps), 5/15/39, Callable 5/15/24 @ 100(a) | 829,279 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 479,000 | Life Mortgage Trust, Class C, Series 2022-BMR2, 3.37%(TSFR1M+209bps), 5/15/39, Callable 5/15/24 @ 100(a) | $ | 462,190 | ||||
98,297 | Life Mortgage Trust, Class E, Series 2021-BMR, 3.07%(US0001M+175bps), 3/15/38(a) | 91,648 | ||||||
98,297 | Life Mortgage Trust, Class D, Series 2021-BMR, 2.72%(US0001M+140bps), 3/15/38(a) | 92,903 | ||||||
98,297 | Life Mortgage Trust, Class C, Series 2021-BMR, 2.42%(US0001M+110bps), 3/15/38(a) | 93,368 | ||||||
98,297 | Life Mortgage Trust, Class B, Series 2021-BMR, 2.20%(US0001M+88bps), 3/15/38(a) | 93,614 | ||||||
280,147 | Life Mortgage Trust, Class A, Series 2021-BMR, 2.02%(US0001M+70bps), 3/15/38(a) | 268,571 | ||||||
426,000 | Life Mortgage Trust, Class D, Series 2022-BMR2, 3.82%(TSFR1M+254bps), 5/15/39, Callable 5/15/24 @ 100(a) | 406,806 | ||||||
250,000 | Lucali CLO, Ltd., Class A, Series 2020-1A, 2.25%(US0003M+121bps), 1/15/32, Callable 7/15/22 @ 100(a) | 243,935 | ||||||
320,000 | Madison Park Funding L, Ltd., Class A, Series 2021-50A, 2.18%(US0003M+114bps), 4/19/34, Callable 4/19/23 @ 100(a) | 310,414 | ||||||
910,000 | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 2.24%(US0003M+110bps), 1/22/35, Callable 1/22/24 @ 100(a) | 872,392 | ||||||
250,000 | Madison Park Funding XLV, Ltd., Class AR, Series 2020-45A, 2.16%(US0003M+112bps), 7/15/34, Callable 7/15/23 @ 100(a) | 242,288 | ||||||
232,488 | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 2.06%(US0003M+92bps), 1/22/28, Callable 7/22/22 @ 100(a) | 229,084 | ||||||
250,000 | Magnetite XXI, Ltd., Class AR, Series 2019-21A, 2.08%(US0003M+102bps), 4/20/34, Callable 7/20/22 @ 100(a) | 241,079 | ||||||
280,000 | Magnetite XXIX, Ltd., Class A, Series 2021-29A, 2.03%(US0003M+99bps), 1/15/34, Callable 7/15/22 @ 100(a) | 272,825 | ||||||
250,000 | Magnetite XXVII, Ltd., Class AR, Series 2020-27A, 2.20%(US0003M+114bps), 10/20/34, Callable 10/20/23 @ 100(a) | 241,140 | ||||||
968,000 | Magnetite XXX, Ltd., Class A, Series 2021-30A, 2.31%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(a) | 934,459 | ||||||
260,000 | MHC Commercial Mortgage Trust, Class A, Series 2021-MHC, 2.12%(US0001M+80bps), 4/15/38(a) | 249,603 | ||||||
315,000 | Milos CLO, Ltd., Class AR, Series 2017-1A, 2.13%(US0003M+107bps), 10/20/30, Callable 7/20/22 @ 100(a) | 309,036 | ||||||
132,000 | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | 130,530 | ||||||
198,184 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 2.57%(US0001M+125bps), 6/15/35(a) | 198,668 | ||||||
476,452 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 2.82%(US0001M+150bps), 6/15/35(a) | 468,897 |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 53,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.28%, 11/10/36, Callable 11/10/24 @ 100(a)(b) | $ | 50,818 | ||||
56,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(a) | 54,231 | ||||||
385,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(a) | 363,806 | ||||||
326,000 | Peace Park CLO, Ltd., Class A, Series 2021-1A, 2.19%(US0003M+113bps), 10/20/34, Callable 10/20/23 @ 100(a) | 315,707 | ||||||
17,385 | Prima Capital CRE Securitization, Class A, Series 2021-9A, 3.05%(US0001M+145bps), 12/15/37(a) | 17,385 | ||||||
333,000 | Rockland Park CLO, Ltd., Class A, Series 2021-1A, 2.18%(US0003M+112bps), 4/20/34, Callable 4/20/23 @ 100(a) | 322,999 | ||||||
130,000 | SPGN Mortgage Trust, Class C, Series 2022-TFLM, 3.93%(TSFR1M+265bps), 2/15/39, Callable 2/15/24 @ 100(a) | 127,035 | ||||||
250,000 | SPGN Mortgage Trust, Class B, Series 2022-TFLM, 3.28%(TSFR1M+200bps), 2/15/39, Callable 2/15/24 @ 100(a) | 244,214 | ||||||
237,000 | SREIT Trust, Class D, Series 2021-MFP, 2.90%(US0001M+158bps), 11/15/38(a) | 221,601 | ||||||
360,000 | SREIT Trust, Class C, Series 2021-MFP, 2.65%(US0001M+133bps), 11/15/38(a) | 337,589 | ||||||
580,000 | SREIT Trust, Class B, Series 2021-MFP, 2.40%(US0001M+108bps), 11/15/38(a) | 546,539 | ||||||
1,013,000 | SREIT Trust, Class A, Series 2021-MFP, 2.05%(US0001M+73bps), 11/15/38(a) | 961,017 | ||||||
250,000 | Stratus CLO, Ltd., Class A, Series 2022-1A(TSFR3M+175bps), 7/20/30(a) | 247,727 | ||||||
403,000 | Symphony CLO XIX, Ltd., Class A, Series 2018-19A, 2.00%(US0003M+96bps), 4/16/31, Callable 7/16/22 @ 100(a) | 393,933 | ||||||
500,000 | Symphony CLO XXVI, Ltd., Class AR, Series 2021-26A, 2.14%(US0003M+108bps), 4/20/33, Callable 7/20/22 @ 100(a) | 483,644 | ||||||
1,054,000 | Symphony CLO XXXII, Ltd., Class A1, Series 2022-32A, 1.63%(TSFR3M+132bps), 4/23/35(a) | 1,007,773 | ||||||
285,000 | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(a) | 234,991 | ||||||
20,000 | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(a) | 16,225 | ||||||
551,000 | Voya CLO, Ltd., Class A1R, Series 2020-2A, 2.20%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(a) | 533,140 | ||||||
564,000 | Voya CLO, Ltd., Class AR, Series 2020-1A, 2.19%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(a) | 544,934 | ||||||
335,000 | Voya CLO, Ltd., Class A, Series 2019-2, 2.33%(US0003M+127bps), 7/20/32, Callable 7/20/22 @ 100(a) | 327,539 | ||||||
1,073,000 | Voya CLO, Ltd., Class AR, Series 2020-3A, 2.21%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(a) | 1,034,518 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 185,000 | Wells Fargo Commercial Mortgage Trust, Class A, Series 2021-FCMT, 2.52%(US0001M+120bps), 5/15/31(a) | $ | 177,925 | ||||
155,000 | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | 154,568 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $85,559,968) | 82,594,181 | |||||||
|
| |||||||
Convertible Bonds (0.1%): | ||||||||
Entertainment (0.0%†): | ||||||||
25,000 | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | 25,858 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
37,000 | Booking Holdings, Inc., 0.75%, 5/1/25^ | 44,091 | ||||||
27,000 | Vail Resorts, Inc., 3.77%, 1/1/26 | 23,716 | ||||||
|
| |||||||
67,807 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
19,000 | Callaway Golf Co., 2.75%, 5/1/26 | 25,875 | ||||||
|
| |||||||
Media (0.1%): | ||||||||
54,000 | DISH Network Corp., 2.38%, 3/15/24 | 47,823 | ||||||
846,000 | DISH Network Corp., 3.38%, 8/15/26 | 568,665 | ||||||
|
| |||||||
616,488 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
54,850 | Mesquite Energy, Inc., 15.00%, 7/15/23(c)(d) | 265,474 | ||||||
31,702 | Mesquite Energy, Inc., 15.00%, 7/15/23(c)(d) | 168,337 | ||||||
|
| |||||||
433,811 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
16,000 | FTI Consulting, Inc., 2.00%, 8/15/23 | 28,612 | ||||||
23,000 | KBR, Inc., 2.50%, 11/1/23 | 44,210 | ||||||
|
| |||||||
72,822 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%†): | ||||||||
8,000 | ON Semiconductor Corp., 1.63%, 10/15/23 | 19,664 | ||||||
|
| |||||||
Total Convertible Bonds (Cost $1,081,488) | 1,262,325 | |||||||
|
| |||||||
Bank Loans (0.1%): | ||||||||
Chemicals (0.0%†): | ||||||||
14,888 | Consolidated Energy Term Incr B 1Ln, 0.04% (LIBOR+350bps) | 14,143 | ||||||
19,950 | Diversey Term B 1Ln, 0.03% (LIBOR+300bps), 9/29/28 | 18,379 | ||||||
|
| |||||||
32,522 | ||||||||
|
| |||||||
Construction & Engineering (0.0%†): | ||||||||
35,000 | Convergint Tech Term 2Ln, 0.07% (LIBOR+675bps), 3/31/29 | 33,600 | ||||||
4,963 | Convergint Tech Term B 1Ln, 0.04% (LIBOR+350bps), 3/31/28 | 4,626 | ||||||
|
| |||||||
38,226 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
15,000 | Ascend Learning Term 2Ln, 0.06% (LIBOR+575bps), 11/18/29 | 13,725 | ||||||
164,588 | Ascend Learning Term Ln, 0.04% (LIBOR+350bps), 11/17/28 | 151,626 | ||||||
|
| |||||||
165,351 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
249,375 | City Football Group Term B 1Ln, 0.04% (LIBOR+350bps), 7/9/28, Callable 8/5/22 @ 100 | 228,178 |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Bank Loans, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 173,674 | Diamond Sports Broadcasting Term B 1Ln, 0.03% (LIBOR+325bps), 8/24/26, Callable 8/5/22 @ 100 | $ | 39,945 | ||||
113,342 | Golden Entertainment Term B 1Ln, 0.03% (LIBOR+300bps), 10/20/24, Callable 8/5/22 @ 100 | 110,190 | ||||||
|
| |||||||
378,313 | ||||||||
|
| |||||||
Industrial Products (0.0%†): | ||||||||
120,000 | Brookfield Wec Holdings, Inc., 0.04%, 8/1/25 | 115,115 | ||||||
|
| |||||||
Media (0.0%†): | ||||||||
124,958 | Sinclair Broadcasting, 0.08%, 5/25/26 | 124,125 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
3,385 | Ion Analytics Term 1Ln, 0.04% (LIBOR+400bps), 2/4/28 | 3,182 | ||||||
|
| |||||||
Software & Tech Services (0.0%†): | ||||||||
106,884 | �� | athenahealth, 0.04%, 2/15/29 | 98,133 | |||||
18,116 | athenahealth, 0.04%, 2/15/29 | 16,633 | ||||||
|
| |||||||
114,766 | ||||||||
|
| |||||||
Total Bank Loans (Cost $1,079,087) | 971,600 | |||||||
|
| |||||||
Corporate Bonds (19.8%): | ||||||||
Aerospace & Defense (0.4%): | ||||||||
1,145,000 | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | 1,128,825 | ||||||
145,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | 139,116 | ||||||
1,100,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | 1,036,229 | ||||||
100,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | 92,355 | ||||||
1,150,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 1,072,575 | ||||||
310,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(a) | 272,800 | ||||||
445,000 | BWX Technologies, Inc., 4.13%, 4/15/29, Callable 4/15/24 @ 102.06(a) | 392,156 | ||||||
5,000 | Howmet Aerospace, Inc., 5.95%, 2/1/37 | 4,638 | ||||||
145,000 | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(a) | 125,062 | ||||||
40,000 | TransDigm UK Holdings PLC, 6.88%, 5/15/26, Callable 8/8/22 @ 103.44 | 37,400 | ||||||
40,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/8/22 @ 101.59 | 37,600 | ||||||
35,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 8/8/22 @ 103.75 | 33,075 | ||||||
1,655,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | 1,400,544 | ||||||
310,000 | TransDigm, Inc., 4.88%, 5/1/29, Callable 5/1/24 @ 102.44 | 251,100 | ||||||
|
| |||||||
6,023,475 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%†): | ||||||||
255,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38(a) | 232,050 | ||||||
237,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 8/8/22 @ 103.13(a) | 235,222 | ||||||
|
| |||||||
467,272 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Auto Components (0.0%†): | ||||||||
$ | 125,000 | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | $ | 93,750 | ||||
|
| |||||||
Automobiles (0.2%): | ||||||||
485,000 | Magallanes, Inc., 3.43%, 3/15/24(a) | 476,490 | ||||||
265,000 | Magallanes, Inc., 3.64%, 3/15/25(a) | 257,078 | ||||||
519,000 | Magallanes, Inc., 3.76%, 3/15/27, Callable 2/15/27 @ 100(a) | 486,840 | ||||||
180,000 | Magallanes, Inc., 4.05%, 3/15/29, Callable 1/15/29 @ 100(a) | 164,874 | ||||||
753,000 | Magallanes, Inc., 4.28%, 3/15/32, Callable 12/15/31 @ 100(a) | 672,843 | ||||||
391,000 | Magallanes, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100(a) | 332,958 | ||||||
576,000 | Magallanes, Inc., 5.14%, 3/15/52, Callable 9/15/51 @ 100(a) | 486,630 | ||||||
40,000 | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63^(a) | 31,400 | ||||||
270,000 | Michaels Cos., Inc. (The), 7.88%, 5/1/29, Callable 5/1/24 @ 103.94(a) | 178,200 | ||||||
165,000 | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(a) | 129,938 | ||||||
209,000 | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(a) | 207,384 | ||||||
|
| |||||||
3,424,635 | ||||||||
|
| |||||||
Banks (1.9%): | ||||||||
3,840,000 | Bank of America Corp., 4.20%, 8/26/24, MTN | 3,855,072 | ||||||
410,000 | Bank of America Corp., Series L, 3.95%, 4/21/25, MTN | 404,444 | ||||||
151,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 150,247 | ||||||
1,300,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 1,212,930 | ||||||
980,000 | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | 793,773 | ||||||
70,000 | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | 69,825 | ||||||
165,000 | CIT Group, Inc., 6.13%, 3/9/28 | 171,600 | ||||||
730,000 | Citigroup, Inc., Series V, 4.05%, 7/30/22 | 731,196 | ||||||
2,455,000 | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | 2,415,374 | ||||||
1,098,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,083,417 | ||||||
1,156,000 | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | 1,106,049 | ||||||
1,166,000 | Citigroup, Inc., 4.91% (SOFR+209 bps), 5/24/33, Callable 5/24/32 @ 100 | 1,150,880 | ||||||
4,105,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | 4,094,881 | ||||||
2,500,000 | JPMorgan Chase & Co., 4.49% (SOFR+379 bps), 3/24/31, Callable 3/24/30 @ 100 | 2,456,278 | ||||||
181,000 | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | 156,751 | ||||||
3,705,000 | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 3,537,908 | ||||||
1,099,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 1,042,713 | ||||||
2,645,000 | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | 2,593,515 |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 1,800,000 | Wells Fargo & Co., 5.01% (US0003M+424 bps), 4/4/51, Callable 4/4/50 @ 100, MTN | $ | 1,766,428 | ||||
|
| |||||||
28,793,281 | ||||||||
|
| |||||||
Beverages (0.6%): | ||||||||
2,400,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 2,321,601 | ||||||
3,100,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 2,913,606 | ||||||
150,000 | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | 134,876 | ||||||
400,000 | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | 360,636 | ||||||
333,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 300,633 | ||||||
2,445,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 2,563,431 | ||||||
285,000 | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(a) | 202,350 | ||||||
|
| |||||||
8,797,133 | ||||||||
|
| |||||||
Biotechnology (0.0%†): | ||||||||
555,000 | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94(a) | 394,744 | ||||||
|
| |||||||
Building Products (0.1%): | ||||||||
795,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(a) | 732,394 | ||||||
120,000 | Builders FirstSource, Inc., 4.25%, 2/1/32, Callable 8/1/26 @ 102.13(a) | 91,200 | ||||||
35,000 | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(a) | 29,794 | ||||||
|
| |||||||
853,388 | ||||||||
|
| |||||||
Capital Markets (1.7%): | ||||||||
457,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | 446,717 | ||||||
2,707,000 | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | 2,497,218 | ||||||
2,052,000 | Blackstone Private Credit Fund, 4.70%, 3/24/25(a) | 1,976,509 | ||||||
315,000 | Coinbase Global, Inc., 3.38%, 10/1/28, Callable 10/1/24 @ 101.69(a) | 196,875 | ||||||
715,000 | Coinbase Global, Inc., 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(a) | 396,825 | ||||||
2,880,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 2,674,259 | ||||||
1,263,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100 | 1,023,374 | ||||||
128,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 142,491 | ||||||
50,000 | HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 6/15/26, Callable 3/15/26 @ 100(a) | 43,000 | ||||||
55,000 | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(a) | 42,075 | ||||||
55,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(a) | 44,550 | ||||||
1,100,000 | Moody’s Corp., 3.75%, 3/24/25, Callable 2/24/25 @ 100 | 1,099,022 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 1,100,000 | Moody’s Corp., 3.25%, 1/15/28, Callable 10/15/27 @ 100 | $ | 1,043,908 | ||||
6,619,000 | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | 6,599,130 | ||||||
2,534,000 | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | 2,334,141 | ||||||
380,000 | Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29, Callable 10/1/24 @ 101.94(a) | 323,000 | ||||||
150,000 | Mozart Debt Merger Sub, Inc., 5.25%, 10/1/29, Callable 10/1/24 @ 102.63^(a) | 123,750 | ||||||
100,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(a) | 79,500 | ||||||
485,000 | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/8/22 @ 108.06(a) | 457,962 | ||||||
650,000 | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(a) | 507,000 | ||||||
2,296,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(a) | 2,227,696 | ||||||
300,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(a) | 292,629 | ||||||
15,000 | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(a) | 11,362 | ||||||
35,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 8/8/22 @ 105.31(a) | 12,075 | ||||||
55,000 | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(a) | 33,550 | ||||||
|
| |||||||
24,628,618 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
15,000 | CF Industries, Inc., 4.95%, 6/1/43 | 13,500 | ||||||
510,000 | Chemours Co. (The), 5.38%, 5/15/27, Callable 2/15/27 @ 100^ | 453,262 | ||||||
915,000 | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(a) | 775,463 | ||||||
60,000 | Diamond BC BV, 4.63%, 10/1/29, Callable 10/1/24 @ 102.31(a) | 47,850 | ||||||
555,000 | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13(a) | 491,175 | ||||||
375,000 | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | 320,156 | ||||||
135,000 | Scotts Miracle-Gro Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19 | 101,925 | ||||||
25,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 20,625 | ||||||
350,000 | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(a) | 278,250 | ||||||
350,000 | WR Grace Holdings LLC, 5.63%, 10/1/24(a) | 346,500 | ||||||
50,000 | WR Grace Holdings LLC, 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(a) | 43,503 | ||||||
125,000 | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(a) | 93,750 | ||||||
|
| |||||||
2,985,959 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
125,000 | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(a) | 101,875 |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
$ | 430,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(a) | $ | 391,300 | ||||
615,000 | CoreCivic, Inc., 8.25%, 4/15/26, Callable 4/15/24 @ 104.13 | 600,394 | ||||||
25,000 | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 2/1/23 @ 102.5(a) | 20,937 | ||||||
25,000 | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44^(a) | 19,719 | ||||||
45,000 | Pitney Bowes, Inc., 7.25%, 3/15/29, Callable 3/15/24 @ 103.63(a) | 33,975 | ||||||
270,000 | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(a) | 220,725 | ||||||
|
| |||||||
1,388,925 | ||||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
405,000 | CommScope, Inc., 6.00%, 3/1/26, Callable 8/8/22 @ 103(a) | 374,625 | ||||||
205,000 | CommScope, Inc., 7.13%, 7/1/28, Callable 7/1/23 @ 103.56^(a) | 155,800 | ||||||
200,000 | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(a) | 161,000 | ||||||
250,000 | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(a) | 212,500 | ||||||
|
| |||||||
903,925 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
25,000 | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(a) | 21,125 | ||||||
1,155,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/8/22 @ 102.13(a) | 866,250 | ||||||
270,000 | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(a) | 234,900 | ||||||
55,000 | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(a) | 42,762 | ||||||
25,000 | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(a) | 21,625 | ||||||
785,000 | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(a) | 629,963 | ||||||
|
| |||||||
1,816,625 | ||||||||
|
| |||||||
Consumer Discretionary Products (0.0%†): | ||||||||
275,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., 4.63%, 1/15/29, Callable 1/15/25 @ 102.31(a) | 234,438 | ||||||
|
| |||||||
Consumer Discretionary Services (0.1%): | ||||||||
160,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., 6.75%, 1/15/30, Callable 1/15/25 @ 103.38(a) | 122,400 | ||||||
900,000 | NCL Corp., Ltd., 5.88%, 3/15/26, Callable 12/15/25 @ 100(a) | 697,500 | ||||||
250,000 | RP Escrow Issuer LLC, 5.25%, 12/15/25, Callable 12/15/22 @ 102.63(a) | 216,250 | ||||||
|
| |||||||
1,036,150 | ||||||||
|
| |||||||
Consumer Finance (1.5%): | ||||||||
2,090,000 | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | 2,068,676 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 90,000 | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | $ | 87,041 | ||||
100,000 | Ally Financial, Inc., 5.13%, 9/30/24 | 101,500 | ||||||
224,000 | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | 229,001 | ||||||
1,500,000 | Ally Financial, Inc., 5.75%, 11/20/25, Callable 10/21/25 @ 100 | 1,464,988 | ||||||
590,000 | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), 12/31/99, Callable 5/15/26 @ 100(e) | 475,851 | ||||||
1,513,000 | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | 1,500,457 | ||||||
577,000 | Capital One Financial Corp., 2.64% (SOFR+129 bps), 3/3/26, Callable 3/3/25 @ 100 | 545,582 | ||||||
2,665,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 2,535,785 | ||||||
343,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 322,665 | ||||||
738,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 653,362 | ||||||
250,000 | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | 246,259 | ||||||
2,253,000 | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | 2,220,124 | ||||||
295,000 | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | 257,317 | ||||||
550,000 | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | 441,361 | ||||||
329,000 | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | 327,413 | ||||||
968,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 917,474 | ||||||
55,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | 52,917 | ||||||
620,000 | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | 556,510 | ||||||
2,100,000 | General Motors Financial Co., Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100 | 2,071,243 | ||||||
445,000 | OneMain Finance Corp., 6.88%, 3/15/25 | 420,525 | ||||||
295,000 | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | 234,525 | ||||||
155,000 | OneMain Finance Corp., 3.88%, 9/15/28, Callable 9/15/24 @ 101.94 | 118,575 | ||||||
430,000 | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | 316,587 | ||||||
244,000 | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | 242,956 | ||||||
797,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 789,567 | ||||||
3,605,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 3,301,463 | ||||||
|
| |||||||
22,499,724 | ||||||||
|
| |||||||
Consumer Staple Products (0.1%): | ||||||||
475,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.13%, 2/1/28, Callable 1/1/28 @ 100(a) | 461,344 |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Staple Products, continued | ||||||||
$ | 975,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.75%, 4/1/33, Callable 1/1/33 @ 100(a) | $ | 959,453 | ||||
|
| |||||||
1,420,797 | ||||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
5,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 8/15/22 @ 102.06(a) | 4,231 | ||||||
190,000 | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | 152,712 | ||||||
65,000 | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(a) | 55,169 | ||||||
|
| |||||||
212,112 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
232,000 | Adtalem Global Education, Inc., 5.50%, 3/1/28, Callable 3/1/24 @ 102.75(a) | 207,060 | ||||||
22,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(a) | 17,903 | ||||||
350,000 | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(a) | 325,062 | ||||||
|
| |||||||
550,025 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
185,000 | Acrisure LLC / Acrisure Finance, Inc., 6.00%, 8/1/29, Callable 8/1/24 @ 103(a) | 144,763 | ||||||
38,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | 38,082 | ||||||
358,000 | Jackson Financial, Inc., 5.17%, 6/8/27, Callable 5/8/27 @ 100 | 355,415 | ||||||
452,000 | Jackson Financial, Inc., 5.67%, 6/8/32, Callable 3/8/32 @ 100 | 437,763 | ||||||
15,000 | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(a) | 11,550 | ||||||
130,000 | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(a) | 109,200 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(a) | 495,517 | ||||||
155,000 | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | 134,462 | ||||||
150,000 | Venture Global Calcasieu Pass LLC, 4.13%, 8/15/31, Callable 2/15/31 @ 100(a) | 128,250 | ||||||
125,000 | Venture Global Calcasieu Pass LLC, 3.88%, 11/1/33, Callable 5/1/33 @ 100(a) | 102,187 | ||||||
|
| |||||||
1,957,189 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.6%): | ||||||||
138,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | 134,423 | ||||||
76,000 | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | 61,605 | ||||||
400,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 395,934 | ||||||
1,200,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 933,802 | ||||||
310,000 | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | 290,625 | ||||||
915,000 | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(a) | 768,600 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 10,000 | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | $ | 8,762 | ||||
55,000 | Cogent Communications Group, Inc., 3.50%, 5/1/26, Callable 2/1/26 @ 100(a) | 50,531 | ||||||
25,000 | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75(a) | 19,969 | ||||||
185,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(a) | 133,662 | ||||||
640,000 | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(a) | 574,400 | ||||||
45,000 | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | 38,419 | ||||||
45,000 | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(a) | 36,563 | ||||||
5,496 | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | 4,232 | ||||||
155,000 | Frontier Communications Holdings LLC, 6.00%, 1/15/30, Callable 10/15/24 @ 103(a) | 119,737 | ||||||
60,000 | Lumen Technologies, Inc., 5.38%, 6/15/29, Callable 6/15/24 @ 102.69(a) | 47,100 | ||||||
3,725,000 | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | 3,297,489 | ||||||
209,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 179,248 | ||||||
1,250,000 | Verizon Communications, Inc., 2.99%, 10/30/56, Callable 4/30/56 @ 100 | 873,396 | ||||||
555,000 | Windstream Escrow LLC / Windstream Escrow Finance Corp., 7.75%, 8/15/28, Callable 8/15/23 @ 103.88^(a) | 445,388 | ||||||
55,000 | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 8/8/22 @ 100(a) | 45,512 | ||||||
|
| |||||||
8,459,397 | ||||||||
|
| |||||||
Electric Utilities (0.7%): | ||||||||
782,000 | Alabama Power Co., 3.05%, 3/15/32, Callable 12/15/31 @ 100 | 713,645 | ||||||
941,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | 828,080 | ||||||
10,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | 8,650 | ||||||
155,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94^(a) | 128,262 | ||||||
165,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | 146,524 | ||||||
54,000 | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(a) | 44,230 | ||||||
587,000 | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(a) | 483,738 | ||||||
1,000,000 | Emera US Finance LP, 3.55%, 6/15/26, Callable 3/15/26 @ 100 | 959,601 | ||||||
173,000 | Exelon Corp., 2.75%, 3/15/27, Callable 2/15/27 @ 100(a) | 162,177 | ||||||
1,075,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 1,026,881 |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 210,000 | Exelon Corp., 3.35%, 3/15/32, Callable 12/15/31 @ 100(a) | $ | 188,512 | ||||
156,000 | Exelon Corp., 4.10%, 3/15/52, Callable 9/15/51 @ 100(a) | 134,341 | ||||||
2,000,000 | FirstEnergy Corp., 7.38%, 11/15/31 | 2,238,068 | ||||||
255,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | 225,038 | ||||||
136,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 134,300 | ||||||
17,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(a) | 16,235 | ||||||
430,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | 393,450 | ||||||
20,000 | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(a) | 16,100 | ||||||
40,000 | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(a) | 31,300 | ||||||
294,886 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a) | 288,989 | ||||||
795,000 | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | 636,148 | ||||||
1,370,000 | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5^ | 1,171,350 | ||||||
311,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63 | 255,409 | ||||||
605,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(a) | 549,037 | ||||||
|
| |||||||
10,780,065 | ||||||||
|
| |||||||
Electrical Equipment (0.0%†): | ||||||||
55,000 | Artera Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(a) | 44,413 | ||||||
65,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 55,087 | ||||||
310,000 | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(a) | 251,100 | ||||||
|
| |||||||
350,600 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.0%†): | ||||||||
565,000 | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5(a) | 493,669 | ||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
400,000 | Transocean, Inc., 11.50%, 1/30/27, Callable 7/30/23 @ 105.75(a) | 374,000 | ||||||
|
| |||||||
Entertainment (0.2%): | ||||||||
310,000 | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(a) | 251,100 | ||||||
3,000,000 | Walt Disney Co. (The), 3.80%, 3/22/30^ | 2,902,740 | ||||||
|
| |||||||
3,153,840 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.4%): | ||||||||
371,000 | American Homes 4 Rent LP, 3.63%, 4/15/32, Callable 1/15/32 @ 100 | 326,185 | ||||||
1,039,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 1,029,088 | ||||||
1,265,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 1,203,004 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 62,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | $ | 59,360 | ||||
355,000 | Brixmor Operating Partners LP, 3.85%, 2/1/25, Callable 11/1/24 @ 100 | 349,858 | ||||||
68,000 | Corporate Office Properties LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | 61,562 | ||||||
46,000 | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | 37,527 | ||||||
10,000 | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100 | 9,950 | ||||||
45,000 | CTR Partnership LP / CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(a) | 37,800 | ||||||
40,000 | GEO Group, Inc. (The), 5.88%, 10/15/24, Callable 8/8/22 @ 100.98 | 35,900 | ||||||
430,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(a) | 359,888 | ||||||
66,000 | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | 62,911 | ||||||
63,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | 54,429 | ||||||
400,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 385,094 | ||||||
735,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 731,240 | ||||||
114,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 114,384 | ||||||
101,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | 99,937 | ||||||
1,278,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 1,220,467 | ||||||
2,482,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 2,131,646 | ||||||
133,000 | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | 108,134 | ||||||
189,000 | Piedmont Operating Partnership LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | 146,546 | ||||||
15,000 | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | 13,998 | ||||||
1,214,000 | Sabra Health Care LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | 967,485 | ||||||
297,000 | SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100(a) | 287,795 | ||||||
97,000 | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100(a) | 89,740 | ||||||
74,000 | SBA Tower Trust, 2.33%, 7/15/52, Callable 7/15/26 @ 100(a) | 66,166 | ||||||
40,000 | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 | 29,350 | ||||||
40,000 | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | 32,300 | ||||||
45,000 | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | 30,825 | ||||||
310,000 | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | 206,925 |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 96,000 | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | $ | 94,201 | ||||
1,277,000 | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | 1,050,829 | ||||||
212,000 | Sun Communities Operating LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | 181,095 | ||||||
272,000 | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | 219,730 | ||||||
2,200,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | 2,063,096 | ||||||
581,000 | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | 457,029 | ||||||
85,000 | The Geo Group, Inc., 6.00%, 4/15/26, Callable 8/8/22 @ 102 | 69,275 | ||||||
780,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 8/8/22 @ 103.94(a) | 752,700 | ||||||
355,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(a) | 247,612 | ||||||
131,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | 124,846 | ||||||
367,000 | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | 322,684 | ||||||
1,430,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 1,400,112 | ||||||
60,000 | Vici Properties, 3.50%, 2/15/25, Callable 8/8/22 @ 101.75(a) | 56,175 | ||||||
335,000 | Vici Properties, 4.25%, 12/1/26, Callable 12/1/22 @ 102.13(a) | 304,850 | ||||||
93,000 | VICI Properties LP, 4.38%, 5/15/25 | 91,024 | ||||||
100,000 | VICI Properties LP, 5.13%, 5/15/32, Callable 2/15/32 @ 100 | 94,000 | ||||||
72,000 | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | 64,348 | ||||||
400,000 | WP Carey, Inc., 4.60%, 4/1/24, Callable 1/1/24 @ 100 | 399,489 | ||||||
3,000,000 | WP Carey, Inc., 4.25%, 10/1/26, Callable 7/1/26 @ 100 | 2,967,270 | ||||||
66,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 61,663 | ||||||
|
| |||||||
21,311,522 | ||||||||
|
| |||||||
Financial Services (0.1%): | ||||||||
70,000 | Clydesdale Acquisition Holdings, Inc., 6.63%, 4/15/29, Callable 4/15/25 @ 103.31(a) | 65,800 | ||||||
120,000 | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(a) | 90,000 | ||||||
640,000 | Hightower Holding LLC, 6.75%, 4/15/29, Callable 4/15/24 @ 103.38(a) | 480,000 | ||||||
70,000 | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(a) | 62,300 | ||||||
|
| |||||||
698,100 | ||||||||
|
| |||||||
Food & Staples Retailing (0.1%): | ||||||||
25,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.63%, 1/15/27, Callable 1/15/23 @ 103.47(a) | 22,313 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
$ | 50,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(a) | $ | 40,250 | ||||
605,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(a) | 515,762 | ||||||
445,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 8/8/22 @ 103.44(a) | 442,775 | ||||||
335,000 | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(a) | 309,038 | ||||||
70,000 | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(a) | 58,450 | ||||||
93,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 99,676 | ||||||
140,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 162,256 | ||||||
45,000 | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(a) | 41,906 | ||||||
160,000 | US Foods, Inc., 4.75%, 2/15/29, Callable 2/15/24 @ 102.38(a) | 139,400 | ||||||
60,000 | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 51,000 | ||||||
|
| |||||||
1,882,826 | ||||||||
|
| |||||||
Food Products (0.3%): | ||||||||
110,000 | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(a) | 80,987 | ||||||
1,380,000 | JBS Finance Luxembourg Sarl, 2.50%, 1/15/27, Callable 12/15/26 @ 100(a) | 1,201,273 | ||||||
154,000 | JBS Finance Luxembourg Sarl, 3.63%, 1/15/32, Callable 1/15/27 @ 101.81(a) | 124,355 | ||||||
170,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(a) | 171,063 | ||||||
880,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(a) | 831,600 | ||||||
1,375,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(a) | 1,055,313 | ||||||
350,000 | Pilgrim’s Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13(a) | 292,250 | ||||||
45,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(a) | 42,694 | ||||||
405,000 | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(a) | 332,100 | ||||||
270,000 | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | 219,375 | ||||||
|
| |||||||
4,351,010 | ||||||||
|
| |||||||
Health Care (0.0%†): | ||||||||
200,000 | 180 Medical, Inc., 3.88%, 10/15/29, Callable 10/7/24 @ 101.94(a) | 173,000 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
400,000 | Hologic, Inc., 4.63%, 2/1/28, Callable 2/1/23 @ 102.31(a) | 374,500 | ||||||
350,000 | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a) | 299,250 | ||||||
|
| |||||||
673,750 | ||||||||
|
|
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services (1.3%): | ||||||||
$ | 140,000 | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(a) | $ | 104,825 | ||||
35,000 | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13^(a) | 28,350 | ||||||
3,765,000 | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | 3,501,450 | ||||||
1,485,000 | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | 1,239,975 | ||||||
1,190,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 1,103,725 | ||||||
245,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 206,719 | ||||||
610,000 | Centene Corp., 2.63%, 8/1/31, Callable 5/1/31 @ 100 | 484,187 | ||||||
255,000 | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(a) | 215,794 | ||||||
255,000 | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(a) | 210,375 | ||||||
385,000 | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(a) | 234,850 | ||||||
285,000 | CHS/Community Health Systems, Inc., 5.25%, 5/15/30, Callable 5/15/25 @ 102.63(a) | 216,600 | ||||||
45,000 | CHS/Community Health Systems, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38(a) | 33,300 | ||||||
4,341,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 4,302,139 | ||||||
1,000,000 | Cigna Corp., 4.90%, 12/15/48, Callable 6/15/48 @ 100 | 964,325 | ||||||
605,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 8/8/22 @ 104(a) | 547,525 | ||||||
780,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(a) | 604,500 | ||||||
780,000 | HCA, Inc., 5.38%, 2/1/25 | 776,100 | ||||||
534,000 | HCA, Inc., 5.63%, 9/1/28, Callable 3/1/28 @ 100 | 523,320 | ||||||
357,000 | HCA, Inc., 5.88%, 2/1/29, Callable 8/1/28 @ 100 | 357,000 | ||||||
1,029,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 878,509 | ||||||
50,000 | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(a) | 43,625 | ||||||
314,000 | Humana, Inc., 3.70%, 3/23/29, Callable 2/23/29 @ 100 | 297,701 | ||||||
40,000 | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(a) | 34,200 | ||||||
170,000 | Molina Healthcare, Inc., 3.88%, 5/15/32, Callable 2/15/32 @ 100(a) | 143,225 | ||||||
25,000 | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25^(a) | 20,375 | ||||||
416,000 | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63(a) | 309,920 | ||||||
255,000 | Surgery Center Holdings, Inc., 6.75%, 7/1/25, Callable 8/8/22 @ 100(a) | 233,006 | ||||||
600,000 | Tenet Healthcare Corp., 4.88%, 1/1/26, Callable 8/8/22 @ 102.44(a) | 552,000 | ||||||
590,000 | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 8/8/22 @ 103.13(a) | 544,275 | ||||||
510,000 | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(a) | 436,687 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 295,000 | Tenet Healthcare Corp., 4.25%, 6/1/29, Callable 6/1/24 @ 102.13(a) | $ | 249,275 | ||||
140,000 | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19(a) | 118,300 | ||||||
117,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | 111,490 | ||||||
|
| |||||||
19,627,647 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.3%): | ||||||||
15,000 | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(a) | 12,562 | ||||||
445,000 | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38 | 402,169 | ||||||
145,000 | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(a) | 112,375 | ||||||
350,000 | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25(a) | 348,250 | ||||||
565,000 | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91^(a) | 437,875 | ||||||
245,000 | Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25(a) | 201,512 | ||||||
125,000 | Carrols Restaurant Group, Inc., 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(a) | 91,094 | ||||||
765,000 | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 8/8/22 @ 103.81(a) | 757,350 | ||||||
40,000 | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(a) | 32,350 | ||||||
75,000 | Jacobs Entertainment, Inc., 6.75%, 2/15/29, Callable 2/15/25 @ 103.38(a) | 61,500 | ||||||
45,000 | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(a) | 40,388 | ||||||
40,000 | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(a) | 33,200 | ||||||
170,000 | NCL Corp., Ltd., 5.88%, 2/15/27, Callable 2/15/24 @ 102.94(a) | 145,323 | ||||||
20,000 | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(a) | 14,550 | ||||||
20,000 | Peninsula Pacific Entert, 8.50%, 11/15/27, Callable 11/15/23 @ 104.25(a) | 21,000 | ||||||
20,000 | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(a) | 19,800 | ||||||
280,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 7/18/22 @ 108.63(a) | 287,700 | ||||||
310,000 | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100(a) | 228,625 | ||||||
115,000 | Royal Caribbean Cruises, Ltd., 5.38%, 7/15/27, Callable 10/15/26 @ 100(a) | 82,513 | ||||||
510,000 | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(a) | 428,400 | ||||||
255,000 | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 7/22/22 @ 109.75(a) | 260,737 | ||||||
255,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25, Callable 12/1/24 @ 100(a) | 233,325 | ||||||
390,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.25%, 5/15/27, Callable 2/15/27 @ 100(a) | 332,475 | ||||||
350,000 | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | 308,000 | ||||||
|
| |||||||
4,893,073 | ||||||||
|
|
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Household Durables (0.1%): | ||||||||
$ | 65,000 | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 7/15/23 @ 102.44(a) | $ | 47,450 | ||||
70,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(a) | 50,925 | ||||||
150,000 | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(a) | 117,375 | ||||||
295,000 | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(a) | 186,956 | ||||||
10,000 | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | 8,575 | ||||||
90,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 4/30/27, Callable 10/15/23 @ 102.38(a) | 74,588 | ||||||
15,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | 10,969 | ||||||
510,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(a) | 448,800 | ||||||
130,000 | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(a) | 97,500 | ||||||
265,000 | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(a) | 205,706 | ||||||
|
| |||||||
1,248,844 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
55,000 | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(a) | 44,275 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.2%): | ||||||||
1,457,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(a) | 1,379,942 | ||||||
1,412,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(a) | 1,307,834 | ||||||
30,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(a) | 27,000 | ||||||
35,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(a) | 30,625 | ||||||
85,000 | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94^(a) | 74,375 | ||||||
15,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(a) | 13,575 | ||||||
|
| |||||||
2,833,351 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
1,750,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 8/8/22 @ 103.13 | 1,627,500 | ||||||
1,165,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 1,031,025 | ||||||
|
| |||||||
2,658,525 | ||||||||
|
| |||||||
Industrial Services (0.0%†): | ||||||||
465,000 | Minerva Merger Sub, Inc., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 385,950 | ||||||
190,000 | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(a) | 171,000 | ||||||
|
| |||||||
556,950 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Insurance (0.5%): | ||||||||
$ | 395,000 | Acrisure LLC / Acrisure Finance, Inc., 4.25%, 2/15/29, Callable 2/15/24 @ 102.13(a) | $ | 319,950 | ||||
600,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 573,962 | ||||||
70,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | 57,400 | ||||||
40,000 | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(a) | 31,900 | ||||||
70,000 | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(a) | 54,600 | ||||||
242,000 | Corebridge Financial, Inc., 3.50%, 4/4/25, Callable 3/4/25 @ 100(a) | 235,614 | ||||||
824,000 | Corebridge Financial, Inc., 3.65%, 4/5/27, Callable 3/5/27 @ 100(a) | 775,112 | ||||||
339,000 | Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100(a) | 313,992 | ||||||
404,000 | Corebridge Financial, Inc., 3.90%, 4/5/32, Callable 1/5/32 @ 100(a) | 365,052 | ||||||
92,000 | Corebridge Financial, Inc., 4.35%, 4/5/42, Callable 10/5/41 @ 100(a) | 78,471 | ||||||
271,000 | Corebridge Financial, Inc., 4.40%, 4/5/52, Callable 10/5/51 @ 100(a) | 228,323 | ||||||
2,771,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(a) | 2,403,842 | ||||||
115,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 7/18/22 @ 101.75(a) | 107,812 | ||||||
105,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(a) | 87,150 | ||||||
436,000 | Pacific Lifecorp, 5.13%, 1/30/43(a) | 425,474 | ||||||
185,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(a) | 160,719 | ||||||
227,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 215,854 | ||||||
1,000,000 | Unum Group, 5.75%, 8/15/42 | 941,612 | ||||||
685,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/8/22 @ 100(a) | 658,456 | ||||||
|
| |||||||
8,035,295 | ||||||||
|
| |||||||
Interactive Media & Services (0.0%†): | ||||||||
190,000 | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(a) | 149,625 | ||||||
25,000 | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06^(a) | 20,937 | ||||||
525,000 | Rackspace Technology Global, Inc., 3.50%, 2/15/28, Callable 2/15/24 @ 101.75(a) | 412,125 | ||||||
60,000 | Rackspace Technology Global, Inc., 5.38%, 12/1/28, Callable 12/1/23 @ 102.69(a) | 39,225 | ||||||
|
| |||||||
621,912 | ||||||||
|
| |||||||
IT Services (0.1%): | ||||||||
25,000 | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | 20,187 | ||||||
10,000 | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(a) | 8,050 | ||||||
470,000 | Black Knight InfoServ LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | 406,550 | ||||||
15,000 | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(a) | 13,162 |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
IT Services, continued | ||||||||
$ | 550,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(a) | $ | 529,375 | ||||
255,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | 231,413 | ||||||
45,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | 38,306 | ||||||
40,000 | Square, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100(a) | 35,400 | ||||||
40,000 | Square, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100^(a) | 32,000 | ||||||
35,000 | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | 29,444 | ||||||
35,000 | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94^ | 28,744 | ||||||
|
| |||||||
1,372,631 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
202,000 | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | 197,709 | ||||||
5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(a) | 4,862 | ||||||
|
| |||||||
202,571 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.0%†): | ||||||||
510,000 | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a) | 466,650 | ||||||
15,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(a) | 13,481 | ||||||
30,000 | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(a) | 25,988 | ||||||
|
| |||||||
506,119 | ||||||||
|
| |||||||
Machinery (0.1%): | ||||||||
55,000 | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(a) | 44,550 | ||||||
170,000 | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(a) | 136,000 | ||||||
230,000 | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(a) | 190,325 | ||||||
650,000 | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(a) | 492,375 | ||||||
45,000 | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(a) | 39,150 | ||||||
|
| |||||||
902,400 | ||||||||
|
| |||||||
Materials (0.0%†): | ||||||||
200,000 | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC, 6.00%, 6/15/27, Callable 6/15/24 @ 103(a) | 197,500 | ||||||
|
| |||||||
Media (1.2%): | ||||||||
45,000 | ABG Intermediate Holdings 2 LLC, 5.00%, 12/21/28, Callable 8/5/22 @ 100 | 41,962 | ||||||
615,000 | Advantage Sales & Marketing, Inc., 6.50%, 11/15/28, Callable 11/15/23 @ 103.25(a) | 525,056 | ||||||
255,000 | Allen Media LLC / Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 2/15/23 @ 113(a) | 133,237 | ||||||
25,000 | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(a) | 20,000 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 20,000 | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(a) | $ | 16,400 | ||||
15,000 | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(a) | 11,625 | ||||||
1,250,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(a) | 1,065,625 | ||||||
65,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(a) | 54,113 | ||||||
390,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | 313,950 | ||||||
270,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(a) | 212,625 | ||||||
1,500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.91%, 7/23/25, Callable 4/23/25 @ 100 | 1,505,168 | ||||||
813,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 726,606 | ||||||
1,000,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.38%, 5/1/47, Callable 11/1/46 @ 100 | 862,428 | ||||||
1,064,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.25%, 4/1/53, Callable 10/1/52 @ 100 | 908,773 | ||||||
1,064,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.50%, 4/1/63, Callable 10/1/62 @ 100 | 908,898 | ||||||
1,130,000 | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(a) | 822,075 | ||||||
335,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(a) | 256,275 | ||||||
680,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(a) | 166,600 | ||||||
2,346,000 | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | 2,085,383 | ||||||
392,000 | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | 311,952 | ||||||
605,000 | DISH DBS Corp., 7.75%, 7/1/26 | 473,412 | ||||||
65,000 | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | 65,039 | ||||||
1,094,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 1,075,209 | ||||||
93,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 90,728 | ||||||
140,000 | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(a) | 109,900 | ||||||
430,000 | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(a) | 367,650 | ||||||
525,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 103.25(a) | 404,250 | ||||||
95,000 | Sirius XM Radio, Inc., 3.13%, 9/1/26, Callable 9/1/23 @ 101.56(a) | 83,837 | ||||||
270,000 | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/8/22 @ 102.5(a) | 249,750 | ||||||
30,000 | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(a) | 27,450 |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 25,000 | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(a) | $ | 20,938 | ||||
185,000 | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(a) | 148,000 | ||||||
350,000 | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(a) | 336,000 | ||||||
230,000 | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(a) | 184,000 | ||||||
69,000 | Time Warner Cable LLC, 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 60,440 | ||||||
1,620,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 1,629,218 | ||||||
280,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | 293,303 | ||||||
435,000 | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(a) | 411,075 | ||||||
245,000 | Univision Communications, Inc., 4.50%, 5/1/29, Callable 5/1/24 @ 102.25(a) | 205,187 | ||||||
|
| |||||||
17,184,137 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
45,000 | Alcoa Nederland Holding BV, 4.13%, 3/31/29, Callable 3/31/24 @ 102.06(a) | 40,275 | ||||||
686,000 | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 613,112 | ||||||
60,000 | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | 47,906 | ||||||
45,000 | Allegheny Technologies, Inc., 5.13%, 10/1/31, Callable 10/1/26 @ 102.56 | 35,663 | ||||||
45,000 | Cleveland-Cliffs, Inc., 4.63%, 3/1/29, Callable 3/1/24 @ 102.31(a) | 39,881 | ||||||
45,000 | Cleveland-Cliffs, Inc., 4.88%, 3/1/31, Callable 3/1/26 @ 102.44^(a) | 39,600 | ||||||
60,000 | Commercial Metals Co., 4.13%, 1/15/30, Callable 1/15/25 @ 102.06 | 51,300 | ||||||
60,000 | Commercial Metals Co., 4.38%, 3/15/32, Callable 3/15/27 @ 102.19 | 50,700 | ||||||
485,000 | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(a) | 402,550 | ||||||
125,000 | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(a) | 95,938 | ||||||
|
| |||||||
1,416,925 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
40,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(a) | 30,800 | ||||||
45,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 41,119 | ||||||
|
| |||||||
71,919 | ||||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
1,100,000 | NiSource, Inc., 2.95%, 9/1/29, Callable 6/1/29 @ 100 | 972,577 | ||||||
1,000,000 | NiSource, Inc., 5.25%, 2/15/43, Callable 8/15/42 @ 100 | 966,956 | ||||||
140,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | 130,043 | ||||||
714,000 | Puget Energy, Inc., 4.22%, 3/15/32, Callable 12/15/31 @ 100 | 660,048 | ||||||
|
| |||||||
2,729,624 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil & Gas (0.1%): | ||||||||
$ | 110,000 | Holly Energy Partners LP / Holly Energy Finance Corp., 6.38%, 4/15/27, Callable 4/15/24 @ 103.19(a) | $ | 103,400 | ||||
125,000 | Kinetik Holdings LP, 5.88%, 6/15/30, Callable 6/15/25 @ 102.94(a) | 118,681 | ||||||
1,200,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 7.50%, 10/1/25, Callable 10/1/22 @ 105.63(a) | 1,176,000 | ||||||
|
| |||||||
1,398,081 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (2.0%): | ||||||||
45,000 | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | 37,969 | ||||||
10,000 | Apache Corp., 7.38%, 8/15/47 | 9,858 | ||||||
145,000 | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | 123,431 | ||||||
125,000 | Cheniere Energy Partners LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63(a) | 98,125 | ||||||
247,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(a) | 255,058 | ||||||
375,000 | CITGO Petroleum Corp., 6.38%, 6/15/26, Callable 6/15/23 @ 103.19(a) | 345,938 | ||||||
50,000 | Cnx Midstream Partners LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(a) | 41,125 | ||||||
20,000 | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5^(a) | 18,600 | ||||||
65,000 | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(a) | 56,956 | ||||||
305,000 | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(a) | 272,975 | ||||||
25,000 | Comstock Resources, Inc., 5.88%, 1/15/30, Callable 1/15/25 @ 102.94(a) | 21,500 | ||||||
485,000 | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(a) | 468,025 | ||||||
42,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 8/8/22 @ 101.44 | 39,270 | ||||||
795,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(a) | 693,637 | ||||||
605,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 7/22/22 @ 102.63(a) | 553,575 | ||||||
20,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(a) | 17,900 | ||||||
230,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 223,675 | ||||||
2,905,000 | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | 2,777,906 | ||||||
700,000 | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(a) | 582,750 | ||||||
25,000 | Delek Logistics Partners LP / Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(a) | 22,625 | ||||||
26,000 | Devon Energy Corp., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | 26,065 |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 40,000 | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(a) | $ | 33,800 | ||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 122,752 | ||||||
20,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(a) | 20,050 | ||||||
295,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(a) | 278,775 | ||||||
2,229,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 2,198,351 | ||||||
106,000 | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 105,205 | ||||||
1,908,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 1,626,570 | ||||||
52,000 | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | 51,675 | ||||||
65,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 64,919 | ||||||
109,000 | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | 98,372 | ||||||
73,000 | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 70,810 | ||||||
67,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | 67,084 | ||||||
128,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 120,160 | ||||||
83,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | 78,227 | ||||||
350,000 | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(a) | 319,375 | ||||||
255,000 | EQM Midstream Partners LP, 7.50%, 6/1/27, Callable 6/1/24 @ 103.75(a) | 244,800 | ||||||
50,000 | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(a) | 46,500 | ||||||
45,000 | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(a) | 36,450 | ||||||
295,000 | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | 275,088 | ||||||
30,000 | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | 29,025 | ||||||
650,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 631,312 | ||||||
71,000 | Hess Corp., 7.30%, 8/15/31 | 79,076 | ||||||
50,000 | Hess Corp., 7.13%, 3/15/33 | 55,125 | ||||||
1,869,000 | Hess Corp., 5.60%, 2/15/41 | 1,824,611 | ||||||
1,166,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 1,164,543 | ||||||
405,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 8/8/22 @ 102.81(a) | 385,763 | ||||||
80,000 | Hess Midstream Operations LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(a) | 67,600 | ||||||
97,000 | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | 97,093 | ||||||
125,000 | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(a) | 99,375 | ||||||
113,000 | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | 113,282 | ||||||
159,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 159,994 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 390,000 | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | $ | 364,162 | ||||
400,000 | New Fortress Energy, Inc., 6.75%, 9/15/25, Callable 9/15/22 @ 103.38(a) | 377,000 | ||||||
250,000 | New Fortress Energy, Inc., 6.50%, 9/30/26, Callable 3/31/23 @ 103.25(a) | 226,250 | ||||||
375,000 | NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 2/1/23 @ 103.75(a) | 337,500 | ||||||
1,506,000 | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | 1,490,940 | ||||||
310,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 275,900 | ||||||
255,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | 291,975 | ||||||
1,464,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 1,577,460 | ||||||
16,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 17,560 | ||||||
78,000 | Occidental Petroleum Corp., 6.45%, 9/15/36 | 80,048 | ||||||
30,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 24,450 | ||||||
25,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | 24,688 | ||||||
410,000 | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 435,625 | ||||||
295,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | 238,950 | ||||||
430,000 | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | 333,250 | ||||||
55,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | 44,550 | ||||||
65,000 | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | 52,000 | ||||||
605,000 | PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 5/15/25, Callable 7/11/22 @ 104.63(a) | 633,738 | ||||||
80,000 | PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 2/15/28, Callable 2/15/23 @ 103 | 67,200 | ||||||
20,000 | PDC Energy, Inc., 5.75%, 5/15/26, Callable 8/8/22 @ 102.88 | 18,600 | ||||||
20,000 | Phillips 66, 3.70%, 4/6/23 | 19,953 | ||||||
26,000 | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | 25,876 | ||||||
1,172,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 1,149,314 | ||||||
270,000 | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | 261,900 | ||||||
335,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | 321,181 | ||||||
278,000 | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 7/14/22 @ 100(d)(e) | — | ||||||
10,000 | SM Energy Co., 5.63%, 6/1/25, Callable 8/8/22 @ 100.94 | 9,450 | ||||||
50,000 | SM Energy Co., 6.75%, 9/15/26, Callable 8/8/22 @ 103.38 | 47,500 | ||||||
130,000 | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | 110,175 | ||||||
5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 8/8/22 @ 103 | 4,750 | ||||||
242,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | 222,035 |
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 430,000 | Sunoco LP/Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25 | $ | 356,900 | ||||
350,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(a) | 290,500 | ||||||
25,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | 23,594 | ||||||
445,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | 404,950 | ||||||
45,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102 | 38,362 | ||||||
43,000 | Transcontinental Gas Pipe Line Co. LLC, 3.25%, 5/15/30, Callable 2/15/30 @ 100 | 38,666 | ||||||
11,000 | Valero Energy Corp., 2.85%, 4/15/25, Callable 3/15/25 @ 100 | 10,636 | ||||||
40,000 | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | 38,000 | ||||||
137,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 129,465 | ||||||
1,000,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | 910,000 | ||||||
66,000 | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | 60,390 | ||||||
1,000,000 | Western Midstream Operating LP, 4.35%, 2/1/25, Callable 1/1/25 @ 100 | 925,000 | ||||||
525,000 | Western Midstream Operating LP, 5.30%, 2/1/30, Callable 11/1/29 @ 100 | 459,375 | ||||||
162,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | 163,212 | ||||||
285,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 286,449 | ||||||
|
| |||||||
30,472,204 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%†): | ||||||||
100,000 | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(a) | 69,500 | ||||||
45,000 | Mercer International, Inc., 5.13%, 2/1/29, Callable 2/1/24 @ 102.56 | 38,475 | ||||||
|
| |||||||
107,975 | ||||||||
|
| |||||||
Personal Products (0.0%†): | ||||||||
125,000 | BellRing Brands, Inc., 7.00%, 3/15/30, Callable 3/15/27 @ 101.75(a) | 117,500 | ||||||
|
| |||||||
Pharmaceuticals (0.3%): | ||||||||
390,000 | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(a) | 202,800 | ||||||
1,000,000 | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(a) | 988,142 | ||||||
445,000 | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(a) | 365,456 | ||||||
115,000 | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75(a) | 94,300 | ||||||
180,000 | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | 182,866 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Pharmaceuticals, continued | ||||||||
$ | 76,000 | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | $ | 72,390 | ||||
30,000 | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(a) | 26,700 | ||||||
30,000 | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(a) | 26,325 | ||||||
540,000 | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 5.13%, 4/30/31, Callable 4/30/26 @ 102.56(a) | 472,500 | ||||||
40,000 | Viatris, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100 | 36,414 | ||||||
1,406,000 | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | 1,142,796 | ||||||
90,000 | Viatris, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100 | 65,151 | ||||||
|
| |||||||
3,675,840 | ||||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
140,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(a) | 120,400 | ||||||
335,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.63%, 10/1/28, Callable 10/1/23 @ 102.81(a) | 311,131 | ||||||
335,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(a) | 309,457 | ||||||
|
| |||||||
�� | 740,988 | |||||||
|
| |||||||
Real Estate (0.2%): | ||||||||
550,000 | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32, Callable 1/15/32 @ 100 | 499,348 | ||||||
250,000 | Realogy Group LLC / Realogy Co-Issuer Corp., 5.25%, 4/15/30, Callable 4/15/25 @ 102.63(a) | 184,375 | ||||||
731,000 | VICI Properties LP, 4.75%, 2/15/28, Callable 1/15/28 @ 100 | 696,278 | ||||||
1,082,000 | VICI Properties LP, 4.95%, 2/15/30, Callable 12/15/29 @ 100 | 1,015,728 | ||||||
25,000 | VICI Properties LP / VICI Note Co., Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(a) | 23,781 | ||||||
765,000 | VICI Properties LP / VICI Note Co., Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100(a) | 703,800 | ||||||
|
| |||||||
3,123,310 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
210,000 | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 171,824 | ||||||
175,000 | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | 138,031 | ||||||
145,000 | Realogy Group LLC / Realogy Co-Issuer Corp., 5.75%, 1/15/29, Callable 1/15/24 @ 102.88(a) | 110,744 | ||||||
725,000 | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a) | 641,625 | ||||||
|
| |||||||
1,062,224 | ||||||||
|
| |||||||
Retail & Whsle — Discretionary (0.0%†): | ||||||||
35,000 | MIWD Holdco II LLC / MIWD Finance Corp., 5.50%, 2/1/30, Callable 2/1/25 @ 102.75(a) | 28,175 | ||||||
|
| |||||||
Road & Rail (0.0%†): | ||||||||
135,000 | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(a) | 110,363 | ||||||
|
|
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Semiconductors & Semiconductor Equipment (0.4%): | ||||||||
$ | 65,000 | Broadcom, Inc., 1.95%, 2/15/28, Callable 12/15/27 @ 100(a) | $ | 55,362 | ||||
4,136,000 | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(a) | 3,329,881 | ||||||
564,000 | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(a) | 434,251 | ||||||
1,648,000 | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(a) | 1,256,109 | ||||||
210,000 | Broadcom, Inc., 3.75%, 2/15/51, Callable 8/15/50 @ 100(a) | 156,673 | ||||||
310,000 | Entegris, Inc., 4.38%, 4/15/28, Callable 4/15/23 @ 102.19(a) | 274,350 | ||||||
375,000 | Entegris, Inc., 3.63%, 5/1/29, Callable 5/1/24 @ 102.72(a) | 312,187 | ||||||
50,000 | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | 44,125 | ||||||
|
| |||||||
5,862,938 | ||||||||
|
| |||||||
Software (0.4%): | ||||||||
40,000 | Acuris Finance US, Inc. / Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(a) | 32,600 | ||||||
35,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 8/8/22 @ 103.56(a) | 33,250 | ||||||
220,000 | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(a) | 218,900 | ||||||
25,000 | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(a) | 20,906 | ||||||
25,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(a) | 20,313 | ||||||
65,000 | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(a) | 54,112 | ||||||
150,000 | Fair Isaac Corp., 4.00%, 6/15/28, Callable 12/15/22 @ 102(a) | 132,750 | ||||||
220,000 | MicroStrategy, Inc., 6.13%, 6/15/28, Callable 6/15/24 @ 103.06^(a) | 176,000 | ||||||
253,000 | Oracle Corp., 1.65%, 3/25/26, Callable 2/25/26 @ 100 | 226,886 | ||||||
2,200,000 | Oracle Corp., 2.80%, 4/1/27, Callable 2/1/27 @ 100 | 2,013,389 | ||||||
400,000 | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | 345,207 | ||||||
2,990,000 | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | 2,467,465 | ||||||
|
| |||||||
5,741,778 | ||||||||
|
| |||||||
Specialty Retail (0.4%): | ||||||||
80,000 | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(a) | 65,600 | ||||||
85,000 | Asbury Automotive Group, Inc., 5.00%, 2/15/32, Callable 11/15/26 @ 102.5(a) | 69,488 | ||||||
32,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 30,212 | ||||||
49,000 | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | 48,482 | ||||||
1,229,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 1,170,090 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Specialty Retail, continued | ||||||||
$ | 120,000 | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(a) | $ | 75,900 | ||||
125,000 | Carvana Co., 10.25%, 5/1/30, Callable 5/1/27 @ 105.13(a) | 101,250 | ||||||
65,000 | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102(a) | 49,075 | ||||||
125,000 | Gap, Inc. (The), 3.88%, 10/1/31, Callable 10/1/26 @ 101.94(a) | 87,188 | ||||||
565,000 | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(a) | 480,250 | ||||||
80,000 | Lowe’s Cos., Inc., 3.35%, 4/1/27, Callable 3/1/27 @ 100 | 76,913 | ||||||
1,165,000 | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | 1,153,762 | ||||||
246,000 | Lowe’s Cos., Inc., 3.75%, 4/1/32, Callable 1/1/32 @ 100 | 228,642 | ||||||
1,003,000 | Lowe’s Cos., Inc., 4.25%, 4/1/52, Callable 10/1/51 @ 100 | 873,059 | ||||||
1,138,000 | Lowe’s Cos., Inc., 4.45%, 4/1/62, Callable 10/1/61 @ 100 | 976,033 | ||||||
20,000 | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(a) | 13,450 | ||||||
15,000 | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19^(a) | 11,662 | ||||||
85,000 | Victoria’s Secret & Co., 4.63%, 7/15/29, Callable 7/15/24 @ 102.31(a) | 63,963 | ||||||
|
| |||||||
5,575,019 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.1%): | ||||||||
320,000 | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100 | 323,553 | ||||||
55,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100 | 56,779 | ||||||
83,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | 85,991 | ||||||
101,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | 105,920 | ||||||
87,000 | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100 | 90,843 | ||||||
|
| |||||||
663,086 | ||||||||
|
| |||||||
Telecommunications (0.0%†): | ||||||||
305,000 | Cogent Communications Group, Inc., 7.00%, 6/15/27, Callable 6/15/24 @ 103.5(a) | 291,275 | ||||||
145,000 | Frontier Communications Holdings LLC, 8.75%, 5/15/30, Callable 5/15/25 @ 104.38(a) | 146,088 | ||||||
|
| |||||||
437,363 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.0%†): | ||||||||
130,000 | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(a) | 91,000 | ||||||
40,000 | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(a) | 31,600 | ||||||
45,000 | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75(a) | 36,562 | ||||||
235,000 | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(a) | 188,588 | ||||||
|
| |||||||
347,750 | ||||||||
|
|
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Tobacco (0.1%): | ||||||||
$ | 294,000 | Altria Group, Inc., 4.25%, 8/9/42 | $ | 217,716 | ||||
191,000 | Altria Group, Inc., 4.50%, 5/2/43 | 144,913 | ||||||
175,000 | Altria Group, Inc., 5.38%, 1/31/44 | 152,784 | ||||||
72,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | 63,887 | ||||||
232,000 | Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100 | 231,224 | ||||||
120,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | 112,753 | ||||||
45,000 | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 2/15/23 @ 102.81(a) | 40,162 | ||||||
|
| |||||||
963,439 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
295,000 | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | 292,501 | ||||||
2,465,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 2,319,587 | ||||||
30,000 | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(a) | 21,900 | ||||||
30,000 | SRS Distribution, Inc., 4.63%, 7/1/28, Callable 7/1/24 @ 102.31(a) | 26,250 | ||||||
15,000 | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06(a) | 11,775 | ||||||
90,000 | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(a) | 70,650 | ||||||
|
| |||||||
2,742,663 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
1,155,000 | Sprint Capital Corp., 8.75%, 3/15/32 | 1,387,444 | ||||||
1,265,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 1,328,250 | ||||||
2,860,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 2,754,248 | ||||||
40,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | 38,700 | ||||||
45,000 | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69 | 39,498 | ||||||
430,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 402,489 | ||||||
56,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | 49,994 | ||||||
110,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 97,824 | ||||||
|
| |||||||
6,098,447 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $340,898,382) | 295,556,785 | |||||||
|
| |||||||
Yankee Debt Obligations (6.0%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
2,000,000 | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(a) | 1,835,000 | ||||||
34,000 | Bombardier, Inc., 7.50%, 3/15/25, Callable 8/8/22 @ 101.25(a) | 30,727 | ||||||
500,000 | Bombardier, Inc., 7.13%, 6/15/26, Callable 6/15/23 @ 103.56(a) | 408,750 | ||||||
620,000 | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(a) | 461,900 | ||||||
|
| |||||||
2,736,377 | ||||||||
|
|
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Airlines (0.0%†): | ||||||||
$ | 240,000 | VistaJet Malta Finance PLC / XO Management Holding, Inc., 7.88%, 5/1/27, Callable 5/1/24 @ 103.94(a) | $ | 211,800 | ||||
215,000 | VistaJet Malta Finance PLC / XO Management Holding, Inc., 6.38%, 2/1/30, Callable 2/1/25 @ 103.19(a) | 171,731 | ||||||
|
| |||||||
383,531 | ||||||||
|
| |||||||
Banks (1.9%): | ||||||||
585,000 | Barclays plc, 4.38%, 1/12/26 | 577,450 | ||||||
2,543,000 | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | 2,402,540 | ||||||
2,377,000 | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | 2,263,646 | ||||||
200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(a) | 178,772 | ||||||
530,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 524,920 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 204,238 | ||||||
1,000,000 | HSBC Holdings plc, 4.95%, 3/31/30 | 988,170 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 192,324 | ||||||
6,069,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(a) | 5,732,747 | ||||||
3,200,000 | Natwest Group plc, 5.13%, 5/28/24 | 3,215,395 | ||||||
2,550,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | 2,564,874 | ||||||
547,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 555,417 | ||||||
2,625,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 2,670,300 | ||||||
680,000 | Societe Generale SA, 1.04% (H15T1Y+75 bps), 6/18/25, Callable 6/18/24 @ 100^(a) | 636,482 | ||||||
3,863,000 | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(a) | 3,411,744 | ||||||
186,000 | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | 170,816 | ||||||
|
| |||||||
26,289,835 | ||||||||
|
| |||||||
Biotechnology (0.0%†): | ||||||||
200,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(a) | 173,500 | ||||||
|
| |||||||
Capital Markets (1.2%): | ||||||||
787,000 | Credit Suisse Group AG, 3.80%, 6/9/23 | 782,137 | ||||||
4,009,000 | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(a) | 3,770,789 | ||||||
2,514,000 | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(a) | 2,235,409 | ||||||
670,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.80%, 9/15/22 | 669,861 | ||||||
470,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | 456,419 | ||||||
860,000 | Deutsche Bank AG, 3.30%, 11/16/22 | 858,749 | ||||||
4,610,000 | Deutsche Bank AG, 4.50%, 4/1/25^ | 4,391,804 | ||||||
774,000 | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(a) | 676,341 | ||||||
|
| |||||||
13,841,509 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
350,000 | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 7/18/22 @ 103.25(a) | 325,500 | ||||||
510,000 | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | 452,625 |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Chemicals, continued | ||||||||
$ | 230,000 | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100^ | $ | 193,775 | ||||
255,000 | Methanex Corp., 5.65%, 12/1/44, Callable 6/1/44 @ 100 | 178,198 | ||||||
125,000 | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(a) | 105,156 | ||||||
|
| |||||||
1,255,254 | ||||||||
|
| |||||||
Consumer Discretionary Services (0.0%†): | ||||||||
115,000 | Studio City Co., Ltd., 7.00%, 2/15/27, Callable 2/15/24 @ 103.5(a) | 99,188 | ||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
15,000 | Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 103(a) | 12,337 | ||||||
740,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(a) | 695,600 | ||||||
|
| |||||||
707,937 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
33,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(a) | 26,813 | ||||||
980,000 | GEMS MENASA Cayman, Ltd. / GEMS Education Delaware LLC, 7.13%, 7/31/26, Callable 8/8/22 @ 103.56(a) | 921,200 | ||||||
|
| |||||||
948,013 | ||||||||
|
| |||||||
Diversified Financial Services (0.5%): | ||||||||
780,000 | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(a) | 625,950 | ||||||
1,050,000 | Altice Financing SA, 5.75%, 8/15/29, Callable 8/15/24 @ 102.88(a) | 842,625 | ||||||
1,601,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(a) | 1,440,900 | ||||||
430,000 | Dolya Holdco 18 DAC, 5.00%, 7/15/28, Callable 7/15/23 @ 102.5(a) | 356,900 | ||||||
1,355,000 | Park Aerospace Holdings, 5.50%, 2/15/24(a) | 1,339,756 | ||||||
780,000 | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(a) | 626,925 | ||||||
|
| |||||||
5,233,056 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
700,000 | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103^(a) | 495,250 | ||||||
470,000 | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(a) | 356,025 | ||||||
55,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 41,525 | ||||||
|
| |||||||
892,800 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
379,688 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 8/8/22 @ 105.16(a) | 338,871 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
35,000 | 1011778 BC ULC / New Red Finance, Inc., 5.75%, 4/15/25, Callable 8/8/22 @ 102.88^(a) | 35,175 | ||||||
525,000 | 1011778 BC ULC / New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(a) | 425,250 |
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 45,000 | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(a) | $ | 29,025 | ||||
40,000 | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69^(a) | 25,000 | ||||||
|
| |||||||
514,450 | ||||||||
|
| |||||||
Insurance (0.2%): | ||||||||
1,414,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(a) | 1,331,663 | ||||||
1,200,000 | AIA Group, Ltd., 3.20%, 9/16/40, Callable 3/16/40 @ 100(a) | 962,506 | ||||||
200,000 | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(a) | 189,000 | ||||||
|
| |||||||
2,483,169 | ||||||||
|
| |||||||
Materials (0.0%†): | ||||||||
125,000 | Cerdia Finanz GmbH, 10.50%, 2/15/27, Callable 2/15/24 @ 105.25(a) | 102,031 | ||||||
530,000 | NOVA Chemicals Corp., 5.25%, 6/1/27, Callable 3/3/27 @ 100(a) | 453,812 | ||||||
500,000 | Nufarm Australia, Ltd. / Nufarm Americas, Inc., 5.00%, 1/27/30, Callable 1/27/25 @ 102.5(a) | 422,500 | ||||||
|
| |||||||
978,343 | ||||||||
|
| |||||||
Media (0.0%†): | ||||||||
565,000 | VZ Secured Financing BV, 5.00%, 1/15/32, Callable 1/15/27 @ 102.5(a) | 468,950 | ||||||
335,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(a) | 262,975 | ||||||
|
| |||||||
731,925 | ||||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
695,000 | ERO Copper Corp., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(a) | 556,000 | ||||||
500,000 | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 7/18/22 @ 103.44(a) | 457,500 | ||||||
35,000 | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(a) | 31,325 | ||||||
5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(a) | 4,444 | ||||||
85,000 | Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24, Callable 8/8/22 @ 109(a) | 82,981 | ||||||
180,000 | Mineral Resources, Ltd., 8.00%, 11/1/27, Callable 11/1/24 @ 104(a) | 174,600 | ||||||
|
| |||||||
1,306,850 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
1,373,000 | InterGen NV, 7.00%, 6/30/23, Callable 8/8/22 @ 100(a) | 1,328,378 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.1%): | ||||||||
2,502,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | 2,455,087 | ||||||
335,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 7/18/22 @ 101.69(a) | 315,319 | ||||||
510,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 8/8/22 @ 104.25(a) | 494,700 | ||||||
145,000 | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | 145,412 |
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 565,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(a) | $ | 565,000 | ||||
2,500,000 | Petroleos Mexicanos, 4.50%, 1/23/26 | 2,150,310 | ||||||
916,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | 719,033 | ||||||
4,780,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100 | 3,492,182 | ||||||
2,228,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 1,365,530 | ||||||
5,000,000 | Petroleos Mexicanos, 6.35%, 2/12/48 | 2,926,595 | ||||||
336,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | 208,436 | ||||||
45,000 | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(a) | 42,075 | ||||||
|
| |||||||
14,879,679 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%†): | ||||||||
295,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 8/8/22 @ 101.38(a) | 258,862 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
60,000 | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(a) | 53,400 | ||||||
460,000 | Open Text Corp., 3.88%, 12/1/29, Callable 12/1/24 @ 101.94(a) | 395,600 | ||||||
|
| |||||||
449,000 | ||||||||
|
| |||||||
Sovereign Bond (0.3%): | ||||||||
300,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(a) | 267,702 | ||||||
37,622 | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 8/8/22 @ 100 | 8,465 | ||||||
342,505 | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 8/8/22 @ 100 | 78,348 | ||||||
627,494 | Argentine Republic Government International Bond, 0.12%, 7/9/35, Callable 8/8/22 @ 100 | 134,127 | ||||||
300,000 | Corp. Andina de Fomento, 2.38%, 5/12/23 | 297,786 | ||||||
900,000 | Dominican Republic, 5.50%, 1/27/25(a) | 891,000 | ||||||
3,150,000 | Dominican Republic, 6.00%, 7/19/28(a) | 2,909,812 | ||||||
375,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | 322,524 | ||||||
350,000 | Qatar Government International Bond, 4.40%, 4/16/50(a) | 335,157 | ||||||
200,000 | Saudi Government International Bond, 3.25%, 10/22/30(a) | 188,353 | ||||||
200,000 | Saudi Government International Bond, 4.50%, 4/22/60(a) | 184,599 | ||||||
|
| |||||||
5,617,873 | ||||||||
|
| |||||||
Telecommunications (0.0%†): | ||||||||
250,000 | Intelsat Jackson Holdings SA, 6.50%, 3/15/30, Callable 3/15/25 @ 102(a) | 206,380 | ||||||
|
| |||||||
Trading Companies & Distributors (0.3%): | ||||||||
2,200,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 2.88%, 8/14/24, Callable 7/14/24 @ 100 | 2,103,543 | ||||||
320,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | 318,481 |
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Trading Companies & Distributors, continued | ||||||||
$ | 1,379,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24, Callable 9/29/24 @ 100 | $ | 1,273,774 | ||||
151,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | 154,476 | ||||||
163,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 156,161 | ||||||
503,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | 438,253 | ||||||
527,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28, Callable 8/29/28 @ 100 | 444,188 | ||||||
564,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | 452,509 | ||||||
|
| |||||||
5,341,385 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.0%†): | ||||||||
330,000 | Empresa Nacional del Pet, 4.38%, 10/30/24(a) | 329,175 | ||||||
450,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(a) | 394,313 | ||||||
295,000 | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(a) | 218,300 | ||||||
562,000 | Rogers Communications, Inc., 3.20%, 3/15/27, Callable 2/15/27 @ 100(a) | 534,232 | ||||||
490,000 | Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100(a) | 450,051 | ||||||
|
| |||||||
1,926,071 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $103,183,276) | 88,922,236 | |||||||
|
| |||||||
Municipal Bonds (0.2%): | ||||||||
California (0.0%†): | ||||||||
140,000 | California State, Build America Bonds, GO, 7.55%, 4/1/39 | 190,546 | ||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 13,073 | ||||||
|
| |||||||
203,619 | ||||||||
|
| |||||||
Illinois (0.2%): | ||||||||
3,235,000 | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | 3,220,410 | ||||||
34,091 | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | 34,357 | ||||||
|
| |||||||
3,254,767 | ||||||||
|
| |||||||
New Jersey (0.0%†): | ||||||||
339,000 | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | 382,636 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $3,771,051) | 3,841,022 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (11.1%): | ||||||||
Federal National Mortgage Association (6.6%) | ||||||||
35,156 | 2.50%, 5/1/31, Pool #BC0919 | 33,715 | ||||||
50,801 | 2.50%, 8/1/31, Pool #BC2778 | 48,707 | ||||||
35,890 | 2.50%, 10/1/31, Pool #AS8010 | 34,504 |
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 245,097 | 2.50%, 1/1/32, Pool #BE3032 | $ | 238,143 | ||||
39,643 | 2.50%, 9/1/32, Pool #MA3124 | 38,394 | ||||||
21,302 | 3.00%, 3/1/33, Pool #BM4614 | 20,913 | ||||||
350,681 | 6.00%, 5/1/36, Pool #745512 | 385,518 | ||||||
131,693 | 2.00%, 12/1/36, Pool #BU1384 | 123,297 | ||||||
3,000,000 | 1.50%, 7/25/37, TBA | 2,729,531 | ||||||
9,250,000 | 2.00%, 7/25/37, TBA | 8,642,969 | ||||||
53,871 | 1.50%, 11/1/40, Pool #MA4175 | 46,444 | ||||||
507,803 | 2.00%, 11/1/40, Pool #MA4176 | 457,207 | ||||||
19,581 | 2.00%, 12/1/40, Pool #MA4204 | 17,380 | ||||||
53,731 | 1.50%, 12/1/40, Pool #MA4202 | 46,325 | ||||||
13,898 | 3.50%, 12/1/40, Pool #AH1556 | 13,718 | ||||||
56,821 | 1.50%, 1/1/41, Pool #MA4231 | 48,991 | ||||||
57,842 | 1.50%, 2/1/41, Pool #MA4266 | 48,881 | ||||||
20,930 | 2.00%, 2/1/41, Pool #MA4268 | 18,595 | ||||||
21,407 | 2.00%, 3/1/41, Pool #MA4287 | 19,019 | ||||||
58,914 | 1.50%, 3/1/41, Pool #MA4286 | 49,785 | ||||||
21,953 | 2.00%, 4/1/41, Pool #MA4311 | 19,503 | ||||||
341,488 | 2.00%, 5/1/41, Pool #MA4333 | 303,363 | ||||||
22,565 | 2.00%, 6/1/41, Pool #MA4364 | 20,045 | ||||||
23,542 | 2.00%, 10/1/41, Pool #MA4446 | 20,940 | ||||||
365,610 | 2.00%, 2/1/42, Pool #MA4540 | 326,853 | ||||||
35,805 | 4.00%, 10/1/43, Pool #BM1167 | 36,000 | ||||||
258,294 | 4.50%, 3/1/44, Pool #AV0957 | 263,244 | ||||||
135,433 | 4.50%, 7/1/44, Pool #AS3062 | 137,266 | ||||||
152,978 | 4.50%, 12/1/44, Pool #AS4176 | 155,754 | ||||||
124,024 | 4.00%, 5/1/45, Pool #AZ1207 | 122,541 | ||||||
129,424 | 4.00%, 6/1/45, Pool #AY8096 | 127,880 | ||||||
59,152 | 4.00%, 6/1/45, Pool #AY8126 | 58,444 | ||||||
246,863 | 3.50%, 7/1/45, Pool #AZ0814 | 238,440 | ||||||
171,711 | 3.50%, 8/1/45, Pool #AY8424 | 165,855 | ||||||
24,633 | 4.00%, 12/1/45, Pool #AS6352 | 24,338 | ||||||
7,113 | 4.50%, 1/1/46, Pool #AY3890 | 7,206 | ||||||
63,517 | 4.00%, 2/1/46, Pool #BC1578 | 62,818 | ||||||
4,186 | 4.50%, 3/1/46, Pool #BC0287 | 4,375 | ||||||
249,061 | 4.00%, 4/1/46, Pool #AL8468 | 248,197 | ||||||
19,883 | 4.00%, 4/1/46, Pool #AS7024 | 19,676 | ||||||
23,263 | 4.50%, 6/1/46, Pool #BD1238 | 23,706 | ||||||
165,800 | 4.00%, 6/1/46, Pool #AL9282 | 163,972 | ||||||
97,920 | 4.00%, 7/1/46, Pool #BC1443 | 97,853 | ||||||
26,429 | 4.00%, 9/1/46, Pool #BD1489 | 26,134 | ||||||
102,899 | 4.00%, 9/1/46, Pool #BC2843 | 102,829 | ||||||
17,567 | 4.00%, 10/1/46, Pool #BD7599 | 17,371 | ||||||
56,647 | 4.50%, 10/1/46, Pool #BE1671 | 57,414 | ||||||
95,540 | 4.00%, 10/1/46, Pool #BC4754 | 95,475 | ||||||
51,253 | 4.50%, 11/1/46, Pool #BE2386 | 53,566 | ||||||
4,727 | 4.50%, 12/1/46, Pool #BC9079 | 4,939 | ||||||
101,573 | 4.50%, 12/1/46, Pool #BE4488 | 106,159 | ||||||
259,665 | 3.50%, 12/1/46, Pool #BC9077 | 257,882 | ||||||
30,281 | 4.50%, 1/1/47, Pool #BE6506 | 30,872 | ||||||
18,246 | 4.50%, 1/1/47, Pool #BE7087 | 18,615 | ||||||
47,783 | 4.50%, 2/1/47, Pool #BE8498 | 48,476 | ||||||
361,754 | 4.00%, 2/1/47, Pool #AL9779 | 360,835 | ||||||
48,371 | 4.00%, 5/1/47, Pool #BM1277 | 48,026 | ||||||
5,339 | 4.00%, 6/1/47, Pool #BH4269 | 5,301 | ||||||
19,235 | 4.50%, 6/1/47, Pool #BH0561 | 19,495 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 8,653 | 4.50%, 6/1/47, Pool #BE9387 | $ | 8,832 | ||||
53,275 | 4.50%, 6/1/47, Pool #BE3663 | 54,370 | ||||||
45,469 | 4.50%, 7/1/47, Pool #BE3749 | 46,398 | ||||||
27,021 | 4.00%, 7/1/47, Pool #AS9968 | 26,828 | ||||||
51,501 | 4.00%, 4/1/48, Pool #BM3700 | 51,134 | ||||||
19,487 | 4.50%, 4/1/48, Pool #BJ5454 | 19,645 | ||||||
6,120 | 4.50%, 5/1/48, Pool #BJ5507 | 6,170 | ||||||
270,501 | 4.50%, 10/1/48, Pool #CA2432 | 274,739 | ||||||
68,501 | 4.50%, 10/25/48, Pool #BM4548 | 70,773 | ||||||
322,267 | 4.50%, 12/1/48, Pool #CA2797 | 326,784 | ||||||
181,403 | 4.50%, 9/1/49, Pool #FM1534 | 190,039 | ||||||
41,954 | 3.50%, 11/1/49, Pool #CA4557 | 40,576 | ||||||
254,990 | 4.00%, 11/1/49, Pool #CA4628 | 255,200 | ||||||
9,672 | 3.00%, 11/1/49, Pool #BO8254 | 9,046 | ||||||
136,728 | 3.00%, 1/1/50, Pool #CA5019 | 127,862 | ||||||
181,841 | 3.00%, 1/1/50, Pool #MA3905 | 171,279 | ||||||
181,021 | 3.00%, 2/1/50, Pool #CA5126 | 169,338 | ||||||
561,843 | 4.00%, 3/1/50, Pool #FM3663 | 559,564 | ||||||
137,065 | 3.00%, 4/1/50, Pool #MA3991 | 128,500 | ||||||
92,350 | 2.00%, 7/1/50, Pool #FM3897 | 80,961 | ||||||
130,748 | 2.00%, 7/1/50, Pool #CA6275 | 114,560 | ||||||
2,769,271 | 3.50%, 8/1/50, Pool #FM7147 | 2,711,510 | ||||||
636,696 | 3.00%, 8/1/50, Pool #FM6118 | 595,199 | ||||||
360,038 | 2.50%, 8/1/50, Pool #SD0430 | 324,950 | ||||||
55,395 | 3.00%, 9/1/50, Pool #FM4317 | 51,827 | ||||||
141,262 | 3.00%, 9/1/50, Pool #CA6998 | 132,047 | ||||||
165,569 | 2.50%, 10/1/50, Pool #CA7229 | 150,600 | ||||||
138,770 | 2.00%, 10/1/50, Pool #CA7323 | 120,770 | ||||||
90,724 | 2.00%, 11/1/50, Pool #C47616 | 78,830 | ||||||
156,159 | 3.00%, 12/1/50, Pool #FM7827 | 146,801 | ||||||
2,208,671 | 2.00%, 3/1/51, Pool #MA4281 | 1,919,450 | ||||||
1,108,972 | 2.50%, 4/1/51, Pool #FM6540 | 1,011,153 | ||||||
4,325,432 | 3.00%, 4/1/51, Pool #BR9775 | 4,045,297 | ||||||
2,143,925 | 2.00%, 4/1/51, Pool #MA4305 | 1,863,070 | ||||||
630,506 | 3.00%, 5/1/51, Pool #CB0531 | 589,174 | ||||||
1,396,908 | 3.00%, 6/1/51, Pool #CB0850 | 1,305,402 | ||||||
45,483 | 2.00%, 7/1/51, Pool #BQ1010 | 39,543 | ||||||
513,581 | 3.00%, 7/1/51, Pool #FM8077 | 479,862 | ||||||
20,357 | 2.00%, 7/1/51, Pool #BT1461 | 17,710 | ||||||
518,009 | 2.50%, 8/1/51, Pool #CB1384 | 467,189 | ||||||
2,800,000 | 5.00%, 8/25/51, TBA | 2,850,313 | ||||||
1,100,000 | 3.00%, 8/25/51, TBA | 1,024,719 | ||||||
382,531 | 2.50%, 9/1/51, Pool #CB1549 | 345,122 | ||||||
670,440 | 2.00%, 10/1/51, Pool #CB1801 | 582,500 | ||||||
503,859 | 2.00%, 10/1/51, Pool #CB1799 | 437,804 | ||||||
548,540 | 2.00%, 11/1/51, Pool #FM9539 | 476,633 | ||||||
850,533 | 2.00%, 11/1/51, Pool #FM9568 | 738,999 | ||||||
1,351,631 | 2.50%, 11/1/51, Pool #FM9501 | 1,219,359 | ||||||
1,074,413 | 2.00%, 12/1/51, Pool #CB2349 | 933,410 | ||||||
1,655,336 | 2.50%, 12/1/51, Pool #FM9865 | 1,493,292 | ||||||
444,910 | 3.00%, 12/1/51, Pool #BT9503 | 415,578 | ||||||
362,806 | 2.50%, 12/1/51, Pool #CB2376 | 327,225 | ||||||
385,914 | 2.00%, 12/1/51, Pool #CB2350 | 335,281 | ||||||
291,229 | 2.00%, 12/1/51, Pool #CB2348 | 253,021 | ||||||
292,067 | 2.00%, 12/1/51, Pool #CB2347 | 253,743 | ||||||
407,728 | 2.50%, 12/1/51, Pool #CB2321 | 368,048 |
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 385,830 | 2.50%, 12/1/51, Pool #CB2320 | $ | 348,082 | ||||
921,391 | 2.50%, 12/1/51, Pool #CB2289 | 831,732 | ||||||
704,831 | 2.00%, 1/1/52, Pool #FS0288 | 612,280 | ||||||
382,426 | 3.50%, 1/1/52, Pool #MA4514 | 368,706 | ||||||
281,123 | 3.00%, 1/1/52, Pool #CB2662 | 262,411 | ||||||
1,634,593 | 2.00%, 1/1/52, Pool #FS0286 | 1,421,068 | ||||||
1,027,840 | 2.50%, 2/1/52, Pool #FS0605 | 927,812 | ||||||
972,854 | 3.00%, 2/1/52, Pool #FS0631 | 909,343 | ||||||
1,669,826 | 2.00%, 2/1/52, Pool #CB2842 | 1,450,425 | ||||||
468,790 | 3.50%, 3/1/52, Pool #CB3174 | 451,892 | ||||||
662,991 | 2.50%, 3/1/52, Pool #FS1082 | 604,249 | ||||||
170,702 | 3.00%, 3/1/52, Pool #MA4564 | 159,437 | ||||||
671,979 | 3.00%, 3/1/52, Pool #BV0350 | 627,617 | ||||||
972,109 | 3.00%, 5/1/52, Pool #CB3584 | 908,259 | ||||||
700,484 | 4.50%, 7/1/52, Pool #CB4064 | 712,971 | ||||||
2,375,000 | 4.50%, 7/25/52, TBA | 2,385,020 | ||||||
6,200,000 | 4.00%, 7/25/52, TBA | 6,116,688 | ||||||
6,750,000 | 3.50%, 7/25/52, TBA | 6,492,656 | ||||||
2,000,000 | 3.00%, 7/25/52, TBA | 1,865,313 | ||||||
6,700,000 | 2.50%, 7/25/52, TBA | 6,032,094 | ||||||
4,900,000 | 1.50%, 7/25/52, TBA | 4,064,703 | ||||||
3,225,000 | 2.00%, 7/25/52, TBA | 2,799,199 | ||||||
5,000,000 | 2.50%, 8/25/52, TBA | 4,496,094 | ||||||
6,150,000 | 2.00%, 8/25/52, TBA | 5,331,281 | ||||||
|
| |||||||
97,981,055 | ||||||||
|
| |||||||
Government National Mortgage Association (2.4%) | ||||||||
18,429 | 4.00%, 10/20/40, Pool #G24833 | 18,769 | ||||||
55,655 | 4.00%, 1/20/41, Pool #4922 | 56,683 | ||||||
59,009 | 4.00%, 8/15/41, Pool #430354 | 59,362 | ||||||
633,099 | 4.00%, 1/20/42, Pool #5280 | 644,789 | ||||||
85,495 | 4.00%, 11/20/42, Pool #MA0535 | 86,292 | ||||||
206,138 | 3.00%, 12/20/42, Pool #AA5872 | 195,791 | ||||||
133,773 | 3.00%, 3/20/43, Pool #AA6146 | 133,454 | ||||||
25,693 | 3.50%, 3/20/43, Pool #AD8884 | 25,240 | ||||||
58,851 | 3.00%, 3/20/43, Pool #AD8812 | 58,085 | ||||||
9,771 | 3.50%, 4/20/43, Pool #AB9891 | 9,599 | ||||||
25,973 | 3.50%, 4/20/43, Pool #AD9075 | 25,516 | ||||||
54,796 | 4.00%, 5/20/46, Pool #MA3664 | 55,274 | ||||||
275,470 | 3.00%, 12/20/46, Pool #MA4126 | 263,508 | ||||||
50,287 | 4.00%, 1/15/47, Pool #AX5857 | 51,050 | ||||||
37,433 | 4.00%, 1/15/47, Pool #AX5831 | 37,783 | ||||||
391,437 | 3.00%, 1/20/47, Pool #MA4195 | 370,132 | ||||||
166,090 | 4.00%, 3/20/47, Pool #MA4322 | 167,229 | ||||||
28,299 | 4.00%, 4/20/47, Pool #MA4383 | 28,493 | ||||||
90,227 | 4.00%, 4/20/47, Pool #784303 | 89,710 | ||||||
95,516 | 4.00%, 4/20/47, Pool #784304 | 94,969 | ||||||
30,582 | 4.00%, 5/20/47, Pool #MA4452 | 30,792 | ||||||
19,856 | 3.50%, 2/20/48, Pool #MA5019 | 19,424 | ||||||
15,218 | 4.00%, 4/20/48, Pool #BG7744 | 15,321 | ||||||
18,412 | 4.00%, 4/20/48, Pool #BG3507 | 18,536 | ||||||
4,033 | 3.50%, 12/20/49, Pool #BR8987 | 4,073 | ||||||
7,994 | 3.50%, 12/20/49, Pool #BR8985 | 7,776 | ||||||
2,843 | 3.50%, 12/20/49, Pool #BR8984 | 2,729 | ||||||
268,156 | 3.50%, 4/20/50, Pool #MA6600 | 261,840 | ||||||
1,955,697 | 3.50%, 11/20/50, Pool #MA6997 | 1,909,565 | ||||||
581,882 | 3.00%, 9/20/51, Pool #MA7590 | 549,943 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 591,529 | 3.00%, 10/20/51, Pool #MA7650 | $ | 559,010 | ||||
72,501 | 2.50%, 12/20/51, Pool #MA7767 | 66,490 | ||||||
3,300,000 | 3.50%, 7/20/52, TBA | 3,205,641 | ||||||
3,000,000 | 4.00%, 7/20/52, TBA | 2,986,875 | ||||||
3,200,000 | 4.50%, 7/20/52, TBA | 3,247,000 | ||||||
9,275,000 | 2.50%, 7/20/52, TBA | 8,495,320 | ||||||
4,550,000 | 2.00%, 7/20/52, TBA | 4,035,281 | ||||||
3,125,000 | 3.00%, 7/20/52, TBA | 2,949,219 | ||||||
6,300,000 | 2.00%, 8/20/52, TBA | 5,583,375 | ||||||
|
| |||||||
36,419,938 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (2.1%) | ||||||||
32,608 | 2.50%, 6/1/31, Pool #J34501 | 31,343 | ||||||
22,975 | 2.50%, 6/1/31, Pool #G18604 | 22,342 | ||||||
40,234 | 2.50%, 7/1/31, Pool #V61246 | 38,654 | ||||||
68,840 | 2.50%, 8/1/31, Pool #V61273 | 66,434 | ||||||
178,147 | 3.50%, 3/1/32, Pool #C91403 | 174,561 | ||||||
533,758 | 3.50%, 7/1/32, Pool #C91467 | 523,010 | ||||||
138,304 | 2.50%, 12/1/32, Pool #G18669 | 134,069 | ||||||
31,179 | 2.50%, 3/1/33, Pool #G18680 | 29,921 | ||||||
126,812 | 3.00%, 4/1/33, Pool #G18684 | 124,242 | ||||||
40,787 | 3.00%, 5/1/33, Pool #G16550 | 40,155 | ||||||
105,183 | 2.50%, 7/1/33, Pool #G16661 | 101,767 | ||||||
29,426 | 3.00%, 4/1/34, Pool #G16829 | 29,083 | ||||||
148,833 | 3.50%, 10/1/34, Pool #C91793 | 146,331 | ||||||
408,442 | 4.00%, 5/1/37, Pool #C91938 | 408,927 | ||||||
179,332 | 4.00%, 11/1/40, Pool #A95150 | 181,783 | ||||||
35,081 | 1.50%, 12/1/40, Pool #RB5089 | 30,247 | ||||||
58,047 | 1.50%, 2/1/41, Pool #RB5099 | 49,051 | ||||||
58,999 | 1.50%, 3/1/41, Pool #RB5104 | 49,858 | ||||||
58,416 | 1.50%, 4/1/41, Pool #RB5107 | 49,362 | ||||||
21,817 | 2.00%, 4/1/41, Pool #RB5108 | 19,383 | ||||||
22,566 | 2.00%, 7/1/41, Pool #RB5118 | 19,788 | ||||||
23,533 | 2.00%, 10/1/41, Pool #RB5131 | 20,932 | ||||||
254,337 | 3.50%, 1/1/44, Pool #G60271 | 246,661 | ||||||
504,627 | 3.50%, 1/1/44, Pool #G07922 | 496,955 | ||||||
65,121 | 4.00%, 2/1/45, Pool #G07949 | 66,591 | ||||||
58,407 | 3.50%, 11/1/45, Pool #Q37467 | 56,762 | ||||||
14,508 | 4.00%, 4/1/46, Pool #V82292 | 14,501 | ||||||
6,109 | 4.00%, 4/1/46, Pool #Q39975 | 6,083 | ||||||
113,469 | 3.50%, 9/1/46, Pool #Q43257 | 109,997 | ||||||
186,534 | 3.00%, 12/1/46, Pool #G60989 | 174,516 | ||||||
8,097 | 4.50%, 12/1/46, Pool #Q45028 | 8,468 | ||||||
5,931 | 4.50%, 1/1/47, Pool #Q45635 | 6,203 | ||||||
11,931 | 4.50%, 2/1/47, Pool #Q46222 | 12,183 | ||||||
9,635 | 4.50%, 5/1/47, Pool #Q47942 | 9,838 | ||||||
30,411 | 4.50%, 5/1/47, Pool #Q48095 | 31,052 | ||||||
20,573 | 4.50%, 5/1/47, Pool #Q47935 | 21,010 | ||||||
37,496 | 4.50%, 6/1/47, Pool #Q48759 | 38,291 | ||||||
242,805 | 4.00%, 6/1/47, Pool #Q48877 | 242,694 | ||||||
21,041 | 4.50%, 7/1/47, Pool #Q49393 | 21,484 | ||||||
93,674 | 4.50%, 12/1/47, Pool #Q53017 | 94,836 | ||||||
27,728 | 4.00%, 2/1/48, Pool #G61343 | 27,670 | ||||||
11,789 | 4.00%, 2/1/48, Pool #Q54499 | 11,783 | ||||||
34,359 | 4.50%, 4/1/48, Pool #Q55500 | 34,666 | ||||||
20,572 | 4.50%, 4/1/48, Pool #Q55724 | 20,757 | ||||||
48,925 | 4.50%, 4/1/48, Pool #Q55660 | 49,375 |
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 40,755 | 4.50%, 5/1/48, Pool #Q55839 | $ | 41,119 | ||||
108,938 | 4.00%, 5/1/48, Pool #Q55992 | 108,881 | ||||||
156,332 | 4.00%, 6/1/48, Pool #G67713 | 156,271 | ||||||
47,947 | 4.00%, 7/1/48, Pool #Q59935 | 47,869 | ||||||
27,118 | 4.50%, 10/1/48, Pool #G67716 | 27,792 | ||||||
157,662 | 3.00%, 6/1/49, Pool #ZT2090 | 148,514 | ||||||
737,787 | 4.50%, 7/1/49, Pool #RA1171 | 748,900 | ||||||
6,165 | 3.00%, 10/1/49, Pool #QA3907 | 5,765 | ||||||
9,147 | 3.00%, 11/1/49, Pool #QA4483 | 8,558 | ||||||
25,878 | 3.00%, 12/1/49, Pool #QA5154 | 24,210 | ||||||
10,221 | 3.00%, 12/1/49, Pool #QA5521 | 9,641 | ||||||
153,306 | 3.00%, 4/1/50, Pool #QA9049 | 144,387 | ||||||
353,722 | 2.00%, 6/1/50, Pool #RA2677 | 310,267 | ||||||
462,193 | 2.50%, 11/1/50, Pool #SD7530 | 417,208 | ||||||
2,338,122 | 2.50%, 2/1/51, Pool #SD7535 | 2,128,259 | ||||||
1,361,669 | 2.00%, 3/1/51, Pool #SD8134 | 1,183,354 | ||||||
1,376,835 | 2.00%, 5/1/51, Pool #SD7541 | 1,197,421 | ||||||
2,261,009 | 2.50%, 5/1/51, Pool #SD7540 | 2,041,073 | ||||||
46,757 | 2.00%, 5/1/51, Pool #QC1514 | 40,650 | ||||||
369,485 | 2.50%, 7/1/51, Pool #RA5574 | 333,284 | ||||||
28,786 | 2.00%, 7/1/51, Pool #QC4163 | 25,023 | ||||||
1,037,006 | 2.50%, 8/1/51, Pool #QC5848 | 934,598 | ||||||
485,726 | 3.00%, 9/1/51, Pool #QC6608 | 453,515 | ||||||
478,212 | 3.00%, 9/1/51, Pool #QC7496 | 446,739 | ||||||
1,262,943 | 2.00%, 10/1/51, Pool #RA5715 | 1,099,855 | ||||||
493,890 | 3.00%, 10/1/51, Pool #QC9077 | 461,300 | ||||||
722,792 | 2.00%, 10/1/51, Pool #RA6076 | 627,947 | ||||||
479,010 | 3.00%, 11/1/51, Pool #QD1240 | 447,597 | ||||||
1,248,683 | 2.00%, 11/1/51, Pool #RA6241 | 1,084,945 | ||||||
433,866 | 2.00%, 11/1/51, Pool #RA6302 | 376,901 | ||||||
675,525 | 2.50%, 12/1/51, Pool #RA6434 | 609,786 | ||||||
473,159 | 3.00%, 12/1/51, Pool #QD3200 | 442,092 | ||||||
485,822 | 2.00%, 12/1/51, Pool #RA6510 | 422,089 | ||||||
291,217 | 2.50%, 12/1/51, Pool #RA6496 | 262,872 | ||||||
2,217,404 | 2.50%, 12/1/51, Pool #RA6435 | 1,999,817 | ||||||
828,725 | 2.50%, 1/1/52, Pool #RA6622 | 747,299 | ||||||
416,223 | 3.00%, 1/1/52, Pool #RA6604 | 388,799 | ||||||
261,189 | 3.00%, 1/1/52, Pool #QD5561 | 243,976 | ||||||
1,078,966 | 2.00%, 2/1/52, Pool #RA6823 | 937,639 | ||||||
1,076,457 | 2.00%, 2/1/52, Pool #RA6824 | 935,159 | ||||||
721,962 | 3.50%, 3/1/52, Pool #RA6949 | 695,289 |
Principal Amount or Shares | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 748,498 | 3.50%, 3/1/52, Pool #RA6950 | $ | 722,938 | ||||
1,286,983 | 3.50%, 3/1/52, Pool #RA6987 | 1,243,782 | ||||||
2,477,592 | 3.00%, 3/1/52, Pool #RA6988 | 2,314,089 | ||||||
|
| |||||||
31,141,088 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $173,831,036) | 165,542,081 | |||||||
|
| |||||||
U.S. Treasury Obligations (21.5%): | ||||||||
U.S. Treasury Bonds (6.4%) | ||||||||
32,428,000 | 1.75%, 8/15/41 | 24,812,487 | ||||||
1,605,300 | 3.00%, 2/15/47 | 1,509,484 | ||||||
66,722,000 | 2.00%, 8/15/51 | 52,022,309 | ||||||
10,106,000 | 1.88%, 11/15/51 | 7,648,979 | ||||||
7,300,000 | 2.25%, 2/15/52 | 6,059,000 | ||||||
3,500,000 | 2.88%, 5/15/52 | 3,332,656 | ||||||
|
| |||||||
95,384,915 | ||||||||
|
| |||||||
U.S. Treasury Notes (15.1%) | ||||||||
72,300,000 | 0.13%, 5/31/23 | 70,492,500 | ||||||
85,000,000 | 0.75%, 5/31/26 | 77,867,969 | ||||||
18,472,000 | 1.25%, 12/31/26 | 17,098,145 | ||||||
7,155,200 | 1.25%, 5/31/28 | 6,456,450 | ||||||
17,310,000 | 1.25%, 9/30/28 | 15,533,020 | ||||||
43,791,000 | 1.38%, 11/15/31 | 38,091,328 | ||||||
|
| |||||||
225,539,412 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $364,707,415) | 320,924,327 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.6%): | ||||||||
9,269,106 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(f)(g) | 9,269,106 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 9,269,106 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.2%): | ||||||||
Money Markets (1.2%): | ||||||||
18,252,208 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(g) | 18,252,208 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $18,252,208) | 18,252,208 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,708,037,369) — 104.4% | 1,559,005,203 | |||||||
Net other assets (liabilities) — (4.4)% | (66,373,281 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,492,631,922 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $8,902,249. |
See accompanying notes to the financial statements.
28
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
† | Represents less than 0.05%. |
(a) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees. |
(b) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2022. |
(c) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. The total of all such securities represent 0.03% of the net assets of the fund. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2022, these securities represent 0.03% of the net assets of the fund. |
(e) | Defaulted bond. |
(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, 2022. |
(g) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/16/22 | 135 | $ | 25,579,125 | $ | (211,730 | ) | |||||||||
|
| |||||||||||||||
$ | (211,730 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
29
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,708,037,369 | |||
|
| ||||
Investment securities, at value(a) | $ | 1,559,005,203 | |||
Interest and dividends receivable | 7,362,571 | ||||
Foreign currency, at value (cost $1) | 1 | ||||
Receivable for capital shares issued | 71,229 | ||||
Receivable for investments sold | 67,232,974 | ||||
Receivable for TBA investments sold | 3,223,647 | ||||
Receivable for variation margin on futures contracts | 1,373,999 | ||||
Reclaims receivable | 36,173 | ||||
Prepaid expenses | 5,623 | ||||
|
| ||||
Total Assets | 1,638,311,420 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 3,674,391 | ||||
Payable for investments purchased | 11,762,779 | ||||
Payable for TBA investments purchased | 119,262,118 | ||||
Payable for capital shares redeemed | 572,888 | ||||
Payable for collateral received on loaned securities | 9,269,106 | ||||
Due to Broker for futures contracts collateral | 1,098 | ||||
Manager fees payable | 529,875 | ||||
Administration fees payable | 285,218 | ||||
Distribution fees payable | 294,222 | ||||
Custodian fees payable | 2,660 | ||||
Administrative and compliance services fees payable | 771 | ||||
Transfer agent fees payable | 1,088 | ||||
Trustee fees payable | 7,063 | ||||
Other accrued liabilities | 16,221 | ||||
|
| ||||
Total Liabilities | 145,679,498 | ||||
|
| ||||
Net Assets | $ | 1,492,631,922 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 1,522,318,955 | |||
Total distributable earnings | (29,687,033 | ) | |||
|
| ||||
Net Assets | $ | 1,492,631,922 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 113,260,370 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.18 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 91,064,340 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 10,269,169 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.87 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,401,567,582 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 102,991,202 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.61 | |||
|
|
(a) | Includes securities on loan of $8,902,249. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 12,345,557 | |||
Dividends | 5,576,883 | ||||
Income from securities lending | 18,269 | ||||
Foreign withholding tax | (948 | ) | |||
|
| ||||
Total Investment Income | 17,939,761 | ||||
|
| ||||
Expenses: | |||||
Management fees | 3,575,065 | ||||
Administration fees | 178,302 | ||||
Distribution fees | 1,952,218 | ||||
Custodian fees | 22,854 | ||||
Administrative and compliance services fees | 10,361 | ||||
Transfer agent fees | 6,147 | ||||
Trustee fees | 40,618 | ||||
Professional fees | 32,593 | ||||
Shareholder reports | 16,436 | ||||
Other expenses | 16,907 | ||||
|
| ||||
Total expenses before reductions | 5,851,501 | ||||
Less expense contractually waived/reimbursed by the Manager | (139,162 | ) | |||
|
| ||||
Net expenses | 5,712,339 | ||||
|
| ||||
Net Investment Income/(Loss) | 12,227,422 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (5,503,774 | ) | |||
Net realized gains/(losses) on futures contracts | (4,705,459 | ) | |||
Net realized gains/(losses) on securities held short | 11,737 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (253,548,149 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (193,490 | ) | |||
Change in net unrealized appreciation/depreciation on securities held short | 219 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (263,938,916 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (251,711,494 | ) | ||
|
|
See accompanying notes to the financial statements.
30
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021^ | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 12,227,422 | $ | 15,670,060 | ||||||
Net realized gains/(losses) on investments | (10,197,496 | ) | 104,247,562 | |||||||
Change in unrealized appreciation/depreciation on investments | (253,741,420 | ) | 19,318,995 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (251,711,494 | ) | 139,236,617 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (3,330,348 | ) | |||||||
Class 2 | — | (34,061,423 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (37,391,771 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 1,914 | 116,811,345 | ||||||||
Proceeds from dividends reinvested | — | 3,330,348 | ||||||||
Value of shares redeemed | (7,241,342 | ) | (9,762,492 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (7,239,428 | ) | 110,379,201 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 2,594,202 | 1,259,772,914 | ||||||||
Proceeds from dividends reinvested | — | 34,061,423 | ||||||||
Value of shares redeemed | (118,721,404 | ) | (196,875,194 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (116,127,202 | ) | 1,096,959,143 | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (123,366,630 | ) | 1,207,338,344 | |||||||
|
|
|
| |||||||
Change in net assets | (375,078,124 | ) | 1,309,183,190 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,867,710,046 | 558,526,856 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,492,631,922 | $ | 1,867,710,046 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 204 | 11,643,238 | ||||||||
Dividends reinvested | — | 336,739 | ||||||||
Shares redeemed | (754,130 | ) | (956,882 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (753,926 | ) | 11,023,095 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 172,029 | 82,739,673 | ||||||||
Dividends reinvested | — | 2,240,883 | ||||||||
Shares redeemed | (8,117,091 | ) | (12,725,870 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (7,945,062 | ) | 72,254,686 | |||||||
|
|
|
| |||||||
Change in shares | (8,698,988 | ) | 83,277,781 | |||||||
|
|
|
| |||||||
Amounts shown as “—” are either $0 or rounds to less than $1. |
^ | Class 1 activity is for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
See accompanying notes to the financial statements.
31
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021^ | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
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Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.29 | $ | 10.00 | ||||||||||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | (a) | 0.07 | (a) | ||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.50 | ) | 0.52 | |||||||||||||||||||||||||||
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Total from Investment Activities | (1.42 | ) | 0.59 | |||||||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.08 | ) | |||||||||||||||||||||||||||
Net Realized Gains | — | (0.22 | ) | |||||||||||||||||||||||||||
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Total Dividends | — | (0.30 | ) | |||||||||||||||||||||||||||
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Net Asset Value, End of Period | $ | 8.87 | $ | 10.29 | ||||||||||||||||||||||||||
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Total Return(b) | (13.80 | )%(c) | 6.03 | %(c) | ||||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 91,064 | $ | 113,445 | ||||||||||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.71 | % | 1.35 | % | ||||||||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.47 | % | 0.51 | % | ||||||||||||||||||||||||||
Expenses Net of Reductions(d) | 0.45 | % | 0.46 | % | ||||||||||||||||||||||||||
Portfolio Turnover Rate(f) | 34 | %(c) | 115 | % | ||||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.81 | $ | 14.44 | $ | 13.45 | $ | 12.26 | $ | 13.35 | $ | 12.43 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | (a) | 0.19 | (a) | 0.26 | (a) | 0.31 | (a) | 0.34 | 0.28 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.31 | ) | 1.48 | 1.51 | 1.76 | (0.58 | ) | 1.09 | ||||||||||||||||||||||
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Total from Investment Activities | (2.20 | ) | 1.67 | 1.77 | 2.07 | (0.24 | ) | 1.37 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.08 | ) | (0.35 | ) | (0.33 | ) | (0.32 | ) | — | ||||||||||||||||||||
Net Realized Gains | — | (0.22 | ) | (0.43 | ) | (0.55 | ) | (0.53 | ) | (0.45 | ) | |||||||||||||||||||
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Total Dividends | — | (0.30 | ) | (0.78 | ) | (0.88 | ) | (0.85 | ) | (0.45 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.61 | $ | 15.81 | $ | 14.44 | $ | 13.45 | $ | 12.26 | $ | 13.35 | ||||||||||||||||||
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Total Return(b) | (13.92 | )%(c) | 11.65 | % | 13.47 | % | 17.27 | % | (2.02 | )% | 11.12 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,401,568 | $ | 1,754,265 | $ | 558,527 | $ | 559,027 | $ | 539,355 | $ | 627,375 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.45 | % | 1.22 | % | 1.92 | % | 2.35 | % | 2.24 | % | 2.06 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.72 | % | 0.80 | % | 1.03 | % | 1.02 | % | 1.01 | % | 1.00 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.70 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 34 | %(c) | 115 | % | 77 | % | 77 | % | 66 | % | 82 | % |
^ | Class 1 activity for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
See accompanying notes to the financial statements.
32
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Multi-Strategy Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Structured Notes
The Fund may invest in structured notes, the values of which are based on the price movements of a reference security or index. Structured notes are derivative debt securities, the interest rate or principal of which is determined by an unrelated indicator. The terms of the structured notes may provide that in certain circumstances no principal is due at maturity and therefore, may result in a loss of invested capital. Structured notes may be positively or negatively indexed, so that appreciation of the reference may produce an increase or a decrease in the interest rate or the value of the structured note at maturity may be calculated as a specified multiple of the change in the value of the reference; therefore, the value of such security may be very volatile. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities.
Securities Purchased on a When-Issued Basis
The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. The Fund will not pay for such securities or start earning interest on them until they are received. When the 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. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
33
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. 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 Trust, Allianz Variable Insurance Products Fund of Funds Trust, and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,784 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $9,269,106 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be
34
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2022, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $15.7 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | — | Payable for variation margin on futures contracts* | $ | 211,730 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (4,705,459 | ) | $ | (193,490 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization, FIAM LLC (“FIAM”) to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with the Manager, FIAM provides investment advisory services as the subadviser for the Fund subject to the general supervision of the Trustees and the Manager. Prior to March 18, 2022, pursuant to a separate sub-subadvisory agreement with FIAM, Geode Capital Management, LLC (“Geode”) acted as sub-subadviser, made investment decisions with respect to certain designated assets of the Fund, and was paid a fee by FIAM, not the Fund. 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 “Management fees.” For its services, the Subadviser is entitled to a fee payable by
35
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 1 | 0.43 | % | 0.46 | % | ||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund, Class 2 | 0.43 | % | 0.71 | % |
* | The annual rate due to the Manager is 0.43% of the first $20 billion of the Fund’s net assets and 0.40% of the Fund’s net assets over $20 billion. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
At June 30, 2022, the contractual reimbursements subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2022 | Expires 12/31/2023 | Expires 12/31/2024 | Expires 12/31/2025 | Total | |||||||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 328,039 | $ | 353,628 | $ | 564,106 | $ | 139,162 | $ | 1,384,935 |
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
36
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 562,373,457 | $ | 250,101 | $ | — | # | $ | 562,623,558 | |||||||||||
Preferred Stock+ | 95,600 | — | — | 95,600 | ||||||||||||||||
Warrants+ | 158,583 | — | — | 158,583 | ||||||||||||||||
Asset Backed Securities | — | 8,991,591 | — | 8,991,591 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 82,594,181 | — | 82,594,181 | ||||||||||||||||
Convertible Bonds+ | — | 828,514 | 433,811 | 1,262,325 | ||||||||||||||||
Bank Loans | — | 971,600 | — | 971,600 | ||||||||||||||||
Corporate Bonds+ | — | 295,556,785 | — | 295,556,785 | ||||||||||||||||
Yankee Debt Obligations+ | — | 88,922,236 | — | 88,922,236 | ||||||||||||||||
Municipal Bonds | — | 3,841,022 | — | 3,841,022 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 165,542,081 | — | 165,542,081 | ||||||||||||||||
U.S. Treasury Obligations | — | 320,924,327 | — | 320,924,327 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 9,269,106 | — | — | 9,269,106 | ||||||||||||||||
Unaffiliated Investment Company | 18,252,208 | — | — | 18,252,208 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 590,148,954 | 968,422,438 | 433,811 | 1,559,005,203 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (211,730 | ) | — | — | (211,730 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 589,937,224 | $ | 968,422,438 | $ | 433,811 | $ | 1,558,793,473 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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, 2022. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 557,030,705 | $ | 649,148,184 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 281,461,116 | $ | 299,329,141 |
37
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
6. Restricted Securities
A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2022 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Value | Percentage of Net Assets | ||||||||||||||||||||
Mesquite Energy, Inc., 15.00%, 7/15/23 | 7/10/20 | $ | 26,314 | 31,702 | $ | 168,337 | 0.01 | % | |||||||||||||||||
Mesquite Energy, Inc., 15.00%, 7/15/23 | 11/5/20 | 46,000 | 54,850 | 265,474 | 0.02 | % | |||||||||||||||||||
Sanchez Energy Corp., 7.25%, 2/15/23, Callable 7/14/22 @ 100 | 10/30/18 | 256,808 | 278,000 | — | 0.00 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
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 Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor or SOFR) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities 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, investments in mortgage-related securities may cause the fund to exhibit additional volatility. This is known as extension risk. In addition,
38
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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 the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the 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. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
8. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
9. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
10. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $1,905,510,267. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 117,633,634 | ||
Unrealized (depreciation) | (15,734,154 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 101,899,480 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 14,482,331 | $ | 22,909,440 | $ | 37,391,771 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
39
AZL Fidelity Institutional Asset Management Multi-Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Fidelity Institutional Asset Management Multi-Strategy Fund | $ | 42,139,842 | $ | 77,978,859 | $ | — | $ | 101,905,760 | $ | 222,024,461 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, return of capital from underlying investments and other miscellaneous differences. |
11. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
12. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
40
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
41
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
42
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Fidelity Institutional Asset Management
Total Bond Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 26 |
Page 26 |
Statements of Changes in Net Assets Page 27 |
Page 28 |
Notes to the Financial Statements Page 29 |
Page 35 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 36 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Fidelity Institutional Asset Management Total Bond Fund
(Unaudited)
As a shareholder of the AZL Fidelity Institutional Asset Management Total Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | $ | 1,000.00 | $ | 886.10 | $ | 2.62 | 0.56 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | $ | 1,000.00 | $ | 885.80 | $ | 3.79 | 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % | ||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | $ | 1,000.00 | $ | 1,020.78 | $ | 4.06 | 0.81 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Corporate Bonds | 32.8 | % | |||
U.S. Treasury Obligations | 30.1 | ||||
U.S. Government Agency Mortgages | 17.8 | ||||
Yankee Debt Obligations | 10.9 | ||||
Collateralized Mortgage Obligations | 9.8 | ||||
Asset Backed Securities | 2.3 | ||||
Unaffiliated Investment Company | 0.8 | ||||
Municipal Bonds | 0.7 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.6 | ||||
Convertible Bonds | 0.3 | ||||
Common Stocks | 0.2 | ||||
Bank Loans | 0.2 | ||||
Preferred Stock | — | † | |||
Warrant | — | † | |||
|
| ||||
Total Investment Securities | 106.5 | ||||
Net other assets (liabilities) | (6.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares, Contracts or Principal Amount | Value | |||||||
Common Stocks (0.2%): | ||||||||
Diversified Telecommunication Services (0.0%†): | ||||||||
1,287 | Frontier Communications Parent, Inc.* | $ | 30,296 | |||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
1,100 | Caesars Entertainment, Inc.* | 42,130 | ||||||
|
| |||||||
Media (0.0%†): | ||||||||
2,400 | Altice USA, Inc., Class A* | 22,200 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%): | ||||||||
22 | Amplify Energy Corp.* | 144 | ||||||
2,649 | Denbury, Inc.* | 158,914 | ||||||
1,400 | EQT Corp. | 48,160 | ||||||
5,889 | Sanchez Energy Corp.*(a) | 367,156 | ||||||
|
| |||||||
574,374 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%†): | ||||||||
698 | Micron Technology, Inc. | 38,585 | ||||||
|
| |||||||
Total Common Stocks (Cost $355,578) | 707,585 | |||||||
|
| |||||||
Preferred Stock (0.0%†): | ||||||||
Electric Utilities (0.0%†): | ||||||||
600 | PG&E Corp., 5.50%, 8/16/23 | 57,360 | ||||||
|
| |||||||
Total Preferred Stock (Cost $70,437) | 57,360 | |||||||
|
| |||||||
Warrant (0.0%†): | ||||||||
Oil, Gas & Consumable Fuels (0.0%†): | ||||||||
95 | California Resources Corp., 10/27/24* | 976 | ||||||
|
| |||||||
Total Warrant (Cost $–) | 976 | |||||||
|
| |||||||
Asset Backed Securities (2.3%): | ||||||||
$ | 580,576 | Aaset Trust, Class A, Series 2021-2A, 2.80%, 1/15/47(b) | 529,548 | |||||
315,540 | Aaset Trust, Class A, Series 2021-1A, 2.95%, 11/16/41(b) | 274,925 | ||||||
135,632 | Aaset Trust, Class A, Series 2020-1A, 3.35%, 1/16/40(b) | 113,765 | ||||||
160,110 | Aaset Trust, Class A, Series 2020-1A, 4.34%, 1/16/40(b) | 70,054 | ||||||
210,940 | Aaset Trust, Class A, Series 2019-1, 3.84%, 5/15/39(b) | 144,940 | ||||||
386,309 | Aaset Trust, Class A, Series 2019-2, 3.38%, 10/16/39(b) | 293,719 | ||||||
228,125 | Aaset Trust, Class A, Series 2018-1A, 3.84%, 1/16/38(b) | 153,617 | ||||||
1,256,707 | Aaset Trust, Class A, Series 2017-1A, 3.97%, 5/16/42(b) | 1,042,914 | ||||||
546,059 | Blackbird Capital Aircraft, Class A, Series 2016-1A, 4.21%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | 492,642 | ||||||
79,088 | Blackbird Capital Aircraft, Class AA, Series 2016-1A, 2.49%, 12/16/41, Callable 12/15/24 @ 100(b)(c) | 76,189 | ||||||
451,932 | Blackbird Capital Aircraft, Class A, Series 2021-1A, 2.44%, 7/15/46, Callable 7/15/28 @ 100(b) | 391,415 | ||||||
326,248 | Castlelake Aircraft Structured Trust, Class A, Series 2019-1, 3.97%, 4/15/39(b) | 287,803 | ||||||
186,315 | Castlelake Aircraft Structured Trust, Class B, Series 2019-1, 5.10%, 4/15/39(b) | 147,578 | ||||||
249,433 | Castlelake Aircraft Structured Trust, Class A, Series 2018-1A, 4.13%, 6/15/43(b) | 224,177 |
Principal Amount | Value | |||||||
Asset Backed Securities, continued | ||||||||
$ | 182,949 | Castlelake Aircraft Structured Trust, Class A, Series 2021-1A, 3.47%, 1/15/46(b) | $ | 164,093 | ||||
526,620 | CF Hippolyta LLC, Class A1, Series 2021-A, 1.53%, 3/15/61, Callable 3/15/24 @ 100(b) | 464,973 | ||||||
548,648 | DB Master Finance LLC, Class A2II, Series 2017-1A, 4.03%, 11/20/47, Callable 11/20/23 @ 100(b) | 522,908 | ||||||
205,380 | Horizon Aircraft Finance, Ltd., Class A, Series 2018-1, 4.46%, 12/15/38(b) | 178,691 | ||||||
211,343 | Horizon Aircraft Finance, Ltd., Class A, Series 2019-1, 3.72%, 7/15/39(b) | 187,007 | ||||||
328,575 | Planet Fitness Master Issuer LLC, Class A2, Series 1A, 3.86%, 12/5/49, Callable 12/5/25 @ 100(b) | 292,114 | ||||||
216,458 | Planet Fitness Master Issuer LLC, Class A2II, Series 2022-1A, 4.01%, 12/5/51, Callable 12/5/27 @ 100(b) | 193,033 | ||||||
253,365 | Planet Fitness Master Issuer LLC, Class A2I, Series 2022-1A, 3.25%, 12/5/51, Callable 12/5/24 @ 100(b) | 228,044 | ||||||
363,076 | Project Silver, Class A, Series 2019-1, 3.97%, 7/15/44(b) | 311,597 | ||||||
336,491 | Sapphire Aviation Finance, Ltd., Class A, Series 2020-1A, 3.23%, 3/15/40(b) | 294,549 | ||||||
233,783 | Sapphire Aviation Finance, Ltd., Class B, Series 2020-1A, 4.34%, 3/15/40(b) | 156,338 | ||||||
345,082 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2017-A, 4.21%, 5/17/32, Callable 4/15/24 @ 100(b)(c) | 296,750 | ||||||
507,113 | Thunderbolt Aircraft Lease, Ltd., Class A, Series 2019-1, 3.67%, 11/15/39(b) | 434,908 | ||||||
491,959 | Thunderbolt II Aircraft Lease, Ltd., Class A, Series 2018, 4.15%, 9/15/38(b)(c) | 433,861 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $9,839,760) | 8,402,152 | |||||||
|
| |||||||
Collateralized Mortgage Obligations (9.8%): | ||||||||
250,000 | Aimco CLO 11, Ltd., Class AR, Series 2020-11A, 2.17%(US0003M+113bps), 10/17/34, Callable 10/17/23 @ 100(b) | 240,308 | ||||||
460,000 | Aimco CLO 14, Ltd., Class A, Series 2021-14A, 2.05%(US0003M+99bps), 4/20/34, Callable 4/20/23 @ 100(b) | 442,191 | ||||||
273,000 | Allegro CLO XIII, Ltd., Class A, Series 2021-1A, 2.20%(US0003M+114bps), 7/20/34, Callable 7/20/23 @ 100(b) | 262,632 | ||||||
254,000 | Allegro CLO XV, Ltd., Class A, Series 2022-1A, 3.18%(TSFR3M+150bps), 7/20/35(b) | 247,537 | ||||||
393,000 | Ares CLO, Ltd., Class A, Series 2019-54A, 2.36%(US0003M+132bps), 10/15/32, Callable 7/15/22 @ 100(b) | 383,876 | ||||||
250,000 | Ares CLO, Ltd., Class AR2, Series 2015-2A, 2.29%(US0003M+125bps), 4/17/33, Callable 7/17/22 @ 100(b) | 243,779 | ||||||
342,000 | Ares LV CLO, Ltd., Class A1R, Series 2020-55A, 2.17%(US0003M+113bps), 7/15/34, Callable 7/15/23 @ 100(b) | 331,254 | ||||||
408,000 | Ares LVIII CLO, Ltd., Class AR, Series 2020-58A, 2.18%(TSFR3M+133bps), 1/15/35, Callable 1/15/24 @ 100(b) | 391,134 | ||||||
387,000 | Ares XLI CLO, Ltd., Class AR2, Series 2016-41A, 2.11%(US0003M+107bps), 4/15/34, Callable 4/15/23 @ 100(b) | 372,501 |
See accompanying notes to the financial statements.
2
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 100,000 | BAMLL Commercial Mortgage Securities Trust, Class BNM, Series 2019-BPR, 3.47%, 11/5/32(b) | $ | 94,590 | ||||
273,000 | BAMLL Commercial Mortgage Securities Trust, Class ANM, Series 2019-BPR, 3.11%, 11/5/32(b) | 260,387 | ||||||
100,000 | BAMLL Commercial Mortgage Securities Trust, Class C, Series 2022-DKLX, 3.43%(TSFR1M+215bps), 1/15/39(b) | 96,115 | ||||||
227,000 | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2022-DKLX, 2.43%(TSFR1M+115bps), 1/15/39(b) | 220,530 | ||||||
43,000 | Bank, Class A5, Series 2019-BN21, 2.85%, 10/15/52, Callable 9/15/29 @ 100 | 39,147 | ||||||
440,000 | Barings CLO, Ltd., Class A, Series 2020-4A, 2.28%(US0003M+122bps), 1/20/32, Callable 7/20/22 @ 100(b) | 430,658 | ||||||
250,000 | Barings CLO, Ltd., Class AR, Series 2020-1A, 2.19%(US0003M+115bps), 10/15/36, Callable 10/15/23 @ 100(b) | 241,300 | ||||||
417,000 | Beechwood Park CLO, Ltd., Class A1R, Series 2019-1A, 2.15%(TSFR3M+130bps), 1/17/35, Callable 1/17/24 @ 100(b) | 402,330 | ||||||
49,000 | Benchmark Mortgage Trust, Class A5, Series 2018-B4, 4.12%, 7/15/51(c) | 48,504 | ||||||
331,000 | Bethpage Park CLO, Ltd., Class A, Series 2021-1A, 2.17%(US0003M+113bps), 1/15/35, Callable 10/15/23 @ 100(b) | 318,746 | ||||||
201,000 | BFLD Trust, Class A, Series 2020-OBRK, 3.37%(US0001M+205bps), 11/15/22(b) | 194,043 | ||||||
197,000 | BPR Trust, Class B, Series 2022-OANA, 3.73%(TSFR1M+245bps), 4/15/37(b) | 195,419 | ||||||
743,000 | BPR Trust, Class A, Series 2022-OANA, 3.18%(TSFR1M+190bps), 4/15/37(b) | 726,968 | ||||||
459,301 | Bristol Park CLO, Ltd., Class AR, Series 2016-1A, 2.03%(US0003M+99bps), 4/15/29, Callable 7/15/22 @ 100(b) | 452,145 | ||||||
119,000 | BX Commercial Mortgage Trust, Class D, Series 2018-EXCL, 3.95%(US0001M+263bps), 9/15/37(b) | 99,118 | ||||||
190,400 | BX Commercial Mortgage Trust, Class B, Series 2019-XL, 2.40%(US0001M+108bps), 10/15/36(b) | 185,648 | ||||||
238,850 | BX Commercial Mortgage Trust, Class C, Series 2019-XL, 2.57%(US0001M+125bps), 10/15/36(b) | 231,708 | ||||||
339,150 | BX Commercial Mortgage Trust, Class D, Series 2019-XL, 2.77%(US0001M+145bps), 10/15/36(b) | 328,155 | ||||||
161,552 | BX Commercial Mortgage Trust, Class C, Series 2022-LP2, 2.90%(TSFR1M+156bps), 2/15/39(b) | 151,933 | ||||||
176,000 | BX Commercial Mortgage Trust, Class C, Series 2019-IMC, 2.92%(US0001M+160bps), 4/15/34(b) | 168,464 | ||||||
266,000 | BX Commercial Mortgage Trust, Class B, Series 2019-IMC, 2.62%(US0001M+130bps), 4/15/34(b) | 255,279 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 161,552 | BX Commercial Mortgage Trust, Class B, Series 2022-LP2, 2.65%(TSFR1M+131bps), 2/15/39(b) | $ | 153,802 | ||||
400,000 | BX Commercial Mortgage Trust, Class A, Series 2019-IMC, 2.32%(US0001M+100bps), 4/15/34(b) | 389,923 | ||||||
536,016 | BX Commercial Mortgage Trust, Class A, Series 2022-LP2, 2.35%(TSFR1M+101bps), 2/15/39(b) | 512,078 | ||||||
185,000 | BX Commercial Mortgage Trust, Class D, Series 2019-IMC, 3.22%(US0001M+190bps), 4/15/34(b) | 175,761 | ||||||
476,000 | BX Commercial Mortgage Trust, Class E, Series 2019-XL, 3.12%(US0001M+180bps), 10/15/36(b) | 459,307 | ||||||
161,552 | BX Commercial Mortgage Trust, Class D, Series 2022-LP2, 3.29%(TSFR1M+196bps), 2/15/39(b) | 152,560 | ||||||
302,000 | BX Mortgage Trust, Class E, Series 2021-PAC, 3.27%(US0001M+195bps), 10/15/36(b) | 281,165 | ||||||
100,000 | BX Mortgage Trust, Class B, Series 2021-PAC, 2.22%(US0001M+90bps), 10/15/36(b) | 94,507 | ||||||
447,000 | BX Mortgage Trust, Class A, Series 2021-PAC, 2.01%(US0001M+69bps), 10/15/36(b) | 424,816 | ||||||
100,000 | BX Mortgage Trust, Class D, Series 2021-PAC, 2.62%(US0001M+130bps), 10/15/36(b) | 92,446 | ||||||
100,000 | BX Mortgage Trust, Class C, Series 2021-PAC, 2.42%(US0001M+110bps), 10/15/36(b) | 93,383 | ||||||
400,000 | BX Trust, Class A, Series 2022-IND A, 2.82%(TSFR1M+149bps), 4/15/37(b) | 389,172 | ||||||
46,000 | BX Trust, Class C, Series 2022-IND, 3.62%(TSFR1M+229bps), 4/15/37(b) | 44,015 | ||||||
204,000 | BX Trust, Class B, Series 2022-IND, 3.27%(TSFR1M+194bps), 4/15/37(b) | 197,239 | ||||||
39,000 | BX Trust, Class D, Series 2022-IND, 4.17%(TSFR1M+284bps), 4/15/37(b) | 37,239 | ||||||
220,582 | Cascade Funding Mortgage Trust, Class A, Series 2021-HB6, 0.90%, 6/25/36, Callable 7/25/22 @ 100(b)(c) | 216,269 | ||||||
336,000 | Cedar Funding VI CLO, Ltd., Class AAA, Series 2016-6A, 2.11%(US0003M+105bps), 4/20/34, Callable 4/20/23 @ 100(b) | 321,398 | ||||||
264,000 | Cedar Funding X CLO, Ltd., Class AR, Series 2019-10A, 2.16%(US0003M+110bps), 10/20/32, Callable 10/20/22 @ 100(b) | 256,178 | ||||||
250,000 | Cedar Funding XII CLO, Ltd., Class A1R, Series 2020-12A, 2.31%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | 240,523 | ||||||
387,000 | Cedar Funding XV CLO, Ltd., Class A, Series 2022-15A, 2.03%(TSFR3M+132bps), 4/20/35, Callable 4/20/24 @ 100(b) | 370,299 | ||||||
122,078 | CHC Commercial Mortgage Trust, Class B, Series 2019-CHC, 2.82%(US0001M+150bps), 6/15/34(b) | 118,835 | ||||||
622,301 | CHC Commercial Mortgage Trust, Class A, Series 2019-CHC, 2.44%(US0001M+112bps), 6/15/34(b) | 607,890 | ||||||
137,958 | CHC Commercial Mortgage Trust, Class C, Series 2019-CHC, 3.07%(US0001M+175bps), 6/15/34(b) | 132,900 |
See accompanying notes to the financial statements.
3
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 75,000 | CIM Retail Portfolio Trust, Class D, Series 2021-RETL, 4.38%(US0001M+305bps), 8/15/36(b) | $ | 72,999 | ||||
27,797 | CIM Retail Portfolio Trust, Class C, Series 2021-RETL, 3.62%(US0001M+230bps), 8/15/36(b) | 27,180 | ||||||
328,000 | Columbia Cent CLO 29, Ltd., Class AR, Series 2020-29A, 2.23%(US0003M+117bps), 10/20/34, Callable 10/20/23 @ 100(b) | 315,235 | ||||||
580,000 | Columbia Cent CLO 30, Ltd., Class A1, Series 2020-30A, 2.37%(US0003M+131bps), 1/20/34, Callable 4/20/23 @ 100(b) | 564,768 | ||||||
440,000 | Columbia Cent CLO 31, Ltd., Class A1, Series 2021-31A, 2.26%(US0003M+120bps), 4/20/34, Callable 7/20/23 @ 100(b) | 423,918 | ||||||
83,000 | Commercial Mortgage Trust, Class A5, Series 2014-CR18, 3.83%, 7/15/47, Callable 6/15/24 @ 100 | 82,400 | ||||||
205,000 | Credit Suisse Mortgage Capital Certificates, Class B, Series 2019-ICE4, 2.55%(US0001M+123bps), 5/15/36(b) | 200,133 | ||||||
116,481 | Credit Suisse Mortgage Capital Certificates, Class A, Series 2020-NET, 2.26%, 8/15/37(b) | 107,929 | ||||||
309,000 | CSMC Trust, Class A, Series 2018, 4.28%, 4/15/36(b) | 304,810 | ||||||
100,000 | CSMC Trust, Class B, Series 2018, 4.53%, 4/15/36(b) | 97,828 | ||||||
128,000 | CSMC Trust, Class D, Series 2018, 4.78%, 4/15/36(b) | 119,747 | ||||||
1,384,000 | CSMC Trust, Class D, Series 2017-PFHP, 3.57%(US0001M+225bps), 12/15/30(b) | 1,378,187 | ||||||
100,000 | CSMC Trust, Class C, Series 2018, 4.78%, 4/15/36(b) | 97,305 | ||||||
250,000 | Dryden 76 CLO, Ltd., Class A1R, Series 2019-76A, 2.21%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | 241,364 | ||||||
382,000 | Dryden 83 CLO, Ltd., Class A, Series 2020-83A, 2.26%(US0003M+122bps), 1/18/32, Callable 7/18/22 @ 100(b) | 373,711 | ||||||
296,000 | Dryden 85 CLO, Ltd., Class AR, Series 2020-85A, 2.19%(US0003M+115bps), 10/15/35, Callable 10/15/23 @ 100(b) | 285,169 | ||||||
250,000 | Dryden 90 CLO, Ltd., Class A1A, Series 2021-90A, 2.61%(US0003M+113bps), 2/20/35, Callable 2/20/24 @ 100(b) | 240,555 | ||||||
250,000 | Dryden 98 CLO, Ltd., Class A, Series 2022-98A, 2.20%(TSFR3M+130bps), 4/20/35, Callable 4/20/24 @ 100(b) | 240,251 | ||||||
300,000 | Dryden CLO, Ltd., Class A, Series 2020-78A, 2.22%(US0003M+118bps), 4/17/33, Callable 7/17/22 @ 100(b) | 291,442 | ||||||
250,000 | Eaton Vance CLO, Ltd., Class A13R, Series 2013-1A, 2.29%(US0003M+125bps), 1/15/34, Callable 1/15/23 @ 100(b) | 243,319 | ||||||
378,000 | Eaton Vance CLO, Ltd., Class AR, Series 2020-2A, 2.19%(US0003M+115bps), 1/15/35, Callable 1/15/24 @ 100(b) | 365,570 | ||||||
612,000 | ELP Commercial Mortgage Trust, Class A, Series 2021-ELP, 2.03%(US0001M+70bps), 11/15/36(b) | 584,454 | ||||||
99,388 | Extended Stay America Trust, Class C, Series 2021-ESH, 3.03%(US0001M+170bps), 7/15/38(b) | 96,152 | ||||||
213,685 | Extended Stay America Trust, Class A, Series 2021-ESH, 2.41%(US0001M+108bps), 7/15/38(b) | 208,317 | ||||||
121,254 | Extended Stay America Trust, Class B, Series 2021-ESH, 2.71%(US0001M+138bps), 7/15/38(b) | 117,609 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 134,174 | Extended Stay America Trust, Class D, Series 2021-ESH, 3.58%(US0001M+225bps), 7/15/38(b) | $ | 129,463 | ||||
250,000 | Flatiron CLO 19, Ltd., Class AR, Series 2019-1A, 2.49%(US0003M+108bps), 11/16/34, Callable 11/16/22 @ 100(b) | 242,183 | ||||||
430,000 | Flatiron CLO 20, Ltd., Class A, Series 2020-1A, 2.78%(US0003M+130bps), 11/20/33, Callable 11/20/22 @ 100(b) | 418,049 | ||||||
250,000 | Flatiron CLO 21, Ltd., Class A1, Series 2021-1A, 2.15%(US0003M+111bps), 7/19/34, Callable 7/19/23 @ 100(b) | 241,050 | ||||||
100,000 | GS Mortgage Securities Corp. Trust, Class B, Series 2021-IP, 2.47%(US0001M+115bps), 10/15/36(b) | 96,518 | ||||||
264,000 | GS Mortgage Securities Corp. Trust, Class A, Series 2021-IP, 2.27%(US0001M+95bps), 10/15/36(b) | 254,332 | ||||||
250,000 | Invesco CLO, Ltd., Class A, Series 2021-3A, 2.27%(US0003M+113bps), 10/22/34, Callable 10/22/23 @ 100(b) | 240,117 | ||||||
133,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class EFX, Series 2018-WPT, 5.54%, 7/5/23(b) | 131,000 | ||||||
97,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class DFX, Series 2018-WPT, 5.35%, 7/5/23(b) | 93,905 | ||||||
63,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class CFX, Series 2018-WPT, 4.95%, 7/5/23(b) | 62,029 | ||||||
506,000 | KKR CLO 41, Ltd., Class A1, Series 2022-41A, 2.02%(TSFR3M+133bps), 4/15/35, Callable 4/15/24 @ 100(b) | 485,632 | ||||||
388,273 | Life Mortgage Trust, Class A, Series 2021-BMR, 2.02%(US0001M+70bps), 3/15/38(b) | 372,230 | ||||||
98,297 | Life Mortgage Trust, Class B, Series 2021-BMR, 2.20%(US0001M+88bps), 3/15/38(b) | 93,614 | ||||||
580,000 | Life Mortgage Trust, Class A1, Series 2022-BMR2, 2.57%(TSFR1M+130bps), 5/15/39, Callable 5/15/24 @ 100(b) | 565,460 | ||||||
173,000 | Life Mortgage Trust, Class D, Series 2022-BMR2, 3.82%(TSFR1M+254bps), 5/15/39, Callable 5/15/24 @ 100(b) | 165,205 | ||||||
194,000 | Life Mortgage Trust, Class C, Series 2022-BMR2, 3.37%(TSFR1M+209bps), 5/15/39, Callable 5/15/24 @ 100(b) | 187,192 | ||||||
347,000 | Life Mortgage Trust, Class B, Series 2022-BMR2, 3.07%(TSFR1M+179bps), 5/15/39, Callable 5/15/24 @ 100(b) | 336,561 | ||||||
98,297 | Life Mortgage Trust, Class C, Series 2021-BMR, 2.42%(US0001M+110bps), 3/15/38(b) | 93,368 | ||||||
98,297 | Life Mortgage Trust, Class E, Series 2021-BMR, 3.07%(US0001M+175bps), 3/15/38(b) | 91,648 | ||||||
98,297 | Life Mortgage Trust, Class D, Series 2021-BMR, 2.72%(US0001M+140bps), 3/15/38(b) | 92,903 | ||||||
250,000 | Lucali CLO, Ltd., Class A, Series 2020-1A, 2.25%(US0003M+121bps), 1/15/32, Callable 7/15/22 @ 100(b) | 243,935 | ||||||
460,000 | Madison Park Funding L, Ltd., Class A, Series 2021-50A, 2.18%(US0003M+114bps), 4/19/34, Callable 4/19/23 @ 100(b) | 446,220 |
See accompanying notes to the financial statements.
4
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 369,000 | Madison Park Funding LII, Ltd., Class A, Series 2021-52A, 2.24%(US0003M+110bps), 1/22/35, Callable 1/22/24 @ 100(b) | $ | 353,750 | ||||
250,000 | Madison Park Funding XLV, Ltd., Class AR, Series 2020-45A, 2.16%(US0003M+112bps), 7/15/34, Callable 7/15/23 @ 100(b) | 242,288 | ||||||
274,335 | Madison Park Funding, Ltd., Class A1R2, Series 2015-19A, 2.06%(US0003M+92bps), 1/22/28, Callable 7/22/22 @ 100(b) | 270,319 | ||||||
325,000 | Magnetite XXI, Ltd., Class AR, Series 2019-21A, 2.08%(US0003M+102bps), 4/20/34, Callable 7/20/22 @ 100(b) | 313,403 | ||||||
271,000 | Magnetite XXIII, Ltd., Class AR, Series 2019-23A, 2.31%(US0003M+113bps), 1/25/35, Callable 1/25/24 @ 100(b) | 260,848 | ||||||
400,000 | Magnetite XXIX, Ltd., Class A, Series 2021-29A, 2.03%(US0003M+99bps), 1/15/34, Callable 7/15/22 @ 100(b) | 389,750 | ||||||
250,000 | Magnetite XXVII, Ltd., Class AR, Series 2020-27A, 2.20%(US0003M+114bps), 10/20/34, Callable 10/20/23 @ 100(b) | 241,140 | ||||||
400,000 | Magnetite XXX, Ltd., Class A, Series 2021-30A, 2.31%(US0003M+113bps), 10/25/34, Callable 10/25/23 @ 100(b) | 386,140 | ||||||
464,000 | Milos CLO, Ltd., Class AR, Series 2017-1A, 2.13%(US0003M+107bps), 10/20/30, Callable 7/20/22 @ 100(b) | 455,216 | ||||||
82,000 | Morgan Stanley Capital I Trust, Class C, Series 2019-Mead, 3.28%, 11/10/36, Callable 11/10/24 @ 100(b)(c) | 78,624 | ||||||
200,000 | Morgan Stanley Capital I Trust, Class A4, Series 2018-H4, 4.31%, 12/15/51, Callable 12/15/28 @ 100 | 197,772 | ||||||
86,000 | Morgan Stanley Capital I Trust, Class B, Series 2019-Mead, 3.18%, 11/10/36, Callable 11/10/24 @ 100(b) | 83,283 | ||||||
731,260 | Morgan Stanley Capital I Trust, Class C, Series 2018-BOP, 2.82%(US0001M+150bps), 6/15/35(b) | 719,665 | ||||||
593,000 | Morgan Stanley Capital I Trust, Class A, Series 2019-Mead, 3.17%, 11/10/36, Callable 11/10/24 @ 100(b) | 560,355 | ||||||
303,344 | Morgan Stanley Capital I Trust, Class B, Series 2018-BOP, 2.57%(US0001M+125bps), 6/15/35(b) | 304,084 | ||||||
250,000 | Peace Park CLO, Ltd., Class A, Series 2021-1A, 2.19%(US0003M+113bps), 10/20/34, Callable 10/20/23 @ 100(b) | 242,107 | ||||||
24,835 | Prima Capital CRE Securitization, Class A, Series 2021-9A, 3.05%(US0001M+145bps), 12/15/37(b) | 24,835 | ||||||
470,000 | Rockland Park CLO, Ltd., Class A, Series 2021-1A, 2.18%(US0003M+112bps), 4/20/34, Callable 4/20/23 @ 100(b) | 455,885 | ||||||
420,000 | RR 7, Ltd., Class A1AB, Series 2019-7A, 1.52%(TSFR3M+134bps), 1/15/37, Callable 7/15/22 @ 100(b) | 404,675 | ||||||
53,000 | SPGN Mortgage Trust, Class C, Series 2022-TFLM, 3.93%(TSFR1M+265bps), 2/15/39, Callable 2/15/24 @ 100(b) | 51,791 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 103,000 | SPGN Mortgage Trust, Class B, Series 2022-TFLM, 3.28%(TSFR1M+200bps), 2/15/39, Callable 2/15/24 @ 100(b) | $ | 100,616 | ||||
410,000 | SREIT Trust, Class A, Series 2021-MFP, 2.05%(US0001M+73bps), 11/15/38(b) | 388,961 | ||||||
235,000 | SREIT Trust, Class B, Series 2021-MFP, 2.40%(US0001M+108bps), 11/15/38(b) | 221,443 | ||||||
146,000 | SREIT Trust, Class C, Series 2021-MFP, 2.65%(US0001M+133bps), 11/15/38(b) | 136,911 | ||||||
100,000 | SREIT Trust, Class D, Series 2021-MFP, 2.90%(US0001M+158bps), 11/15/38(b) | 93,502 | ||||||
350,000 | Symphony CLO XXVI, Ltd., Class AR, Series 2021-26A, 2.14%(US0003M+108bps), 4/20/33, Callable 7/20/22 @ 100(b) | 338,551 | ||||||
434,000 | Symphony CLO XXXII, Ltd., Class A1, Series 2022-32A, 1.63%(TSFR3M+132bps), 4/23/35(b) | 414,965 | ||||||
370,000 | VLS Commercial Mortgage Trust, Class A, Series 2020-LAB, 2.13%, 10/10/42(b) | 305,076 | ||||||
20,000 | VLS Commercial Mortgage Trust, Class B, Series 2020-LAB, 2.45%, 10/10/42(b) | 16,225 | ||||||
516,000 | Voya CLO, Ltd., Class A, Series 2019-2, 2.33%(US0003M+127bps), 7/20/32, Callable 7/20/22 @ 100(b) | 504,508 | ||||||
250,000 | Voya CLO, Ltd., Class A1R, Series 2020-2A, 2.20%(US0003M+116bps), 7/19/34, Callable 7/19/23 @ 100(b) | 241,897 | ||||||
444,000 | Voya CLO, Ltd., Class AR, Series 2020-3A, 2.21%(US0003M+115bps), 10/20/34, Callable 10/20/23 @ 100(b) | 428,076 | ||||||
250,000 | Voya CLO, Ltd., Class AR, Series 2020-1A, 2.19%(US0003M+115bps), 7/16/34, Callable 7/16/23 @ 100(b) | 241,549 | ||||||
234,000 | Wells Fargo Commercial Mortgage Trust, Class A5, Series 2018-C48, 4.30%, 1/15/52, Callable 12/15/28 @ 100 | 233,347 | ||||||
261,000 | Wells Fargo Commercial Mortgage Trust, Class A, Series 2021-FCMT, 2.52%(US0001M+120bps), 5/15/31(b) | 251,018 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $37,250,033) | 35,933,645 | |||||||
|
| |||||||
Convertible Bonds (0.3%): | ||||||||
Entertainment (0.0%†): | ||||||||
37,000 | Live Nation Entertainment, Inc., 2.00%, 2/15/25 | 38,270 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
38,000 | Booking Holdings, Inc., 0.75%, 5/1/25^ | 45,282 | ||||||
40,000 | Vail Resorts, Inc., 3.77%, 1/1/26 | 35,135 | ||||||
|
| |||||||
80,417 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
28,000 | Callaway Golf Co., 2.75%, 5/1/26 | 38,131 | ||||||
|
| |||||||
Media (0.1%): | ||||||||
85,000 | DISH Network Corp., 2.38%, 3/15/24 | 75,276 | ||||||
209,000 | DISH Network Corp., 3.38%, 8/15/26 | 140,486 | ||||||
|
| |||||||
215,762 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.2%): | ||||||||
79,890 | Mesquite Energy, Inc., 15.00%, 7/15/23(a)(d) | 386,668 | ||||||
46,865 | Mesquite Energy, Inc., 15.00%, 7/15/23(a)(d) | 248,853 | ||||||
|
| |||||||
635,521 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Convertible Bonds, continued | ||||||||
Professional Services (0.0%†): | ||||||||
$ | 23,000 | FTI Consulting, Inc., 2.00%, 8/15/23 | $ | 41,130 | ||||
33,000 | KBR, Inc., 2.50%, 11/1/23 | 63,432 | ||||||
|
| |||||||
104,562 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.0%†): | ||||||||
13,000 | ON Semiconductor Corp., 1.63%, 10/15/23 | 31,954 | ||||||
|
| |||||||
Total Convertible Bonds (Cost $634,098) | 1,144,617 | |||||||
|
| |||||||
Bank Loans (0.2%): | ||||||||
Chemicals (0.0%†): | ||||||||
24,813 | Consolidated Energy Term Incr B 1Ln, 0.04% (LIBOR+350bps) | 23,572 | ||||||
9,975 | Diversey Term B 1Ln, 0.03% (LIBOR+300bps), 9/29/28 | 9,189 | ||||||
|
| |||||||
32,761 | ||||||||
|
| |||||||
Construction & Engineering (0.0%†): | ||||||||
50,000 | Convergint Tech Term 2Ln, 0.07% (LIBOR+675bps), 3/31/29 | 48,000 | ||||||
9,925 | Convergint Tech Term B 1Ln, 0.04% (LIBOR+350bps), 3/31/28 | 9,252 | ||||||
|
| |||||||
57,252 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
5,000 | Ascend Learning Term 2Ln, 0.06% (LIBOR+575bps), 11/18/29 | 4,575 | ||||||
74,813 | Ascend Learning Term Ln, 0.04% (LIBOR+350bps), 11/17/28 | 68,921 | ||||||
|
| |||||||
73,496 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
109,725 | City Football Group Term B 1Ln, 0.04% (LIBOR+350bps), 7/9/28, Callable 8/5/22 @ 100 | 100,398 | ||||||
75,664 | Diamond Sports Broadcasting Term B 1Ln, 0.03% (LIBOR+325bps), 8/24/26, Callable 8/5/22 @ 100 | 17,403 | ||||||
170,013 | Golden Entertainment Term B 1Ln, 0.03% (LIBOR+300bps), 10/20/24, Callable 8/5/22 @ 100 | 165,285 | ||||||
|
| |||||||
283,086 | ||||||||
|
| |||||||
Industrial Products (0.0%†): | ||||||||
50,000 | Brookfield Wec Holdings, Inc., 0.04%, 8/1/25 | 47,965 | ||||||
|
| |||||||
Media (0.0%†): | ||||||||
52,062 | Sinclair Broadcasting, 0.08%, 5/25/26 | 51,715 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
6,771 | Ion Analytics Term 1Ln, 0.04% (LIBOR+400bps), 2/4/28 | 6,365 | ||||||
|
| |||||||
Software & Tech Services (0.0%†): | ||||||||
47,029 | athenahealth, 0.04%, 2/15/29 | 43,179 | ||||||
7,971 | athenahealth, 0.04%, 2/15/29 | 7,318 | ||||||
|
| |||||||
50,497 | ||||||||
|
| |||||||
Total Bank Loans (Cost $655,100) | 603,137 | |||||||
|
| |||||||
Corporate Bonds (32.8%): | ||||||||
Aerospace & Defense (0.6%): | ||||||||
214,000 | Boeing Co. (The), 5.04%, 5/1/27, Callable 3/1/27 @ 100 | 210,977 | ||||||
214,000 | Boeing Co. (The), 5.15%, 5/1/30, Callable 2/1/30 @ 100 | 205,316 | ||||||
200,000 | Boeing Co. (The), 5.71%, 5/1/40, Callable 11/1/39 @ 100 | 188,405 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 200,000 | Boeing Co. (The), 5.81%, 5/1/50, Callable 11/1/49 @ 100 | $ | 184,710 | ||||
210,000 | Boeing Co. (The), 5.93%, 5/1/60, Callable 11/1/59 @ 100 | 195,862 | ||||||
125,000 | BWX Technologies, Inc., 4.13%, 6/30/28, Callable 6/30/23 @ 102.06(b) | 110,000 | ||||||
170,000 | BWX Technologies, Inc., 4.13%, 4/15/29, Callable 4/15/24 @ 102.06(b) | 149,812 | ||||||
5,000 | Howmet Aerospace, Inc., 5.95%, 2/1/37 | 4,637 | ||||||
65,000 | Moog, Inc., 4.25%, 12/15/27, Callable 12/15/22 @ 103.19(b) | 56,063 | ||||||
60,000 | TransDigm UK Holdings PLC, 6.88%, 5/15/26, Callable 8/8/22 @ 103.44 | 56,100 | ||||||
60,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/8/22 @ 101.59 | 56,400 | ||||||
55,000 | TransDigm, Inc., 7.50%, 3/15/27, Callable 8/8/22 @ 103.75 | 51,975 | ||||||
610,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | 516,213 | ||||||
115,000 | TransDigm, Inc., 4.88%, 5/1/29, Callable 5/1/24 @ 102.44 | 93,150 | ||||||
|
| |||||||
2,079,620 | ||||||||
|
| |||||||
Air Freight & Logistics (0.0%†): | ||||||||
100,000 | Cargo Aircraft Management, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38(b) | 91,000 | ||||||
93,000 | XPO Logistics, Inc., 6.25%, 5/1/25, Callable 8/8/22 @ 103.13(b) | 92,303 | ||||||
|
| |||||||
183,303 | ||||||||
|
| |||||||
Auto Components (0.0%†): | ||||||||
55,000 | Dana, Inc., 4.50%, 2/15/32, Callable 2/15/27 @ 102.25 | 41,250 | ||||||
|
| |||||||
Automobiles (0.4%): | ||||||||
199,000 | Magallanes, Inc., 3.43%, 3/15/24(b) | 195,508 | ||||||
109,000 | Magallanes, Inc., 3.64%, 3/15/25(b) | 105,742 | ||||||
213,000 | Magallanes, Inc., 3.76%, 3/15/27, Callable 2/15/27 @ 100(b) | 199,801 | ||||||
74,000 | Magallanes, Inc., 4.05%, 3/15/29, Callable 1/15/29 @ 100(b) | 67,782 | ||||||
310,000 | Magallanes, Inc., 4.28%, 3/15/32, Callable 12/15/31 @ 100(b) | 277,000 | ||||||
155,000 | Magallanes, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100(b) | 131,991 | ||||||
234,000 | Magallanes, Inc., 5.14%, 3/15/52, Callable 9/15/51 @ 100(b) | 197,693 | ||||||
55,000 | Magic Mergeco, Inc., 5.25%, 5/1/28, Callable 11/1/23 @ 102.63^(b) | 43,175 | ||||||
105,000 | Michaels Cos., Inc. (The), 7.88%, 5/1/29, Callable 5/1/24 @ 103.94(b) | 69,300 | ||||||
75,000 | Thor Industries, Inc., 4.00%, 10/15/29, Callable 10/15/24 @ 102(b) | 59,063 | ||||||
309,000 | Volkswagen Group of America Finance LLC, 3.13%, 5/12/23(b) | 306,611 | ||||||
|
| |||||||
1,653,666 | ||||||||
|
|
See accompanying notes to the financial statements.
6
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Banks (3.0%): | ||||||||
$ | 656,000 | Bank of America Corp., 4.20%, 8/26/24, MTN | $ | 658,575 | ||||
612,000 | Bank of America Corp., Series L, 3.95%, 4/21/25, MTN | 603,707 | ||||||
128,000 | Bank of America Corp., Series G, 4.45%, 3/3/26 | 127,361 | ||||||
930,000 | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | 753,274 | ||||||
100,000 | CIT Group, Inc., 3.93% (SOFR+4 bps), 6/19/24, Callable 6/19/23 @ 100 | 99,750 | ||||||
245,000 | CIT Group, Inc., 6.13%, 3/9/28 | 254,800 | ||||||
1,090,000 | Citigroup, Inc., Series V, 4.05%, 7/30/22 | 1,091,786 | ||||||
393,000 | Citigroup, Inc., 3.35% (US0003M+90 bps), 4/24/25, Callable 4/24/24 @ 100 | 386,657 | ||||||
1,642,000 | Citigroup, Inc., 4.30%, 11/20/26 | 1,620,193 | ||||||
471,000 | Citigroup, Inc., 4.91% (SOFR+209 bps), 5/24/33, Callable 5/24/32 @ 100 | 464,892 | ||||||
200,000 | Citizens Financial Group, Inc., 2.64%, 9/30/32, Callable 7/2/32 @ 100 | 160,691 | ||||||
2,994,000 | JPMorgan Chase & Co., 3.88%, 9/10/24 | 2,986,620 | ||||||
267,000 | JPMorgan Chase & Co., 2.96% (SOFR+252 bps), 5/13/31, Callable 5/13/30 @ 100 | 231,229 | ||||||
296,000 | Wells Fargo & Co., 2.41% (US0003M+83 bps), 10/30/25, Callable 10/30/24 @ 100, MTN | 282,651 | ||||||
449,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 426,003 | ||||||
938,000 | Wells Fargo & Co., 4.48% (US0003M+4 bps), 4/4/31, Callable 4/4/30 @ 100, MTN | 919,742 | ||||||
|
| |||||||
11,067,931 | ||||||||
|
| |||||||
Beverages (0.6%): | ||||||||
500,000 | Anheuser-Busch InBev Worldwide, Inc., 3.50%, 6/1/30, Callable 3/1/30 @ 100 | 469,936 | ||||||
220,000 | Anheuser-Busch InBev Worldwide, Inc., 4.35%, 6/1/40, Callable 12/1/39 @ 100 | 197,818 | ||||||
500,000 | Anheuser-Busch InBev Worldwide, Inc., 4.50%, 6/1/50, Callable 12/1/49 @ 100 | 450,795 | ||||||
509,000 | Anheuser-Busch InBev Worldwide, Inc., 4.75%, 4/15/58, Callable 10/15/57 @ 100 | 459,526 | ||||||
523,000 | Anheuser-Busch InBev Worldwide, Inc., 5.80%, 1/23/59, Callable 7/23/58 @ 100 | 548,333 | ||||||
150,000 | Triton Water Holdings, Inc., 6.25%, 4/1/29, Callable 4/1/24 @ 103.13(b) | 106,500 | ||||||
|
| |||||||
2,232,908 | ||||||||
|
| |||||||
Biotechnology (0.0%†): | ||||||||
245,000 | Emergent BioSolutions, Inc., 3.88%, 8/15/28, Callable 8/15/23 @ 101.94(b) | 174,256 | ||||||
|
| |||||||
Building Products (0.1%): | ||||||||
255,000 | Advanced Drainage Systems, Inc., 5.00%, 9/30/27, Callable 9/30/22 @ 102.5(b) | 234,919 | ||||||
55,000 | Builders FirstSource, Inc., 4.25%, 2/1/32, Callable 8/1/26 @ 102.13(b) | 41,800 | ||||||
15,000 | Roller Bearing Co. of America, Inc., 4.38%, 10/15/29, Callable 10/15/24 @ 102.19(b) | 12,768 | ||||||
|
| |||||||
289,487 | ||||||||
|
| |||||||
Capital Markets (2.5%): | ||||||||
282,000 | Affiliated Managers Group, Inc., 4.25%, 2/15/24 | 283,649 | ||||||
572,000 | Affiliated Managers Group, Inc., 3.50%, 8/1/25 | 569,655 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 706,000 | Ares Capital Corp., 4.20%, 6/10/24, Callable 5/10/24 @ 100 | $ | 690,115 | ||||
751,000 | Ares Capital Corp., 3.88%, 1/15/26, Callable 12/15/25 @ 100 | 692,800 | ||||||
843,000 | Blackstone Private Credit Fund, 4.70%, 3/24/25(b) | 811,987 | ||||||
140,000 | Coinbase Global, Inc., 3.38%, 10/1/28, Callable 10/1/24 @ 101.69(b) | 87,500 | ||||||
305,000 | Coinbase Global, Inc., 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | 169,275 | ||||||
1,140,000 | Goldman Sachs Group, Inc. (The), 3.80%, 3/15/30, Callable 12/15/29 @ 100 | 1,058,561 | ||||||
510,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100 | 413,239 | ||||||
194,000 | Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37 | 215,962 | ||||||
70,000 | HAT Holdings I LLC / HAT Holdings II LLC, 3.38%, 6/15/26, Callable 3/15/26 @ 100(b) | 60,200 | ||||||
25,000 | LCM Investments Holdings II LLC, 4.88%, 5/1/29, Callable 5/1/24 @ 102.44(b) | 19,125 | ||||||
25,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(b) | 20,250 | ||||||
2,124,000 | Morgan Stanley, 3.74% (US0003M+85 bps), 4/24/24, Callable 4/24/23 @ 100 | 2,117,624 | ||||||
632,000 | Morgan Stanley, 3.62% (SOFR+312 bps), 4/1/31, Callable 4/1/30 @ 100 | 582,153 | ||||||
170,000 | Mozart Debt Merger Sub, Inc., 3.88%, 4/1/29, Callable 10/1/24 @ 101.94(b) | 144,500 | ||||||
70,000 | Mozart Debt Merger Sub, Inc., 5.25%, 10/1/29, Callable 10/1/24 @ 102.63(b) | 57,750 | ||||||
45,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(b) | 35,775 | ||||||
190,000 | Navios South American Logistics, Inc. / Navios Logistics Finance US, Inc., 10.75%, 7/1/25, Callable 8/8/22 @ 108.06(b) | 179,408 | ||||||
200,000 | Olympus Water US Holding Corp., 4.25%, 10/1/28, Callable 10/1/24 @ 102.13(b) | 156,000 | ||||||
457,000 | Pine Street Trust I, 4.57%, 2/15/29, Callable 11/15/28 @ 100(b) | 443,405 | ||||||
500,000 | Pine Street Trust II, 5.57%, 2/15/49, Callable 8/15/48 @ 100(b) | 487,715 | ||||||
20,000 | Real Hero Merger Sub 2, Inc., 6.25%, 2/1/29, Callable 2/1/24 @ 103.13(b) | 15,150 | ||||||
50,000 | US Renal Care, Inc., 10.63%, 7/15/27, Callable 8/8/22 @ 105.31(b) | 17,250 | ||||||
80,000 | Victors Merger Corp., 6.38%, 5/15/29, Callable 5/15/24 @ 103.19(b) | 48,800 | ||||||
|
| |||||||
9,377,848 | ||||||||
|
| |||||||
Chemicals (0.3%): | ||||||||
16,000 | CF Industries, Inc., 4.95%, 6/1/43 | 14,400 | ||||||
170,000 | Chemours Co. (The), 5.38%, 5/15/27, Callable 2/15/27 @ 100 | 151,088 | ||||||
355,000 | Chemours Co. (The), 5.75%, 11/15/28, Callable 11/15/23 @ 102.88(b) | 300,862 | ||||||
25,000 | Diamond BC BV, 4.63%, 10/1/29, Callable 10/1/24 @ 102.31(b) | 19,937 | ||||||
115,000 | LSB Industries, Inc., 6.25%, 10/15/28, Callable 10/15/24 @ 103.13(b) | 101,775 |
See accompanying notes to the financial statements.
7
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Chemicals, continued | ||||||||
$ | 125,000 | Olin Corp., 5.00%, 2/1/30, Callable 2/1/24 @ 102.5 | $ | 106,719 | ||||
60,000 | Scotts Miracle-Gro Co. (The), 4.38%, 2/1/32, Callable 8/1/26 @ 102.19 | 45,300 | ||||||
35,000 | Valvoline, Inc., 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | 28,875 | ||||||
135,000 | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(b) | 107,325 | ||||||
80,000 | WR Grace Holdings LLC, 4.88%, 6/15/27, Callable 6/15/23 @ 102.44(b) | 69,605 | ||||||
55,000 | WR Grace Holdings LLC, 5.63%, 8/15/29, Callable 8/15/24 @ 102.81(b) | 41,250 | ||||||
|
| |||||||
987,136 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.2%): | ||||||||
55,000 | ADT Security Corp. (The), 4.13%, 8/1/29, Callable 8/1/28 @ 100(b) | 44,825 | ||||||
165,000 | Aramark Services, Inc., 5.00%, 2/1/28, Callable 2/1/23 @ 102.5(b) | 150,150 | ||||||
255,000 | CoreCivic, Inc., 8.25%, 4/15/26, Callable 4/15/24 @ 104.13 | 248,944 | ||||||
35,000 | Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc., 5.00%, 2/1/26, Callable 2/1/23 @ 102.5(b) | 29,313 | ||||||
35,000 | Pitney Bowes, Inc., 6.88%, 3/15/27, Callable 3/15/24 @ 103.44^(b) | 27,606 | ||||||
70,000 | Pitney Bowes, Inc., 7.25%, 3/15/29, Callable 3/15/24 @ 103.63(b) | 52,850 | ||||||
120,000 | Stericycle, Inc., 3.88%, 1/15/29, Callable 11/15/23 @ 101.94(b) | 98,100 | ||||||
|
| |||||||
651,788 | ||||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
170,000 | CommScope, Inc., 6.00%, 3/1/26, Callable 8/8/22 @ 103(b) | 157,250 | ||||||
90,000 | CommScope, Inc., 7.13%, 7/1/28, Callable 7/1/23 @ 103.56(b) | 68,400 | ||||||
90,000 | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(b) | 72,450 | ||||||
115,000 | Viavi Solutions, Inc., 3.75%, 10/1/29, Callable 10/1/24 @ 101.88(b) | 97,750 | ||||||
|
| |||||||
395,850 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
40,000 | Arcosa, Inc., 4.38%, 4/15/29, Callable 4/15/24 @ 102.19(b) | 33,800 | ||||||
455,000 | Brand Industrial Services, Inc., 8.50%, 7/15/25, Callable 8/8/22 @ 102.13(b) | 341,250 | ||||||
105,000 | Dycom Industries, Inc., 4.50%, 4/15/29, Callable 4/15/24 @ 102.25(b) | 91,350 | ||||||
80,000 | Global Infrastructure Solutions, Inc., 5.63%, 6/1/29, Callable 6/1/24 @ 102.81(b) | 62,200 | ||||||
35,000 | Great Lakes Dredge & Dock Corp., 5.25%, 6/1/29, Callable 6/1/24 @ 102.63(b) | 30,275 | ||||||
350,000 | Pike Corp., 5.50%, 9/1/28, Callable 9/1/23 @ 102.75(b) | 280,875 | ||||||
|
| |||||||
839,750 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Discretionary Products (0.0%†): | ||||||||
$ | 125,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., 4.63%, 1/15/29, Callable 1/15/25 @ 102.31(b) | $ | 106,563 | ||||
|
| |||||||
Consumer Discretionary Services (0.0%†): | ||||||||
70,000 | Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc., 6.75%, 1/15/30, Callable 1/15/25 @ 103.38(b) | 53,550 | ||||||
115,000 | RP Escrow Issuer LLC, 5.25%, 12/15/25, Callable 12/15/22 @ 102.63(b) | 99,475 | ||||||
|
| |||||||
153,025 | ||||||||
|
| |||||||
Consumer Finance (2.5%): | ||||||||
578,000 | Ally Financial, Inc., 3.05%, 6/5/23, Callable 5/5/23 @ 100 | 572,103 | ||||||
130,000 | Ally Financial, Inc., 1.45%, 10/2/23, Callable 9/2/23 @ 100 | 125,726 | ||||||
148,000 | Ally Financial, Inc., 5.13%, 9/30/24 | 150,219 | ||||||
330,000 | Ally Financial, Inc., 5.80%, 5/1/25, Callable 4/1/25 @ 100 | 337,367 | ||||||
200,000 | Ally Financial, Inc., 4.70% (H15T5Y+387 bps), 12/31/99, Callable 5/15/26 @ 100 | 161,306 | ||||||
462,000 | Capital One Financial Corp., 2.60%, 5/11/23, Callable 4/11/23 @ 100 | 458,170 | ||||||
237,000 | Capital One Financial Corp., 2.64% (SOFR+129 bps), 3/3/26, Callable 3/3/25 @ 100 | 224,095 | ||||||
833,000 | Capital One Financial Corp., 3.65%, 5/11/27, Callable 4/11/27 @ 100 | 792,611 | ||||||
636,000 | Capital One Financial Corp., 3.80%, 1/31/28, Callable 12/31/27 @ 100 | 598,294 | ||||||
303,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 268,250 | ||||||
250,000 | Discover Bank, Series B, 4.68% (USSW5+173 bps), 8/9/28, Callable 8/9/23 @ 100 | 246,259 | ||||||
383,000 | Discover Financial Services, 4.50%, 1/30/26, Callable 11/30/25 @ 100 | 377,411 | ||||||
355,000 | Discover Financial Services, 4.10%, 2/9/27, Callable 11/9/26 @ 100 | 341,295 | ||||||
110,000 | Ford Motor Credit Co LLC, 4.13%, 8/17/27, Callable 6/17/27 @ 100 | 95,949 | ||||||
215,000 | Ford Motor Credit Co LLC, 4.00%, 11/13/30, Callable 8/13/30 @ 100 | 172,532 | ||||||
504,000 | Ford Motor Credit Co. LLC, 5.58%, 3/18/24, Callable 2/18/24 @ 100 | 501,569 | ||||||
1,490,000 | Ford Motor Credit Co. LLC, 4.06%, 11/1/24, Callable 10/1/24 @ 100 | 1,412,228 | ||||||
80,000 | Ford Motor Credit Co. LLC, 5.13%, 6/16/25, Callable 5/16/25 @ 100 | 76,970 | ||||||
240,000 | Ford Motor Credit Co. LLC, 5.11%, 5/3/29, Callable 2/3/29 @ 100 | 215,423 | ||||||
175,000 | OneMain Finance Corp., 6.88%, 3/15/25 | 165,375 | ||||||
110,000 | OneMain Finance Corp., 3.50%, 1/15/27, Callable 1/15/24 @ 101.75 | 87,450 | ||||||
100,000 | OneMain Finance Corp., 3.88%, 9/15/28, Callable 9/15/24 @ 101.94 | 76,500 | ||||||
170,000 | OneMain Finance Corp., 4.00%, 9/15/30, Callable 9/15/25 @ 102 | 125,163 |
See accompanying notes to the financial statements.
8
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Consumer Finance, continued | ||||||||
$ | 381,000 | Synchrony Financial, 4.38%, 3/19/24, Callable 2/19/24 @ 100 | $ | 379,370 | ||||
577,000 | Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100 | 571,619 | ||||||
663,000 | Synchrony Financial, 3.95%, 12/1/27, Callable 9/1/27 @ 100 | 607,176 | ||||||
|
| |||||||
9,140,430 | ||||||||
|
| |||||||
Consumer Staple Products (0.2%): | ||||||||
190,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.13%, 2/1/28, Callable 1/1/28 @ 100(b) | 184,537 | ||||||
395,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.75%, 4/1/33, Callable 1/1/33 @ 100(b) | 388,702 | ||||||
|
| |||||||
573,239 | ||||||||
|
| |||||||
Containers & Packaging (0.0%†): | ||||||||
5,000 | Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 4.13%, 8/15/26, Callable 8/15/22 @ 102.06(b) | 4,231 | ||||||
85,000 | Ball Corp., 3.13%, 9/15/31, Callable 6/15/31 @ 100 | 68,319 | ||||||
30,000 | Graphic Packaging International LLC, 3.75%, 2/1/30, Callable 8/1/29 @ 100(b) | 25,463 | ||||||
|
| |||||||
98,013 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
89,000 | Adtalem Global Education, Inc., 5.50%, 3/1/28, Callable 3/1/24 @ 102.75(b) | 79,432 | ||||||
32,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | 26,040 | ||||||
141,000 | APX Group, Inc., 6.75%, 2/15/27, Callable 2/15/23 @ 103.38(b) | 130,954 | ||||||
|
| |||||||
236,426 | ||||||||
|
| |||||||
Diversified Financial Services (0.3%): | ||||||||
85,000 | Acrisure LLC / Acrisure Finance, Inc., 6.00%, 8/1/29, Callable 8/1/24 @ 103(b) | 66,512 | ||||||
59,000 | AXA Equitable Holdings, Inc., 3.90%, 4/20/23, Callable 3/20/23 @ 100 | 59,128 | ||||||
144,000 | Jackson Financial, Inc., 5.17%, 6/8/27, Callable 5/8/27 @ 100 | 142,960 | ||||||
182,000 | Jackson Financial, Inc., 5.67%, 6/8/32, Callable 3/8/32 @ 100 | 176,268 | ||||||
20,000 | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(b) | 15,400 | ||||||
55,000 | OI European Group BV, 4.75%, 2/15/30, Callable 11/15/24 @ 102.38(b) | 46,200 | ||||||
500,000 | Peachtree Funding Trust, 3.98%, 2/15/25(b) | 495,516 | ||||||
70,000 | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | 60,725 | ||||||
65,000 | Venture Global Calcasieu Pass LLC, 4.13%, 8/15/31, Callable 2/15/31 @ 100(b) | 55,575 | ||||||
55,000 | Venture Global Calcasieu Pass LLC, 3.88%, 11/1/33, Callable 5/1/33 @ 100(b) | 44,963 | ||||||
|
| |||||||
1,163,247 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Telecommunication Services (0.7%): | ||||||||
$ | 215,000 | AT&T, Inc., 4.30%, 2/15/30, Callable 11/15/29 @ 100 | $ | 209,427 | ||||
109,000 | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | 88,354 | ||||||
500,000 | AT&T, Inc., 5.15%, 11/15/46, Callable 5/15/46 @ 100 | 494,918 | ||||||
351,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 273,137 | ||||||
125,000 | CenturyLink, Inc., 5.63%, 4/1/25, Callable 1/1/25 @ 100 | 117,188 | ||||||
360,000 | CenturyLink, Inc., 5.13%, 12/15/26, Callable 12/15/22 @ 102.56(b) | 302,400 | ||||||
10,000 | CenturyLink, Inc., Series G, 6.88%, 1/15/28 | 8,762 | ||||||
80,000 | Cogent Communications Group, Inc., 3.50%, 5/1/26, Callable 2/1/26 @ 100(b) | 73,500 | ||||||
40,000 | Consolidated Communications, Inc., 5.00%, 10/1/28, Callable 10/1/23 @ 103.75(b) | 31,950 | ||||||
30,000 | Front Range BidCo, Inc., 6.13%, 3/1/28, Callable 3/1/23 @ 103.06(b) | 21,675 | ||||||
60,000 | Frontier Communications Corp., 5.88%, 10/15/27, Callable 10/15/23 @ 102.94(b) | 53,850 | ||||||
65,000 | Frontier Communications Corp., 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | 55,494 | ||||||
70,000 | Frontier Communications Corp., 6.75%, 5/1/29, Callable 5/1/24 @ 103.38(b) | 56,875 | ||||||
8,244 | Frontier Communications Holdings LLC, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94 | 6,348 | ||||||
70,000 | Frontier Communications Holdings LLC, 6.00%, 1/15/30, Callable 10/15/24 @ 103(b) | 54,075 | ||||||
85,000 | Lumen Technologies, Inc., 5.38%, 6/15/29, Callable 6/15/24 @ 102.69(b) | 66,725 | ||||||
323,000 | Verizon Communications, Inc., 2.10%, 3/22/28, Callable 1/22/28 @ 100 | 285,930 | ||||||
299,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 256,436 | ||||||
250,000 | Windstream Escrow LLC / Windstream Escrow Finance Corp., 7.75%, 8/15/28, Callable 8/15/23 @ 103.88(b) | 200,625 | ||||||
85,000 | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 8/8/22 @ 100(b) | 70,337 | ||||||
|
| |||||||
2,728,006 | ||||||||
|
| |||||||
Electric Utilities (0.9%): | ||||||||
321,000 | Alabama Power Co., 3.05%, 3/15/32, Callable 12/15/31 @ 100^ | 292,941 | ||||||
326,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(b) | 286,880 | ||||||
20,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(b) | 17,300 | ||||||
70,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94^(b) | 57,925 | ||||||
255,000 | Cleco Corporate Holdings LLC, 3.38%, 9/15/29, Callable 6/15/29 @ 100 | 226,446 | ||||||
78,000 | Duquesne Light Holdings, Inc., 2.53%, 10/1/30, Callable 7/1/30 @ 100(b) | 63,887 |
See accompanying notes to the financial statements.
9
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities, continued | ||||||||
$ | 249,000 | Duquesne Light Holdings, Inc., 2.78%, 1/7/32, Callable 10/7/31 @ 100(b) | $ | 205,198 | ||||
71,000 | Exelon Corp., 2.75%, 3/15/27, Callable 2/15/27 @ 100(b) | 66,558 | ||||||
110,000 | Exelon Corp., 4.05%, 4/15/30, Callable 1/15/30 @ 100 | 105,076 | ||||||
86,000 | Exelon Corp., 3.35%, 3/15/32, Callable 12/15/31 @ 100(b) | 77,200 | ||||||
64,000 | Exelon Corp., 4.10%, 3/15/52, Callable 9/15/51 @ 100(b) | 55,114 | ||||||
100,000 | Genesis Energy LP / Genesis Energy Finance Corp., 8.00%, 1/15/27, Callable 1/15/24 @ 104 | 88,250 | ||||||
211,000 | IPALCO Enterprises, Inc., 3.70%, 9/1/24, Callable 7/1/24 @ 100 | 208,363 | ||||||
29,000 | NextEra Energy Operating Partners LP, 4.25%, 9/15/24, Callable 7/15/24 @ 100(b) | 27,695 | ||||||
140,000 | NRG Energy, Inc., 5.75%, 1/15/28, Callable 1/15/23 @ 102.88 | 128,100 | ||||||
30,000 | NRG Energy, Inc., 3.38%, 2/15/29, Callable 2/15/24 @ 101.69(b) | 24,150 | ||||||
55,000 | NRG Energy, Inc., 3.63%, 2/15/31, Callable 2/15/26 @ 101.81(b) | 43,038 | ||||||
112,899 | NSG Holdings LLC/NSG Holdings, Inc., 7.75%, 12/15/25(b) | 110,641 | ||||||
310,000 | Pacific Gas and Electric Co., 4.95%, 7/1/50, Callable 1/1/50 @ 100 | 248,058 | ||||||
575,000 | PG&E Corp., 5.00%, 7/1/28, Callable 7/1/23 @ 102.5 | 491,625 | ||||||
140,000 | PG&E Corp., 5.25%, 7/1/30, Callable 7/1/25 @ 102.63^ | 114,975 | ||||||
260,000 | Vistra Operations Co. LLC, 5.00%, 7/31/27, Callable 7/31/22 @ 102.5(b) | 235,950 | ||||||
|
| |||||||
3,175,370 | ||||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
85,000 | Artera Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(b) | 68,638 | ||||||
105,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(b) | 88,987 | ||||||
140,000 | Vertiv Group Corp., 4.13%, 11/15/28, Callable 11/15/24 @ 102.06(b) | 113,400 | ||||||
|
| |||||||
271,025 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.1%): | ||||||||
255,000 | II-VI, Inc., 5.00%, 12/15/29, Callable 12/14/24 @ 102.5(b) | 222,806 | ||||||
|
| |||||||
Entertainment (0.0%†): | ||||||||
140,000 | ROBLOX Corp., 3.88%, 5/1/30, Callable 11/1/24 @ 101.94(b) | 113,400 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (3.2%): | ||||||||
150,000 | American Homes 4 Rent LP, 3.63%, 4/15/32, Callable 1/15/32 @ 100 | 131,881 | ||||||
454,000 | Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100 | 449,669 | ||||||
421,000 | Brandywine Operating Partners LP, 3.95%, 11/15/27, Callable 8/15/27 @ 100 | 400,367 | ||||||
522,000 | Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100 | 499,772 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 489,000 | Brandywine Realty Trust, 3.95%, 2/15/23, Callable 11/15/22 @ 100 | $ | 487,300 | ||||
98,000 | Corporate Office Properties LP, 2.25%, 3/15/26, Callable 2/15/26 @ 100 | 88,722 | ||||||
66,000 | Corporate Office Properties LP, 2.75%, 4/15/31, Callable 1/15/31 @ 100 | 53,842 | ||||||
35,000 | Corrections Corp. of America, 4.63%, 5/1/23, Callable 2/1/23 @ 100 | 34,825 | ||||||
65,000 | CTR Partnership LP / CareTrust Capital Corp., 3.88%, 6/30/28, Callable 3/30/28 @ 100(b) | 54,600 | ||||||
55,000 | GEO Group, Inc. (The), 5.88%, 10/15/24, Callable 8/8/22 @ 100.98 | 49,363 | ||||||
170,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership LP, 3.75%, 12/15/27, Callable 9/15/27 @ 100(b) | 142,282 | ||||||
102,000 | Healthcare Trust of America Holdings LP, 3.50%, 8/1/26, Callable 5/1/26 @ 100 | 97,227 | ||||||
98,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | 84,667 | ||||||
615,000 | Hudson Pacific Properties LP, 4.65%, 4/1/29, Callable 1/1/29 @ 100 | 592,081 | ||||||
135,000 | Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100 | 134,309 | ||||||
169,000 | Omega Healthcare Investors, Inc., 4.38%, 8/1/23, Callable 6/1/23 @ 100 | 169,569 | ||||||
126,000 | Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100 | 126,542 | ||||||
281,000 | Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100 | 278,043 | ||||||
1,931,000 | Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100 | 1,844,070 | ||||||
435,000 | Omega Healthcare Investors, Inc., 3.63%, 10/1/29, Callable 7/1/29 @ 100 | 373,596 | ||||||
194,000 | Omega Healthcare Investors, Inc., 3.38%, 2/1/31, Callable 11/1/30 @ 100 | 157,730 | ||||||
78,000 | Piedmont Operating Partnership LP, 2.75%, 4/1/32, Callable 1/1/32 @ 100 | 60,479 | ||||||
35,000 | Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100 | 34,922 | ||||||
68,000 | Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100 | 68,322 | ||||||
104,000 | Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100 | 101,325 | ||||||
22,000 | Retail Properties of America, Inc., 4.75%, 9/15/30, Callable 6/15/30 @ 100 | 20,530 | ||||||
498,000 | Sabra Health Care LP, 3.20%, 12/1/31, Callable 9/1/31 @ 100 | 396,876 | ||||||
458,000 | SBA Tower Trust, 2.84%, 1/15/25, Callable 1/15/24 @ 100(b) | 443,805 | ||||||
146,000 | SBA Tower Trust, 1.88%, 7/15/50, Callable 1/15/25 @ 100(b) | 135,072 | ||||||
111,000 | SBA Tower Trust, 2.33%, 7/15/52, Callable 7/15/26 @ 100(b) | 99,249 | ||||||
65,000 | Service Properties Trust, 4.95%, 2/15/27, Callable 8/15/26 @ 100 | 47,694 | ||||||
55,000 | Service Properties Trust, 5.50%, 12/15/27, Callable 9/15/27 @ 100 | 44,412 |
See accompanying notes to the financial statements.
10
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 60,000 | Service Properties Trust, 4.95%, 10/1/29, Callable 7/1/29 @ 100 | $ | 41,100 | ||||
125,000 | Service Properties Trust, 4.38%, 2/15/30, Callable 8/15/29 @ 100 | 83,437 | ||||||
147,000 | STORE Capital Corp., 4.63%, 3/15/29, Callable 12/15/28 @ 100 | 144,246 | ||||||
112,000 | STORE Capital Corp., 2.75%, 11/18/30, Callable 8/18/30 @ 100 | 92,164 | ||||||
87,000 | Sun Communities Operating LP, 2.30%, 11/1/28, Callable 9/1/28 @ 100 | 74,317 | ||||||
232,000 | Sun Communities Operating LP, 2.70%, 7/15/31, Callable 4/15/31 @ 100 | 187,417 | ||||||
387,000 | Tanger Properties LP, 3.13%, 9/1/26, Callable 6/1/26 @ 100 | 362,917 | ||||||
237,000 | Tanger Properties LP, 2.75%, 9/1/31, Callable 6/1/31 @ 100 | 186,430 | ||||||
95,000 | The Geo Group, Inc., 6.00%, 4/15/26, Callable 8/8/22 @ 102 | 77,425 | ||||||
300,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.88%, 2/15/25, Callable 8/8/22 @ 103.94(b) | 289,500 | ||||||
160,000 | Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 1/15/30, Callable 1/15/25 @ 103(b) | 111,600 | ||||||
199,000 | Ventas Realty LP, 4.00%, 3/1/28, Callable 12/1/27 @ 100 | 189,652 | ||||||
569,000 | Ventas Realty LP, 3.00%, 1/15/30, Callable 10/15/29 @ 100 | 500,293 | ||||||
631,000 | Ventas Realty LP, 4.75%, 11/15/30, Callable 8/15/30 @ 100 | 617,811 | ||||||
38,000 | VICI Properties LP, 4.38%, 5/15/25 | 37,193 | ||||||
40,000 | VICI Properties LP, 5.13%, 5/15/32, Callable 2/15/32 @ 100 | 37,600 | ||||||
103,000 | Vornado Realty LP, 2.15%, 6/1/26, Callable 5/1/26 @ 100 | 92,054 | ||||||
67,000 | Weingarten Realty Investors, 3.38%, 10/15/22, Callable 8/8/22 @ 100 | 67,024 | ||||||
814,000 | WP Carey, Inc., 4.00%, 2/1/25, Callable 11/1/24 @ 100 | 807,913 | ||||||
101,000 | WP Carey, Inc., 3.85%, 7/15/29, Callable 4/15/29 @ 100 | 94,364 | ||||||
|
| |||||||
11,797,600 | ||||||||
|
| |||||||
Financial Services (0.1%): | ||||||||
30,000 | Clydesdale Acquisition Holdings, Inc., 6.63%, 4/15/29, Callable 4/15/25 @ 103.31(b) | 28,200 | ||||||
60,000 | Cobra AcquisitionCo LLC, 6.38%, 11/1/29, Callable 11/1/24 @ 103.25(b) | 45,000 | ||||||
175,000 | Hightower Holding LLC, 6.75%, 4/15/29, Callable 4/15/24 @ 103.38(b) | 131,250 | ||||||
30,000 | Jane Street Group/JSG Finance, Inc., 4.50%, 11/15/29, Callable 11/15/24 @ 102.25(b) | 26,700 | ||||||
|
| |||||||
231,150 | ||||||||
|
| |||||||
Food & Staples Retailing (0.3%): | ||||||||
35,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.63%, 1/15/27, Callable 1/15/23 @ 103.47(b) | 31,238 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
$ | 80,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 3.50%, 3/15/29, Callable 9/15/23 @ 101.75(b) | $ | 64,400 | ||||
240,000 | Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC, 4.88%, 2/15/30, Callable 2/15/25 @ 103.66(b) | 204,600 | ||||||
165,000 | Performance Food Group, Inc., 6.88%, 5/1/25, Callable 8/8/22 @ 103.44(b) | 164,175 | ||||||
125,000 | Performance Food Group, Inc., 5.50%, 10/15/27, Callable 10/15/22 @ 102.75(b) | 115,312 | ||||||
30,000 | Performance Food Group, Inc., 4.25%, 8/1/29, Callable 8/1/24 @ 102.13(b) | 25,050 | ||||||
140,000 | Sysco Corp., 5.95%, 4/1/30, Callable 1/1/30 @ 100 | 150,050 | ||||||
210,000 | Sysco Corp., 6.60%, 4/1/50, Callable 10/1/49 @ 100 | 243,383 | ||||||
65,000 | United Natural Foods, Inc., 6.75%, 10/15/28, Callable 10/15/23 @ 103.38(b) | 60,531 | ||||||
90,000 | US Foods, Inc., 4.75%, 2/15/29, Callable 2/15/24 @ 102.38(b) | 78,413 | ||||||
25,000 | US Foods, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | 21,250 | ||||||
|
| |||||||
1,158,402 | ||||||||
|
| |||||||
Food Products (0.5%): | ||||||||
170,000 | C&S Group Enterprises LLC, 5.00%, 12/15/28, Callable 12/15/23 @ 102.5(b) | 125,162 | ||||||
555,000 | JBS Finance Luxembourg Sarl, 2.50%, 1/15/27, Callable 12/15/26 @ 100(b) | 483,121 | ||||||
50,000 | JBS Finance Luxembourg Sarl, 3.63%, 1/15/32, Callable 1/15/27 @ 101.81(b) | 40,375 | ||||||
89,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(b) | 89,556 | ||||||
300,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(b) | 283,500 | ||||||
550,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 5/15/32, Callable 2/15/32 @ 100(b) | 422,125 | ||||||
135,000 | Pilgrim’s Pride Corp., 4.25%, 4/15/31, Callable 4/15/26 @ 102.13(b) | 112,725 | ||||||
55,000 | Post Holdings, Inc., 5.63%, 1/15/28, Callable 12/1/22 @ 102.81(b) | 52,181 | ||||||
165,000 | Post Holdings, Inc., 4.50%, 9/15/31, Callable 9/15/26 @ 102.25(b) | 135,300 | ||||||
95,000 | TreeHouse Foods, Inc., 4.00%, 9/1/28, Callable 9/1/23 @ 102 | 77,188 | ||||||
|
| |||||||
1,821,233 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.0%†): | ||||||||
140,000 | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(b) | 119,700 | ||||||
|
| |||||||
Health Care Providers & Services (1.7%): | ||||||||
65,000 | AHP Health Partners, Inc., 5.75%, 7/15/29, Callable 7/15/24 @ 102.88(b) | 48,669 | ||||||
15,000 | Cano Health LLC, 6.25%, 10/1/28, Callable 10/1/24 @ 103.13^(b) | 12,150 |
See accompanying notes to the financial statements.
11
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 405,000 | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | $ | 376,650 | ||||
600,000 | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | 501,000 | ||||||
985,000 | Centene Corp., 4.63%, 12/15/29, Callable 12/15/24 @ 102.31 | 913,587 | ||||||
360,000 | Centene Corp., 3.38%, 2/15/30, Callable 2/15/25 @ 101.69 | 303,750 | ||||||
245,000 | Centene Corp., 2.63%, 8/1/31, Callable 5/1/31 @ 100 | 194,469 | ||||||
100,000 | CHS/Community Health Systems, Inc., 5.63%, 3/15/27, Callable 12/15/23 @ 102.81(b) | 84,625 | ||||||
100,000 | CHS/Community Health Systems, Inc., 6.00%, 1/15/29, Callable 1/15/24 @ 103(b) | 82,500 | ||||||
240,000 | CHS/Community Health Systems, Inc., 6.13%, 4/1/30, Callable 4/1/25 @ 103.06(b) | 146,400 | ||||||
130,000 | CHS/Community Health Systems, Inc., 5.25%, 5/15/30, Callable 5/15/25 @ 102.63(b) | 98,800 | ||||||
70,000 | CHS/Community Health Systems, Inc., 4.75%, 2/15/31, Callable 2/15/26 @ 102.38(b) | 51,800 | ||||||
526,000 | Cigna Corp., 4.38%, 10/15/28, Callable 7/15/28 @ 100 | 521,291 | ||||||
315,000 | Community Health Systems, Inc., 8.00%, 3/15/26, Callable 8/8/22 @ 104(b) | 285,075 | ||||||
114,000 | CVS Health Corp., 3.63%, 4/1/27, Callable 2/1/27 @ 100 | 111,302 | ||||||
260,000 | CVS Health Corp., 4.78%, 3/25/38, Callable 9/25/37 @ 100 | 246,320 | ||||||
310,000 | DaVita, Inc., 4.63%, 6/1/30, Callable 6/1/25 @ 102.31(b) | 240,250 | ||||||
235,000 | HCA, Inc., 5.38%, 2/1/25 | 233,825 | ||||||
217,000 | HCA, Inc., 5.63%, 9/1/28, Callable 3/1/28 @ 100 | 212,660 | ||||||
145,000 | HCA, Inc., 5.88%, 2/1/29, Callable 8/1/28 @ 100 | 145,000 | ||||||
410,000 | HCA, Inc., 3.50%, 9/1/30, Callable 3/1/30 @ 100 | 350,038 | ||||||
25,000 | HealthEquity, Inc., 4.50%, 10/1/29, Callable 10/1/24 @ 102.25(b) | 21,812 | ||||||
128,000 | Humana, Inc., 3.70%, 3/23/29, Callable 2/23/29 @ 100 | 121,356 | ||||||
60,000 | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(b) | 51,300 | ||||||
75,000 | Molina Healthcare, Inc., 3.88%, 5/15/32, Callable 2/15/32 @ 100(b) | 63,187 | ||||||
40,000 | Owens & Minor, Inc., 4.50%, 3/31/29, Callable 3/31/24 @ 102.25^(b) | 32,600 | ||||||
160,000 | Radiology Partners, Inc., 9.25%, 2/1/28, Callable 2/1/23 @ 104.63(b) | 119,200 | ||||||
105,000 | Surgery Center Holdings, Inc., 6.75%, 7/1/25, Callable 8/8/22 @ 100(b) | 95,944 | ||||||
215,000 | Tenet Healthcare Corp., 6.25%, 2/1/27, Callable 8/8/22 @ 103.13(b) | 198,337 | ||||||
195,000 | Tenet Healthcare Corp., 6.13%, 10/1/28, Callable 10/1/23 @ 103.06(b) | 166,969 | ||||||
110,000 | Tenet Healthcare Corp., 4.25%, 6/1/29, Callable 6/1/24 @ 102.13(b) | 92,950 | ||||||
65,000 | Tenet Healthcare Corp., 4.38%, 1/15/30, Callable 12/1/24 @ 102.19(b) | 54,925 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 181,000 | Toledo Hospital (The), Series B, 5.33%, 11/15/28 | $ | 172,476 | ||||
|
| |||||||
6,351,217 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.7%): | ||||||||
25,000 | Affinity Gaming, 6.88%, 12/15/27, Callable 12/1/23 @ 103.44(b) | 20,938 | ||||||
175,000 | Boyd Gaming Corp., 4.75%, 12/1/27, Callable 12/1/22 @ 102.38^ | 158,156 | ||||||
65,000 | Caesars Entertainment, Inc., 4.63%, 10/15/29, Callable 10/15/24 @ 102.31(b) | 50,375 | ||||||
130,000 | Carnival Corp., 10.50%, 2/1/26, Callable 8/1/23 @ 105.25(b) | 129,350 | ||||||
220,000 | Carnival Corp., 7.63%, 3/1/26, Callable 3/1/24 @ 101.91^(b) | 170,500 | ||||||
100,000 | Carnival Corp., 10.50%, 6/1/30, Callable 6/1/25 @ 105.25(b) | 82,250 | ||||||
55,000 | Carrols Restaurant Group, Inc., 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(b) | 40,081 | ||||||
100,000 | Golden Entertainment, Inc., 7.63%, 4/15/26, Callable 8/8/22 @ 103.81(b) | 99,000 | ||||||
55,000 | Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, 5.00%, 6/1/29, Callable 6/1/24 @ 102.5(b) | 44,481 | ||||||
30,000 | Jacobs Entertainment, Inc., 6.75%, 2/15/29, Callable 2/15/25 @ 103.38(b) | 24,600 | ||||||
70,000 | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(b) | 62,825 | ||||||
55,000 | Marriott Ownership Resorts, Inc., 4.50%, 6/15/29, Callable 6/15/24 @ 102.25(b) | 45,650 | ||||||
126,000 | McDonald’s Corp., 3.60%, 7/1/30, Callable 4/1/30 @ 100^ | 119,924 | ||||||
250,000 | MGM Resorts International, 5.75%, 6/15/25, Callable 3/15/25 @ 100 | 237,500 | ||||||
285,000 | NCL Corp., Ltd., 3.63%, 12/15/24, Callable 7/18/22 @ 101.81(b) | 239,400 | ||||||
75,000 | NCL Corp., Ltd., 5.88%, 2/15/27, Callable 2/15/24 @ 102.94(b) | 64,113 | ||||||
25,000 | NCL Finance, Ltd., 6.13%, 3/15/28, Callable 12/15/27 @ 100(b) | 18,188 | ||||||
30,000 | Peninsula Pacific Entert, 8.50%, 11/15/27, Callable 11/15/23 @ 104.25(b) | 31,500 | ||||||
35,000 | Royal Caribbean Cruises, Ltd., 9.13%, 6/15/23, Callable 3/15/23 @ 100(b) | 34,650 | ||||||
117,000 | Royal Caribbean Cruises, Ltd., 11.50%, 6/1/25, Callable 7/18/22 @ 108.63(b) | 120,218 | ||||||
140,000 | Royal Caribbean Cruises, Ltd., 5.50%, 8/31/26, Callable 2/28/26 @ 100^(b) | 103,250 | ||||||
50,000 | Royal Caribbean Cruises, Ltd., 5.38%, 7/15/27, Callable 10/15/26 @ 100(b) | 35,875 | ||||||
200,000 | Station Casinos LLC, 4.50%, 2/15/28, Callable 2/15/23 @ 102.25(b) | 168,000 | ||||||
100,000 | Viking Cruises, Ltd., 13.00%, 5/15/25, Callable 7/22/22 @ 109.75(b) | 102,250 | ||||||
100,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 3/1/25, Callable 12/1/24 @ 100(b) | 91,500 | ||||||
150,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.25%, 5/15/27, Callable 2/15/27 @ 100(b) | 127,875 |
See accompanying notes to the financial statements.
12
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 135,000 | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | $ | 118,800 | ||||
|
| |||||||
2,541,249 | ||||||||
|
| |||||||
Household Durables (0.2%): | ||||||||
30,000 | Ambience Merger Sub, Inc., 4.88%, 7/15/28, Callable 7/15/23 @ 102.44(b) | 21,900 | ||||||
35,000 | Ashton Woods USA LLC / Ashton Woods Finance Co., 4.63%, 4/1/30, Callable 4/1/25 @ 102.31(b) | 25,462 | ||||||
65,000 | Century Communities, Inc., 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | 50,862 | ||||||
150,000 | LBM Acquisition LLC, 6.25%, 1/15/29, Callable 1/15/24 @ 103.13(b) | 95,063 | ||||||
15,000 | Newell Brands, Inc., 5.38%, 4/1/36, Callable 10/1/35 @ 100 | 12,863 | ||||||
40,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 4.75%, 4/30/27, Callable 10/15/23 @ 102.38(b) | 33,150 | ||||||
25,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(b) | 18,281 | ||||||
195,000 | Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc., 10.75%, 6/1/28, Callable 6/1/23 @ 105.38(b) | 171,600 | ||||||
60,000 | Tempur Sealy International, Inc., 3.88%, 10/15/31, Callable 10/15/26 @ 101.94(b) | 45,000 | ||||||
120,000 | TopBuild Corp., 4.13%, 2/15/32, Callable 10/15/26 @ 102.06(b) | 93,150 | ||||||
|
| |||||||
567,331 | ||||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
80,000 | Central Garden & Pet Co., 4.13%, 4/30/31, Callable 4/30/26 @ 102.06(b) | 64,400 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.3%): | ||||||||
528,000 | AES Corp. (The), 3.30%, 7/15/25, Callable 6/15/25 @ 100(b) | 500,075 | ||||||
461,000 | AES Corp. (The), 3.95%, 7/15/30, Callable 4/15/30 @ 100(b) | 426,991 | ||||||
45,000 | Clearway Energy Operating LLC, 4.75%, 3/15/28, Callable 3/15/23 @ 103.56(b) | 40,500 | ||||||
50,000 | Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28, Callable 8/15/23 @ 103.38(b) | 43,750 | ||||||
40,000 | Sunnova Energy Corp., 5.88%, 9/1/26, Callable 9/1/23 @ 102.94^(b) | 35,000 | ||||||
40,000 | TerraForm Power Operating LLC, 5.00%, 1/31/28, Callable 7/31/27 @ 100(b) | 36,200 | ||||||
|
| |||||||
1,082,516 | ||||||||
|
| |||||||
Industrial Conglomerates (0.2%): | ||||||||
205,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 6.25%, 5/15/26, Callable 8/8/22 @ 103.13 | 190,650 | ||||||
510,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 5/15/27, Callable 11/15/26 @ 100 | 451,350 | ||||||
|
| |||||||
642,000 | ||||||||
|
| |||||||
Industrial Services (0.1%): | ||||||||
210,000 | Minerva Merger Sub, Inc., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(b) | 174,300 | ||||||
85,000 | Railworks Holdings LP/Railworks Rally, Inc., 8.25%, 11/15/28, Callable 11/15/24 @ 104.13(b) | 76,500 | ||||||
|
| |||||||
250,800 | ||||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Insurance (1.2%): | ||||||||
$ | 175,000 | Acrisure LLC / Acrisure Finance, Inc., 4.25%, 2/15/29, Callable 2/15/24 @ 102.13(b) | $ | 141,750 | ||||
900,000 | American International Group, Inc., 2.50%, 6/30/25, Callable 5/30/25 @ 100 | 860,944 | ||||||
35,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(b) | 28,700 | ||||||
55,000 | AssuredPartners, Inc., 5.63%, 1/15/29, Callable 12/15/23 @ 102.81(b) | 43,862 | ||||||
30,000 | BroadStreet Partners, Inc., 5.88%, 4/15/29, Callable 4/15/24 @ 102.94(b) | 23,400 | ||||||
98,000 | Corebridge Financial, Inc., 3.50%, 4/4/25, Callable 3/4/25 @ 100(b) | 95,414 | ||||||
334,000 | Corebridge Financial, Inc., 3.65%, 4/5/27, Callable 3/5/27 @ 100(b) | 314,184 | ||||||
137,000 | Corebridge Financial, Inc., 3.85%, 4/5/29, Callable 2/5/29 @ 100(b) | 126,893 | ||||||
163,000 | Corebridge Financial, Inc., 3.90%, 4/5/32, Callable 1/5/32 @ 100(b) | 147,286 | ||||||
37,000 | Corebridge Financial, Inc., 4.35%, 4/5/42, Callable 10/5/41 @ 100(b) | 31,559 | ||||||
110,000 | Corebridge Financial, Inc., 4.40%, 4/5/52, Callable 10/5/51 @ 100(b) | 92,677 | ||||||
686,000 | Five Corners Funding Trust II, 2.85%, 5/15/30, Callable 2/15/30 @ 100(b) | 595,105 | ||||||
55,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 7/18/22 @ 101.75(b) | 51,562 | ||||||
50,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81(b) | 41,500 | ||||||
40,000 | Liberty Mutual Group, Inc., 4.25%, 6/15/23(b) | 40,118 | ||||||
140,000 | Liberty Mutual Group, Inc., 4.57%, 2/1/29(b) | 137,893 | ||||||
651,000 | Pacific Lifecorp, 5.13%, 1/30/43(b) | 635,284 | ||||||
85,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(b) | 73,844 | ||||||
463,000 | Unum Group, 3.88%, 11/5/25 | 456,443 | ||||||
349,000 | Unum Group, 4.00%, 6/15/29, Callable 3/15/29 @ 100 | 331,863 | ||||||
260,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/8/22 @ 100(b) | 249,925 | ||||||
|
| |||||||
4,520,206 | ||||||||
|
| |||||||
Interactive Media & Services (0.1%): | ||||||||
85,000 | Match Group Holdings II LLC, 3.63%, 10/1/31, Callable 10/1/26 @ 101.81(b) | 66,938 | ||||||
40,000 | Match Group, Inc., 4.13%, 8/1/30, Callable 5/1/25 @ 102.06(b) | 33,500 | ||||||
205,000 | Rackspace Technology Global, Inc., 3.50%, 2/15/28, Callable 2/15/24 @ 101.75(b) | 160,925 | ||||||
|
| |||||||
261,363 | ||||||||
|
| |||||||
IT Services (0.2%): | ||||||||
40,000 | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(b) | 32,300 | ||||||
15,000 | Arches Buyer, Inc., 6.13%, 12/1/28, Callable 12/1/23 @ 103.06(b) | 12,075 | ||||||
175,000 | Black Knight InfoServ LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(b) | 151,375 | ||||||
20,000 | Booz Allen Hamilton, Inc., 4.00%, 7/1/29, Callable 7/1/24 @ 102(b) | 17,550 |
See accompanying notes to the financial statements.
13
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
IT Services, continued | ||||||||
$ | 215,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(b) | $ | 206,938 | ||||
100,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(b) | 90,750 | ||||||
65,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(b) | 55,331 | ||||||
55,000 | Square, Inc., 2.75%, 6/1/26, Callable 5/1/26 @ 100(b) | 48,675 | ||||||
55,000 | Square, Inc., 3.50%, 6/1/31, Callable 3/1/31 @ 100^(b) | 44,000 | ||||||
50,000 | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | 42,063 | ||||||
50,000 | Twilio, Inc., 3.88%, 3/15/31, Callable 3/15/26 @ 101.94^ | 41,062 | ||||||
|
| |||||||
742,119 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
311,000 | Hasbro, Inc., 3.00%, 11/19/24, Callable 10/19/24 @ 100 | 304,393 | ||||||
5,000 | Mattel, Inc., 5.88%, 12/15/27, Callable 12/15/22 @ 104.41(b) | 4,862 | ||||||
|
| |||||||
309,255 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
195,000 | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(b) | 178,425 | ||||||
20,000 | Charles River Laboratories International, Inc., 4.25%, 5/1/28, Callable 5/1/23 @ 102.13(b) | 17,975 | ||||||
45,000 | Charles River Laboratories International, Inc., 3.75%, 3/15/29, Callable 3/15/24 @ 101.88(b) | 38,981 | ||||||
|
| |||||||
235,381 | ||||||||
|
| |||||||
Machinery (0.1%): | ||||||||
80,000 | GrafTech Finance, Inc., 4.63%, 12/15/28, Callable 12/15/23 @ 102.31(b) | 64,800 | ||||||
75,000 | ITT Holdings LLC, 6.50%, 8/1/29, Callable 8/1/24 @ 103.25(b) | 60,000 | ||||||
40,000 | Madison IAQ LLC, 4.13%, 6/30/28, Callable 6/30/24 @ 102.06(b) | 33,100 | ||||||
335,000 | Madison IAQ LLC, 5.88%, 6/30/29, Callable 6/30/24 @ 102.94(b) | 253,763 | ||||||
60,000 | Mueller Water Products, Inc., 4.00%, 6/15/29, Callable 6/15/24 @ 102(b) | 52,200 | ||||||
|
| |||||||
463,863 | ||||||||
|
| |||||||
Media (1.8%): | ||||||||
20,000 | ABG Intermediate Holdings 2 LLC, 5.00%, 12/21/28, Callable 8/5/22 @ 100 | 18,650 | ||||||
275,000 | Advantage Sales & Marketing, Inc., 6.50%, 11/15/28, Callable 11/15/23 @ 103.25(b) | 234,781 | ||||||
100,000 | Allen Media LLC / Allen Media Co-Issuer, Inc., 10.50%, 2/15/28, Callable 2/15/23 @ 113(b) | 52,250 | ||||||
35,000 | Austin BidCo, Inc., 7.13%, 12/15/28, Callable 12/15/23 @ 103.56(b) | 28,000 | ||||||
30,000 | Cablevision Lightpath LLC, 3.88%, 9/15/27, Callable 9/15/23 @ 101.94(b) | 24,600 | ||||||
25,000 | Cablevision Lightpath LLC, 5.63%, 9/15/28, Callable 9/15/23 @ 102.81(b) | 19,375 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 105,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(b) | $ | 96,600 | ||||
395,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 3/1/30, Callable 9/1/24 @ 102.38(b) | 336,738 | ||||||
95,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 8/15/30, Callable 2/15/25 @ 102.25(b) | 79,088 | ||||||
155,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 5/1/32, Callable 5/1/26 @ 102.25 | 124,775 | ||||||
105,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.50%, 6/1/33, Callable 6/1/27 @ 102.25(b) | 82,687 | ||||||
332,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.40%, 4/1/33, Callable 1/1/33 @ 100 | 296,720 | ||||||
332,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.25%, 4/1/53, Callable 10/1/52 @ 100 | 283,565 | ||||||
332,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.50%, 4/1/63, Callable 10/1/62 @ 100 | 283,603 | ||||||
440,000 | CSC Holdings LLC, 5.75%, 1/15/30, Callable 1/15/25 @ 102.88(b) | 320,100 | ||||||
130,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(b) | 99,450 | ||||||
280,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(b) | 68,600 | ||||||
215,000 | Discovery Communications LLC, 3.63%, 5/15/30, Callable 2/15/30 @ 100 | 191,116 | ||||||
580,000 | Discovery Communications LLC, 4.65%, 5/15/50, Callable 11/15/49 @ 100 | 461,561 | ||||||
230,000 | DISH DBS Corp., 7.75%, 7/1/26 | 179,975 | ||||||
103,000 | Fox Corp., 4.03%, 1/25/24, Callable 12/25/23 @ 100 | 103,061 | ||||||
149,000 | Fox Corp., 4.71%, 1/25/29, Callable 10/25/28 @ 100 | 146,441 | ||||||
147,000 | Fox Corp., 5.48%, 1/25/39, Callable 7/25/38 @ 100 | 143,409 | ||||||
65,000 | Gray Television, Inc., 4.75%, 10/15/30, Callable 10/15/25 @ 102.38(b) | 51,025 | ||||||
165,000 | Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 9/15/26, Callable 9/15/23 @ 102.25(b) | 141,075 | ||||||
200,000 | Radiate Holdco LLC/Radiate Finance, Inc., 6.50%, 9/15/28, Callable 9/15/23 @ 103.25(b) | 154,000 | ||||||
45,000 | Sirius XM Radio, Inc., 3.13%, 9/1/26, Callable 9/1/23 @ 101.56(b) | 39,712 | ||||||
105,000 | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/8/22 @ 102.5(b) | 97,125 | ||||||
45,000 | Sirius XM Radio, Inc., 5.50%, 7/1/29, Callable 7/1/24 @ 102.75(b) | 41,175 | ||||||
40,000 | Sirius XM Radio, Inc., 4.13%, 7/1/30, Callable 7/1/25 @ 102.06(b) | 33,500 | ||||||
85,000 | Sirius XM Radio, Inc., 3.88%, 9/1/31, Callable 9/1/26 @ 101.94(b) | 68,000 | ||||||
140,000 | TEGNA, Inc., 4.75%, 3/15/26, Callable 3/15/23 @ 102.38(b) | 134,400 | ||||||
80,000 | Terrier Media Buyer, Inc., 8.88%, 12/15/27, Callable 12/15/22 @ 104.44(b) | 64,000 | ||||||
103,000 | Time Warner Cable LLC, 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 90,223 | ||||||
359,000 | Time Warner Cable, Inc., 6.55%, 5/1/37 | 361,043 |
See accompanying notes to the financial statements.
14
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 418,000 | Time Warner Cable, Inc., 7.30%, 7/1/38 | $ | 437,859 | ||||
1,100,000 | Time Warner Cable, Inc., 6.75%, 6/15/39 | 1,100,445 | ||||||
55,000 | Univision Communications, Inc., 6.63%, 6/1/27, Callable 6/1/23 @ 103.31(b) | 51,975 | ||||||
65,000 | Univision Communications, Inc., 4.50%, 5/1/29, Callable 5/1/24 @ 102.25(b) | 54,437 | ||||||
|
| |||||||
6,595,139 | ||||||||
|
| |||||||
Metals & Mining (0.2%): | ||||||||
70,000 | Alcoa Nederland Holding BV, 4.13%, 3/31/29, Callable 3/31/24 @ 102.06(b) | 62,650 | ||||||
265,000 | Allegheny Technologies, Inc., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 236,844 | ||||||
30,000 | Allegheny Technologies, Inc., 4.88%, 10/1/29, Callable 10/1/24 @ 102.44 | 23,953 | ||||||
20,000 | Allegheny Technologies, Inc., 5.13%, 10/1/31, Callable 10/1/26 @ 102.56 | 15,850 | ||||||
70,000 | Cleveland-Cliffs, Inc., 4.63%, 3/1/29, Callable 3/1/24 @ 102.31(b) | 62,038 | ||||||
70,000 | Cleveland-Cliffs, Inc., 4.88%, 3/1/31, Callable 3/1/26 @ 102.44(b) | 61,600 | ||||||
25,000 | Commercial Metals Co., 4.13%, 1/15/30, Callable 1/15/25 @ 102.06 | 21,375 | ||||||
25,000 | Commercial Metals Co., 4.38%, 3/15/32, Callable 3/15/27 @ 102.19 | 21,125 | ||||||
185,000 | Kaiser Aluminun Corp., 4.63%, 3/1/28, Callable 3/1/23 @ 102.31(b) | 153,550 | ||||||
55,000 | Novelis Corp., 3.88%, 8/15/31, Callable 8/15/26 @ 101.94(b) | 42,212 | ||||||
|
| |||||||
701,197 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
55,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp, 4.75%, 6/15/29, Callable 6/15/24 @ 102.38(b) | 42,350 | ||||||
65,000 | Starwood Property Trust, Inc., 4.75%, 3/15/25, Callable 9/15/24 @ 100 | 59,394 | ||||||
|
| |||||||
101,744 | ||||||||
|
| |||||||
Multi-Utilities (0.2%): | ||||||||
207,000 | Puget Energy, Inc., 4.10%, 6/15/30, Callable 3/15/30 @ 100 | 192,278 | ||||||
292,000 | Puget Energy, Inc., 4.22%, 3/15/32, Callable 12/15/31 @ 100 | 269,935 | ||||||
110,000 | Sempra Energy, 6.00%, 10/15/39 | 116,085 | ||||||
|
| |||||||
578,298 | ||||||||
|
| |||||||
Oil & Gas (0.0%†): | ||||||||
45,000 | Holly Energy Partners LP / Holly Energy Finance Corp., 6.38%, 4/15/27, Callable 4/15/24 @ 103.19(b) | 42,300 | ||||||
50,000 | Kinetik Holdings LP, 5.88%, 6/15/30, Callable 6/15/25 @ 102.94(b) | 47,472 | ||||||
|
| |||||||
89,772 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.4%): | ||||||||
55,000 | Apache Corp., 5.10%, 9/1/40, Callable 3/1/40 @ 100 | 46,406 | ||||||
25,000 | Apache Corp., 7.38%, 8/15/47 | 24,646 | ||||||
70,000 | Cheniere Energy Partners LP, 4.00%, 3/1/31, Callable 3/1/26 @ 102 | 59,587 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 55,000 | Cheniere Energy Partners LP, 3.25%, 1/31/32, Callable 1/31/27 @ 101.63(b) | $ | 43,175 | ||||
361,000 | Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, 5.13%, 4/1/25, Callable 3/1/25 @ 100(b) | 372,777 | ||||||
145,000 | CITGO Petroleum Corp., 6.38%, 6/15/26, Callable 6/15/23 @ 103.19(b) | 133,762 | ||||||
25,000 | Cnx Midstream Partners LP, 4.75%, 4/15/30, Callable 4/15/25 @ 102.38(b) | 20,562 | ||||||
30,000 | CNX Resources Corp., 6.00%, 1/15/29, Callable 1/15/24 @ 104.5(b) | 27,900 | ||||||
30,000 | Colgate Energy Partners III LLC, 5.88%, 7/1/29, Callable 7/1/24 @ 102.94(b) | 26,287 | ||||||
80,000 | Comstock Resources, Inc., 6.75%, 3/1/29, Callable 3/1/24 @ 103.38(b) | 71,600 | ||||||
40,000 | Comstock Resources, Inc., 5.88%, 1/15/30, Callable 1/15/25 @ 102.94(b) | 34,400 | ||||||
195,000 | Continental Resources, Inc., 5.75%, 1/15/31, Callable 7/15/30 @ 100(b) | 188,175 | ||||||
167,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 5.75%, 4/1/25, Callable 8/8/22 @ 101.44^ | 156,145 | ||||||
305,000 | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 2/1/29, Callable 2/1/24 @ 103(b) | 266,112 | ||||||
230,000 | CVR Energy, Inc., 5.25%, 2/15/25, Callable 7/22/22 @ 102.63(b) | 210,450 | ||||||
25,000 | CVR Energy, Inc., 5.75%, 2/15/28, Callable 2/15/23 @ 102.88(b) | 22,375 | ||||||
163,000 | DCP Midstream Operating LP, 3.88%, 3/15/23, Callable 12/15/22 @ 100 | 161,166 | ||||||
105,000 | DCP Midstream Operating LP, 5.38%, 7/15/25, Callable 4/15/25 @ 100 | 102,113 | ||||||
160,000 | DCP Midstream Operating LP, 5.63%, 7/15/27, Callable 4/15/27 @ 100 | 153,000 | ||||||
750,000 | DCP Midstream Operating LP, 5.85% (US0003M+385 bps), 5/21/43, Callable 5/21/23 @ 100(b) | 624,375 | ||||||
185,000 | DCP Midstream Operating LP, 5.60%, 4/1/44, Callable 10/1/43 @ 100 | 148,000 | ||||||
35,000 | Delek Logistics Partners LP / Delek Logistics Finance Corp., 7.13%, 6/1/28, Callable 6/1/24 @ 103.56(b) | 31,675 | ||||||
43,000 | Devon Energy Corp., 5.25%, 10/15/27, Callable 10/15/22 @ 102.63 | 43,107 | ||||||
55,000 | DT Midstream, Inc., 4.13%, 6/15/29, Callable 6/15/24 @ 102.06(b) | 46,475 | ||||||
124,000 | Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100 | 122,752 | ||||||
30,000 | Endeavor Energy Resources LP/EER Finance, Inc., 6.63%, 7/15/25, Callable 7/15/22 @ 103.31(b) | 30,075 | ||||||
110,000 | Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 1/30/28, Callable 1/30/23 @ 102.88(b) | 103,950 | ||||||
350,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 345,188 | ||||||
167,000 | Energy Transfer LP, 5.25%, 4/15/29, Callable 1/15/29 @ 100 | 165,747 | ||||||
427,000 | Energy Transfer LP, 5.00%, 5/15/50, Callable 11/15/49 @ 100 | 364,018 |
See accompanying notes to the financial statements.
15
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 81,000 | Energy Transfer Operating LP, 4.25%, 3/15/23, Callable 12/15/22 @ 100 | $ | 80,494 | ||||
103,000 | Energy Transfer Operating LP, 4.50%, 4/15/24, Callable 3/15/24 @ 100 | 102,871 | ||||||
161,000 | Energy Transfer Operating LP, 3.75%, 5/15/30, Callable 2/15/30 @ 100 | 145,303 | ||||||
115,000 | Energy Transfer Operating LP, 6.25%, 4/15/49, Callable 10/15/48 @ 100 | 111,550 | ||||||
103,000 | Energy Transfer Partners LP, 4.20%, 9/15/23, Callable 8/15/23 @ 100 | 103,129 | ||||||
195,000 | Energy Transfer Partners LP, 5.80%, 6/15/38, Callable 12/15/37 @ 100 | 183,056 | ||||||
127,000 | Energy Transfer Partners LP, 6.00%, 6/15/48, Callable 12/15/47 @ 100 | 119,698 | ||||||
135,000 | EnLink Midstream LLC, 5.63%, 1/15/28, Callable 7/15/27 @ 100(b) | 123,187 | ||||||
105,000 | EQM Midstream Partners LP, 7.50%, 6/1/27, Callable 6/1/24 @ 103.75(b) | 100,800 | ||||||
80,000 | EQM Midstream Partners LP, 6.50%, 7/1/27, Callable 1/1/27 @ 100(b) | 74,400 | ||||||
70,000 | EQM Midstream Partners LP, 4.50%, 1/15/29, Callable 7/15/28 @ 100(b) | 56,700 | ||||||
115,000 | EQT Corp., 3.90%, 10/1/27, Callable 7/1/27 @ 100 | 107,238 | ||||||
45,000 | EQT Corp., 5.00%, 1/15/29, Callable 7/15/28 @ 100 | 43,537 | ||||||
311,000 | Hess Corp., 4.30%, 4/1/27, Callable 1/1/27 @ 100 | 302,059 | ||||||
109,000 | Hess Corp., 7.30%, 8/15/31 | 121,399 | ||||||
78,000 | Hess Corp., 7.13%, 3/15/33 | 85,995 | ||||||
847,000 | Hess Corp., 5.60%, 2/15/41 | 826,884 | ||||||
302,000 | Hess Corp., 5.80%, 4/1/47, Callable 10/1/46 @ 100 | 301,622 | ||||||
190,000 | Hess Midstream Operations LP, 5.63%, 2/15/26, Callable 8/8/22 @ 102.81(b) | 180,975 | ||||||
35,000 | Hess Midstream Operations LP, 4.25%, 2/15/30, Callable 2/15/25 @ 102.13(b) | 29,575 | ||||||
150,000 | Kinder Morgan Energy Partners LP, 3.45%, 2/15/23, Callable 11/15/22 @ 100 | 150,143 | ||||||
63,000 | Kinder Morgan Energy Partners LP, 6.55%, 9/15/40 | 65,595 | ||||||
55,000 | Leeward Renewable Energy Operations LLC, 4.25%, 7/1/29, Callable 7/1/24 @ 102.13(b) | 43,725 | ||||||
172,000 | MPLX LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100 | 172,430 | ||||||
242,000 | MPLX LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100 | 243,513 | ||||||
70,000 | MPLX LP, 5.50%, 2/15/49, Callable 8/15/48 @ 100 | 65,625 | ||||||
150,000 | Murphy Oil Corp., 5.88%, 12/1/27, Callable 12/1/22 @ 102.94 | 140,062 | ||||||
135,000 | NGL Energy Operating LLC / NGL Energy Finance Corp., 7.50%, 2/1/26, Callable 2/1/23 @ 103.75(b) | 121,500 | ||||||
609,000 | Occidental Petroleum Corp., 5.55%, 3/15/26, Callable 12/15/25 @ 100 | 602,910 | ||||||
120,000 | Occidental Petroleum Corp., 3.50%, 8/15/29, Callable 5/15/29 @ 100 | 106,800 | ||||||
85,000 | Occidental Petroleum Corp., 8.88%, 7/15/30, Callable 1/15/30 @ 100 | 97,325 | ||||||
1,047,000 | Occidental Petroleum Corp., 7.50%, 5/1/31 | 1,128,143 | ||||||
25,000 | Occidental Petroleum Corp., 7.88%, 9/15/31 | 27,438 | ||||||
422,000 | Occidental Petroleum Corp., 6.45%, 9/15/36 | 433,078 | ||||||
40,000 | Occidental Petroleum Corp., 4.30%, 8/15/39, Callable 2/15/39 @ 100 | 32,600 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 40,000 | Occidental Petroleum Corp., 6.20%, 3/15/40 | $ | 39,500 | ||||
712,000 | Occidental Petroleum Corp., 6.60%, 3/15/46, Callable 9/15/45 @ 100 | 756,500 | ||||||
120,000 | Occidental Petroleum Corp., 4.40%, 4/15/46, Callable 10/15/45 @ 100 | 97,200 | ||||||
165,000 | Occidental Petroleum Corp., 4.10%, 2/15/47, Callable 8/15/46 @ 100 | 127,875 | ||||||
80,000 | Occidental Petroleum Corp., 4.20%, 3/15/48, Callable 9/15/47 @ 100 | 64,800 | ||||||
95,000 | Occidental Petroleum Corp., 4.40%, 8/15/49, Callable 2/15/49 @ 100 | 76,000 | ||||||
235,000 | PBF Holding Co. LLC / PBF Finance Corp., 9.25%, 5/15/25, Callable 7/11/22 @ 104.63(b) | 246,162 | ||||||
120,000 | PBF Holding Co. LLC / PBF Finance Corp., 6.00%, 2/15/28, Callable 2/15/23 @ 103 | 100,800 | ||||||
35,000 | PDC Energy, Inc., 5.75%, 5/15/26, Callable 8/8/22 @ 102.88 | 32,550 | ||||||
30,000 | Phillips 66, 3.70%, 4/6/23 | 29,930 | ||||||
39,000 | Phillips 66, 3.85%, 4/9/25, Callable 3/9/25 @ 100 | 38,814 | ||||||
110,000 | Plains All Amer Pipeline, 3.60%, 11/1/24, Callable 8/1/24 @ 100 | 107,871 | ||||||
110,000 | Range Resources Corp., 4.88%, 5/15/25, Callable 2/15/25 @ 100 | 106,700 | ||||||
493,000 | Sabine Pass Liquefaction LLC, 4.50%, 5/15/30, Callable 11/15/29 @ 100 | 472,664 | ||||||
408,000 | Sanchez Energy Corp., 7.25%, 2/15/23, Callable 7/14/22 @ 100(a)(d)(e) | — | ||||||
20,000 | SM Energy Co., 5.63%, 6/1/25, Callable 8/8/22 @ 100.94 | 18,900 | ||||||
75,000 | SM Energy Co., 6.75%, 9/15/26, Callable 8/8/22 @ 103.38 | 71,250 | ||||||
346,000 | Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100^(b) | 302,221 | ||||||
55,000 | Southwestern Energy Co., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38 | 46,613 | ||||||
5,000 | Sunoco LP/Sunoco Finance Corp., 6.00%, 4/15/27, Callable 8/8/22 @ 103 | 4,750 | ||||||
95,000 | Sunoco LP/Sunoco Finance Corp., 5.88%, 3/15/28, Callable 3/15/23 @ 102.94 | 87,162 | ||||||
165,000 | Sunoco LP/Sunoco Finance Corp., 4.50%, 5/15/29, Callable 5/15/24 @ 102.25 | 136,950 | ||||||
135,000 | Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp., 6.00%, 12/31/30, Callable 12/31/25 @ 103(b) | 112,050 | ||||||
30,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 5.50%, 3/1/30, Callable 3/1/25 @ 102.75 | 28,313 | ||||||
185,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.88%, 2/1/31, Callable 2/1/26 @ 102.44 | 168,350 | ||||||
70,000 | Targa Resources Partners LP / Targa Resources Partners Finance Corp., 4.00%, 1/15/32, Callable 7/15/26 @ 102 | 59,675 | ||||||
62,000 | Western Gas Partners LP, 3.95%, 6/1/25, Callable 3/1/25 @ 100 | 58,900 | ||||||
205,000 | Western Gas Partners LP, 4.65%, 7/1/26, Callable 4/1/26 @ 100 | 193,725 |
See accompanying notes to the financial statements.
16
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
$ | 900,000 | Western Gas Partners LP, 4.50%, 3/1/28, Callable 12/1/27 @ 100 | $ | 819,000 | ||||
101,000 | Western Gas Partners LP, 4.75%, 8/15/28, Callable 5/15/28 @ 100 | 92,415 | ||||||
205,000 | Western Midstream Operating LP, 5.30%, 2/1/30, Callable 11/1/29 @ 100 | 179,375 | ||||||
242,000 | Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100 | 243,810 | ||||||
426,000 | Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100 | 428,166 | ||||||
|
| |||||||
16,126,350 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%†): | ||||||||
45,000 | Glatfelter Corp., 4.75%, 11/15/29, Callable 11/1/24 @ 102.38(b) | 31,275 | ||||||
70,000 | Mercer International, Inc., 5.13%, 2/1/29, Callable 2/1/24 @ 102.56 | 59,850 | ||||||
|
| |||||||
91,125 | ||||||||
|
| |||||||
Personal Products (0.0%†): | ||||||||
55,000 | BellRing Brands, Inc., 7.00%, 3/15/30, Callable 3/15/27 @ 101.75(b) | 51,700 | ||||||
|
| |||||||
Pharmaceuticals (0.4%): | ||||||||
150,000 | Bausch Health Cos, Inc., 5.25%, 1/30/30, Callable 1/30/25 @ 102.63(b) | 78,000 | ||||||
170,000 | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(b) | 139,612 | ||||||
50,000 | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75(b) | 41,000 | ||||||
275,000 | Elanco Animal Health, Inc., 5.27%, 8/28/23, Callable 7/28/23 @ 100 | 279,379 | ||||||
116,000 | Elanco Animal Health, Inc., 5.90%, 8/28/28, Callable 5/28/28 @ 100 | 110,490 | ||||||
45,000 | Jazz Securities DAC, 4.38%, 1/15/29, Callable 7/15/24 @ 102.19(b) | 40,050 | ||||||
40,000 | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.13%, 4/30/28, Callable 4/30/24 @ 102.06(b) | 35,100 | ||||||
215,000 | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 5.13%, 4/30/31, Callable 4/30/26 @ 102.56(b) | 188,125 | ||||||
60,000 | Viatris, Inc., 1.65%, 6/22/25, Callable 5/22/25 @ 100 | 54,621 | ||||||
305,000 | Viatris, Inc., 2.70%, 6/22/30, Callable 3/22/30 @ 100 | 247,904 | ||||||
133,000 | Viatris, Inc., 3.85%, 6/22/40, Callable 12/22/39 @ 100 | 96,278 | ||||||
|
| |||||||
1,310,559 | ||||||||
|
| |||||||
Professional Services (0.0%†): | ||||||||
60,000 | Asgn, Inc., 4.63%, 5/15/28, Callable 5/15/23 @ 102.31(b) | 51,600 | ||||||
125,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.88%, 10/1/30, Callable 10/1/25 @ 102.94(b) | 115,469 | ||||||
|
| |||||||
167,069 | ||||||||
|
| |||||||
Real Estate (0.3%): | ||||||||
225,000 | Invitation Homes Operating Partnership LP, 4.15%, 4/15/32, Callable 1/15/32 @ 100 | 204,279 | ||||||
115,000 | Realogy Group LLC / Realogy Co-Issuer Corp., 5.25%, 4/15/30, Callable 4/15/25 @ 102.63(b) | 84,813 | ||||||
297,000 | VICI Properties LP, 4.75%, 2/15/28, Callable 1/15/28 @ 100 | 282,892 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Real Estate, continued | ||||||||
$ | 441,000 | VICI Properties LP, 4.95%, 2/15/30, Callable 12/15/29 @ 100 | $ | 413,989 | ||||
40,000 | VICI Properties LP / VICI Note Co., Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(b) | 38,050 | ||||||
|
| |||||||
1,024,023 | ||||||||
|
| |||||||
Real Estate Management & Development (0.2%): | ||||||||
301,000 | CBRE Services, Inc., 2.50%, 4/1/31, Callable 1/1/31 @ 100 | 246,281 | ||||||
85,000 | Kennedy-Wilson, Inc., 4.75%, 2/1/30, Callable 9/1/24 @ 102.38 | 67,044 | ||||||
70,000 | Realogy Group LLC / Realogy Co-Issuer Corp., 5.75%, 1/15/29, Callable 1/15/24 @ 102.88(b) | 53,462 | ||||||
275,000 | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(b) | 243,375 | ||||||
|
| |||||||
610,162 | ||||||||
|
| |||||||
Retail & Whsle — Discretionary (0.0%†): | ||||||||
15,000 | MIWD Holdco II LLC / MIWD Finance Corp., 5.50%, 2/1/30, Callable 2/1/25 @ 102.75(b) | 12,075 | ||||||
|
| |||||||
Road & Rail (0.0%†): | ||||||||
60,000 | Uber Technologies, Inc., 4.50%, 8/15/29, Callable 8/15/24 @ 102.25(b) | 49,050 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.6%): | ||||||||
92,000 | Broadcom, Inc., 1.95%, 2/15/28, Callable 12/15/27 @ 100(b) | 78,359 | ||||||
899,000 | Broadcom, Inc., 2.45%, 2/15/31, Callable 11/15/30 @ 100(b) | 723,782 | ||||||
797,000 | Broadcom, Inc., 2.60%, 2/15/33, Callable 11/15/32 @ 100(b) | 613,649 | ||||||
633,000 | Broadcom, Inc., 3.50%, 2/15/41, Callable 8/15/40 @ 100(b) | 482,474 | ||||||
297,000 | Broadcom, Inc., 3.75%, 2/15/51, Callable 8/15/50 @ 100(b) | 221,580 | ||||||
135,000 | Entegris, Inc., 3.63%, 5/1/29, Callable 5/1/24 @ 102.72(b) | 112,387 | ||||||
75,000 | ON Semiconductor Corp., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(b) | 66,187 | ||||||
|
| |||||||
2,298,418 | ||||||||
|
| |||||||
Software (0.5%): | ||||||||
55,000 | Acuris Finance US, Inc. / Acuris Finance SARL, 5.00%, 5/1/28, Callable 5/1/24 @ 102.5(b) | 44,825 | ||||||
60,000 | Boxer Parent Co., Inc., 7.13%, 10/2/25, Callable 8/8/22 @ 103.56(b) | 57,000 | ||||||
35,000 | CDK Global, Inc., 5.25%, 5/15/29, Callable 5/15/24 @ 102.63(b) | 34,825 | ||||||
40,000 | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(b) | 33,450 | ||||||
40,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(b) | 32,500 | ||||||
30,000 | Elastic NV, 4.13%, 7/15/29, Callable 7/15/24 @ 102.06(b) | 24,975 | ||||||
70,000 | Fair Isaac Corp., 4.00%, 6/15/28, Callable 12/15/22 @ 102(b) | 61,950 | ||||||
125,000 | MicroStrategy, Inc., 6.13%, 6/15/28, Callable 6/15/24 @ 103.06^(b) | 100,000 | ||||||
351,000 | Oracle Corp., 1.65%, 3/25/26, Callable 2/25/26 @ 100 | 314,770 |
See accompanying notes to the financial statements.
17
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Software, continued | ||||||||
$ | 555,000 | Oracle Corp., 2.30%, 3/25/28, Callable 1/25/28 @ 100 | $ | 478,975 | ||||
690,000 | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | 569,415 | ||||||
|
| |||||||
1,752,685 | ||||||||
|
| |||||||
Specialty Retail (0.6%): | ||||||||
35,000 | Asbury Automotive Group, Inc., 4.63%, 11/15/29, Callable 11/15/24 @ 102.31(b) | 28,700 | ||||||
40,000 | Asbury Automotive Group, Inc., 5.00%, 2/15/32, Callable 11/15/26 @ 102.5(b) | 32,700 | ||||||
47,000 | AutoNation, Inc., 4.75%, 6/1/30, Callable 3/1/30 @ 100 | 44,374 | ||||||
72,000 | AutoZone, Inc., 3.63%, 4/15/25, Callable 3/15/25 @ 100 | 71,239 | ||||||
333,000 | AutoZone, Inc., 4.00%, 4/15/30, Callable 1/15/30 @ 100 | 317,038 | ||||||
55,000 | Carvana Co., 5.88%, 10/1/28, Callable 10/1/23 @ 104.41(b) | 34,788 | ||||||
55,000 | Carvana Co., 10.25%, 5/1/30, Callable 5/1/27 @ 105.13(b) | 44,550 | ||||||
30,000 | Foot Locker, Inc., 4.00%, 10/1/29, Callable 10/1/24 @ 102(b) | 22,650 | ||||||
55,000 | Gap, Inc. (The), 3.88%, 10/1/31, Callable 10/1/26 @ 101.94(b) | 38,363 | ||||||
220,000 | L Brands, Inc., 6.63%, 10/1/30, Callable 10/1/25 @ 103.31(b) | 187,000 | ||||||
33,000 | Lowe’s Cos., Inc., 3.35%, 4/1/27, Callable 3/1/27 @ 100 | 31,726 | ||||||
240,000 | Lowe’s Cos., Inc., 4.50%, 4/15/30, Callable 1/15/30 @ 100 | 237,685 | ||||||
101,000 | Lowe’s Cos., Inc., 3.75%, 4/1/32, Callable 1/1/32 @ 100^ | 93,873 | ||||||
410,000 | Lowe’s Cos., Inc., 4.25%, 4/1/52, Callable 10/1/51 @ 100 | 356,884 | ||||||
464,000 | Lowe’s Cos., Inc., 4.45%, 4/1/62, Callable 10/1/61 @ 100 | 397,961 | ||||||
74,000 | O’Reilly Automotive, Inc., 4.20%, 4/1/30, Callable 1/1/30 @ 100 | 71,506 | ||||||
30,000 | Party City Holdings, Inc., 8.75%, 2/15/26, Callable 8/15/23 @ 104.38(b) | 20,175 | ||||||
20,000 | Rent-A-Center, Inc., 6.38%, 2/15/29, Callable 2/15/24 @ 103.19^(b) | 15,550 | ||||||
40,000 | Victoria’s Secret & Co., 4.63%, 7/15/29, Callable 7/15/24 @ 102.31(b) | 30,100 | ||||||
|
| |||||||
2,076,862 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
106,000 | Dell International LLC/EMC Corp., 5.45%, 6/15/23, Callable 4/15/23 @ 100 | 107,177 | ||||||
81,000 | Dell International LLC/EMC Corp., 5.85%, 7/15/25, Callable 6/15/25 @ 100 | 83,620 | ||||||
129,000 | Dell International LLC/EMC Corp., 6.02%, 6/15/26, Callable 3/15/26 @ 100 | 133,648 | ||||||
148,000 | Dell International LLC/EMC Corp., 6.10%, 7/15/27, Callable 5/15/27 @ 100 | 155,210 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
$ | 128,000 | Dell International LLC/EMC Corp., 6.20%, 7/15/30, Callable 4/15/30 @ 100 | $ | 133,654 | ||||
|
| |||||||
613,309 | ||||||||
|
| |||||||
Telecommunications (0.0%†): | ||||||||
130,000 | Cogent Communications Group, Inc., 7.00%, 6/15/27, Callable 6/15/24 @ 103.5(b) | 124,150 | ||||||
60,000 | Frontier Communications Holdings LLC, 8.75%, 5/15/30, Callable 5/15/25 @ 104.38(b) | 60,450 | ||||||
|
| |||||||
184,600 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.0%†): | ||||||||
60,000 | Crocs, Inc., 4.13%, 8/15/31, Callable 8/15/26 @ 102.06(b) | 42,000 | ||||||
20,000 | Kontoor Brands, Inc., 4.13%, 11/15/29, Callable 11/15/24 @ 102.06(b) | 15,800 | ||||||
70,000 | Levi Strauss & Co., 3.50%, 3/1/31, Callable 3/1/26 @ 101.75(b) | 56,875 | ||||||
105,000 | Wolverine World Wide, Inc., 4.00%, 8/15/29, Callable 8/15/24 @ 102(b) | 84,263 | ||||||
|
| |||||||
198,938 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
452,000 | Altria Group, Inc., 4.25%, 8/9/42 | 334,719 | ||||||
302,000 | Altria Group, Inc., 4.50%, 5/2/43 | 229,130 | ||||||
262,000 | Altria Group, Inc., 5.38%, 1/31/44 | 228,739 | ||||||
108,000 | Altria Group, Inc., 5.95%, 2/14/49, Callable 8/14/48 @ 100 | 95,831 | ||||||
179,000 | Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100 | 168,190 | ||||||
600,000 | Reynolds American, Inc., 7.25%, 6/15/37 | 630,628 | ||||||
70,000 | Turning Point Brands, Inc., 5.63%, 2/15/26, Callable 2/15/23 @ 102.81(b) | 62,475 | ||||||
|
| |||||||
1,749,712 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.3%): | ||||||||
467,000 | Air Lease Corp., 4.25%, 2/1/24, Callable 1/1/24 @ 100 | 463,044 | ||||||
393,000 | Air Lease Corp., 3.38%, 7/1/25, Callable 6/1/25 @ 100 | 369,816 | ||||||
40,000 | Foundation Building Materials, Inc., 6.00%, 3/1/29, Callable 3/1/24 @ 103(b) | 29,200 | ||||||
45,000 | SRS Distribution, Inc., 4.63%, 7/1/28, Callable 7/1/24 @ 102.31(b) | 39,375 | ||||||
25,000 | SRS Distribution, Inc., 6.13%, 7/1/29, Callable 7/1/24 @ 103.06(b) | 19,625 | ||||||
$ | 40,000 | SRS Distribution, Inc., 6.00%, 12/1/29, Callable 12/1/24 @ 103(b) | 31,400 | |||||
|
| |||||||
952,460 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.6%): | ||||||||
445,000 | Sprint Capital Corp., 8.75%, 3/15/32 | 534,556 | ||||||
300,000 | Sprint Communications, Inc., 6.88%, 11/15/28 | 315,000 | ||||||
380,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 365,949 | ||||||
65,000 | T-Mobile USA, Inc., 4.75%, 2/1/28, Callable 2/1/23 @ 102.38 | 62,888 | ||||||
70,000 | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69 | 61,442 |
See accompanying notes to the financial statements.
18
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 630,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | $ | 589,693 | ||||
82,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | 73,205 | ||||||
161,000 | T-Mobile USA, Inc., 4.50%, 4/15/50, Callable 10/15/49 @ 100 | 143,178 | ||||||
|
| |||||||
2,145,911 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $132,997,212) | 120,597,286 | |||||||
|
| |||||||
Yankee Debt Obligations (10.9%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
57,000 | Bombardier, Inc., 7.50%, 3/15/25, Callable 8/8/22 @ 101.25(b) | 51,514 | ||||||
280,000 | Bombardier, Inc., 7.13%, 6/15/26, Callable 6/15/23 @ 103.56(b) | 228,900 | ||||||
170,000 | Bombardier, Inc., 6.00%, 2/15/28, Callable 2/15/24 @ 103(b) | 126,650 | ||||||
|
| |||||||
407,064 | ||||||||
|
| |||||||
Airlines (0.0%†): | ||||||||
100,000 | VistaJet Malta Finance PLC / XO Management Holding, Inc., 7.88%, 5/1/27, Callable 5/1/24 @ 103.94(b) | 88,250 | ||||||
95,000 | VistaJet Malta Finance PLC / XO Management Holding, Inc., 6.38%, 2/1/30, Callable 2/1/25 @ 103.19(b) | 75,881 | ||||||
|
| |||||||
164,131 | ||||||||
|
| |||||||
Banks (3.2%): | ||||||||
874,000 | Barclays plc, 4.38%, 1/12/26 | 862,720 | ||||||
503,000 | Barclays plc, 2.85% (US0003M+245 bps), 5/7/26, Callable 5/7/25 @ 100 | 475,217 | ||||||
580,000 | Barclays plc, 5.09% (US0003M+305 bps), 6/20/30, Callable 6/20/29 @ 100 | 552,341 | ||||||
200,000 | Commonwealth Bank of Australia, 3.61%, 9/12/34, Callable 9/12/29 @ 100(b) | 178,772 | ||||||
791,000 | Cooperatieve Rabobank UA, 4.38%, 8/4/25 | 783,419 | ||||||
205,000 | HSBC Holdings plc, 4.25%, 3/14/24 | 204,238 | ||||||
200,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(b) | 192,324 | ||||||
1,432,000 | Intesa Sanpaolo SpA, 5.71%, 1/15/26(b) | 1,352,660 | ||||||
3,808,000 | Royal Bank of Scotland Group plc, 6.13%, 12/15/22 | 3,830,212 | ||||||
826,000 | Royal Bank of Scotland Group plc, 6.10%, 6/10/23 | 838,710 | ||||||
347,000 | Royal Bank of Scotland Group plc, 6.00%, 12/19/23 | 352,988 | ||||||
286,000 | Royal Bank of Scotland Group plc, 3.07% (H15T1Y+255 bps), 5/22/28, Callable 5/22/27 @ 100 | 259,458 | ||||||
980,000 | Societe Generale SA, 1.04% (H15T1Y+75 bps), 6/18/25, Callable 6/18/24 @ 100(b) | 917,284 | ||||||
513,000 | Societe Generale SA, 1.49% (H15T1Y+110 bps), 12/14/26, Callable 12/14/25 @ 100(b) | 453,074 | ||||||
289,000 | Westpac Banking Corp., 4.11% (H15T5Y+200 bps), 7/24/34, Callable 7/24/29 @ 100 | 265,408 | ||||||
|
| |||||||
11,518,825 | ||||||||
|
| |||||||
Biotechnology (0.0%†): | ||||||||
200,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(b) | 173,500 | ||||||
|
| |||||||
Capital Markets (2.0%): | ||||||||
1,175,000 | Credit Suisse Group AG, 3.80%, 6/9/23 | 1,167,740 |
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 788,000 | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(b) | $ | 741,178 | ||||
602,000 | Credit Suisse Group AG, 4.19% (SOFR+373 bps), 4/1/31, Callable 4/1/30 @ 100(b) | 535,289 | ||||||
1,000,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.80%, 9/15/22 | 999,793 | ||||||
720,000 | Credit Suisse Group Funding Guernsey, Ltd., 3.75%, 3/26/25 | 699,196 | ||||||
1,284,000 | Deutsche Bank AG, 3.30%, 11/16/22 | 1,282,132 | ||||||
1,462,000 | Deutsche Bank AG, 4.50%, 4/1/25^ | 1,392,802 | ||||||
314,000 | UBS Group AG, 1.49% (H15T1Y+85 bps), 8/10/27, Callable 8/10/26 @ 100(b) | 274,381 | ||||||
|
| |||||||
7,092,511 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
130,000 | Consolidated Energy Finance SA, 6.50%, 5/15/26, Callable 7/18/22 @ 103.25(b) | 120,900 | ||||||
195,000 | Methanex Corp., 5.13%, 10/15/27, Callable 4/15/27 @ 100 | 173,063 | ||||||
95,000 | Methanex Corp., 5.25%, 12/15/29, Callable 9/15/29 @ 100 | 80,038 | ||||||
55,000 | SPCM SA, 3.13%, 3/15/27, Callable 3/15/24 @ 101.56(b) | 46,269 | ||||||
|
| |||||||
420,270 | ||||||||
|
| |||||||
Consumer Discretionary Services (0.0%†): | ||||||||
55,000 | Studio City Co., Ltd., 7.00%, 2/15/27, Callable 2/15/24 @ 103.5(b) | 47,437 | ||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
25,000 | Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer LLC, 6.00%, 9/15/28, Callable 9/15/22 @ 103(b) | 20,563 | ||||||
255,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(b) | 239,700 | ||||||
|
| |||||||
260,263 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
48,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 6/1/28, Callable 6/1/24 @ 102.31(b) | 39,000 | ||||||
225,000 | GEMS MENASA Cayman, Ltd. / GEMS Education Delaware LLC, 7.13%, 7/31/26, Callable 8/8/22 @ 103.56(b) | 211,500 | ||||||
|
| |||||||
250,500 | ||||||||
|
| |||||||
Diversified Financial Services (1.0%): | ||||||||
200,000 | Altice Financing SA, 5.00%, 1/15/28, Callable 1/15/23 @ 102.5(b) | 160,500 | ||||||
610,000 | Altice Financing SA, 5.75%, 8/15/29, Callable 8/15/24 @ 102.88(b) | 489,525 | ||||||
725,000 | C&W Senior Financing Dac, 6.88%, 9/15/27, Callable 9/15/22 @ 103.44(b) | 652,500 | ||||||
2,052,000 | Park Aerospace Holdings, 5.50%, 2/15/24(b) | 2,028,915 | ||||||
305,000 | Vmed O2 UK Financing I plc, 4.25%, 1/31/31, Callable 1/31/26 @ 102.13(b) | 245,144 | ||||||
|
| |||||||
3,576,584 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.1%): | ||||||||
270,000 | Altice France SA, 6.00%, 2/15/28, Callable 2/15/23 @ 103^(b) | 191,025 |
See accompanying notes to the financial statements.
19
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
$ | 185,000 | Altice France SA, 5.13%, 1/15/29, Callable 9/15/23 @ 102.56(b) | $ | 140,137 | ||||
80,000 | Telecom Italia SpA, 6.00%, 9/30/34 | 60,400 | ||||||
|
| |||||||
391,562 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
150,000 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 8/8/22 @ 105.16(b) | 133,875 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.0%†): | ||||||||
55,000 | 1011778 BC ULC / New Red Finance, Inc., 5.75%, 4/15/25, Callable 8/8/22 @ 102.88^(b) | 55,275 | ||||||
210,000 | 1011778 BC ULC / New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(b) | 170,100 | ||||||
75,000 | Melco Resorts Finance, Ltd., 5.75%, 7/21/28, Callable 7/21/23 @ 102.88(b) | 48,375 | ||||||
65,000 | Melco Resorts Finance, Ltd., 5.38%, 12/4/29, Callable 12/4/24 @ 102.69^(b) | 40,625 | ||||||
|
| |||||||
314,375 | ||||||||
|
| |||||||
Insurance (0.2%): | ||||||||
465,000 | AIA Group, Ltd., 3.38%, 4/7/30, Callable 1/7/30 @ 100(b) | 437,923 | ||||||
200,000 | Swiss Re Finance Luxembourg SA, 5.00% (H15T5Y+358 bps), 4/2/49, Callable 4/2/29 @ 100(b) | 189,000 | ||||||
|
| |||||||
626,923 | ||||||||
|
| |||||||
Marine (0.0%†): | ||||||||
85,000 | Seaspan Corp., 5.50%, 8/1/29, Callable 8/1/24 @ 102.75(b) | 67,362 | ||||||
|
| |||||||
Materials (0.2%): | ||||||||
55,000 | Cerdia Finanz GmbH, 10.50%, 2/15/27, Callable 2/15/24 @ 105.25(b) | 44,894 | ||||||
220,000 | NOVA Chemicals Corp., 5.25%, 6/1/27, Callable 3/3/27 @ 100(b) | 188,375 | ||||||
225,000 | Nufarm Australia, Ltd. / Nufarm Americas, Inc., 5.00%, 1/27/30, Callable 1/27/25 @ 102.5(b) | 190,125 | ||||||
|
| |||||||
423,394 | ||||||||
|
| |||||||
Media (0.1%): | ||||||||
255,000 | VZ Secured Financing BV, 5.00%, 1/15/32, Callable 1/15/27 @ 102.5(b) | 211,650 | ||||||
120,000 | Ziggo BV, 5.13%, 2/28/30, Callable 2/15/25 @ 102.56(b) | 94,200 | ||||||
|
| |||||||
305,850 | ||||||||
|
| |||||||
Metals & Mining (0.0%†): | ||||||||
200,000 | ERO Copper Corp., 6.50%, 2/15/30, Callable 2/15/25 @ 103.25(b) | 160,000 | ||||||
170,000 | First Quantum Minerals, Ltd., 6.88%, 3/1/26, Callable 7/18/22 @ 103.44(b) | 155,550 | ||||||
55,000 | First Quantum Minerals, Ltd., 6.88%, 10/15/27, Callable 10/15/23 @ 103.44(b) | 49,225 | ||||||
5,000 | FMG Resources Pty, Ltd., 4.50%, 9/15/27, Callable 6/15/27 @ 100(b) | 4,444 | ||||||
105,000 | Infrabuild Australia Pty, Ltd., 12.00%, 10/1/24, Callable 8/8/22 @ 109(b) | 102,506 | ||||||
75,000 | Mineral Resources, Ltd., 8.00%, 11/1/27, Callable 11/1/24 @ 104(b) | 72,750 | ||||||
|
| |||||||
544,475 | ||||||||
|
|
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Multi-Utilities (0.1%): | ||||||||
$ | 525,000 | InterGen NV, 7.00%, 6/30/23, Callable 8/8/22 @ 100(b) | $ | 507,938 | ||||
|
| |||||||
Oil, Gas & Consumable Fuels (1.4%): | ||||||||
619,000 | Cenovus Energy, Inc., 4.25%, 4/15/27, Callable 1/15/27 @ 100 | 607,394 | ||||||
115,000 | eG Global Finance plc, 6.75%, 2/7/25, Callable 7/18/22 @ 101.69(b) | 108,244 | ||||||
205,000 | eG Global Finance plc, 8.50%, 10/30/25, Callable 8/8/22 @ 104.25(b) | 198,850 | ||||||
223,000 | Enbridge, Inc., 4.00%, 10/1/23, Callable 7/1/23 @ 100 | 223,634 | ||||||
235,000 | Meg Energy Corp., 7.13%, 2/1/27, Callable 2/1/23 @ 103.56(b) | 235,000 | ||||||
1,385,000 | Petroleos Mexicanos, 6.84%, 1/23/30, Callable 10/23/29 @ 100 | 1,087,183 | ||||||
120,000 | Petroleos Mexicanos, 5.95%, 1/28/31, Callable 10/28/30 @ 100 | 87,670 | ||||||
295,000 | Petroleos Mexicanos, 6.70%, 2/16/32, Callable 11/16/31 @ 100 | 224,296 | ||||||
2,762,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 1,692,816 | ||||||
502,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | 311,413 | ||||||
70,000 | Teine Energy, Ltd., 6.88%, 4/15/29, Callable 4/15/24 @ 103.44(b) | 65,450 | ||||||
|
| |||||||
4,841,950 | ||||||||
|
| |||||||
Pharmaceuticals (0.0%†): | ||||||||
115,000 | Bausch Health Cos., Inc., 5.50%, 11/1/25, Callable 8/8/22 @ 101.38(b) | 100,912 | ||||||
|
| |||||||
Software (0.0%†): | ||||||||
95,000 | Open Text Corp., 3.88%, 2/15/28, Callable 2/15/23 @ 101.94(b) | 84,550 | ||||||
115,000 | Open Text Corp., 3.88%, 12/1/29, Callable 12/1/24 @ 101.94(b) | 98,900 | ||||||
|
| |||||||
183,450 | ||||||||
|
| |||||||
Sovereign Bond (1.2%): | ||||||||
355,000 | Abu Dhabi Government International Bond, 3.88%, 4/16/50(b) | 316,780 | ||||||
56,434 | Argentine Republic Government International Bond, 1.00%, 7/9/29, Callable 8/8/22 @ 100 | 12,698 | ||||||
513,757 | Argentine Republic Government International Bond, 0.50%, 7/9/30, Callable 8/8/22 @ 100 | 117,522 | ||||||
941,242 | Argentine Republic Government International Bond, 0.12%, 7/9/35, Callable 8/8/22 @ 100 | 201,190 | ||||||
400,000 | Corp. Andina de Fomento, 2.38%, 5/12/23 | 397,048 | ||||||
1,344,000 | Dominican Republic, 5.50%, 1/27/25(b) | 1,330,560 | ||||||
250,000 | Dominican Republic, 6.00%, 7/19/28(b) | 230,937 | ||||||
600,000 | Indonesia Government International Bond, 4.20%, 10/15/50 | 516,038 | ||||||
470,000 | Qatar Government International Bond, 4.40%, 4/16/50(b) | 450,068 | ||||||
230,000 | Saudi Government International Bond, 3.25%, 10/22/30(b) | 216,605 | ||||||
200,000 | Saudi Government International Bond, 4.50%, 4/22/60(b) | 184,599 | ||||||
|
| |||||||
3,974,045 | ||||||||
|
|
See accompanying notes to the financial statements.
20
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Telecommunications (0.0%†): | ||||||||
$ | 110,000 | Intelsat Jackson Holdings SA, 6.50%, 3/15/30, Callable 3/15/25 @ 102(b) | $ | 90,807 | ||||
|
| |||||||
Trading Companies & Distributors (0.6%): | ||||||||
412,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.88%, 1/16/24, Callable 12/16/23 @ 100 | 410,044 | ||||||
637,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.65%, 10/29/24, Callable 9/29/24 @ 100 | 588,393 | ||||||
217,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 6.50%, 7/15/25, Callable 6/15/25 @ 100 | 221,996 | ||||||
251,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.45%, 4/3/26, Callable 2/3/26 @ 100 | 240,469 | ||||||
209,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | 182,097 | ||||||
219,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, 10/29/28, Callable 8/29/28 @ 100 | 184,587 | ||||||
234,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | 187,743 | ||||||
|
| |||||||
2,015,329 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.5%): | ||||||||
330,000 | Empresa Nacional del Pet, 4.38%, 10/30/24(b) | 329,175 | ||||||
630,000 | Millicom International Cellular SA, 6.25%, 3/25/29, Callable 3/25/24 @ 103.13(b) | 552,037 | ||||||
135,000 | Millicom International Cellular SA, 4.50%, 4/27/31, Callable 4/27/26 @ 102.25(b) | 99,900 | ||||||
230,000 | Rogers Communications, Inc., 3.20%, 3/15/27, Callable 2/15/27 @ 100(b) | 218,636 | ||||||
201,000 | Rogers Communications, Inc., 3.80%, 3/15/32, Callable 12/15/31 @ 100(b) | 184,613 | ||||||
|
| |||||||
1,384,361 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $44,913,860) | 39,817,693 | |||||||
|
| |||||||
Municipal Bonds (0.7%): | ||||||||
California (0.2%): | ||||||||
10,000 | California State, Build America Bonds, GO, 7.35%, 11/1/39 | 13,074 | ||||||
460,000 | California State, Build America Bonds, GO, 7.30%, 10/1/39 | 599,789 | ||||||
|
| |||||||
612,863 | ||||||||
|
| |||||||
Illinois (0.4%): | ||||||||
310,000 | Chicago Illinois, Taxable Project, Build America Bonds, GO, Series C1, 7.78%, 1/1/35 | 346,146 | ||||||
295,000 | Illinois State, Build America Bonds, GO, 5.10%, 6/1/33 | 293,669 | ||||||
34,091 | Illinois State, Build America Bonds, GO, 4.95%, 6/1/23 | 34,357 | ||||||
315,000 | Illinois State, Build America Bonds, GO, 6.63%, 2/1/35 | 335,510 | ||||||
425,000 | Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35 | 437,937 | ||||||
|
| |||||||
1,447,619 | ||||||||
|
| |||||||
New Jersey (0.1%): | ||||||||
504,000 | New Jersey Economic Development Authority Revenue, Build America Bonds, GO, Series A, 7.43%, 2/15/29 | 568,875 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $2,664,361) | 2,629,357 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages (17.8%): | ||||||||
Federal Home Loan Mortgage Corporation (4.5%) | ||||||||
$ | 22,975 | 2.50%, 6/1/31, Pool #G18604 | $ | 22,342 | ||||
40,234 | 2.50%, 7/1/31, Pool #V61246 | 38,654 | ||||||
68,840 | 2.50%, 8/1/31, Pool #V61273 | 66,434 | ||||||
242,927 | 3.50%, 3/1/32, Pool #C91403 | 238,038 | ||||||
727,852 | 3.50%, 7/1/32, Pool #C91467 | 713,195 | ||||||
6,397 | 2.50%, 8/1/32, Pool #G18654 | 6,201 | ||||||
6,822 | 2.50%, 11/1/32, Pool #G18665 | 6,613 | ||||||
207,456 | 2.50%, 12/1/32, Pool #G18669 | 201,103 | ||||||
31,179 | 2.50%, 3/1/33, Pool #G18680 | 29,921 | ||||||
12,791 | 2.50%, 4/1/33, Pool #G18683 | 12,272 | ||||||
74,957 | 3.00%, 4/1/33, Pool #G18684 | 73,438 | ||||||
6,444 | 2.50%, 5/1/33, Pool #G18687 | 6,183 | ||||||
140,244 | 2.50%, 7/1/33, Pool #G16661 | 135,690 | ||||||
29,426 | 3.00%, 4/1/34, Pool #G16829 | 29,083 | ||||||
260,458 | 3.50%, 10/1/34, Pool #C91793 | 256,080 | ||||||
510,553 | 4.00%, 5/1/37, Pool #C91938 | 511,159 | ||||||
21,792 | 3.50%, 4/1/40, Pool #V81744 | 21,379 | ||||||
40,045 | 3.50%, 5/1/40, Pool #V81750 | 39,285 | ||||||
46,470 | 3.50%, 6/1/40, Pool #V81792 | 45,600 | ||||||
24,303 | 3.50%, 8/1/40, Pool #V81886 | 23,847 | ||||||
16,668 | 3.50%, 9/1/40, Pool #V81958 | 16,352 | ||||||
30,756 | 4.50%, 1/1/41, Pool #A96051 | 31,456 | ||||||
271,420 | 4.00%, 1/1/41, Pool #A96413 | 275,169 | ||||||
209,872 | 4.00%, 2/1/41, Pool #A96807 | 212,787 | ||||||
28,060 | 4.50%, 3/1/41, Pool #A97673 | 28,988 | ||||||
21,817 | 2.00%, 4/1/41, Pool #RB5108 | 19,383 | ||||||
42,983 | 4.50%, 4/1/41, Pool #A97942 | 44,402 | ||||||
163,162 | 5.00%, 6/1/41, Pool #G06596 | 174,245 | ||||||
22,566 | 2.00%, 7/1/41, Pool #RB5118 | 19,788 | ||||||
23,533 | 2.00%, 10/1/41, Pool #RB5131 | 20,932 | ||||||
574,976 | 4.50%, 1/1/42, Pool #G60517 | 594,067 | ||||||
23,291 | 4.00%, 11/1/42, Pool #Q13121 | 23,262 | ||||||
79,297 | 3.00%, 12/1/42, Pool #C04320 | 75,293 | ||||||
26,502 | 4.00%, 5/1/43, Pool #Q18481 | 26,249 | ||||||
26,229 | 4.00%, 7/1/43, Pool #Q19597 | 25,975 | ||||||
24,472 | 4.00%, 10/1/43, Pool #Q22499 | 24,235 | ||||||
35,508 | 4.00%, 1/1/44, Pool #V80950 | 35,170 | ||||||
189,236 | 3.50%, 1/1/44, Pool #G07922 | 186,359 | ||||||
95,375 | 3.50%, 1/1/44, Pool #G60271 | 92,497 | ||||||
138,071 | 4.00%, 1/1/45, Pool #Q30720 | 137,954 | ||||||
97,682 | 4.00%, 2/1/45, Pool #G07949 | 99,886 | ||||||
27,690 | 3.50%, 3/1/45, Pool #Q32328 | 26,911 | ||||||
27,350 | 3.50%, 3/1/45, Pool #Q31974 | 26,574 | ||||||
46,220 | 3.50%, 3/1/45, Pool #Q32008 | 44,915 | ||||||
18,662 | 3.00%, 5/1/45, Pool #Q33468 | 17,660 | ||||||
115,334 | 3.50%, 5/1/45, Pool #Q33547 | 111,520 | ||||||
122,368 | 3.00%, 6/1/45, Pool #Q34156 | 115,850 | ||||||
151,510 | 3.50%, 6/1/45, Pool #Q34164 | 146,488 | ||||||
24,622 | 3.50%, 6/1/45, Pool #Q33791 | 23,809 | ||||||
34,054 | 3.00%, 7/1/45, Pool #Q34759 | 32,247 | ||||||
10,370 | 3.00%, 7/1/45, Pool #Q34979 | 9,861 | ||||||
47,251 | 4.00%, 8/1/45, Pool #Q35845 | 50,073 | ||||||
10,822 | 4.00%, 9/1/45, Pool #Q37853 | 10,820 | ||||||
4,250 | 4.00%, 11/1/45, Pool #Q38812 | 4,210 | ||||||
175,209 | 3.50%, 11/1/45, Pool #Q37467 | 170,272 | ||||||
14,595 | 4.00%, 2/1/46, Pool #Q38783 | 14,433 |
See accompanying notes to the financial statements.
21
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal Home Loan Mortgage Corporation, continued | ||||||||
$ | 10,486 | 4.00%, 2/1/46, Pool #Q38782 | $ | 10,440 | ||||
1,950 | 4.00%, 2/1/46, Pool #Q38879 | 1,942 | ||||||
27,165 | 4.00%, 4/1/46, Pool #V82292 | 27,151 | ||||||
6,109 | 4.00%, 4/1/46, Pool #Q39975 | 6,083 | ||||||
56,866 | 3.50%, 5/1/46, Pool #Q40647 | 55,205 | ||||||
65,462 | 3.50%, 5/1/46, Pool #G60603 | 63,457 | ||||||
202,616 | 3.50%, 5/1/46, Pool #G60553 | 195,504 | ||||||
170,204 | 3.50%, 9/1/46, Pool #Q43257 | 164,995 | ||||||
8,247 | 4.00%, 9/1/47, Pool #Q50433 | 8,198 | ||||||
14,793 | 4.00%, 10/1/47, Pool #Q51189 | 14,705 | ||||||
11,144 | 4.00%, 2/1/48, Pool #Q54192 | 11,138 | ||||||
118,362 | 3.50%, 3/1/48, Pool #G67710 | 116,087 | ||||||
134,156 | 4.00%, 5/1/48, Pool #Q55992 | 134,085 | ||||||
406,462 | 4.00%, 6/1/48, Pool #G67713 | 406,305 | ||||||
47,947 | 4.00%, 7/1/48, Pool #Q59935 | 47,869 | ||||||
376,986 | 2.50%, 10/1/50, Pool #SD7525 | 343,165 | ||||||
539,225 | 2.50%, 11/1/50, Pool #SD7530 | 486,742 | ||||||
42,511 | 2.50%, 2/1/51, Pool #SD7535 | 38,696 | ||||||
590,635 | 2.00%, 3/1/51, Pool #SD8134 | 513,289 | ||||||
636,351 | 3.00%, 5/1/51, Pool #QC1881 | 594,388 | ||||||
137,477 | 2.00%, 5/1/51, Pool #SD7541 | 119,562 | ||||||
14,393 | 2.00%, 7/1/51, Pool #QC4163 | 12,512 | ||||||
143,464 | 3.00%, 9/1/51, Pool #QC7496 | 134,021 | ||||||
337,303 | 2.00%, 10/1/51, Pool #RA6076 | 293,042 | ||||||
693,380 | 2.00%, 10/1/51, Pool #RA5715 | 603,841 | ||||||
143,703 | 3.00%, 11/1/51, Pool #QD1240 | 134,279 | ||||||
480,263 | 2.00%, 11/1/51, Pool #RA6241 | 417,287 | ||||||
192,829 | 2.00%, 11/1/51, Pool #RA6302 | 167,512 | ||||||
386,014 | 2.50%, 12/1/51, Pool #RA6434 | 348,449 | ||||||
97,072 | 2.50%, 12/1/51, Pool #RA6496 | 87,624 | ||||||
194,329 | 2.00%, 12/1/51, Pool #RA6510 | 168,835 | ||||||
2,006,919 | 3.00%, 12/1/51, Pool #SD8184 | 1,874,968 | ||||||
1,156,906 | 2.50%, 12/1/51, Pool #RA6435 | 1,043,383 | ||||||
341,240 | 2.50%, 1/1/52, Pool #RA6622 | 307,712 | ||||||
590,779 | 2.00%, 2/1/52, Pool #RA6820 | 513,147 | ||||||
294,264 | 2.00%, 2/1/52, Pool #RA6823 | 255,720 | ||||||
644,174 | 3.00%, 3/1/52, Pool #RA6988 | 601,663 | ||||||
249,499 | 3.50%, 3/1/52, Pool #RA6950 | 240,979 | ||||||
180,087 | 3.50%, 3/1/52, Pool #SD8202 | 173,597 | ||||||
240,654 | 3.50%, 3/1/52, Pool #RA6949 | 231,763 | ||||||
|
| |||||||
16,415,949 | ||||||||
|
| |||||||
Federal National Mortgage Association (9.3%) | ||||||||
99,392 | 2.50%, 6/1/29, Pool #MA3734 | 95,391 | ||||||
58,040 | 2.50%, 9/1/31, Pool #AS8012 | 55,655 | ||||||
314,891 | 3.00%, 4/1/32, Pool #BD9809 | 308,232 | ||||||
384,059 | 3.00%, 12/1/32, Pool #BM5345 | 376,814 | ||||||
294,699 | 2.50%, 12/1/32, Pool #CA3748 | 285,421 | ||||||
21,302 | 3.00%, 3/1/33, Pool #BM4614 | 20,913 | ||||||
2,694 | 4.50%, 7/1/33, Pool #729327 | 2,748 | ||||||
1,130 | 4.50%, 7/1/33, Pool #720240 | 1,159 | ||||||
2,889 | 4.50%, 8/1/33, Pool #727160 | 2,967 | ||||||
3,839 | 4.50%, 8/1/33, Pool #729713 | 3,933 | ||||||
2,406 | 4.50%, 8/1/33, Pool #727029 | 2,461 | ||||||
9,729 | 4.50%, 8/1/33, Pool #726928 | 10,012 | ||||||
3,871 | 4.50%, 8/1/33, Pool #723124 | 3,982 | ||||||
8,063 | 4.50%, 8/1/33, Pool #726956 | 8,296 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 16,541 | 4.50%, 8/1/33, Pool #729380 | $ | 17,019 | ||||
5,812 | 4.50%, 9/1/33, Pool #734922 | 6,273 | ||||||
15,631 | 4.50%, 9/1/33, Pool #727147 | 16,876 | ||||||
24,859 | 4.50%, 12/1/33, Pool #AL5321 | 26,849 | ||||||
429,776 | 2.50%, 6/1/34, Pool #BN7572 | 412,219 | ||||||
19,051 | 6.00%, 10/1/34, Pool #AL2130 | 21,712 | ||||||
35,756 | 4.50%, 9/1/35, Pool #AB8198 | 38,605 | ||||||
350,681 | 6.00%, 5/1/36, Pool #745512 | 385,517 | ||||||
175,467 | 6.00%, 1/1/37, Pool #932030 | 189,135 | ||||||
32,529 | 6.00%, 3/1/37, Pool #889506 | 36,104 | ||||||
2,900,000 | 2.00%, 7/25/37, TBA | 2,709,687 | ||||||
47,854 | 6.00%, 1/1/38, Pool #889371 | 53,531 | ||||||
16,755 | 6.00%, 3/1/38, Pool #889219 | 18,179 | ||||||
7,819 | 6.00%, 7/1/38, Pool #889733 | 8,658 | ||||||
50,420 | 4.50%, 3/1/39, Pool #AB0051 | 54,441 | ||||||
255,458 | 4.50%, 4/1/39, Pool #AB0043 | 275,872 | ||||||
147,500 | 2.50%, 8/1/39, Pool #MA3761 | 134,744 | ||||||
19,983 | 4.50%, 11/1/39, Pool #AC5442 | 20,363 | ||||||
64,671 | 6.00%, 5/1/40, Pool #AL2129 | 71,098 | ||||||
19,080 | 2.00%, 11/1/40, Pool #MA4176 | 17,179 | ||||||
19,580 | 2.00%, 12/1/40, Pool #MA4204 | 17,379 | ||||||
24,434 | 4.00%, 12/1/40, Pool #AA4757 | 24,529 | ||||||
20,930 | 2.00%, 2/1/41, Pool #MA4268 | 18,595 | ||||||
30,901 | 4.50%, 2/1/41, Pool #AH5580 | 31,807 | ||||||
21,407 | 2.00%, 3/1/41, Pool #MA4287 | 19,019 | ||||||
21,953 | 2.00%, 4/1/41, Pool #MA4311 | 19,503 | ||||||
22,263 | 2.00%, 5/1/41, Pool #MA4333 | 19,778 | ||||||
22,565 | 2.00%, 6/1/41, Pool #MA4364 | 20,045 | ||||||
177,102 | 2.00%, 10/1/41, Pool #MA4446 | 157,531 | ||||||
479,256 | 1.50%, 11/1/41, Pool #MA4473 | 407,513 | ||||||
5,318 | 6.00%, 1/1/42, Pool #AL2128 | 5,959 | ||||||
146,095 | 2.50%, 2/1/43, Pool #AB8465 | 135,445 | ||||||
35,805 | 4.00%, 10/1/43, Pool #BM1167 | 36,000 | ||||||
151,673 | 4.50%, 3/1/44, Pool #AL5082 | 152,659 | ||||||
16,133 | 4.00%, 12/1/44, Pool #AW9502 | 16,160 | ||||||
76,356 | 4.00%, 12/1/44, Pool #AX8459 | 76,079 | ||||||
7,457 | 4.00%, 12/1/44, Pool #AY0045 | 7,401 | ||||||
113,339 | 4.00%, 3/1/45, Pool #AL6541 | 112,928 | ||||||
24,405 | 4.00%, 5/1/45, Pool #AZ1876 | 24,266 | ||||||
47,432 | 3.00%, 5/1/45, Pool #AS4972 | 44,952 | ||||||
101,699 | 4.00%, 5/1/45, Pool #AZ1207 | 100,484 | ||||||
24,334 | 5.00%, 6/1/45, Pool #AZ3448 | 25,579 | ||||||
30,409 | 4.00%, 6/1/45, Pool #AZ3341 | 30,236 | ||||||
106,127 | 4.00%, 6/1/45, Pool #AY8096 | 104,862 | ||||||
48,505 | 4.00%, 6/1/45, Pool #AY8126 | 47,924 | ||||||
22,446 | 4.00%, 6/1/45, Pool #AZ2719 | 22,319 | ||||||
120,124 | 4.00%, 7/1/45, Pool #AZ0833 | 119,446 | ||||||
257,501 | 3.50%, 7/1/45, Pool #AZ0814 | 248,715 | ||||||
81,714 | 4.00%, 7/1/45, Pool #AZ1783 | 80,749 | ||||||
105,426 | 3.00%, 8/1/45, Pool #AS5634 | 99,916 | ||||||
39,789 | 3.00%, 8/1/45, Pool #AZ8288 | 37,704 | ||||||
15,624 | 3.00%, 8/1/45, Pool #AZ3728 | 14,823 | ||||||
53,764 | 4.00%, 10/1/45, Pool #AL7413 | 53,565 | ||||||
309,217 | 4.00%, 10/1/45, Pool #AL7593 | 308,070 | ||||||
14,309 | 4.00%, 11/1/45, Pool #AZ0560 | 14,138 | ||||||
18,757 | 4.00%, 12/1/45, Pool #AS6350 | 18,687 |
See accompanying notes to the financial statements.
22
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 42,714 | 4.00%, 12/1/45, Pool #BA6404 | $ | 42,204 | ||||
34,224 | 4.50%, 2/1/46, Pool #BM5199 | 35,272 | ||||||
23,034 | 4.00%, 4/1/46, Pool #BC3920 | 22,860 | ||||||
8,124 | 4.00%, 5/1/46, Pool #BC2276 | 8,117 | ||||||
251,000 | 3.50%, 5/1/46, Pool #BC0880 | 249,278 | ||||||
104,983 | 4.00%, 7/1/46, Pool #BC1443 | 104,912 | ||||||
31,701 | 4.50%, 8/1/46, Pool #AL9111 | 32,641 | ||||||
110,310 | 4.00%, 9/1/46, Pool #BC2843 | 110,235 | ||||||
344,716 | 3.50%, 12/1/46, Pool #BC9077 | 342,350 | ||||||
49,504 | 3.50%, 2/1/47, Pool #BE5696 | 47,858 | ||||||
434,146 | 4.50%, 2/1/47, Pool #AL9846 | 448,345 | ||||||
1,115,408 | 4.00%, 2/1/47, Pool #AL9779 | 1,112,576 | ||||||
5,339 | 4.00%, 6/1/47, Pool #BH4269 | 5,301 | ||||||
31,389 | 3.00%, 5/1/49, Pool #MA3670 | 29,568 | ||||||
322,362 | 4.50%, 9/1/49, Pool #FM1534 | 337,708 | ||||||
83,907 | 3.50%, 11/1/49, Pool #CA4557 | 81,153 | ||||||
394,075 | 4.00%, 11/1/49, Pool #CA4628 | 394,400 | ||||||
103,441 | 3.00%, 2/1/50, Pool #CA5126 | 96,765 | ||||||
324,035 | 2.50%, 8/1/50, Pool #SD0430 | 292,455 | ||||||
635,472 | 3.50%, 2/1/51, Pool #CA9319 | 614,894 | ||||||
460,172 | 2.00%, 3/1/51, Pool #MA4281 | 399,914 | ||||||
457,634 | 2.00%, 4/1/51, Pool #MA4305 | 397,684 | ||||||
277,243 | 2.50%, 4/1/51, Pool #FM6540 | 252,788 | ||||||
558,763 | 3.00%, 6/1/51, Pool #CB0850 | 522,161 | ||||||
10,178 | 2.00%, 7/1/51, Pool #BT1461 | 8,855 | ||||||
47,093 | 2.50%, 8/1/51, Pool #CB1384 | 42,472 | ||||||
600,000 | 3.00%, 8/25/51, TBA | 558,937 | ||||||
191,266 | 2.50%, 9/1/51, Pool #CB1549 | 172,561 | ||||||
335,220 | 2.00%, 10/1/51, Pool #CB1801 | 291,250 | ||||||
251,929 | 2.00%, 10/1/51, Pool #CB1799 | 218,902 | ||||||
772,355 | 2.50%, 11/1/51, Pool #FM9501 | 696,771 | ||||||
226,982 | 2.00%, 11/1/51, Pool #FM9539 | 197,228 | ||||||
351,945 | 2.00%, 11/1/51, Pool #FM9568 | 305,793 | ||||||
192,748 | 3.00%, 11/1/51, Pool #FM9633 | 181,734 | ||||||
97,077 | 2.00%, 12/1/51, Pool #CB2348 | 84,341 | ||||||
1,168,472 | 2.50%, 12/1/51, Pool #FM9865 | 1,054,088 | ||||||
136,052 | 2.50%, 12/1/51, Pool #CB2376 | 122,710 | ||||||
533,437 | 2.50%, 12/1/51, Pool #CB2289 | 481,529 | ||||||
98,869 | 3.00%, 12/1/51, Pool #BT9503 | 92,351 | ||||||
192,915 | 2.50%, 12/1/51, Pool #CB2320 | 174,041 | ||||||
152,898 | 2.50%, 12/1/51, Pool #CB2321 | 138,018 | ||||||
146,033 | 2.00%, 12/1/51, Pool #CB2347 | 126,871 | ||||||
537,205 | 2.00%, 12/1/51, Pool #CB2349 | 466,704 | ||||||
144,718 | 2.00%, 12/1/51, Pool #CB2350 | 125,731 | ||||||
885,405 | 2.00%, 1/1/52, Pool #FS0286 | 769,746 | ||||||
381,784 | 2.00%, 1/1/52, Pool #FS0288 | 331,652 | ||||||
900,549 | 3.00%, 2/1/52, Pool #FS0671 | 840,877 | ||||||
933,138 | 2.00%, 2/1/52, Pool #CB2842 | 810,532 | ||||||
391,558 | 2.50%, 2/1/52, Pool #FS0605 | 353,452 | ||||||
243,213 | 3.00%, 2/1/52, Pool #FS0631 | 227,336 | ||||||
147,331 | 2.50%, 3/1/52, Pool #FS1082 | 134,278 | ||||||
38,268 | 3.50%, 3/1/52, Pool #CB3174 | 36,888 | ||||||
200,000 | 3.50%, 7/25/52, TBA | 192,375 | ||||||
1,000,000 | 3.00%, 7/25/52, TBA | 932,656 | ||||||
2,675,000 | 2.50%, 7/25/52, TBA | 2,408,336 | ||||||
1,500,000 | 2.00%, 7/25/52, TBA | 1,301,953 |
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 2,000,000 | 1.50%, 7/25/52, TBA | $ | 1,659,062 | ||||
3,050,000 | 2.00%, 8/25/52, TBA | 2,643,969 | ||||||
1,950,000 | 2.50%, 8/25/52, TBA | 1,753,477 | ||||||
|
| |||||||
34,285,725 | ||||||||
|
| |||||||
Government National Mortgage Association (4.0%) | ||||||||
4,956 | 5.00%, 6/15/34, Pool #629493 | 5,075 | ||||||
2,998 | 5.00%, 3/15/38, Pool #676766 | 3,182 | ||||||
1,614 | 5.00%, 4/15/38, Pool #672672 | 1,713 | ||||||
5,690 | 5.00%, 8/15/38, Pool #687818 | 6,038 | ||||||
53,104 | 5.00%, 1/15/39, Pool #705997 | 56,501 | ||||||
102,951 | 5.00%, 3/15/39, Pool #646746 | 109,546 | ||||||
613 | 5.00%, 3/15/39, Pool #697946 | 640 | ||||||
99,793 | 4.00%, 10/15/40, Pool #783143 | 101,644 | ||||||
27,643 | 4.00%, 10/20/40, Pool #G24833 | 28,153 | ||||||
83,483 | 4.00%, 1/20/41, Pool #4922 | 85,024 | ||||||
229,292 | 4.50%, 3/20/41, Pool #4978 | 239,303 | ||||||
80,295 | 4.50%, 5/20/41, Pool #005055 | 83,798 | ||||||
171,075 | 4.00%, 5/20/41, Pool #5054 | 174,233 | ||||||
78,210 | 4.50%, 6/15/41, Pool #366975 | 81,669 | ||||||
53,301 | 4.50%, 6/20/41, Pool #005082 | 55,627 | ||||||
190,595 | 4.00%, 10/20/41, Pool #5203 | 194,115 | ||||||
214,349 | 3.50%, 12/20/41, Pool #5258 | 216,161 | ||||||
374,106 | 4.00%, 1/20/42, Pool #5280 | 381,013 | ||||||
132,061 | 3.00%, 12/20/42, Pool #MA0624 | 126,590 | ||||||
206,138 | 3.00%, 12/20/42, Pool #AA5872 | 195,791 | ||||||
23,129 | 3.00%, 1/20/43, Pool #MA0698 | 22,177 | ||||||
288,016 | 3.50%, 2/20/43, Pool #MA0783 | 289,936 | ||||||
58,851 | �� | 3.00%, 3/20/43, Pool #AD8812 | 58,085 | |||||
38,540 | 3.50%, 3/20/43, Pool #AD8884 | 37,860 | ||||||
133,773 | 3.00%, 3/20/43, Pool #AA6146 | 133,454 | ||||||
38,960 | 3.50%, 4/20/43, Pool #AD9075 | 38,273 | ||||||
14,656 | 3.50%, 4/20/43, Pool #AB9891 | 14,398 | ||||||
3,378 | 4.00%, 7/20/44, Pool #MA2074 | 3,428 | ||||||
48,904 | 4.00%, 5/20/45, Pool #MA2893 | 49,409 | ||||||
71,306 | 4.00%, 8/20/45, Pool #MA3035 | 72,041 | ||||||
2,671 | 4.00%, 9/20/45, Pool #MA3106 | 2,699 | ||||||
2,833 | 4.00%, 10/20/45, Pool #MA3174 | 2,862 | ||||||
3,294 | 4.00%, 12/20/45, Pool #MA3311 | 3,328 | ||||||
3,197 | 4.00%, 1/20/46, Pool #MA3377 | 3,230 | ||||||
143,263 | 4.00%, 4/15/46, Pool #784232 | 150,443 | ||||||
191,786 | 4.00%, 5/20/46, Pool #MA3664 | 193,461 | ||||||
22,133 | 3.50%, 7/20/46, Pool #784391 | 21,884 | ||||||
12,280 | 3.00%, 10/20/46, Pool #MA4003 | 11,612 | ||||||
639,132 | 3.00%, 12/20/46, Pool #MA4126 | 611,379 | ||||||
69,145 | 4.00%, 1/15/47, Pool #AX5857 | 70,194 | ||||||
51,470 | 4.00%, 1/15/47, Pool #AX5831 | 51,951 | ||||||
201,468 | 3.00%, 1/20/47, Pool #MA4195 | 190,503 | ||||||
121,121 | 3.00%, 2/20/47, Pool #MA4261 | 114,521 | ||||||
23,727 | 4.00%, 3/20/47, Pool #MA4322 | 23,890 | ||||||
198,501 | 4.00%, 4/20/47, Pool #784303 | 197,363 | ||||||
210,136 | 4.00%, 4/20/47, Pool #784304 | 208,931 | ||||||
23,726 | 4.00%, 4/20/47, Pool #MA4383 | 23,889 | ||||||
15,291 | 4.00%, 5/20/47, Pool #MA4452 | 15,396 | ||||||
64,999 | 4.00%, 6/20/47, Pool #MA4511 | 65,445 | ||||||
73,646 | 4.00%, 4/20/48, Pool #BG3507 | 74,143 | ||||||
60,874 | 4.00%, 4/20/48, Pool #BG7744 | 61,284 |
See accompanying notes to the financial statements.
23
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 76,097 | 3.50%, 11/20/50, Pool #MA6997 | $ | 74,302 | ||||
69,826 | 3.00%, 9/20/51, Pool #MA7590 | 65,993 | ||||||
70,984 | 3.00%, 10/20/51, Pool #MA7650 | 67,081 | ||||||
700,000 | 4.50%, 7/20/52, TBA | 710,281 | ||||||
1,850,000 | 2.00%, 7/20/52, TBA | 1,640,719 | ||||||
3,025,000 | 2.50%, 7/20/52, TBA | 2,770,711 | ||||||
1,500,000 | 3.50%, 7/20/52, TBA | 1,457,109 | ||||||
750,000 | 3.00%, 7/20/52, TBA | 707,813 | ||||||
2,550,000 | 2.00%, 8/20/52, TBA | 2,259,938 | ||||||
|
| |||||||
14,717,232 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $68,849,660) | 65,418,906 | |||||||
|
| |||||||
U.S. Treasury Obligations (30.1%): | ||||||||
U.S. Treasury Bonds (10.6%) | ||||||||
2,566,000 | 1.13%, 5/15/40 | 1,796,200 | ||||||
7,103,000 | 1.75%, 8/15/41 | 5,434,905 | ||||||
1,600,000 | 2.00%, 11/15/41 | 1,278,000 | ||||||
11,313,000 | 3.00%, 2/15/47 | 10,637,755 | ||||||
18,386,000 | 2.00%, 8/15/51 | 14,335,334 | ||||||
4,222,000 | 1.88%, 11/15/51 | 3,195,526 | ||||||
2,100,000 | 2.25%, 2/15/52 | 1,743,000 | ||||||
600,000 | 2.88%, 5/15/52 | 571,313 | ||||||
|
| |||||||
38,992,033 | ||||||||
|
| |||||||
U.S. Treasury Notes (19.5%) | ||||||||
17,438,000 | 0.25%, 7/31/25 | 16,023,887 | ||||||
4,710,000 | 0.38%, 12/31/25 | 4,296,403 |
Shares or Principal | Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes, continued | ||||||||
$ | 7,700,000 | 0.38%, 1/31/26 | $ | 7,008,203 | ||||
9,253,000 | 0.75%, 3/31/26 | 8,506,977 | ||||||
3,457,000 | 1.25%, 12/31/26 | 3,199,886 | ||||||
9,765,000 | 1.25%, 5/31/28 | 8,811,387 | ||||||
6,946,000 | 1.13%, 8/31/28 | 6,192,793 | ||||||
1,460,000 | 1.25%, 9/30/28 | 1,310,122 | ||||||
7,836,900 | 1.13%, 2/15/31 | 6,751,979 | ||||||
10,766,000 | 1.38%, 11/15/31 | 9,364,738 | ||||||
|
| |||||||
71,466,375 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $130,985,628) | 110,458,408 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.6%): | ||||||||
2,365,650 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(f)(g) | 2,365,650 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 2,365,650 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.8%): | ||||||||
Money Markets (0.8%): | ||||||||
3,020,452 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(g) | 3,020,452 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $3,020,452) | 3,020,452 | |||||||
|
| |||||||
Total Investment Securities (Cost $434,601,829) — 106.5% | 391,157,224 | |||||||
Net other assets (liabilities) — (6.5)% | (23,823,887 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 367,333,337 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
USSW5—USD 5 Year Swap Rate
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $2,266,667. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. The total of all such securities represent 0.27% 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 liquid based on procedures approved by the Board of Trustees. |
(c) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2022. |
(d) | Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2022, these securities represent 0.17% of the net assets of the fund. |
(e) | Defaulted bond. |
(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, 2022. |
(g) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
See accompanying notes to the financial statements.
24
AZL Fidelity Institutional Asset Management Total Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Argentina | 0.1 | % | ||
Australia | 0.2 | % | ||
Brazil | — | %† | ||
Canada | 0.8 | % | ||
Cayman Islands | 3.3 | % | ||
Chile | 0.1 | % | ||
Colombia | — | %† | ||
Dominican Republic | 0.4 | % | ||
France | 0.4 | % | ||
Germany | 0.7 | % | ||
Guernsey | 0.7 | % | ||
Hong Kong | 0.2 | % | ||
Indonesia | 0.1 | % | ||
Ireland | 0.7 | % | ||
Italy | 0.4 | % | ||
Jersey | 0.1 | % |
Country | Percentage | |||
Luxembourg | 0.5 | % | ||
Macau | — | %† | ||
Mexico | 0.9 | % | ||
Netherlands | 0.5 | % | ||
Qatar | 0.1 | % | ||
Saudi Arabia | 0.1 | % | ||
Spain | — | %† | ||
Supranational | 0.1 | % | ||
Switzerland | 0.4 | % | ||
United Arab Emirates | 0.1 | % | ||
United Kingdom | 2.0 | % | ||
United States | 87.1 | % | ||
Zambia | — | %† | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
25
AZL Fidelity Institutional Asset Management Total Bond Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 434,601,829 | |||
|
| ||||
Investment securities, at value(a) | $ | 391,157,224 | |||
Interest and dividends receivable | 3,023,795 | ||||
Receivable for TBA investments sold | 10,189,086 | ||||
Prepaid expenses | 1,139 | ||||
|
| ||||
Total Assets | 404,371,244 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 2,011 | ||||
Payable for investments purchased | 7,972 | ||||
Payable for TBA investments purchased | 34,151,438 | ||||
Payable for capital shares redeemed | 213,994 | ||||
Payable for collateral received on loaned securities | 2,365,650 | ||||
Manager fees payable | 152,612 | ||||
Administration fees payable | 56,036 | ||||
Distribution fees payable | 72,654 | ||||
Custodian fees payable | 906 | ||||
Administrative and compliance services fees payable | 356 | ||||
Transfer agent fees payable | 1,662 | ||||
Trustee fees payable | 3,050 | ||||
Other accrued liabilities | 9,566 | ||||
|
| ||||
Total Liabilities | 37,037,907 | ||||
|
| ||||
Net Assets | $ | 367,333,337 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 391,001,887 | |||
Total distributable earnings | (23,668,550 | ) | |||
|
| ||||
Net Assets | $ | 367,333,337 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 17,642,880 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 1,938,914 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.10 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 349,690,457 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 37,254,844 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.39 | |||
|
|
(a) | Includes securities on loan of $2,266,667. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 6,198,529 | |||
Dividends | 12,382 | ||||
Income from securities lending | 7,479 | ||||
|
| ||||
Total Investment Income | 6,218,390 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,001,568 | ||||
Administration fees | 72,873 | ||||
Distribution fees — Class 2 | 476,817 | ||||
Custodian fees | 4,412 | ||||
Administrative and compliance services fees | 2,392 | ||||
Transfer agent fees | 5,283 | ||||
Trustee fees | 9,441 | ||||
Professional fees | 7,623 | ||||
Shareholder reports | 8,312 | ||||
Other expenses | 3,942 | ||||
|
| ||||
Total expenses | 1,592,663 | ||||
|
| ||||
Net Investment Income/(Loss) | 4,625,727 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities | (2,936,109 | ) | |||
Change in net unrealized appreciation/depreciation on securities | (51,535,817 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (54,471,926 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (49,846,199 | ) | ||
|
|
See accompanying notes to the financial statements.
26
AZL Fidelity Institutional Asset Management Total Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 4,625,727 | $ | 9,068,641 | ||||||
Net realized gains/(losses) on investments | (2,936,109 | ) | 9,167,385 | |||||||
Change in unrealized appreciation/depreciation on investments | (51,535,817 | ) | (16,702,827 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (49,846,199 | ) | 1,533,199 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (1,066,245 | ) | |||||||
Class 2 | — | (19,280,232 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (20,346,477 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 118,516 | 1,261,069 | ||||||||
Proceeds from dividends reinvested | — | 1,066,245 | ||||||||
Value of shares redeemed | (1,317,438 | ) | (2,670,478 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (1,198,922 | ) | (343,164 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 2,524,792 | 23,765,497 | ||||||||
Proceeds from dividends reinvested | — | 19,280,232 | ||||||||
Value of shares redeemed | (30,648,760 | ) | (36,684,713 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (28,123,968 | ) | 6,361,016 | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (29,322,890 | ) | 6,017,852 | |||||||
|
|
|
| |||||||
Change in net assets | (79,169,089 | ) | (12,795,426 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 446,502,426 | 459,297,852 | ||||||||
|
|
|
| |||||||
End of period | $ | 367,333,337 | $ | 446,502,426 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 11,905 | 118,697 | ||||||||
Dividends reinvested | — | 104,227 | ||||||||
Shares redeemed | (138,186 | ) | (254,331 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (126,281 | ) | (31,407 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 250,323 | 2,167,150 | ||||||||
Dividends reinvested | — | 1,822,328 | ||||||||
Shares redeemed | (3,102,823 | ) | (3,362,418 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (2,852,500 | ) | 627,060 | |||||||
|
|
|
| |||||||
Change in shares | (2,978,781 | ) | 595,653 | |||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
27
AZL Fidelity Institutional Asset Management Total Bond Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.27 | $ | 10.73 | $ | 10.20 | $ | 9.54 | $ | 9.96 | $ | 9.77 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | (a) | 0.23 | (a) | 0.29 | (a) | 0.32 | (a) | 0.32 | 0.23 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.29 | ) | (0.17 | ) | 0.63 | 0.69 | (0.42 | ) | 0.21 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.17 | ) | 0.06 | 0.92 | 1.01 | (0.10 | ) | 0.44 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.31 | ) | (0.39 | ) | (0.35 | ) | (0.32 | ) | (0.25 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.52 | ) | (0.39 | ) | (0.35 | ) | (0.32 | ) | (0.25 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.10 | $ | 10.27 | $ | 10.73 | $ | 10.20 | $ | 9.54 | $ | 9.96 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (11.39 | )%(c) | 0.59 | % | 9.12 | % | 10.57 | % | (1.00 | )% | 4.55 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 17,643 | $ | 21,203 | $ | 22,495 | $ | 22,823 | $ | 21,476 | $ | 24,077 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.55 | % | 2.21 | % | 2.78 | % | 3.17 | % | 2.96 | % | 2.23 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | 0.56 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | 0.56 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 76 | % | 71 | % | 68 | % | 38 | % | 81 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.60 | $ | 11.06 | $ | 10.50 | $ | 9.81 | $ | 10.23 | $ | 10.05 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | (a) | 0.21 | (a) | 0.27 | (a) | 0.30 | (a) | 0.31 | 0.22 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.32 | ) | (0.18 | ) | 0.65 | 0.71 | (0.44 | ) | 0.21 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.21 | ) | 0.03 | 0.92 | 1.01 | (0.13 | ) | 0.43 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.28 | ) | (0.36 | ) | (0.32 | ) | (0.29 | ) | (0.25 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||||||
Total Dividends | — | (0.49 | ) | (0.36 | ) | (0.32 | ) | (0.29 | ) | (0.25 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.39 | $ | 10.60 | $ | 11.06 | $ | 10.50 | $ | 9.81 | $ | 10.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (11.42 | )%(c) | 0.31 | % | 8.84 | % | 10.28 | % | (1.25 | )% | 4.28 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 349,690 | $ | 425,299 | $ | 436,803 | $ | 470,864 | $ | 478,991 | $ | 552,678 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.30 | % | 1.96 | % | 2.53 | % | 2.92 | % | 2.71 | % | 1.98 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.81 | % | 0.82 | % | 0.83 | % | 0.82 | % | 0.81 | % | 0.81 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.81 | % | 0.82 | % | 0.83 | % | 0.82 | % | 0.81 | % | 0.81 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 76 | % | 71 | % | 68 | % | 38 | % | 81 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
28
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Fidelity Institutional Asset Management Total Bond Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
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. The 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. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Short Sales
The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When the Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating
29
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust, and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $733 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,365,650 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2022, no collateral had been posted by the Fund to counterparties for TBAs.
30
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with FIAM LLC (“FIAM”), FIAM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 1 | 0.50 | % | 0.70 | % | ||||||
AZL Fidelity Institutional Asset Management Total Bond Fund, Class 2 | 0.50 | % | 0.95 | % |
* | The annual rate due to the Manager is 0.50% of the first $2.5 billion of the Fund’s net assets, 0.40% of the next $15 billion of the Fund’s net assets, and 0.37% on the Fund’s net assets over $17.5 billion. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2022, there were no such waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
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) |
31
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
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, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 340,429 | $ | — | $ | 367,156 | $ | 707,585 | ||||||||||||
Preferred Stock+ | 57,360 | — | — | 57,360 | ||||||||||||||||
Warrant+ | 976 | — | — | 976 | ||||||||||||||||
Asset Backed Securities | — | 8,402,152 | — | 8,402,152 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 35,933,645 | — | 35,933,645 | ||||||||||||||||
Convertible Bonds+ | — | 509,096 | 635,521 | 1,144,617 | ||||||||||||||||
Bank Loans | — | 603,137 | — | 603,137 | ||||||||||||||||
Corporate Bonds+ | — | 120,597,286 | — | # | 120,597,286 | |||||||||||||||
Yankee Debt Obligations+ | — | 39,817,693 | — | 39,817,693 | ||||||||||||||||
Municipal Bonds | — | 2,629,357 | — | 2,629,357 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 65,418,906 | — | 65,418,906 | ||||||||||||||||
U.S. Treasury Obligations | — | 110,458,408 | — | 110,458,408 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 2,365,650 | — | — | 2,365,650 | ||||||||||||||||
Unaffiliated Investment Company | 3,020,452 | — | — | 3,020,452 | ||||||||||||||||
|
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|
|
| |||||||||||||
Total Investment Securities | $ | 5,784,867 | $ | 384,369,680 | $ | 1,002,677 | $ | 391,157,224 | ||||||||||||
|
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2022. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 44,812,346 | $ | 51,412,934 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 62,334,717 | $ | 72,712,334 |
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.
32
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Whether a restricted security is illiquid is determined pursuant to guidelines established by the Trustees. Not all restricted securities are considered illiquid. The illiquid restricted securities held as of June 30, 2022 are identified below.
Security | Acquisition Date(a) | Acquisition Cost | Shares or Principal Amount | Value | Percentage of Net Assets | ||||||||||||||||||||
Mesquite Energy, Inc., 15.00%, 7/15/23 | 7/10/20 | $ | 38,899 | 46,865 | $ | 248,853 | 0.07 | % | |||||||||||||||||
Mesquite Energy, Inc., 15.00%, 7/15/23 | 11/5/20 | 67,000 | 79,890 | 386,668 | 0.10 | % | |||||||||||||||||||
Sanchez Energy Corp., 7.25%, 2/15/23, Callable | 10/30/18 | 376,933 | 408,000 | — | 0.00 | % |
(a) | Acquisition date represents the initial purchase date of the security. |
7. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor or SOFR) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities 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, investments in mortgage-related securities may cause the Fund to 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 the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the 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. The Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.
Short Sale Risk: The Fund may engage in short sales, which are transactions in which the Fund sells securities borrowed from others with the expectation that the price of the security will fall before the Fund must purchase the security to return it to the lender. The Fund may make short sales of securities, either as a hedge against potential declines in value of a portfolio security or to realize appreciation when a security that the Fund does not own declines in value. Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short. The Fund will realize a gain if the security declines in
33
AZL Fidelity Institutional Asset Management Total Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
price between those dates. As a result, if the Fund makes short sales in securities that increase in value, it will likely underperform similar funds that do not make short sales in securities they do not own. There can be no assurance that the Fund will be able to close out a short sale position at any particular time or at an acceptable price. Although the Fund’s gain is limited to the amount at which it sold a security short, its potential loss is limited only by the maximum attainable price of the security, less the price at which the security was sold. The Fund may also pay transaction costs and borrowing fees in connection with short sales.
8. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
9. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
10. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $464,974,852. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 14,583,511 | ||
Unrealized (depreciation) | (6,505,126 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 8,078,385 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Fidelity Institutional Asset Management Total Bond Fund | $ | 13,753,916 | $ | 6,592,561 | $ | 20,346,277 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 Fidelity Institutional Asset Management Total Bond Fund | $ | 9,225,742 | $ | 8,873,522 | $ | — | $ | 8,078,385 | $ | 26,177,649 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, straddles and other miscellaneous differences. |
11. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
12. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
34
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
35
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
36
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Gateway Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Gateway Fund
(Unaudited)
As a shareholder of the AZL Gateway Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 874.10 | $ | 5.16 | 1.11 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Gateway Fund | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 | 1.11 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 25.8 | % | |||
Health Care | 14.5 | ||||
Financials | 10.0 | ||||
Consumer Discretionary | 9.7 | ||||
Communication Services | 8.3 | ||||
Industrials | 8.1 | ||||
Consumer Staples | 6.6 | ||||
Energy | 4.3 | ||||
Utilities | 3.1 | ||||
Real Estate | 2.5 | ||||
Materials | 2.4 | ||||
|
| ||||
Total Common Stocks | 95.3 | ||||
Unaffiliated Investment Company | 4.1 | ||||
Purchased Put Options | 1.6 | ||||
|
| ||||
Total Investment Securities | 101.0 | ||||
Net other assets (liabilities) | (1.0 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks+ (95.3%): | ||||||||
Aerospace & Defense (1.5%): | ||||||||
2,774 | Boeing Co. (The)* | $ | 379,261 | |||||
704 | HEICO Corp. | 92,309 | ||||||
1,895 | L3harris Technologies, Inc. | 458,022 | ||||||
8,930 | Raytheon Technologies Corp. | 858,262 | ||||||
|
| |||||||
1,787,854 | ||||||||
|
| |||||||
Air Freight & Logistics (0.6%): | ||||||||
568 | GXO Logistics, Inc.* | 24,577 | ||||||
3,725 | United Parcel Service, Inc., Class B | 679,962 | ||||||
629 | XPO Logistics, Inc.* | 30,293 | ||||||
|
| |||||||
734,832 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
2,485 | Alaska Air Group, Inc.* | 99,524 | ||||||
11,608 | JetBlue Airways Corp.* | 97,159 | ||||||
2,475 | United Airlines Holdings, Inc.* | 87,665 | ||||||
|
| |||||||
284,348 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
659 | Autoliv, Inc. | 47,165 | ||||||
1,865 | Goodyear Tire & Rubber Co. (The)* | 19,974 | ||||||
|
| |||||||
67,139 | ||||||||
|
| |||||||
Automobiles (2.1%): | ||||||||
18,908 | Ford Motor Co. | 210,446 | ||||||
7,744 | General Motors Co.* | 245,950 | ||||||
2,877 | Tesla, Inc.* | 1,937,429 | ||||||
|
| |||||||
2,393,825 | ||||||||
|
| |||||||
Banks (3.2%): | ||||||||
4,184 | Associated Banc-Corp. | 76,400 | ||||||
39,556 | Bank of America Corp. | 1,231,378 | ||||||
13,546 | JPMorgan Chase & Co. | 1,525,415 | ||||||
410 | Signature Bank | 73,476 | ||||||
21,177 | Wells Fargo & Co. | 829,503 | ||||||
|
| |||||||
3,736,172 | ||||||||
|
| |||||||
Beverages (1.8%): | ||||||||
9,881 | Keurig Dr Pepper, Inc. | 349,689 | ||||||
3,936 | Monster Beverage Corp.* | 364,867 | ||||||
8,019 | PepsiCo, Inc. | 1,336,446 | ||||||
|
| |||||||
2,051,002 | ||||||||
|
| |||||||
Biotechnology (2.3%): | ||||||||
6,796 | AbbVie, Inc. | 1,040,875 | ||||||
354 | Alnylam Pharmaceuticals, Inc.* | 51,631 | ||||||
2,444 | Amgen, Inc. | 594,625 | ||||||
915 | Biogen, Inc.* | 186,605 | ||||||
426 | BioMarin Pharmaceutical, Inc.* | 35,303 | ||||||
817 | Exact Sciences Corp.* | 32,182 | ||||||
1,609 | Ionis Pharmaceuticals, Inc.* | 59,565 | ||||||
1,343 | Moderna, Inc.* | 191,848 | ||||||
451 | Seagen, Inc.* | 79,800 | ||||||
1,356 | Vertex Pharmaceuticals, Inc.* | 382,107 | ||||||
|
| |||||||
2,654,541 | ||||||||
|
| |||||||
Building Products (0.3%): | ||||||||
7,893 | Carrier Global Corp. | 281,464 | ||||||
357 | Lennox International, Inc. | 73,753 | ||||||
|
| |||||||
355,217 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Capital Markets (2.3%): | ||||||||
740 | Blackstone, Inc., Class A | $ | 67,510 | |||||
6,501 | Charles Schwab Corp. (The) | 410,733 | ||||||
460 | FactSet Research Systems, Inc. | 176,902 | ||||||
3,972 | Intercontinental Exchange, Inc. | 373,527 | ||||||
2,482 | KKR & Co., Inc., Class A | 114,892 | ||||||
7,631 | Morgan Stanley | 580,414 | ||||||
734 | MSCI, Inc. | 302,518 | ||||||
1,831 | S&P Global, Inc. | 617,157 | ||||||
|
| |||||||
2,643,653 | ||||||||
|
| |||||||
Chemicals (1.6%): | ||||||||
1,367 | Ashland Global Holdings, Inc. | 140,869 | ||||||
1,718 | Celanese Corp. | 202,054 | ||||||
5,402 | Corteva, Inc. | 292,464 | ||||||
5,784 | Dow, Inc. | 298,512 | ||||||
2,103 | Eastman Chemical Co. | 188,786 | ||||||
559 | Ingevity Corp.* | 35,295 | ||||||
2,708 | LyondellBasell Industries NV, Class A | 236,842 | ||||||
2,006 | Mosaic Co. (The) | 94,744 | ||||||
609 | Nutrien, Ltd. | 48,531 | ||||||
1,854 | Olin Corp. | 85,803 | ||||||
1,577 | RPM International, Inc. | 124,142 | ||||||
3,199 | Valvoline, Inc. | 92,227 | ||||||
|
| |||||||
1,840,269 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.9%): | ||||||||
1,988 | Copart, Inc.* | 216,016 | ||||||
1,632 | Waste Connections, Inc. | 202,303 | ||||||
3,932 | Waste Management, Inc. | 601,517 | ||||||
|
| |||||||
1,019,836 | ||||||||
|
| |||||||
Communications Equipment (0.8%): | ||||||||
465 | Ciena Corp.* | 21,251 | ||||||
20,657 | Cisco Systems, Inc. | 880,814 | ||||||
|
| |||||||
902,065 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
785 | Martin Marietta Materials, Inc. | 234,903 | ||||||
|
| |||||||
Consumer Finance (0.5%): | ||||||||
2,123 | Ally Financial, Inc. | 71,142 | ||||||
3,678 | Discover Financial Services | 347,865 | ||||||
7,093 | Synchrony Financial | 195,909 | ||||||
|
| |||||||
614,916 | ||||||||
|
| |||||||
Containers & Packaging (0.5%): | ||||||||
1,210 | Avery Dennison Corp. | 195,863 | ||||||
1,000 | Crown Holdings, Inc. | 92,170 | ||||||
1,880 | Sonoco Products Co. | 107,235 | ||||||
3,371 | Westrock Co. | 134,301 | ||||||
|
| |||||||
529,569 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
1,753 | Genuine Parts Co. | 233,149 | ||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
1,149 | Service Corp. International | 79,419 | ||||||
|
| |||||||
Diversified Financial Services (1.9%): | ||||||||
7,505 | Berkshire Hathaway, Inc., Class B* | 2,049,015 | ||||||
2,150 | Voya Financial, Inc. | 127,990 | ||||||
|
| |||||||
2,177,005 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Diversified Telecommunication Services (1.2%): | ||||||||
5,251 | Liberty Global plc, Class C* | $ | 115,995 | |||||
11,761 | Lumen Technologies, Inc. | 128,312 | ||||||
23,567 | Verizon Communications, Inc. | 1,196,025 | ||||||
|
| |||||||
1,440,332 | ||||||||
|
| |||||||
Electric Utilities (1.3%): | ||||||||
5,136 | Alliant Energy Corp. | 301,021 | ||||||
7,671 | American Electric Power Co., Inc. | 735,955 | ||||||
2,195 | Evergy, Inc. | 143,224 | ||||||
5,615 | FirstEnergy Corp. | 215,560 | ||||||
2,364 | OGE Energy Corp. | 91,156 | ||||||
|
| |||||||
1,486,916 | ||||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
3,166 | Eaton Corp. plc | 398,884 | ||||||
807 | Hubbell, Inc. | 144,114 | ||||||
|
| |||||||
542,998 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.7%): | ||||||||
1,598 | CDW Corp. | 251,781 | ||||||
6,031 | Corning, Inc. | 190,037 | ||||||
440 | Teledyne Technologies, Inc.* | 165,048 | ||||||
547 | Zebra Technologies Corp., Class A* | 160,791 | ||||||
|
| |||||||
767,657 | ||||||||
|
| |||||||
Energy Equipment & Services (0.5%): | ||||||||
11,256 | Halliburton Co. | 352,988 | ||||||
4,419 | Helmerich & Payne, Inc. | 190,282 | ||||||
|
| |||||||
543,270 | ||||||||
|
| |||||||
Entertainment (1.0%): | ||||||||
1,339 | Live Nation Entertainment, Inc.* | 110,574 | ||||||
1,929 | Netflix, Inc.* | 337,324 | ||||||
291 | Roku, Inc.* | 23,903 | ||||||
7,682 | Walt Disney Co. (The)* | 725,181 | ||||||
|
| |||||||
1,196,982 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.5%): | ||||||||
4,013 | American Homes 4 Rent, Class A | 142,221 | ||||||
2,385 | American Tower Corp. | 609,582 | ||||||
1,351 | Camden Property Trust | 181,683 | ||||||
2,293 | CubeSmart | 97,957 | ||||||
2,981 | Douglas Emmett, Inc. | 66,715 | ||||||
5,894 | Duke Realty Corp. | 323,875 | ||||||
2,308 | Equity Lifestyle Properties, Inc. | 162,645 | ||||||
4,178 | Healthcare Realty Trust, Inc. | 113,642 | ||||||
6,593 | Invitation Homes, Inc. | 234,579 | ||||||
1,058 | Kilroy Realty Corp. | 55,365 | ||||||
7,335 | Medical Properties Trust, Inc. | 112,005 | ||||||
3,790 | National Retail Properties, Inc. | 162,970 | ||||||
7,189 | Sabra Health Care REIT, Inc. | 100,430 | ||||||
1,102 | Sun Communities, Inc. | 175,615 | ||||||
4,261 | UDR, Inc. | 196,176 | ||||||
1,711 | WP Carey, Inc. | 141,773 | ||||||
|
| |||||||
2,877,233 | ||||||||
|
| |||||||
Food & Staples Retailing (1.8%): | ||||||||
419 | Casey’s General Stores, Inc. | 77,507 | ||||||
1,843 | Costco Wholesale Corp. | 883,313 | ||||||
5,603 | Kroger Co. (The) | 265,190 | ||||||
1,996 | US Foods Holding Corp.* | 61,237 | ||||||
6,399 | Walmart, Inc. | 777,990 | ||||||
|
| |||||||
2,065,237 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Food Products (1.0%): | ||||||||
1,028 | Bunge, Ltd. | $ | 93,229 | |||||
4,697 | Hormel Foods Corp. | 222,450 | ||||||
1,181 | Lamb Weston Holdings, Inc. | 84,394 | ||||||
11,225 | Mondelez International, Inc., Class A | 696,960 | ||||||
905 | Post Holdings, Inc.* | 74,527 | ||||||
|
| |||||||
1,171,560 | ||||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
1,211 | UGI Corp. | 46,757 | ||||||
|
| |||||||
Health Care Equipment & Supplies (3.1%): | ||||||||
7,435 | Abbott Laboratories | 807,813 | ||||||
3,827 | Baxter International, Inc. | 245,808 | ||||||
8,871 | Boston Scientific Corp.* | 330,622 | ||||||
2,741 | Danaher Corp. | 694,898 | ||||||
3,594 | Edwards Lifesciences Corp.* | 341,753 | ||||||
225 | Insulet Corp.* | 49,037 | ||||||
1,734 | Intuitive Surgical, Inc.* | 348,031 | ||||||
6,145 | Medtronic plc | 551,514 | ||||||
904 | STERIS plc | 186,360 | ||||||
405 | Teleflex, Inc. | 99,569 | ||||||
|
| |||||||
3,655,405 | ||||||||
|
| |||||||
Health Care Providers & Services (3.2%): | ||||||||
7,149 | CVS Health Corp. | 662,426 | ||||||
1,346 | Elevance Health, Inc. | 649,553 | ||||||
1,416 | HCA Healthcare, Inc. | 237,973 | ||||||
268 | Molina Healthcare, Inc.* | 74,936 | ||||||
3,775 | UnitedHealth Group, Inc. | 1,938,953 | ||||||
1,059 | Universal Health Services, Inc., Class B | 106,652 | ||||||
|
| |||||||
3,670,493 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
568 | Veeva Systems, Inc., Class A* | 112,487 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.5%): | ||||||||
203 | Booking Holdings, Inc.* | 355,045 | ||||||
2,548 | Hilton Grand Vacations, Inc.* | 91,040 | ||||||
2,831 | Hilton Worldwide Holdings, Inc. | 315,487 | ||||||
3,499 | McDonald’s Corp. | 863,833 | ||||||
2,975 | Melco Resorts & Entertainment, Ltd., ADR* | 17,106 | ||||||
251 | Vail Resorts, Inc. | 54,730 | ||||||
4,003 | Wendy’s Co. (The) | 75,577 | ||||||
|
| |||||||
1,772,818 | ||||||||
|
| |||||||
Household Durables (0.2%): | ||||||||
38 | NVR, Inc.* | 152,157 | ||||||
2,068 | Toll Brothers, Inc. | 92,233 | ||||||
|
| |||||||
244,390 | ||||||||
|
| |||||||
Household Products (1.5%): | ||||||||
2,072 | Clorox Co. (The) | 292,110 | ||||||
10,386 | Procter & Gamble Co. (The) | 1,493,403 | ||||||
|
| |||||||
1,785,513 | ||||||||
|
| |||||||
Industrial Conglomerates (1.3%): | ||||||||
4,842 | 3M Co. | 626,603 | ||||||
4,702 | General Electric Co. | 299,377 | ||||||
3,436 | Honeywell International, Inc. | 597,211 | ||||||
|
| |||||||
1,523,191 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Insurance (2.1%): | ||||||||
11,168 | Aflac, Inc. | $ | 617,925 | |||||
1,031 | American Financial Group, Inc. | 143,113 | ||||||
1,463 | Aon plc, Class A | 394,542 | ||||||
1,973 | Arch Capital Group, Ltd.* | 89,752 | ||||||
3,000 | Arthur J. Gallagher & Co. | 489,120 | ||||||
2,628 | Brown & Brown, Inc. | 153,318 | ||||||
1,245 | Fidelity National Financial, Inc. | 46,015 | ||||||
3,800 | Lincoln National Corp. | 177,726 | ||||||
50 | Markel Corp.* | 64,662 | ||||||
451 | RenaissanceRe Holdings, Ltd. | 70,523 | ||||||
5,359 | Unum Group | 182,313 | ||||||
|
| |||||||
2,429,009 | ||||||||
|
| |||||||
Interactive Media & Services (5.2%): | ||||||||
521 | Alphabet, Inc., Class A* | 1,135,394 | ||||||
1,539 | Alphabet, Inc., Class C* | 3,366,485 | ||||||
1,404 | Match Group, Inc.* | 97,845 | ||||||
8,259 | Meta Platforms, Inc., Class A* | 1,331,764 | ||||||
3,923 | Twitter, Inc.* | 146,681 | ||||||
|
| |||||||
6,078,169 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.9%): | ||||||||
31,100 | Amazon.com, Inc.* | 3,303,131 | ||||||
746 | Etsy, Inc.* | 54,615 | ||||||
44 | MercadoLibre, Inc.* | 28,022 | ||||||
|
| |||||||
3,385,768 | ||||||||
|
| |||||||
IT Services (4.3%): | ||||||||
2,530 | Accenture plc, Class A | 702,455 | ||||||
2,382 | Automatic Data Processing, Inc. | 500,315 | ||||||
1,024 | Black Knight, Inc.* | 66,960 | ||||||
524 | Block, Inc.* | 32,205 | ||||||
1,984 | DXC Technology Co.* | 60,135 | ||||||
267 | EPAM Systems, Inc.* | 78,706 | ||||||
3,402 | Fidelity National Information Services, Inc. | 311,861 | ||||||
604 | Gartner, Inc.* | 146,065 | ||||||
3,138 | Mastercard, Inc., Class A | 989,976 | ||||||
2,660 | Paychex, Inc. | 302,894 | ||||||
4,820 | PayPal Holdings, Inc.* | 336,629 | ||||||
960 | Shopify, Inc., Class A* | 29,991 | ||||||
417 | Twilio, Inc., Class A* | 34,949 | ||||||
1,167 | VeriSign, Inc.* | 195,274 | ||||||
6,280 | Visa, Inc., Class A | 1,236,469 | ||||||
|
| |||||||
5,024,884 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
331 | Polaris, Inc. | 32,862 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.0%): | ||||||||
2,514 | Avantor, Inc.* | 78,185 | ||||||
499 | ICON plc* | 108,133 | ||||||
813 | Illumina, Inc.* | 149,885 | ||||||
1,607 | Thermo Fisher Scientific, Inc. | 873,051 | ||||||
|
| |||||||
1,209,254 | ||||||||
|
| |||||||
Machinery (1.4%): | ||||||||
2,656 | Caterpillar, Inc. | 474,787 | ||||||
1,450 | Cummins, Inc. | 280,618 | ||||||
1,268 | Deere & Co. | 379,728 | ||||||
1,511 | Parker-Hannifin Corp. | 371,782 |
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Machinery, continued | ||||||||
1,935 | Pentair plc | $ | 88,565 | |||||
1,101 | Timken Co. | 58,408 | ||||||
|
| |||||||
1,653,888 | ||||||||
|
| |||||||
Media (0.8%): | ||||||||
20,513 | Comcast Corp., Class A | 804,930 | ||||||
582 | Liberty Broadband Corp., Class C* | 67,303 | ||||||
8,669 | Sirius XM Holdings, Inc. | 53,141 | ||||||
|
| |||||||
925,374 | ||||||||
|
| |||||||
Metals & Mining (0.2%): | ||||||||
491 | Alcoa Corp. | 22,380 | ||||||
1,912 | Southern Copper Corp. | 95,237 | ||||||
1,677 | Steel Dynamics, Inc. | 110,933 | ||||||
219 | Worthington Industries, Inc. | 9,658 | ||||||
|
| |||||||
238,208 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
8,511 | Annaly Capital Management, Inc. | 50,300 | ||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
1,770 | Nordstrom, Inc. | 37,400 | ||||||
2,769 | Target Corp. | 391,066 | ||||||
|
| |||||||
428,466 | ||||||||
|
| |||||||
Multi-Utilities (1.8%): | ||||||||
5,247 | Ameren Corp. | 474,119 | ||||||
6,544 | Consolidated Edison, Inc. | 622,335 | ||||||
7,365 | Public Service Enterprise Group, Inc. | 466,057 | ||||||
5,208 | WEC Energy Group, Inc. | 524,133 | ||||||
|
| |||||||
2,086,644 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.8%): | ||||||||
5,525 | Cenovus Energy, Inc. | 105,030 | ||||||
1,015 | Cheniere Energy, Inc. | 135,025 | ||||||
7,898 | Chevron Corp. | 1,143,472 | ||||||
7,347 | ConocoPhillips | 659,834 | ||||||
1,155 | Continental Resources, Inc. | 75,479 | ||||||
1,862 | Enbridge, Inc. | 78,688 | ||||||
17,508 | Exxon Mobil Corp. | 1,499,385 | ||||||
978 | HF Sinclair Corp. | 44,167 | ||||||
4,696 | Occidental Petroleum Corp. | 276,501 | ||||||
4,141 | ONEOK, Inc. | 229,826 | ||||||
4,051 | Suncor Energy, Inc. | 142,069 | ||||||
603 | Targa Resources Corp. | 35,981 | ||||||
|
| |||||||
4,425,457 | ||||||||
|
| |||||||
Personal Products (0.1%): | ||||||||
1,146 | BellRing Brands, Inc.* | 28,524 | ||||||
2,072 | Herbalife Nutrition, Ltd.* | 42,372 | ||||||
|
| |||||||
70,896 | ||||||||
|
| |||||||
Pharmaceuticals (4.8%): | ||||||||
10,171 | Bristol-Myers Squibb Co. | 783,167 | ||||||
3,027 | Eli Lilly & Co. | 981,444 | ||||||
248 | Jazz Pharmaceuticals plc* | 38,690 | ||||||
9,843 | Johnson & Johnson | 1,747,231 | ||||||
9,639 | Merck & Co., Inc. | 878,788 | ||||||
22,170 | Pfizer, Inc. | 1,162,373 | ||||||
|
| |||||||
5,591,693 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Professional Services (0.3%): | ||||||||
1,364 | Booz Allen Hamilton Holding Corp. | $ | 123,251 | |||||
1,542 | CoStar Group, Inc.* | 93,152 | ||||||
1,006 | ManpowerGroup, Inc. | 76,869 | ||||||
1,162 | TransUnion | 92,948 | ||||||
|
| |||||||
386,220 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
865 | Zillow Group, Inc., Class C* | 27,464 | ||||||
|
| |||||||
Road & Rail (0.9%): | ||||||||
1,878 | Canadian Pacific Railway, Ltd. | 131,160 | ||||||
14,499 | CSX Corp. | 421,341 | ||||||
789 | J.B. Hunt Transport Services, Inc. | 124,244 | ||||||
809 | Lyft, Inc., Class A* | 10,743 | ||||||
1,028 | Old Dominion Freight Line, Inc. | 263,456 | ||||||
3,038 | Uber Technologies, Inc.* | 62,157 | ||||||
|
| |||||||
1,013,101 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.9%): | ||||||||
6,287 | Advanced Micro Devices, Inc.* | 480,767 | ||||||
2,761 | Analog Devices, Inc. | 403,354 | ||||||
4,182 | Applied Materials, Inc. | 380,478 | ||||||
1,666 | Broadcom, Inc. | 809,359 | ||||||
17,038 | Intel Corp. | 637,392 | ||||||
1,307 | Marvell Technology, Inc. | 56,894 | ||||||
4,899 | Micron Technology, Inc. | 270,817 | ||||||
8,930 | NVIDIA Corp. | 1,353,699 | ||||||
4,366 | Qualcomm, Inc. | 557,713 | ||||||
1,753 | Teradyne, Inc. | 156,981 | ||||||
4,189 | Texas Instruments, Inc. | 643,640 | ||||||
|
| |||||||
5,751,094 | ||||||||
|
| |||||||
Software (8.6%): | ||||||||
1,959 | Adobe, Inc.* | 717,112 | ||||||
2,176 | Cadence Design Systems, Inc.* | 326,465 | ||||||
1,350 | Ceridian HCM Holding, Inc.* | 63,558 | ||||||
26,605 | Microsoft Corp. | 6,832,962 | ||||||
7,052 | Oracle Corp. | 492,723 | ||||||
207 | Palo Alto Networks, Inc.* | 102,246 | ||||||
4,061 | Salesforce, Inc.* | 670,227 | ||||||
1,017 | ServiceNow, Inc.* | 483,604 | ||||||
859 | SS&C Technologies Holdings, Inc. | 49,882 | ||||||
568 | VMware, Inc., Class A | 64,741 | ||||||
673 | Workday, Inc., Class A* | 93,937 | ||||||
611 | Zoom Video Communications, Inc., Class A* | 65,970 | ||||||
|
| |||||||
9,963,427 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks+, continued | ||||||||
Specialty Retail (1.7%): | ||||||||
2,912 | American Eagle Outfitters, Inc. | $ | 32,556 | |||||
301 | Burlington Stores, Inc.* | 41,005 | ||||||
326 | Dick’s Sporting Goods, Inc. | 24,571 | ||||||
1,829 | Foot Locker, Inc. | 46,182 | ||||||
4,378 | Home Depot, Inc. (The) | 1,200,754 | ||||||
3,697 | Lowe’s Cos., Inc. | 645,755 | ||||||
287 | Williams-Sonoma, Inc. | 31,843 | ||||||
|
| |||||||
2,022,666 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (6.5%): | ||||||||
55,167 | Apple, Inc. | 7,542,432 | ||||||
1,086 | Dell Technologies, Inc., Class C | 50,184 | ||||||
|
| |||||||
7,592,616 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.5%): | ||||||||
342 | Lululemon Athletica, Inc.* | 93,233 | ||||||
5,273 | NIKE, Inc., Class B | 538,900 | ||||||
|
| |||||||
632,133 | ||||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
13,854 | Altria Group, Inc. | 578,682 | ||||||
|
| |||||||
Trading Companies & Distributors (0.1%): | ||||||||
675 | GATX Corp. | 63,558 | ||||||
|
| |||||||
Total Common Stocks (Cost $53,568,488) | 110,904,786 | |||||||
|
| |||||||
Contracts | Value | |||||||
Purchased Options (1.6%)^: | ||||||||
Total Purchased Options (Cost $1,667,047) | 1,905,455 | |||||||
|
| |||||||
Shares | Value | |||||||
Unaffiliated Investment Company (4.1%): | ||||||||
Money Markets (4.1%): | ||||||||
4,773,644 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(a) | 4,773,644 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $4,773,644) | 4,773,644 | |||||||
|
| |||||||
Total Investment Securities (Cost $60,009,179) — 101.0% | 117,583,885 | |||||||
Net other assets (liabilities) — (1.0)% | (1,215,519 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 116,368,366 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | See Options table below for more details. |
+ | All or a portion of each common stock has been pledged as collateral for outstanding call options written. |
† | Represents less than 0.05%. |
(a) | The rate represents the effective yield at June 30, 2022. |
See accompanying notes to the financial statements.
5
AZL Gateway Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
At June 30, 2022, the Fund’s exchange traded options purchased were as follows:
Description | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | ||||||||||||||||
S&P 500 Index | Put | 3300.00 USD | 9/16/22 | 41 | $ | 135,300 | $ | 200,490 | ||||||||||||||
S&P 500 Index | Put | 3400.00 USD | 9/16/22 | 41 | 139,400 | 268,345 | ||||||||||||||||
S&P 500 Index | Put | 3600.00 USD | 9/16/22 | 40 | 144,000 | 451,600 | ||||||||||||||||
S&P 500 Index | Put | 3325.00 USD | 10/21/22 | 42 | 139,650 | 323,820 | ||||||||||||||||
S&P 500 Index | Put | 3600.00 USD | 11/18/22 | 40 | 144,000 | 661,200 | ||||||||||||||||
|
| |||||||||||||||||||||
Total (Cost $1,667,047) | $ | 1,905,455 | ||||||||||||||||||||
|
|
At June 30, 2022, the Fund’s exchange traded options written were as follows:
Description | Put/Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | ||||||||||||||||
S&P 500 Index | Call | 3825.00 USD | 7/15/22 | 32 | $ | 122,400 | $ | (174,720 | ) | |||||||||||||
S&P 500 Index | Call | 3850.00 USD | 7/15/22 | 33 | 127,050 | (145,860 | ) | |||||||||||||||
S&P 500 Index | Call | 3975.00 USD | 7/15/22 | 32 | 127,200 | (38,240 | ) | |||||||||||||||
S&P 500 Index | Call | 4100.00 USD | 7/15/22 | 32 | 131,200 | (8,480 | ) | |||||||||||||||
S&P 500 Index | Call | 4200.00 USD | 7/15/22 | 33 | 138,600 | (2,805 | ) | |||||||||||||||
S&P 500 Index | Call | 3725.00 USD | 7/29/22 | 33 | 122,925 | (476,355 | ) | |||||||||||||||
S&P 500 Index | Call | 3800.00 USD | 7/29/22 | 32 | 121,600 | (322,560 | ) | |||||||||||||||
S&P 500 Index | Call | 3975.00 USD | 8/19/22 | 32 | 127,200 | (171,520 | ) | |||||||||||||||
S&P 500 Index | Call | 4000.00 USD | 8/19/22 | 32 | 128,000 | (147,200 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total (Premiums $2,898,825) | (1,487,740 | ) | ||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Statement of Assets and Liabilities for Options Written
Value | ||||
Options Written | $ | (1,487,740 | ) |
See accompanying notes to the financial statements.
6
AZL Gateway Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 60,009,179 | |||
|
| ||||
Investment securities, at value | $ | 117,583,885 | |||
Cash | 219,456 | ||||
Interest and dividends receivable | 72,016 | ||||
Receivable for investments sold | 173,850 | ||||
Reclaims receivable | 1,423 | ||||
Prepaid expenses | 364 | ||||
|
| ||||
Total Assets | 118,050,994 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 71,441 | ||||
Written Options (Premiums received $2,898,825) | 1,487,740 | ||||
Manager fees payable | 77,933 | ||||
Administration fees payable | 16,548 | ||||
Distribution fees payable | 24,354 | ||||
Custodian fees payable | 658 | ||||
Administrative and compliance services fees payable | 104 | ||||
Transfer agent fees payable | 727 | ||||
Trustee fees payable | 878 | ||||
Other accrued liabilities | 2,245 | ||||
|
| ||||
Total Liabilities | 1,682,628 | ||||
|
| ||||
Net Assets | $ | 116,368,366 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 63,877,093 | |||
Total distributable earnings | 52,491,273 | ||||
|
| ||||
Net Assets | $ | 116,368,366 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 8,255,797 | ||||
Net Asset Value (offering and redemption price per share) | $ | 14.10 | |||
|
|
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 975,593 | |||
Interest | 333 | ||||
Foreign withholding tax | (607 | ) | |||
|
| ||||
Total Investment Income | 975,319 | ||||
|
| ||||
Expenses: | |||||
Management fees | 515,735 | ||||
Administration fees | 19,159 | ||||
Distribution fees | 161,167 | ||||
Custodian fees | 3,480 | ||||
Administrative and compliance services fees | 791 | ||||
Transfer agent fees | 2,686 | ||||
Trustee fees | 3,124 | ||||
Professional fees | 2,528 | ||||
Shareholder reports | 1,811 | ||||
Other expenses | 1,559 | ||||
|
| ||||
Total expenses | 712,040 | ||||
|
| ||||
Net Investment Income/(Loss) | 263,279 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 6,537,018 | ||||
Net realized gains/(losses) on written options contracts | 6,758,050 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (32,424,436 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 1,579,570 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (17,549,798 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (17,286,519 | ) | ||
|
|
See accompanying notes to the financial statements.
7
AZL Gateway Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 263,279 | $ | 401,273 | ||||||
Net realized gains/(losses) on investments | 13,295,068 | (180,532 | ) | |||||||
Change in unrealized appreciation/depreciation on investments | (30,844,866 | ) | 15,292,644 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (17,286,519 | ) | 15,513,385 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (927,444 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (927,444 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 2,296,648 | 7,578,785 | ||||||||
Proceeds from dividends reinvested | — | 927,444 | ||||||||
Value of shares redeemed | (11,051,785 | ) | (25,065,408 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (8,755,137 | ) | (16,559,179 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (26,041,656 | ) | (1,973,238 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 142,410,022 | 144,383,260 | ||||||||
|
|
|
| |||||||
End of period | $ | 116,368,366 | $ | 142,410,022 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 145,682 | 501,529 | ||||||||
Dividends reinvested | — | 59,490 | ||||||||
Shares redeemed | (717,344 | ) | (1,614,036 | ) | ||||||
|
|
|
| |||||||
Change in shares | (571,662 | ) | (1,053,017 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
8
AZL Gateway Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.13 | $ | 14.61 | $ | 13.76 | $ | 12.54 | $ | 13.32 | $ | 12.29 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.03 | (a) | 0.04 | (a) | 0.09 | (a) | 0.13 | (a) | 0.18 | 0.12 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.06 | ) | 1.58 | 0.91 | 1.22 | (0.79 | ) | 1.04 | ||||||||||||||||||||||
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Total from Investment Activities | (2.03 | ) | 1.62 | 1.00 | 1.35 | (0.61 | ) | 1.16 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.10 | ) | (0.15 | ) | (0.13 | ) | (0.17 | ) | (0.13 | ) | |||||||||||||||||||
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Total Dividends | — | (0.10 | ) | (0.15 | ) | (0.13 | ) | (0.17 | ) | (0.13 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 14.10 | $ | 16.13 | $ | 14.61 | $ | 13.76 | $ | 12.54 | $ | 13.32 | ||||||||||||||||||
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Total Return(b) | (12.59 | )%(c) | 11.13 | % | 7.30 | % | 10.82 | % | (4.65 | )% | 9.46 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 116,368 | $ | 142,410 | $ | 144,383 | $ | 150,961 | $ | 147,792 | $ | 213,295 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.41 | % | 0.27 | % | 0.67 | % | 1.01 | % | 0.93 | % | 1.06 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.11 | % | 1.12 | % | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 1.11 | % | 1.12 | % | 1.12 | % | 1.11 | % | 1.10 | % | 1.10 | % | ||||||||||||||||||
Portfolio Turnover Rate | 7 | %(c) | 11 | % | 30 | % | 19 | % | 9 | % | 24 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
9
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
10
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, 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 when purchasing options. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written when writing options. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. For the period ended June 30, 2020, the monthly average notional amount for written options contracts was $1.3 million. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Options Contracts | $— | Written Options Contracts | $ | 1,487,740 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Options Contracts | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | $ | 6,758,050 | $ | 1,579,570 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Gateway Investment Advisers, LLC (“Gateway”), Gateway provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, 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 | % |
11
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2022, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become 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.
12
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 110,904,786 | $ | — | $ | — | $ | 110,904,786 | ||||||||||||
Purchased Options | 1,905,455 | — | — | 1,905,455 | ||||||||||||||||
Unaffiliated Investment Company | 4,773,644 | — | — | 4,773,644 | ||||||||||||||||
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Total Investment Securities | 117,583,885 | — | — | 117,583,885 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Written Options | (1,487,740 | ) | — | — | (1,487,740 | ) | ||||||||||||||
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Total Investments | $ | 116,096,145 | $ | — | $ | — | $ | 116,096,145 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as written options. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Gateway Fund | $ | 9,367,166 | $ | 10,696,971 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $52,571,055. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 90,769,065 | ||
Unrealized (depreciation) | (1,450,204 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 89,318,861 | ||
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As of the end of its tax year ended December 31, 2021, the Fund had capital loss carry forwards (“CLCFs”) as summarized in the table below. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset.
13
AZL Gateway Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
During the year ended December 31, 2021, the Fund utilized $729,370 in CLCFs to offset capital gains.
CLCFs not subject to expiration:
Short-Term Amount | Long-Term Amount | Total Amount | |||||||||||||
AZL Gateway Fund | $ | 20,695,938 | $ | — | $ | 20,695,938 |
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Gateway Fund | $ | 927,444 | $ | — | $ | 927,444 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Gateway Fund | $ | 404,910 | $ | — | $ | (20,695,938 | ) | $ | 90,068,820 | $ | 69,777,792 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of options contracts and other miscellaneous differences. |
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
14
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
15
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
16
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Government Money Market Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 4 |
Page 4 |
Statements of Changes in Net Assets Page 5 |
Page 6 |
Notes to the Financial Statements Page 7 |
Page 11 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Government Money Market Fund
Expense Examples
(Unaudited)
As a shareholder of the AZL Government Money Market Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,000.10 | $ | 2.08 | 0.42 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,000.00 | $ | 1,022.71 | $ | 2.11 | 0.42 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Repurchase Agreements | 47.1 | % | |||
U.S. Government Agency Mortgages | 31.1 | ||||
U.S. Treasury Obligations | 21.8 | ||||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | † | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages (31.1%): | ||||||||
Federal Home Loan Bank (17.8%) | ||||||||
$ | 13,200,000 | 0.84%, 7/8/22(a) | $ | 13,197,844 | ||||
3,375,000 | 0.83%, 7/15/22(a) | 3,373,911 | ||||||
10,670,000 | 1.50%(SOFR+1bps), 8/2/22 | 10,670,188 | ||||||
2,295,000 | 1.52%(SOFR+1bps), 8/4/22 | 2,295,000 | ||||||
3,940,000 | 1.60%, 8/5/22(a) | 3,933,871 | ||||||
4,755,000 | 1.51%(SOFR-–), 8/19/22 | 4,755,000 | ||||||
10,880,000 | 1.24%, 8/24/22(a) | 10,859,763 | ||||||
2,575,000 | 1.52%(SOFR+1bps), 9/6/22 | 2,575,000 | ||||||
10,075,000 | 1.94%, 9/20/22(a) | 10,031,136 | ||||||
1,865,000 | 1.10%, 10/3/22(a) | 1,859,692 | ||||||
5,175,000 | 1.51%(SOFR+1bps), 10/21/22 | 5,175,000 | ||||||
5,025,000 | 1.52%(SOFR+2bps), 12/16/22 | 5,025,000 | ||||||
5,000,000 | 1.57%(SOFR+6bps), 2/3/23 | 5,000,000 | ||||||
3,835,000 | 2.08%, 2/13/23, Callable 1/13/23 @ 100.00 | 3,835,000 | ||||||
7,820,000 | 1.52%(SOFR+2bps), 3/2/23 | 7,820,000 | ||||||
800,000 | 1.53%(SOFR+2bps), 5/2/23 | 800,000 | ||||||
|
| |||||||
91,206,405 | ||||||||
|
| |||||||
Federal Farm Credit Bank (12.6%) | ||||||||
1,475,000 | 1.70%(SOFR+19bps), 7/14/22 | 1,475,000 | ||||||
4,065,000 | 1.77%(FEDL01+18bps), 7/20/22 | 4,064,979 | ||||||
6,150,000 | 0.07%, 8/10/22 | 6,149,967 | ||||||
1,655,000 | 1.21%, 9/1/22(a) | 1,651,551 | ||||||
2,230,000 | 1.60%(SOFR+10bps), 9/2/22 | 2,230,000 | ||||||
1,845,000 | 1.59%(SOFR+9bps), 10/7/22 | 1,845,000 | ||||||
2,250,000 | 1.59%(SOFR+8bps), 10/14/22 | 2,250,000 | ||||||
1,970,000 | 0.40%, 11/1/22(a) | 1,967,308 | ||||||
2,705,000 | 1.58%(SOFR+8bps), 11/3/22 | 2,705,000 | ||||||
2,535,000 | 1.31%, 11/14/22(a) | 2,522,550 | ||||||
7,980,000 | 1.53%(SOFR+2bps), 11/28/22 | 7,979,917 | ||||||
4,150,000 | 1.54%(SOFR+3bps), 1/12/23 | 4,149,888 | ||||||
1,070,000 | 1.57%(SOFR+6bps), 1/20/23 | 1,070,000 | ||||||
1,290,000 | 1.53%(SOFR+4bps), 3/10/23 | 1,290,135 | ||||||
3,240,000 | 1.53%(SOFR+2bps), 5/16/23 | 3,239,931 | ||||||
710,000 | 2.26%, 6/7/23 | 709,946 | ||||||
370,000 | 1.55%(SOFR+4bps), 7/12/23 | 369,981 | ||||||
1,420,000 | 1.54%(SOFR+3bps), 7/25/23 | 1,419,954 | ||||||
2,740,000 | 1.56%(SOFR+5bps), 8/22/23 | 2,740,000 | ||||||
1,870,000 | 1.56%(SOFR+5bps), 9/28/23 | 1,870,000 | ||||||
2,955,000 | 1.55%(SOFR+5bps), 10/16/23 | 2,955,000 | ||||||
3,435,000 | 1.57%(SOFR+6bps), 11/22/23 | 3,435,000 | ||||||
580,000 | 1.57%(SOFR+6bps), 1/10/24 | 580,000 | ||||||
3,825,000 | 1.55%(SOFR+5bps), 2/20/24 | 3,825,000 | ||||||
2,425,000 | 1.56%(SOFR+5bps), 5/9/24 | 2,425,000 | ||||||
|
| |||||||
64,921,107 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corp. (0.7%) | ||||||||
2,000,000 | 0.08%, 7/25/22 | 2,000,058 | ||||||
1,535,000 | 1.57%(SOFR+7bps), 11/10/22 | 1,535,000 | ||||||
|
| |||||||
3,535,058 | ||||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $159,662,570) | 159,662,570 | |||||||
|
| |||||||
U.S. Treasury Obligations (21.8%): | ||||||||
U.S. Treasury Bills (16.5%) | ||||||||
11,395,000 | 0.52%, 7/5/22(a) | 11,394,348 | ||||||
3,260,000 | 0.22%, 7/7/22(a) | 3,259,881 | ||||||
1,065,000 | 1.01%, 7/12/22(a) | 1,064,675 | ||||||
6,440,000 | 1.01%, 7/19/22(a) | 6,436,780 |
Principal Amount | Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Bills, continued | ||||||||
$ | 1,230,000 | 0.39%, 7/28/22(a) | $ | 1,229,650 | ||||
5,855,000 | 0.82%, 8/2/22(a) | 5,850,810 | ||||||
16,000,000 | 1.12%, 8/4/22(a) | 15,983,378 | ||||||
1,385,000 | 0.78%, 8/18/22(a) | 1,383,578 | ||||||
3,155,000 | 0.68%, 9/1/22(a) | 3,151,360 | ||||||
19,096,800 | 0.72%, 9/8/22(a) | 19,073,137 | ||||||
1,870,000 | 0.89%, 9/22/22(a) | 1,866,249 | ||||||
1,585,000 | 1.07%, 9/29/22(a) | 1,580,839 | ||||||
4,191,700 | 1.13%, 10/6/22(a) | 4,179,163 | ||||||
3,625,000 | 2.57%, 12/29/22(a) | 3,586,119 | ||||||
2,345,000 | 0.64%, 1/26/23(a) | 2,336,423 | ||||||
2,035,000 | 1.17%, 2/23/23(a) | 2,019,660 | ||||||
575,000 | 2.16%, 5/18/23(a) | 564,233 | ||||||
|
| |||||||
84,960,283 | ||||||||
|
| |||||||
U.S. Treasury Notes (5.3%) | ||||||||
2,000,000 | 1.35%, 12/15/22 | 2,002,478 | ||||||
5,000,000 | 1.80%(USBMMY3M+5bps), 1/31/23 | 5,000,193 | ||||||
4,260,000 | 1.31%, 2/28/23 | 4,296,673 | ||||||
9,565,000 | 2.02%, 2/28/23 | 9,446,336 | ||||||
635,000 | 2.12%, 4/30/23 | 624,606 | ||||||
1,260,000 | 2.19%, 5/15/23 | 1,255,246 | ||||||
4,660,000 | 1.79%(USBMMY3M+4bps), 10/31/23 | 4,660,000 | ||||||
|
| |||||||
27,285,532 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $112,245,815) | 112,245,815 | |||||||
|
| |||||||
Repurchase Agreements (47.1%): | ||||||||
15,000,000 | Bank of Montreal, 1.48%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $15,000,617, Collateralized by U.S. Treasury Obligations, 0.00%, 2/15/25 — 8/15/49, fair value of $15,300,000) | 15,000,000 | ||||||
35,000,000 | Bank of Nova Scotia, 1.50%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $35,001,458, Collateralized by U.S. Treasury Obligations, 0.00% —3.25%, 7/14/22 — 6/30/29, fair value of $35,701,568) | 35,000,000 | ||||||
40,000,000 | BNP Paribas, 1.55%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $40,001,722, Collateralized by U.S. Government Agency Obligations, 0.38% — 4.00%, 5/5/23 — 6/1/52, fair value of $40,800,025) | 40,000,000 | ||||||
35,000,000 | Citigroup Global Markets, 1.55%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $35,001,507, Collateralized by U.S. Treasury Note, 0.75%, 11/15/24, fair value of $35,700,082) | 35,000,000 | ||||||
30,000,000 | Mitsubishi UFJ Securities USA, Inc., 1.48%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $30,001,233, Collateralized by U.S. Government Agency Obligations, 2.00% — 6.50%, 8/1/22 — 7/1/56, fair value of $30,900,000) | 30,000,000 | ||||||
30,000,000 | Morgan Stanley & Co., 1.55%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $30,001,292, Collateralized by U.S. Government Agency Obligations, 2.00% — 6.50%, 8/1/22 — 7/1/56, fair value of $30,900,000) | 30,000,000 | ||||||
30,000,000 | Natixis, 1.48%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $30,001,233, Collateralized by U.S. Treasury Obligations, 1.13% — 4.38%, 6/30/24 — 11/15/46, fair value of $30,600,014) | 30,000,000 |
See accompanying notes to the financial statements.
2
AZL Government Money Market Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Repurchase Agreements, continued | ||||||||
$ | 12,000,000 | Toronto Dominion Bank NY, 1.50%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $12,000,500, Collateralized by U.S. Treasury Note, 3.00%, 6/30/24, fair value of $12,240,053) | $ | 12,000,000 | ||||
15,000,000 | Toronto Dominion Bank NY, 1.55%, 7/1/22, (Purchased on 6/30/22, proceeds at maturity $15,000,646, Collateralized by U.S. Government Agency Obligations, 3.50% — 5.00%, 4/1/47 — 6/1/52, fair value of $15,450,001) | 15,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements (Cost $242,000,000) | 242,000,000 | |||||||
|
| |||||||
Total Investment Securities (Cost $513,908,385) — 100.0% | 513,908,385 | |||||||
Net other assets (liabilities) — 0.0%† | (72,307 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 513,836,078 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
FEDL01—Effective Federal Fund Rate
SOFR—Secured Overnight Financing Rate
USBMMY3M—3 Month Treasury Bill Rate
† | Represents less than 0.05%. |
(a) | The rate represents the effective yield at June 30, 2022. |
See accompanying notes to the financial statements.
3
AZL Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 271,908,385 | |||
|
| ||||
Investment securities, at value | $ | 271,908,385 | |||
Repurchase agreements, at value/cost | 242,000,000 | ||||
Cash | 212,366 | ||||
Interest and dividends receivable | 214,450 | ||||
Receivable for capital shares issued | 2,887 | ||||
Receivable from Manager | 4,058 | ||||
Prepaid expenses | 1,172 | ||||
|
| ||||
Total Assets | 514,343,318 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 2,887 | ||||
Manager fees payable | 332,749 | ||||
Administration fees payable | 50,540 | ||||
Distribution fees payable | 101,445 | ||||
Custodian fees payable | 1,138 | ||||
Administrative and compliance services fees payable | 606 | ||||
Transfer agent fees payable | 1,010 | ||||
Trustee fees payable | 4,659 | ||||
Other accrued liabilities | 12,206 | ||||
|
| ||||
Total Liabilities | 507,240 | ||||
|
| ||||
Net Assets | $ | 513,836,078 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 513,821,001 | |||
Total distributable earnings | 15,077 | ||||
|
| ||||
Net Assets | $ | 513,836,078 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 513,821,123 | ||||
Net Asset Value (offering and redemption price per share) | $ | 1.00 | |||
|
|
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 1,051,206 | |||
|
| ||||
Total Investment Income | 1,051,206 | ||||
|
| ||||
Expenses: | |||||
Management fees | 834,028 | ||||
Administration fees | 38,526 | ||||
Distribution fees | 595,735 | ||||
Custodian fees | 5,059 | ||||
Administrative and compliance services fees | 3,041 | ||||
Transfer agent fees | 2,921 | ||||
Trustee fees | 12,184 | ||||
Professional fees | 9,960 | ||||
Shareholder reports | 8,067 | ||||
Other expenses | 4,889 | ||||
|
| ||||
Total expenses before reductions | 1,514,410 | ||||
Less Management fees contractually waived | (23,832 | ) | |||
Less expenses waived/reimbursed by the Manager for minimum daily yield | (495,298 | ) | |||
|
| ||||
Net expenses | 995,280 | ||||
|
| ||||
Net Investment Income/(Loss) | 55,926 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities | 6,075 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | 6,075 | ||||
|
| ||||
Change in Net Assets Resulting From Operations | $ | 62,001 | |||
|
|
See accompanying notes to the financial statements.
4
AZL Government Money Market Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 55,926 | $ | 267 | ||||||
Net realized gains/(losses) on investments | 6,075 | 8,732 | ||||||||
|
|
|
| |||||||
Change in net assets resulting from operations | 62,001 | 8,999 | ||||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | (55,923 | ) | (4,913 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | (55,923 | ) | (4,913 | ) | ||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 349,455,328 | 890,444,096 | ||||||||
Proceeds from dividends reinvested | 55,917 | 4,913 | ||||||||
Value of shares redeemed | (375,576,955 | ) | (958,627,851 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (26,065,710 | ) | (68,178,842 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (26,059,632 | ) | (68,174,756 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 539,895,710 | 608,070,466 | ||||||||
|
|
|
| |||||||
End of period | $ | 513,836,078 | $ | 539,895,710 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 349,455,327 | 890,444,096 | ||||||||
Dividends reinvested | 55,917 | 4,913 | ||||||||
Shares redeemed | (375,576,955 | ) | (958,627,850 | ) | ||||||
|
|
|
| |||||||
Change in shares | (26,065,711 | ) | (68,178,841 | ) | ||||||
|
|
|
|
See accompanying notes to the financial statements.
5
AZL Government Money Market Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
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| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | (a)(b) | — | (a)(b) | — | (b) | 0.01 | (b) | 0.01 | — | (a) | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | ��� | (a) | — | (a) | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||||||||||||
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|
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| |||||||||||||||||||
Total from Investment Activities | — | (a) | — | (a) | — | 0.01 | 0.01 | — | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (a) | — | (a) | — | (a) | (0.01 | ) | (0.01 | ) | — | (a) | ||||||||||||||||||
Net Realized Gains | — | — | — | — | (a) | — | — | (a) | ||||||||||||||||||||||
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Total Dividends | — | (a) | — | (a) | — | (a) | (0.01 | ) | (0.01 | ) | — | (a) | ||||||||||||||||||
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Net Asset Value, End of Period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||||||
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Total Return(c) | 0.01 | %(d) | — | 0.21 | % | 1.39 | % | 1.01 | % | 0.05 | % | |||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 513,836 | $ | 539,896 | $ | 608,070 | $ | 481,524 | $ | 453,175 | $ | 490,632 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | 0.02 | % | 0.00 | %(a) | 0.18 | % | 1.37 | % | 1.00 | % | 0.04 | % | ||||||||||||||||||
Expenses Before Reductions(e)(f) | 0.64 | % | 0.65 | % | 0.66 | % | 0.88 | % | 0.87 | % | 0.87 | % | ||||||||||||||||||
Expenses Net of Reductions(e) | 0.42 | %(g) | 0.08 | %(g) | 0.35 | %(g) | 0.87 | % | 0.87 | % | 0.87 | % |
(a) | Represents less than $0.005 or 0.005%. |
(b) | Calculated using the average shares method. |
(c) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(g) | The expense ratio for the period reflects the reduction of certain expenses to maintain a certain minimum yield. |
See accompanying notes to the financial statements.
6
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Government Money Market Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Repurchase Agreements
The Fund may invest in repurchase agreements with financial institutions such as member banks of the Federal Reserve System or from registered broker/dealers that the adviser deems creditworthy under guidelines approved by the Board, subject to the seller’s agreement to repurchase such securities at a mutually agreed-upon date and price. The repurchase price generally equals the price paid by the Fund plus interest negotiated on the basis of current short-term rates. The seller under a repurchase agreement is required to maintain the value of collateral held pursuant to the agreement at not less than the repurchase price (including accrued interest). Securities subject to repurchase agreements are held by the Fund’s custodian, another qualified sub-custodian, or in the Federal Reserve book-entry system. Master Repurchase Agreements (“MRA”) permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset receivables under the MRA with collateral posted by the counterparty and create one net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund would recognize a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.
Distributions to Shareholders
Dividends from net investment income are declared daily and paid monthly from the Fund. The net realized gains, if any, are declared and paid at least annually by the Fund. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
7
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Advisors, LLC (“BlackRock Advisors”), BlackRock Advisors provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Government Money Market Fund | 0.35 | % | 0.87 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.34% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
The Manager, the Distributor and the Fund have entered into a written agreement to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily yield for the Fund of 0.00%. The Distributor may waive its Rule 12b-1 fees under this agreement. There is no guarantee the Fund will avoid a negative yield. Such amounts 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, 2022 are reflected on the Statement of Operations as “Expenses waived/reimbursed by the Manager for minimum daily yield.”
At June, 30, 2022, the reimbursements of minimum daily yield waivers subject to repayment by the Fund in subsequent years were as follows:
Expires 12/31/2023 | Expires 12/31/2024 | Expires 12/31/2025 | Total | |||||||||||||||||
AZL Government Money Market Fund | $ | 1,499,146 | $ | 2,758,972 | $ | 495,298 | $ | 4,753,416 |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
8
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
The Fund, which operates as a government money market fund, is eligible and has elected to use the amortized cost method of valuation pursuant to Rule 2a-7 under the 1940 Act. This involves valuing an instrument at its cost initially and thereafter assuming a constant accretion or amortization to maturity of any discount or premium, respectively, regardless of the impact of fluctuating interest rates on the market value of the instrument. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Fund would receive if it sold the investment.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
U.S. Government Agency Mortgages | $ | — | $ | 159,662,570 | $ | — | $ | 159,662,570 | ||||||||||||
U.S. Treasury Obligations | — | 112,245,815 | — | 112,245,815 | ||||||||||||||||
Repurchase Agreements | — | 242,000,000 | — | 242,000,000 | ||||||||||||||||
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Total Investment Securities | $ | — | $ | 513,908,385 | $ | — | $ | 513,908,385 | ||||||||||||
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5. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Repurchase Agreement Risk: The Fund may invest in repurchase agreements as a principal strategy. There is a potential for loss to the Fund if the seller defaults and the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities. It is possible the fair value of the collateral securities could decline in value during the period in which the Fund seeks to assert its rights.
6. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
7. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $555,920,994. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | — | ||
Unrealized (depreciation) | — | |||
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Net unrealized appreciation/(depreciation) | $ | — | ||
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9
AZL Government Money Market Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Government Money Market Fund | $ | 4,913 | $ | — | $ | 4,913 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Government Money Market Fund | $ | 8,999 | $ | — | $ | — | $ | — | $ | 8,999 |
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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 90% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
9. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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 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 each month on Form N-MFP. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov. The Fund makes portfolio holdings information available to shareholders on its website.
11
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® International Index Fund
Semi-Annual Report
June 30, 2022
(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 21 |
Statement Regarding the Trust’s Liquidity Risk Management Program 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 or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 809.30 | $ | 1.93 | 0.43 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 807.60 | $ | 3.05 | 0.68 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL International Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.66 | $ | 2.16 | 0.43 | % | ||||||||||||
AZL International Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.42 | $ | 3.41 | 0.68 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 17.4 | % | |||
Industrials | 14.6 | ||||
Health Care | 13.7 | ||||
Consumer Discretionary | 11.2 | ||||
Consumer Staples | 10.7 | ||||
Information Technology | 7.7 | ||||
Materials | 7.4 | ||||
Communication Services | 5.0 | ||||
Energy | 4.7 | ||||
Utilities | 3.5 | ||||
Real Estate | 2.8 | ||||
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Total Common Stocks and Preferred Stocks | 98.7 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 2.2 | ||||
Unaffiliated Investment Company | 0.1 | ||||
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Total Investment Securities | 101.0 | ||||
Net other assets (liabilities) | (1.0 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (98.4%): | ||||||||
Aerospace & Defense (1.3%): | ||||||||
55,997 | Airbus SE | $ | 5,497,439 | |||||
296,205 | BAE Systems plc | 2,995,349 | ||||||
2,600 | Dassault Aviation SA | 405,825 | ||||||
2,648 | Elbit Systems, Ltd. | 607,403 | ||||||
8,611 | Kongsberg Gruppen ASA | 309,956 | ||||||
5,176 | MTU Aero Engines AG | 942,065 | ||||||
811,907 | Rolls-Royce Holdings plc* | 820,955 | ||||||
32,758 | Safran SA | 3,276,554 | ||||||
151,200 | Singapore Technologies Engineering, Ltd. | 444,977 | ||||||
10,114 | Thales SA | 1,240,471 | ||||||
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16,540,994 | ||||||||
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Air Freight & Logistics (0.3%): | ||||||||
94,643 | Deutsche Post AG | 3,545,327 | ||||||
29,500 | SG Holdings Co., Ltd. | 498,133 | ||||||
30,300 | Yamato Holdings Co., Ltd. | 484,318 | ||||||
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4,527,778 | ||||||||
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Airlines (0.1%): | ||||||||
15,100 | ANA Holdings, Inc.* | 278,446 | ||||||
54,268 | Deutsche Lufthansa AG*^ | 316,467 | ||||||
15,670 | Japan Airlines Co., Ltd.* | 274,578 | ||||||
83,673 | Qantas Airways, Ltd.* | 258,338 | ||||||
132,250 | Singapore Airlines, Ltd.* | 486,275 | ||||||
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1,614,104 | ||||||||
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Auto Components (0.7%): | ||||||||
15,300 | Aisin Sieki Co., Ltd. | 474,110 | ||||||
53,700 | Bridgestone Corp.^ | 1,960,714 | ||||||
64,140 | Cie Generale des Etablissements Michelin SCA | 1,763,417 | ||||||
10,683 | Continental AG | 744,359 | ||||||
41,500 | Denso Corp. | 2,207,789 | ||||||
10,300 | Koito Manufacturing Co., Ltd. | 327,255 | ||||||
65,900 | Sumitomo Electric Industries, Ltd. | 728,926 | ||||||
14,300 | Toyota Industries Corp. | 886,518 | ||||||
21,158 | Valeo SA | 414,064 | ||||||
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9,507,152 | ||||||||
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Automobiles (2.8%): | ||||||||
31,903 | Bayerische Motoren Werke AG (BMW) | 2,455,770 | ||||||
76,265 | Daimler AG, Registered Shares | 4,412,818 | ||||||
11,968 | Ferrari NV | 2,207,075 | ||||||
155,500 | Honda Motor Co., Ltd. | 3,762,029 | ||||||
57,400 | Isuzu Motors, Ltd. | 632,948 | ||||||
55,200 | Mazda Motor Corp. | 452,101 | ||||||
225,300 | Nissan Motor Co., Ltd. | 878,283 | ||||||
17,987 | Renault SA* | 455,147 | ||||||
108,841 | Stellantis NV | 1,355,270 | ||||||
102,332 | Stellantis NV | 1,281,570 | ||||||
59,500 | Subaru Corp. | 1,058,644 | ||||||
36,100 | Suzuki Motor Corp. | 1,135,965 | ||||||
1,012,230 | Toyota Motor Corp. | 15,591,350 | ||||||
2,783 | Volkswagen AG | 507,113 | ||||||
57,386 | Volvo Car AB, Class B*^ | 381,215 | ||||||
29,100 | Yamaha Motor Co., Ltd. | 533,731 | ||||||
|
| |||||||
37,101,029 | ||||||||
|
| |||||||
Banks (8.8%): | ||||||||
39,378 | ABN AMRO Group NV | 442,652 | ||||||
269,268 | Australia & New Zealand Banking Group, Ltd. | 4,096,000 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
639,153 | Banco Bilbao Vizcaya Argentaria SA | $ | 2,900,497 | |||||
1,661,618 | Banco Santander SA | 4,685,015 | ||||||
114,343 | Bank Hapoalim BM | 961,693 | ||||||
143,079 | Bank Leumi Le-Israel BM | 1,281,328 | ||||||
1,608,313 | Barclays plc | 3,010,499 | ||||||
106,518 | BNP Paribas SA^ | 5,070,913 | ||||||
357,500 | BOC Hong Kong Holdings, Ltd. | 1,415,008 | ||||||
433,539 | CaixaBank SA | 1,508,479 | ||||||
50,300 | Chiba Bank, Ltd. (The) | 275,021 | ||||||
94,893 | Commerzbank AG* | 664,775 | ||||||
162,818 | Commonwealth Bank of Australia | 10,161,170 | ||||||
114,300 | Concordia Financial Group, Ltd. | 396,160 | ||||||
119,319 | Credit Agricole SA | 1,092,864 | ||||||
67,020 | Danske Bank A/S | 950,029 | ||||||
172,200 | DBS Group Holdings, Ltd. | 3,686,634 | ||||||
89,278 | DNB Bank ASA | 1,607,472 | ||||||
31,508 | Erste Group Bank AG | 800,233 | ||||||
58,168 | Finecobank Banca Fineco SpA^ | 701,100 | ||||||
74,400 | Hang Seng Bank, Ltd. | 1,314,571 | ||||||
1,931,458 | HSBC Holdings plc | 12,598,371 | ||||||
374,413 | ING Groep NV | 3,715,343 | ||||||
1,564,979 | Intesa Sanpaolo SpA | 2,942,041 | ||||||
117,795 | Isreal Discount Bank | 617,174 | ||||||
39,400 | Japan Post Bank Co., Ltd. | 306,494 | ||||||
24,035 | KBC Group NV | 1,349,957 | ||||||
6,745,798 | Lloyds Banking Group plc | 3,478,983 | ||||||
57,465 | Mediobanca SpA | 500,166 | ||||||
1,137,500 | Mitsubishi UFJ Financial Group, Inc. | 6,087,084 | ||||||
12,974 | Mizrahi Tefahot Bank, Ltd. | 431,998 | ||||||
232,063 | Mizuho Financial Group, Inc. | 2,639,239 | ||||||
307,894 | National Australia Bank, Ltd. | 5,821,618 | ||||||
542,583 | Natwest Group plc | 1,443,113 | ||||||
311,896 | Nordea Bank AB | 2,748,258 | ||||||
329,799 | Oversea-Chinese Banking Corp., Ltd. | 2,708,621 | ||||||
198,987 | Resona Holdings, Inc. | 745,589 | ||||||
40,300 | Shizuoka Bank, Ltd. (The) | 242,178 | ||||||
156,793 | Skandinaviska Enskilda Banken AB, Class A | 1,541,504 | ||||||
76,585 | Societe Generale | 1,679,384 | ||||||
245,055 | Standard Chartered plc | 1,847,360 | ||||||
123,669 | Sumitomo Mitsui Financial Group, Inc. | 3,673,387 | ||||||
32,503 | Sumitomo Mitsui Trust Holdings, Inc. | 1,001,574 | ||||||
136,334 | Svenska Handelsbanken AB, Class A | 1,166,739 | ||||||
84,980 | Swedbank AB, Class A | 1,075,747 | ||||||
203,682 | Unicredit SpA | 1,952,823 | ||||||
114,273 | United Overseas Bank, Ltd. | 2,163,893 | ||||||
333,022 | Westpac Banking Corp. | 4,483,942 | ||||||
|
| |||||||
115,984,693 | ||||||||
|
| |||||||
Beverages (2.2%): | ||||||||
82,971 | Anheuser-Busch InBev NV | 4,475,027 | ||||||
43,700 | Asahi Breweries, Ltd. | 1,432,646 | ||||||
159,300 | Budweiser Brewing Co. APAC, Ltd. | 477,808 | ||||||
9,701 | Carlsberg A/S, Class B | 1,237,667 | ||||||
19,778 | Coca-Cola European Partners plc | 1,015,106 | ||||||
18,675 | Coca-Cola HBC AG | 414,589 | ||||||
47,617 | David Campari-Milano NV | 502,695 | ||||||
220,442 | Diageo plc | 9,508,648 | ||||||
9,708 | Heineken Holding NV | 709,977 |
See accompanying notes to the financial statements.
2
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
24,673 | Heineken NV | $ | 2,259,272 | |||||
4,600 | ITO EN, Ltd. | 205,996 | ||||||
80,200 | Kirin Holdings Co., Ltd. | 1,264,157 | ||||||
19,868 | Pernod Ricard SA | 3,679,739 | ||||||
2,253 | Remy Cointreau SA | 396,711 | ||||||
12,700 | Suntory Beverage & Food, Ltd. | 480,452 | ||||||
69,034 | Treasury Wine Estates, Ltd. | 540,367 | ||||||
|
| |||||||
28,600,857 | ||||||||
|
| |||||||
Biotechnology (1.0%): | ||||||||
4,510 | Argenx SE* | 1,701,909 | ||||||
45,969 | CSL, Ltd. | 8,539,541 | ||||||
6,376 | Genmab A/S* | 2,068,527 | ||||||
26,848 | Grifols SA* | 507,765 | ||||||
16,266 | Swedish Orphan Biovitrum AB* | 352,233 | ||||||
|
| |||||||
13,169,975 | ||||||||
|
| |||||||
Building Products (1.0%): | ||||||||
18,700 | AGC, Inc.^ | 658,073 | ||||||
95,391 | ASSA Abloy AB, Class B | 2,042,470 | ||||||
47,806 | Cie de Saint-Gobain | 2,076,322 | ||||||
23,700 | Daikin Industries, Ltd. | 3,804,309 | ||||||
3,497 | Geberit AG, Registered Shares | 1,682,236 | ||||||
14,486 | Kingspan Group plc | 871,347 | ||||||
28,700 | Lixil Corp. | 537,939 | ||||||
145,943 | Nibe Industrier AB, Class B | 1,097,731 | ||||||
817 | ROCKWOOL A/S, Class B | 184,742 | ||||||
14,700 | TOTO, Ltd. | 486,003 | ||||||
160,000 | Xinyi Glass Holdings, Ltd. | 385,122 | ||||||
|
| |||||||
13,826,294 | ||||||||
|
| |||||||
Capital Markets (2.7%): | ||||||||
91,579 | 3i Group plc | 1,236,989 | ||||||
6,085 | Amundi SA | 336,793 | ||||||
18,856 | ASX, Ltd. | 1,063,950 | ||||||
247,697 | Credit Suisse Group AG | 1,410,613 | ||||||
136,800 | Daiwa Securities Group, Inc. | 611,375 | ||||||
195,137 | Deutsche Bank AG | 1,700,089 | ||||||
18,296 | Deutsche Boerse AG | 3,059,649 | ||||||
28,000 | EQT AB | 582,370 | ||||||
8,637 | Euronext NV | 707,557 | ||||||
5,295 | Futu Holdings, Ltd., ADR* | 276,452 | ||||||
32,892 | Hargreaves Lansdown plc | 315,723 | ||||||
115,093 | Hong Kong Exchanges & Clearing, Ltd. | 5,745,376 | ||||||
49,100 | Japan Exchange Group, Inc. | 709,216 | ||||||
20,509 | Julius Baer Group, Ltd. | 947,668 | ||||||
31,215 | London Stock Exchange Group plc | 2,901,226 | ||||||
35,098 | Macquarie Group, Ltd. | 3,988,132 | ||||||
280,300 | Nomura Holdings, Inc. | 1,025,373 | ||||||
2,198 | Partners Group Holding AG | 1,983,140 | ||||||
21,790 | SBI Holdings, Inc. | 426,792 | ||||||
13,061 | Schroders plc | 425,215 | ||||||
73,500 | Singapore Exchange, Ltd. | 501,150 | ||||||
52,207 | St. James Place plc | 701,539 | ||||||
337,815 | UBS Group AG | 5,453,916 | ||||||
|
| |||||||
36,110,303 | ||||||||
|
| |||||||
Chemicals (3.1%): | ||||||||
49,892 | Air Liquide SA | 6,742,534 | ||||||
17,296 | Akzo Nobel NV | 1,142,561 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
5,830 | Arkema SA | $ | 525,338 | |||||
121,500 | Asahi Kasei Corp. | 928,651 | ||||||
88,270 | BASF SE | 3,840,621 | ||||||
10,004 | Christian Hansen Holding A/S | 729,982 | ||||||
21,010 | Clariant AG* | 400,656 | ||||||
18,813 | Covestro AG | 650,111 | ||||||
13,801 | Croda International plc | 1,088,168 | ||||||
671 | EMS-Chemie Holding AG | 499,967 | ||||||
19,386 | Evonik Industries AG | 413,841 | ||||||
887 | Givaudan SA, Registered Shares^ | 3,135,339 | ||||||
64,507 | ICL Group, Ltd. | 589,511 | ||||||
17,673 | Johnson Matthey plc | 414,687 | ||||||
17,200 | JSR Corp. | 446,777 | ||||||
16,579 | Koninklijke DSM NV | 2,394,623 | ||||||
122,000 | Mitsubishi Chemical Holdings Corp. | 661,531 | ||||||
19,400 | Mitsui Chemicals, Inc. | 413,685 | ||||||
74,000 | Nippon Paint Holdings Co., Ltd.^ | 552,229 | ||||||
13,900 | Nippon Sanso Holdings Corp. | 221,803 | ||||||
12,000 | Nissan Chemical Corp. | 553,537 | ||||||
13,300 | Nitto Denko Corp. | 861,630 | ||||||
19,390 | Novozymes A/S, Class B | 1,167,806 | ||||||
10,146 | OCI NV | 334,515 | ||||||
40,418 | Orica, Ltd. | 439,049 | ||||||
35,500 | Shin-Etsu Chemical Co., Ltd. | 4,008,168 | ||||||
13,777 | Sika AG | 3,178,788 | ||||||
6,954 | Solvay SA | 564,094 | ||||||
138,500 | Sumitomo Chemical Co., Ltd. | 540,750 | ||||||
12,772 | Symrise AG | 1,389,774 | ||||||
133,000 | Toray Industries, Inc. | 746,820 | ||||||
23,300 | Tosoh Corp. | 289,622 | ||||||
19,106 | Umicore SA | 667,753 | ||||||
15,521 | Yara International ASA | 651,650 | ||||||
|
| |||||||
41,186,571 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.3%): | ||||||||
133,473 | Brambles, Ltd. | 985,728 | ||||||
22,100 | Dai Nippon Printing Co., Ltd. | 477,003 | ||||||
181,054 | Rentokil Initial plc | 1,046,283 | ||||||
20,500 | Secom Co., Ltd. | 1,267,394 | ||||||
32,576 | Securitas AB, Class B | 282,979 | ||||||
26,200 | TOPPAN, INC. | 438,106 | ||||||
|
| |||||||
4,497,493 | ||||||||
|
| |||||||
Communications Equipment (0.3%): | ||||||||
516,875 | Nokia OYJ | 2,407,354 | ||||||
281,773 | Telefonaktiebolaget LM Ericsson, Class B | 2,104,204 | ||||||
|
| |||||||
4,511,558 | ||||||||
|
| |||||||
Construction & Engineering (0.7%): | ||||||||
21,282 | ACS Actividades de Construccion y Servicios SA | 516,231 | ||||||
21,607 | Bouygues SA^ | 668,126 | ||||||
7,930 | Eiffage SA | 720,059 | ||||||
45,328 | Ferrovial SA | 1,155,718 | ||||||
42,800 | Kajima Corp. | 491,517 | ||||||
58,500 | Obayashi Corp. | 425,031 | ||||||
49,500 | Shimizu Corp. | 273,842 | ||||||
32,096 | Skanska AB, Class B | 492,766 | ||||||
17,800 | Taisei Corp. | 554,693 |
See accompanying notes to the financial statements.
3
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering, continued | ||||||||
50,638 | Vinci SA | $ | 4,548,694 | |||||
|
| |||||||
9,846,677 | ||||||||
|
| |||||||
Construction Materials (0.5%): | ||||||||
73,165 | CRH plc | 2,532,104 | ||||||
13,132 | HeidelbergCement AG | 630,745 | ||||||
53,383 | Holcim, Ltd. | 2,286,902 | ||||||
40,937 | James Hardie Industries SE | 896,479 | ||||||
|
| |||||||
6,346,230 | ||||||||
|
| |||||||
Consumer Finance (0.0%†): | ||||||||
— | Isracard, Ltd. | 1 | ||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
23,939 | Smurfit Kappa Group plc | 807,697 | ||||||
|
| |||||||
Distributors (0.0%†): | ||||||||
2,397 | D’ieteren Group | 351,117 | ||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
21,043 | IDP Education, Ltd. | 345,378 | ||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
3,632 | Eurazeo SE | 226,877 | ||||||
10,311 | EXOR NV | 647,050 | ||||||
9,992 | Groupe Bruxelles Lambert SA | 834,624 | ||||||
13,325 | Industrivarden AB, Class A | 300,336 | ||||||
13,871 | Industrivarden AB, Class C | 308,972 | ||||||
46,796 | Investor AB | 841,296 | ||||||
174,720 | Investor AB, Class B | 2,877,081 | ||||||
23,067 | Kinnevik AB, Class B* | 372,273 | ||||||
7,907 | L E Lundbergforetagen AB | 321,939 | ||||||
242,263 | M&G plc | 574,088 | ||||||
63,300 | Mitsubishi HC Capital, Inc. | 292,246 | ||||||
114,600 | ORIX Corp. | 1,924,094 | ||||||
1,465 | Sofina SA | 299,599 | ||||||
202,311 | Standard Life Aberdeen plc | 394,117 | ||||||
2,640 | Wendel^ | 223,119 | ||||||
|
| |||||||
10,437,711 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.1%): | ||||||||
669,143 | BT Group plc | 1,518,161 | ||||||
52,336 | Cellnex Telecom SAU | 2,038,529 | ||||||
310,440 | Deutsche Telekom AG | 6,162,802 | ||||||
13,416 | Elisa OYJ | 753,999 | ||||||
345,525 | HKT Trust & HKT, Ltd. | 464,304 | ||||||
34,963 | Infrastrutture Wireless Italiane SpA | 355,648 | ||||||
305,489 | Koninklijke KPN NV | 1,089,559 | ||||||
113,704 | Nippon Telegraph & Telephone Corp. | 3,265,174 | ||||||
187,082 | Orange SA | 2,199,740 | ||||||
15,181 | Proximus SADP | 223,789 | ||||||
807,800 | Singapore Telecommunications, Ltd. | 1,472,498 | ||||||
171,151 | Spark New Zealand, Ltd. | 512,813 | ||||||
2,410 | Swisscom AG | 1,334,210 | ||||||
1,036,625 | Telecom Italia SpA* | 271,580 | ||||||
87,057 | Telefonica Deutschland Holding AG | 250,001 | ||||||
511,949 | Telefonica SA | 2,608,919 | ||||||
67,343 | Telenor ASA | 897,482 | ||||||
255,818 | Telia Co AB | 980,669 | ||||||
402,715 | Telstra Corp., Ltd. | 1,069,461 | ||||||
9,884 | United Internet AG, Registered Shares | 282,011 | ||||||
|
| |||||||
27,751,349 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electric Utilities (1.9%): | ||||||||
2,377 | Acciona SA | $ | 439,191 | |||||
62,500 | Chubu Electric Power Co., Inc. | 629,440 | ||||||
65,570 | CK Infrastructure Holdings, Ltd. | 402,864 | ||||||
155,000 | CLP Holdings, Ltd. | 1,286,822 | ||||||
256,412 | EDP - Energias de Portugal SA | 1,198,220 | ||||||
50,910 | Electricite de France | 416,644 | ||||||
2,920 | Elia Group SA/NV^ | 414,155 | ||||||
29,444 | Endesa SA^ | 555,548 | ||||||
779,967 | Enel SpA | 4,286,394 | ||||||
43,380 | Fortum OYJ | 651,645 | ||||||
292,500 | HK Electric Investments, Ltd. | 268,433 | ||||||
551,616 | Iberdrola SA | 5,723,198 | ||||||
68,100 | Kansai Electric Power Co., Inc. (The) | 674,814 | ||||||
61,309 | Mercury NZ, Ltd. | 216,234 | ||||||
164,929 | Origin Energy, Ltd. | 656,774 | ||||||
18,338 | Orsted A/S | 1,917,831 | ||||||
131,500 | Power Assets Holdings, Ltd. | 828,292 | ||||||
41,252 | Red Electrica Corp SA | 780,918 | ||||||
100,812 | Scottish & Southern Energy plc | 1,992,723 | ||||||
135,086 | Terna SpA | 1,061,578 | ||||||
141,400 | Tokyo Electric Power Co. Holdings, Inc.* | 591,177 | ||||||
6,614 | Verbund AG, Class A | 647,405 | ||||||
|
| |||||||
25,640,300 | ||||||||
|
| |||||||
Electrical Equipment (1.6%): | ||||||||
156,410 | ABB, Ltd. | 4,180,879 | ||||||
11,800 | Fuji Electric Co., Ltd. | 489,455 | ||||||
25,388 | Legrand SA^ | 1,889,219 | ||||||
186,100 | Mitsubishi Electric Corp. | 1,992,243 | ||||||
43,000 | Nidec Corp. | 2,659,238 | ||||||
24,934 | Prysmian SpA | 688,006 | ||||||
51,700 | Schneider Electric SA | 6,123,933 | ||||||
38,275 | Siemens Energy AG | 561,234 | ||||||
22,086 | Siemens Gamesa Renewable Energy* | 416,904 | ||||||
97,485 | Vestas Wind Systems A/S | 2,066,192 | ||||||
|
| |||||||
21,067,303 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (1.4%): | ||||||||
10,300 | Azbil Corp. | 270,931 | ||||||
37,098 | Halma plc | 914,370 | ||||||
12,900 | Hamamatsu Photonics KK | 501,644 | ||||||
182,151 | Hexagon AB, Class B | 1,895,066 | ||||||
3,214 | Hirose Electric Co., Ltd. | 424,481 | ||||||
11,000 | Ibiden Co., Ltd. | 307,474 | ||||||
18,680 | Keyence Corp. | 6,393,791 | ||||||
30,600 | Kyocera Corp. | 1,638,150 | ||||||
55,100 | Murata Manufacturing Co., Ltd. | 2,984,683 | ||||||
17,100 | Omron Corp. | 869,719 | ||||||
22,900 | Shimadzu Corp. | 724,907 | ||||||
36,100 | TDK Corp. | 1,116,605 | ||||||
27,200 | Venture Corp., Ltd. | 326,138 | ||||||
21,900 | Yokogawa Electric Corp. | 359,353 | ||||||
|
| |||||||
18,727,312 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
44,339 | Tenaris SA | 569,560 | ||||||
|
| |||||||
Entertainment (1.0%): | ||||||||
82,040 | Bollore, Inc. | 382,678 | ||||||
15,700 | Capcom Co., Ltd. | 381,592 |
See accompanying notes to the financial statements.
4
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
61,516 | Embracer Group AB* | $ | 469,820 | |||||
5,980 | Koei Tecmo Holdings Co., Ltd. | 193,215 | ||||||
8,600 | Konami Holdings Corp. | 476,372 | ||||||
46,900 | Nexon Co., Ltd. | 961,076 | ||||||
10,600 | Nintendo Co., Ltd. | 4,581,915 | ||||||
34,528 | Sea, Ltd., ADR* | 2,308,542 | ||||||
8,000 | Square Enix Holdings Co., Ltd. | 354,642 | ||||||
10,900 | Toho Co., Ltd. | 394,354 | ||||||
8,761 | UbiSoft Entertainment SA* | 386,932 | ||||||
68,093 | Universal Music Group NV | 1,375,568 | ||||||
65,985 | Vivendi Universal SA | 673,319 | ||||||
|
| |||||||
12,940,025 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.3%): | ||||||||
334,683 | Ascendas Real Estate Investment Trust | 687,083 | ||||||
85,015 | British Land Co. plc | 463,041 | ||||||
481,113 | �� | CapitaLand Mall Trust | 752,225 | |||||
4,592 | Covivio | 257,192 | ||||||
206 | Daiwahouse Residential Investment Corp. | 467,035 | ||||||
102,333 | Dexus | 626,433 | ||||||
4,333 | Gecina SA | 407,562 | ||||||
394 | GLP J-REIT | 481,621 | ||||||
157,397 | Goodman Group | 1,935,814 | ||||||
181,051 | GPT Group | 526,664 | ||||||
675 | Japan Metropolitan Fund Invest | 526,163 | ||||||
116 | Japan Real Estate Investment Corp. | 533,622 | ||||||
20,015 | Klepierre | 385,411 | ||||||
67,234 | Land Securities Group plc | 543,762 | ||||||
197,300 | Link REIT (The) | 1,611,404 | ||||||
235,300 | Mapletree Commercial Trust | 310,281 | ||||||
323,434 | Mapletree Logistics Trust | 391,600 | ||||||
377,732 | Mirvac Group | 514,341 | ||||||
141 | Nippon Building Fund, Inc. | 701,676 | ||||||
212 | Nippon Prologis REIT, Inc. | 521,492 | ||||||
387 | Nomura Real Estate Master Fund, Inc. | 483,309 | ||||||
501,635 | Scentre Group | 895,595 | ||||||
114,179 | Segro plc | 1,357,521 | ||||||
223,911 | Stockland | 557,983 | ||||||
10,831 | Unibail-Rodamco-Westfield* | 552,681 | ||||||
351,082 | Vicinity Centres | 444,890 | ||||||
14,324 | Warehouses De Pauw CVA | 450,630 | ||||||
|
| |||||||
17,387,031 | ||||||||
|
| |||||||
Food & Staples Retailing (1.4%): | ||||||||
64,300 | AEON Co., Ltd. | 1,116,370 | ||||||
59,902 | Carrefour SA | 1,062,692 | ||||||
126,586 | Coles Group, Ltd. | 1,556,494 | ||||||
131,643 | Endeavour Group, Ltd. | 687,952 | ||||||
16,359 | HelloFresh SE* | 529,283 | ||||||
155,527 | J Sainsbury plc | 386,271 | ||||||
26,690 | Jeronimo Martins SGPS SA | 580,037 | ||||||
25,562 | Kesko Oyj, Class B | 603,355 | ||||||
13,900 | Kobe Bussan Co., Ltd. | 340,308 | ||||||
100,922 | Koninklijke Ahold Delhaize NV | 2,629,827 | ||||||
46,805 | Ocado Group plc* | 445,060 | ||||||
71,000 | Seven & I Holdings Co., Ltd. | 2,752,686 | ||||||
737,233 | Tesco plc | 2,292,661 | ||||||
9,400 | Welcia Holdings Co., Ltd. | 188,366 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing, continued | ||||||||
114,914 | Woolworths Group, Ltd. | $ | 2,822,289 | |||||
|
| |||||||
17,993,651 | ||||||||
|
| |||||||
Food Products (3.6%): | ||||||||
45,700 | Ajinomoto Co., Inc. | 1,112,245 | ||||||
33,925 | Associated British Foods plc | 655,712 | ||||||
343 | Barry Callebaut AG, Registered Shares | 768,321 | ||||||
10 | Chocoladefabriken Lindt & Spruengli AG | 1,048,668 | ||||||
62,641 | Danone SA | 3,519,852 | ||||||
7,602 | JDE Peet’s NV | 216,993 | ||||||
15,243 | Kerry Group plc, Class A | 1,459,993 | ||||||
13,900 | Kikkoman Corp. | 738,366 | ||||||
99 | Lindt & Spruengli AG | 1,007,100 | ||||||
11,652 | Meiji Holdings Co., Ltd. | 572,146 | ||||||
39,838 | Mowi ASA | 909,298 | ||||||
268,684 | Nestle SA | 31,527,275 | ||||||
19,545 | Nisshin Seifun Group, Inc. | 228,866 | ||||||
5,900 | Nissin Foods Holdings Co., Ltd. | 407,377 | ||||||
78,138 | Orkla ASA, Class A | 625,721 | ||||||
5,672 | Salmar ASA | 400,358 | ||||||
769,797 | WH Group, Ltd. | 595,600 | ||||||
174,600 | Wilmar International, Ltd. | 508,131 | ||||||
12,100 | Yakult Honsha Co., Ltd. | 698,640 | ||||||
|
| |||||||
47,000,662 | ||||||||
|
| |||||||
Gas Utilities (0.4%): | ||||||||
112,935 | APA Group | 877,774 | ||||||
22,895 | Enagas SA | 505,646 | ||||||
1,061,135 | Hong Kong & China Gas Co., Ltd. | 1,143,198 | ||||||
14,006 | Naturgy Energy Group SA | 403,378 | ||||||
34,500 | Osaka Gas Co., Ltd. | 662,707 | ||||||
195,393 | Snam SpA | 1,025,398 | ||||||
34,900 | Tokyo Gas Co., Ltd. | 722,167 | ||||||
|
| |||||||
5,340,268 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (1.9%): | ||||||||
47,908 | Alcon, Inc. | 3,347,106 | ||||||
17,500 | Asahi Intecc Co., Ltd. | 263,867 | ||||||
4,310 | BioMerieux | 420,919 | ||||||
3,661 | Carl Zeiss Meditec AG | 437,117 | ||||||
6,255 | Cochlear, Ltd. | 858,276 | ||||||
11,276 | Coloplast A/S, Class B | 1,288,103 | ||||||
10,100 | Demant A/S* | 379,192 | ||||||
2,417 | DiaSorin SpA | 317,420 | ||||||
56,022 | Fisher & Paykel Healthcare Corp., Ltd. | 697,641 | ||||||
23,058 | Getinge AB, Class B | 533,577 | ||||||
12,113 | GN Store Nord A/S | 427,364 | ||||||
35,600 | Hoya Corp. | 3,043,711 | ||||||
85,120 | Koninklijke Philips NV | 1,846,624 | ||||||
118,900 | Olympus Corp. | 2,391,523 | ||||||
2,202 | Sartorius AG | 769,063 | ||||||
26,574 | Siemens Healthineers AG | 1,350,655 | ||||||
81,642 | Smith & Nephew plc | 1,141,252 | ||||||
5,061 | Sonova Holding AG | 1,612,040 | ||||||
10,733 | Straumann Holding AG, Class R | 1,291,306 | ||||||
15,500 | Sysmex Corp. | 934,076 | ||||||
62,500 | Terumo Corp. | 1,884,973 | ||||||
|
| |||||||
25,235,805 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (0.3%): | ||||||||
12,628 | Amplifon SpA | $ | 388,712 | |||||
19,977 | Fresenius Medical Care AG & Co., KGaA | 997,591 | ||||||
39,793 | Fresenius SE & Co. KGaA | 1,205,565 | ||||||
17,176 | Ramsay Health Care, Ltd. | 868,453 | ||||||
44,295 | Sonic Healthcare, Ltd. | 1,009,585 | ||||||
|
| |||||||
4,469,906 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
42,200 | M3, Inc. | 1,214,311 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.4%): | ||||||||
17,675 | Accor SA* | 485,355 | ||||||
57,102 | Aristocrat Leisure, Ltd. | 1,355,845 | ||||||
170,440 | Compass Group plc | 3,488,799 | ||||||
5,969 | Domino’s Pizza Enterprises, Ltd. | 279,875 | ||||||
57,078 | Entain plc* | 865,963 | ||||||
17,608 | Evolution AB | 1,604,063 | ||||||
16,312 | Flutter Entertainment plc* | 1,651,142 | ||||||
209,000 | Galaxy Entertainment Group, Ltd. | 1,250,699 | ||||||
516,457 | Genting Singapore, Ltd. | 268,138 | ||||||
17,748 | InterContinental Hotels Group plc | 940,783 | ||||||
9,051 | La Francaise des Jeux SAEM | 315,271 | ||||||
216,784 | Lottery Corp., Ltd. (The)* | 676,202 | ||||||
7,029 | McDonald’s Holdings Co., Ltd. | 255,934 | ||||||
19,200 | Oriental Land Co., Ltd. | 2,674,331 | ||||||
212,332 | Sands China, Ltd.* | 518,499 | ||||||
8,312 | Sodexo SA | 589,726 | ||||||
19,102 | Whitbread plc | 576,990 | ||||||
|
| |||||||
17,797,615 | ||||||||
|
| |||||||
Household Durables (1.3%): | ||||||||
94,382 | Barratt Developments plc | 526,009 | ||||||
10,916 | Berkeley Group Holdings plc* | 495,207 | ||||||
23,465 | Electrolux AB, Class B | 316,226 | ||||||
16,200 | Iida Group Holdings Co., Ltd. | 249,567 | ||||||
8,300 | Open House Co., Ltd. | 330,641 | ||||||
215,100 | Panasonic Holdings Corp. | 1,740,320 | ||||||
30,952 | Persimmon plc | 702,487 | ||||||
2,415 | SEB SA | 232,965 | ||||||
34,500 | Sekisui Chemical Co., Ltd. | 472,674 | ||||||
59,900 | Sekisui House, Ltd. | 1,048,502 | ||||||
16,000 | Sharp Corp. | 123,851 | ||||||
120,400 | Sony Group Corp. | 9,840,998 | ||||||
351,444 | Taylor Wimpey plc | 499,493 | ||||||
|
| |||||||
16,578,940 | ||||||||
|
| |||||||
Household Products (0.6%): | ||||||||
57,669 | Essity AB, Class B | 1,506,485 | ||||||
9,738 | Henkel AG & Co. KGaA | 595,864 | ||||||
68,064 | Reckitt Benckiser Group plc | 5,111,486 | ||||||
37,800 | Unicharm Corp. | 1,265,748 | ||||||
|
| |||||||
8,479,583 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
27,555 | EDP Renovaveis SA | 650,998 | ||||||
123,351 | Meridian Energy, Ltd. | 359,863 | ||||||
8,605 | Uniper SE | 127,673 | ||||||
|
| |||||||
1,138,534 | ||||||||
|
| |||||||
Industrial Conglomerates (1.5%): | ||||||||
256,744 | CK Hutchison Holdings, Ltd. | 1,746,108 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Industrial Conglomerates, continued | ||||||||
9,292 | DCC plc | $ | 580,510 | |||||
91,820 | Hitachi, Ltd. | 4,351,185 | ||||||
15,609 | Investment AB Latour, Class B^ | 309,197 | ||||||
21,000 | Jardine Matheson Holdings, Ltd. | 1,105,279 | ||||||
136,400 | Keppel Corp., Ltd. | 637,856 | ||||||
23,499 | Lifco AB, Class B | 378,051 | ||||||
417,063 | Melrose Industries plc | 761,407 | ||||||
4,194 | Rheinmetall AG | 968,326 | ||||||
73,264 | Siemens AG | 7,455,573 | ||||||
37,280 | Smiths Group plc | 635,632 | ||||||
36,300 | Toshiba Corp.^ | 1,476,597 | ||||||
|
| |||||||
20,405,721 | ||||||||
|
| |||||||
Insurance (5.2%): | ||||||||
18,070 | Admiral Group plc | 493,799 | ||||||
171,254 | Aegon NV | 746,314 | ||||||
14,998 | Ageas NV | 660,220 | ||||||
1,160,000 | AIA Group, Ltd. | 12,741,940 | ||||||
39,084 | Allianz SE+ | 7,459,841 | ||||||
106,939 | Assicurazioni Generali SpA | 1,712,561 | ||||||
264,715 | Aviva plc | 1,293,038 | ||||||
186,508 | AXA SA | 4,237,760 | ||||||
4,338 | Baloise Holding AG | 712,184 | ||||||
94,400 | Dai-ichi Life Holdings, Inc. | 1,742,953 | ||||||
19,206 | Gjensidige Forsikring ASA | 390,235 | ||||||
5,846 | Hannover Rueck SE | 847,979 | ||||||
229,877 | Insurance Australia Group, Ltd. | 691,986 | ||||||
229,200 | Japan Post Holdings Co., Ltd. | 1,637,839 | ||||||
19,500 | Japan Post Insurance Co., Ltd. | 312,127 | ||||||
575,365 | Legal & General Group plc | 1,679,250 | ||||||
266,611 | Medibank Private, Ltd. | 598,246 | ||||||
43,611 | MS&AD Insurance Group Holdings, Inc. | 1,337,256 | ||||||
13,395 | Muenchener Rueckversicherungs-Gesellschaft AG | 3,147,360 | ||||||
27,551 | NN Group NV | 1,259,915 | ||||||
65,334 | Phoenix Group Holdings plc | 469,885 | ||||||
49,390 | Poste Italiane SpA | 463,926 | ||||||
261,270 | Prudential plc | 3,249,380 | ||||||
143,233 | QBE Insurance Group, Ltd. | 1,201,638 | ||||||
46,866 | Sampo Oyj, Class A | 2,040,601 | ||||||
29,325 | Sompo Holdings, Inc. | 1,293,940 | ||||||
123,286 | Suncorp Group, Ltd. | 934,627 | ||||||
3,030 | Swiss Life Holding AG | 1,477,468 | ||||||
28,795 | Swiss Re AG | 2,233,401 | ||||||
50,836 | T&D Holdings, Inc. | 607,669 | ||||||
59,600 | Tokio Marine Holdings, Inc. | 3,473,675 | ||||||
33,997 | Tryg A/S | 763,991 | ||||||
14,351 | Zurich Insurance Group AG | 6,247,310 | ||||||
|
| |||||||
68,160,314 | ||||||||
|
| |||||||
Interactive Media & Services (0.2%): | ||||||||
25,768 | Adevinta ASA* | 187,647 | ||||||
91,858 | Auto Trader Group plc | 621,058 | ||||||
13,000 | Kakaku.com, Inc. | 214,705 | ||||||
5,498 | REA Group, Ltd. | 423,751 | ||||||
7,342 | Scout24 AG | 377,166 | ||||||
33,025 | Seek, Ltd. | 479,127 | ||||||
259,100 | Z Holdings Corp. | 758,129 | ||||||
|
| |||||||
3,061,583 | ||||||||
|
|
See accompanying notes to the financial statements.
6
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail (0.6%): | ||||||||
16,337 | Delivery Hero SE* | $ | 612,310 | |||||
17,726 | Just Eat Takeaway* | 283,399 | ||||||
78,565 | Prosus NV | 5,191,488 | ||||||
80,900 | Rakuten, Inc. | 365,344 | ||||||
21,658 | Zalando SE* | 566,380 | ||||||
13,200 | ZOZO, Inc. | 238,160 | ||||||
|
| |||||||
7,257,081 | ||||||||
|
| |||||||
IT Services (1.4%): | ||||||||
2,087 | Adyen NV* | 3,067,487 | ||||||
43,031 | Amadeus IT Group SA* | 2,417,324 | ||||||
8,520 | Bechtle AG | 348,316 | ||||||
15,564 | Capgemini SA | 2,691,084 | ||||||
52,517 | Computershare, Ltd. | 893,673 | ||||||
24,045 | Edenred | 1,139,222 | ||||||
18,800 | Fujitsu, Ltd. | 2,353,583 | ||||||
3,900 | GMO Payment Gateway, Inc. | 274,980 | ||||||
9,500 | Itochu Techno-Solutions Corp. | 231,672 | ||||||
45,718 | Nexi SpA* | 380,647 | ||||||
32,038 | Nomura Research Institute, Ltd. | 853,346 | ||||||
61,400 | NTT Data Corp. | 843,226 | ||||||
6,800 | OBIC Co., Ltd. | 962,773 | ||||||
10,700 | Otsuka Corp. | 316,131 | ||||||
13,500 | SCSK Corp. | 227,359 | ||||||
20,800 | TIS, Inc. | 545,483 | ||||||
5,789 | Wix.com, Ltd.* | 379,469 | ||||||
21,734 | Worldline SA* | 803,888 | ||||||
|
| |||||||
18,729,663 | ||||||||
|
| |||||||
Leisure Products (0.2%): | ||||||||
18,600 | Bandai Namco Holdings, Inc. | 1,314,331 | ||||||
7,000 | Shimano, Inc. | 1,184,284 | ||||||
13,900 | Yamaha Corp. | 572,224 | ||||||
|
| |||||||
3,070,839 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.5%): | ||||||||
3,125 | Bachem Holding AG, Registered B | 217,246 | ||||||
12,445 | Eurofins Scientific SE | 983,709 | ||||||
7,162 | Lonza Group AG | 3,819,550 | ||||||
22,367 | Qiagen NV* | 1,050,268 | ||||||
2,697 | Sartorius Stedim Biotech | 853,740 | ||||||
|
| |||||||
6,924,513 | ||||||||
|
| |||||||
Machinery (2.7%): | ||||||||
28,057 | Alfa Laval AB | 677,451 | ||||||
29,752 | Alstom SA^ | 680,938 | ||||||
257,200 | Atlas Copco AB, Class A* | 2,408,051 | ||||||
149,604 | Atlas Copco AB, Class B* | 1,253,687 | ||||||
96,451 | CNH Industrial NV | 1,119,288 | ||||||
9,400 | Daifuku Co., Ltd. | 538,446 | ||||||
43,588 | Daimler Truck Holding AG* | 1,137,436 | ||||||
61,564 | Epiroc AB, Class A | 952,133 | ||||||
37,307 | Epiroc AB, Class B | 504,844 | ||||||
18,500 | FANUC Corp. | 2,900,170 | ||||||
14,256 | GEA Group AG | 491,204 | ||||||
10,100 | Hitachi Construction Machinery Co., Ltd. | 223,956 | ||||||
11,400 | Hoshizaki Corp. | 340,134 | ||||||
41,082 | Husqvarna AB, Class B | 302,487 | ||||||
7,507 | Kion Group AG | 311,304 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
6,939 | Knorr-Bremse AG | $ | 395,832 | |||||
89,000 | Komatsu, Ltd. | 1,981,519 | ||||||
32,937 | Kone Oyj, Class B | 1,574,724 | ||||||
4,665 | Kornit Digital, Ltd.* | 147,880 | ||||||
98,900 | Kubota Corp.^ | 1,479,402 | ||||||
9,900 | Kurita Water Industries, Ltd. | 360,149 | ||||||
20,900 | Makita Corp. | 521,602 | ||||||
34,600 | MINEBEA MITSUMI, Inc. | 590,017 | ||||||
27,700 | Misumi Group, Inc. | 584,699 | ||||||
30,300 | Mitsubishi Heavy Industries, Ltd. | 1,060,713 | ||||||
25,300 | NGK Insulators, Ltd. | 341,221 | ||||||
533 | Rational AG | 309,869 | ||||||
102,678 | Sandvik AB | 1,667,798 | ||||||
3,907 | Schindler Holding AG | 713,340 | ||||||
2,261 | Schindler Holding AG, Registered Shares | 406,941 | ||||||
36,282 | SKF AB, Class B | 534,838 | ||||||
5,400 | SMC Corp. | 2,410,031 | ||||||
6,679 | Spirax-Sarco Engineering plc | 803,731 | ||||||
128,000 | Techtronic Industries Co., Ltd. | 1,338,216 | ||||||
2,473 | VAT Group AG | 590,639 | ||||||
18,388 | Volvo AB, Class A | 296,359 | ||||||
145,321 | Volvo AB, Class B | 2,253,791 | ||||||
44,492 | Wartsila Oyj Abp, Class B | 346,793 | ||||||
23,300 | Yaskawa Electric Corp. | 751,581 | ||||||
|
| |||||||
35,303,214 | ||||||||
|
| |||||||
Marine (0.4%): | ||||||||
299 | A.P. Moeller - Maersk A/S, Class A | 693,393 | ||||||
515 | A.P. Moeller - Maersk A/S, Class B | 1,209,782 | ||||||
5,326 | Kuehne + Nagel International AG | 1,261,155 | ||||||
33,300 | Mitsui O.S.K. Lines, Ltd. | 764,912 | ||||||
14,900 | Nippon Yusen KK | 1,022,297 | ||||||
138,000 | SITC International Holdings Co., Ltd. | 391,027 | ||||||
8,076 | ZIM Integrated Shipping Services, Ltd.^ | 381,430 | ||||||
|
| |||||||
5,723,996 | ||||||||
|
| |||||||
Media (0.4%): | ||||||||
42,100 | Cyberagent, Inc. | 419,729 | ||||||
20,777 | Dentsu Group, Inc. | 624,610 | ||||||
22,700 | Hakuhodo DY Holdings, Inc. | 208,544 | ||||||
144,535 | Informa plc* | 931,297 | ||||||
70,044 | Pearson plc | 639,664 | ||||||
21,978 | Publicis Groupe SA | 1,084,869 | ||||||
109,537 | WPP plc | 1,100,576 | ||||||
|
| |||||||
5,009,289 | ||||||||
|
| |||||||
Metals & Mining (3.4%): | ||||||||
120,434 | Anglo American plc | 4,299,353 | ||||||
37,468 | Antofagasta plc | 526,770 | ||||||
58,702 | ArcelorMittal SA | 1,332,728 | ||||||
274,831 | BHP Group, Ltd. | 7,914,113 | ||||||
208,354 | BHP Group, Ltd. | 5,825,375 | ||||||
46,710 | BlueScope Steel, Ltd. | 512,338 | ||||||
26,418 | Boliden AB | 840,751 | ||||||
182,201 | Evolution Mining, Ltd. | 292,982 | ||||||
160,558 | Fortescue Metals Group, Ltd. | 1,974,508 | ||||||
947,005 | Glencore plc | 5,130,823 | ||||||
18,700 | Hitachi Metals, Ltd.* | 282,800 | ||||||
47,600 | JFE Holdings, Inc. | 500,762 |
See accompanying notes to the financial statements.
7
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
16,517 | Mineral Resources, Ltd. | $ | 558,735 | |||||
87,128 | Newcrest Mining, Ltd. | 1,238,687 | ||||||
77,748 | Nippon Steel Corp. | 1,085,330 | ||||||
129,638 | Norsk Hydro ASA | 731,131 | ||||||
107,364 | Northern Star Resources, Ltd. | 495,007 | ||||||
107,208 | Rio Tinto plc | 6,409,417 | ||||||
35,485 | Rio Tinto, Ltd. | 2,541,485 | ||||||
436,102 | South32, Ltd. | 1,203,597 | ||||||
23,700 | Sumitomo Metal & Mining Co., Ltd. | 742,824 | ||||||
11,188 | Voestalpine AG | 238,046 | ||||||
|
| |||||||
44,677,562 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
13,014 | Next plc | 929,022 | ||||||
35,600 | Pan Pacific International Holdings Corp. | 568,497 | ||||||
107,361 | Wesfarmers, Ltd. | 3,106,805 | ||||||
|
| |||||||
4,604,324 | ||||||||
|
| |||||||
Multi-Utilities (0.9%): | ||||||||
213,698 | E.ON SE | 1,792,664 | ||||||
172,850 | Engie Group^ | 2,005,883 | ||||||
345,691 | National Grid plc | 4,429,369 | ||||||
61,020 | RWE AG | 2,248,634 | ||||||
64,376 | Veolia Environnement SA* | 1,592,429 | ||||||
|
| |||||||
12,068,979 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.7%): | ||||||||
30,169 | Aker BP ASA^ | 1,042,983 | ||||||
21,748 | Ampol, Ltd. | 510,980 | ||||||
1,861,943 | BP plc | 8,768,049 | ||||||
295,920 | ENEOS Holdings, Inc. | 1,117,261 | ||||||
239,111 | ENI SpA | 2,840,182 | ||||||
92,941 | Equinor ASA | 3,234,437 | ||||||
52,149 | Galp Energia SGPS SA | 611,206 | ||||||
20,687 | Idemitsu Kosan Co., Ltd. | 496,995 | ||||||
98,000 | INPEX Corp. | 1,057,828 | ||||||
40,565 | Neste Oyj | 1,797,150 | ||||||
14,019 | OMV AG | �� | 658,267 | |||||
136,437 | Repsol SA^ | 2,008,729 | ||||||
312,977 | Santos, Ltd. | 1,595,187 | ||||||
726,208 | Shell PLC | 18,947,523 | ||||||
236,370 | TotalEnergies SE | 12,457,754 | ||||||
21,943 | Washington H. Soul Pattinson & Co., Ltd. | 356,649 | ||||||
37,649 | Woodside Energy Group, Ltd. | 797,308 | ||||||
142,512 | Woodside Energy Group, Ltd. | 3,120,187 | ||||||
|
| |||||||
61,418,675 | ||||||||
|
| |||||||
Paper & Forest Products (0.4%): | ||||||||
9,034 | Holmen AB, B Shares | 366,955 | ||||||
47,327 | Mondi plc | 839,409 | ||||||
79,100 | Oji Holdings Corp. | 342,990 | ||||||
52,552 | Stora Enso Oyj, Class R | 825,010 | ||||||
58,252 | Svenska Cellulosa AB SCA, Class B | 871,399 | ||||||
50,962 | UPM-Kymmene Oyj | 1,558,647 | ||||||
|
| |||||||
4,804,410 | ||||||||
|
| |||||||
Personal Products (1.8%): | ||||||||
9,702 | Beiersdorf AG | 990,913 | ||||||
45,200 | Kao Corp. | 1,824,389 | ||||||
5,200 | Kobayashi Pharmaceutical Co., Ltd. | 320,663 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Personal Products, continued | ||||||||
3,000 | Kose Corp. | $ | 273,202 | |||||
22,997 | L’Oreal SA | 7,944,504 | ||||||
38,600 | Shiseido Co., Ltd. | 1,551,061 | ||||||
244,054 | Unilever plc | 11,106,020 | ||||||
|
| |||||||
24,010,752 | ||||||||
|
| |||||||
Pharmaceuticals (9.8%): | ||||||||
178,400 | Astellas Pharma, Inc. | 2,779,998 | ||||||
147,888 | AstraZeneca plc | 19,382,119 | ||||||
93,751 | Bayer AG, Registered Shares | 5,569,282 | ||||||
64,900 | Chugai Pharmaceutical Co., Ltd.^ | 1,661,122 | ||||||
166,800 | Daiichi Sankyo Co., Ltd. | 4,211,284 | ||||||
24,300 | Eisai Co., Ltd. | 1,026,175 | ||||||
486,195 | GSK plc | 10,452,583 | ||||||
15,559 | Hikma Pharmaceuticals plc | 306,322 | ||||||
3,643 | Ipsen SA | 343,873 | ||||||
24,800 | Kyowa Kirin Co., Ltd. | 557,942 | ||||||
12,314 | Merck KGaA | 2,078,046 | ||||||
4,100 | Nippon Shinyaku Co., Ltd. | 249,516 | ||||||
209,123 | Novartis AG, Registered Shares | 17,692,890 | ||||||
160,727 | Novo Nordisk A/S, Class B | 17,842,201 | ||||||
35,400 | Ono Pharmaceutical Co., Ltd. | 908,943 | ||||||
10,166 | Orion Oyj, Class B | 454,011 | ||||||
38,200 | Otsuka Holdings Co., Ltd. | 1,357,410 | ||||||
10,485 | Recordati SpA | 458,075 | ||||||
2,569 | Roche Holding AG | 992,061 | ||||||
67,058 | Roche Holding AG | 22,389,333 | ||||||
108,376 | Sanofi | 10,958,035 | ||||||
25,000 | Shionogi & Co., Ltd. | 1,263,966 | ||||||
144,773 | Takeda Pharmacuetical Co., Ltd. | 4,069,093 | ||||||
105,678 | Teva Pharmaceutical Industries, Ltd., ADR* | 794,699 | ||||||
12,344 | UCB SA | 1,045,333 | ||||||
4,200 | Vifor Pharma AG | 728,256 | ||||||
|
| |||||||
129,572,568 | ||||||||
|
| |||||||
Professional Services (1.6%): | ||||||||
14,494 | Adecco Group AG | 493,108 | ||||||
28,499 | Bureau Veritas SA | 730,583 | ||||||
87,157 | Experian plc | 2,554,578 | ||||||
15,653 | Intertek Group plc | 801,962 | ||||||
24,900 | Nihon M&A Center, Inc. | 265,276 | ||||||
16,700 | Persol Holdings Co., Ltd. | 304,012 | ||||||
12,440 | Randstad NV | 606,574 | ||||||
138,800 | Recruit Holdings Co., Ltd. | 4,093,731 | ||||||
184,304 | RELX plc | 4,976,092 | ||||||
614 | SGS SA, Registered Shares | 1,406,705 | ||||||
5,692 | Teleperformance | 1,750,785 | ||||||
25,448 | Wolters Kluwer NV | 2,475,269 | ||||||
|
| |||||||
20,458,675 | ||||||||
|
| |||||||
Real Estate Management & Development (1.5%): | ||||||||
90,617 | Aroundtown SA^ | 288,091 | ||||||
4,494 | Azrieli Group | 316,539 | ||||||
74,028 | BGP Holdings plc*(a) | — | ||||||
243,900 | Capitaland Investment, Ltd. | 671,727 | ||||||
33,900 | City Developments, Ltd. | 199,089 | ||||||
193,744 | CK Asset Holdings, Ltd. | 1,372,382 | ||||||
6,200 | Daito Trust Construction Co., Ltd. | 534,750 | ||||||
56,100 | Daiwa House Industry Co., Ltd. | 1,308,599 |
See accompanying notes to the financial statements.
8
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development, continued | ||||||||
196,400 | ESR Cayman, Ltd.* | $ | 531,547 | |||||
61,620 | Fastighets AB Balder, B Shares* | 295,644 | ||||||
206,000 | Hang Lung Properties, Ltd. | 390,997 | ||||||
132,956 | Henderson Land Development Co., Ltd. | 500,452 | ||||||
109,100 | Hongkong Land Holdings, Ltd. | 548,615 | ||||||
38,200 | Hulic Co., Ltd. | 295,920 | ||||||
6,876 | LEG Immobilien SE | 569,957 | ||||||
72,800 | Lend Lease Group | 457,949 | ||||||
112,400 | Mitsubishi Estate Co., Ltd. | 1,632,456 | ||||||
87,800 | Mitsui Fudosan Co., Ltd. | 1,889,648 | ||||||
138,655 | New World Development Co., Ltd. | 500,507 | ||||||
12,300 | Nomura Real Estate Holdings, Inc. | 301,679 | ||||||
16,235 | Sagax AB, Class B | 299,990 | ||||||
298,601 | Sino Land Co., Ltd. | 440,988 | ||||||
29,500 | Sumitomo Realty & Development Co., Ltd. | 779,822 | ||||||
139,500 | Sun Hung Kai Properties, Ltd. | 1,650,690 | ||||||
41,964 | Swire Pacific, Ltd., Class A | 252,158 | ||||||
125,200 | Swire Properties, Ltd. | 311,265 | ||||||
7,294 | Swiss Prime Site AG | 640,243 | ||||||
36,896 | UOL Group, Ltd. | 195,636 | ||||||
67,308 | Vonovia SE | 2,073,962 | ||||||
158,300 | Wharf Real Estate Investment Co., Ltd. | 754,703 | ||||||
|
| |||||||
20,006,005 | ||||||||
|
| |||||||
Road & Rail (0.9%): | ||||||||
165,259 | Aurizon Holdings, Ltd. | 434,190 | ||||||
13,700 | Central Japan Railway Co. | 1,581,811 | ||||||
18,022 | DSV A/S | 2,523,824 | ||||||
28,713 | East Japan Railway Co. | 1,469,332 | ||||||
105,487 | Grab Holdings, Ltd.*^ | 266,882 | ||||||
21,100 | Hankyu Hanshin Holdings, Inc. | 575,887 | ||||||
10,000 | Keio Corp. | 358,150 | ||||||
11,300 | Keisei Electric Railway Co., Ltd. | 311,774 | ||||||
16,600 | Kintetsu Group Holdings Co., Ltd. | 516,602 | ||||||
147,994 | MTR Corp., Ltd. | 773,473 | ||||||
6,800 | Nippon Express Holdings Co., Ltd. | 369,665 | ||||||
28,800 | Odakyu Electric Railway Co., Ltd. | 387,758 | ||||||
16,900 | Tobu Railway Co., Ltd. | 386,510 | ||||||
46,600 | Tokyu Corp. | 549,268 | ||||||
21,900 | West Japan Railway Co. | 806,250 | ||||||
|
| |||||||
11,311,376 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.6%): | ||||||||
17,600 | Advantest Corp. | 935,304 | ||||||
4,479 | ASM International NV | 1,130,953 | ||||||
38,797 | ASML Holding NV | 18,721,847 | ||||||
2,700 | Disco Corp. | 636,125 | ||||||
123,083 | Infineon Technologies AG | 2,977,600 | ||||||
7,400 | Lasertec Corp. | 873,865 | ||||||
114,000 | Renesas Electronics Corp.* | 1,028,648 | ||||||
8,400 | ROHM Co., Ltd. | 581,809 | ||||||
65,181 | STMicroelectronics NV | 2,072,004 | ||||||
33,500 | SUMCO Corp. | 431,134 | ||||||
14,300 | Tokyo Electron, Ltd. | 4,639,070 | ||||||
10,504 | Tower Semiconductor, Ltd.* | 491,093 | ||||||
|
| |||||||
34,519,452 | ||||||||
|
| |||||||
Software (1.4%): | ||||||||
12,426 | AVEVA Group plc | 339,495 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
9,683 | Check Point Software Technologies, Ltd.* | $ | 1,179,196 | |||||
3,816 | CyberArk Software, Ltd.* | 488,295 | ||||||
63,897 | Dassault Systemes SE | 2,367,257 | ||||||
5,434 | Nemetschek SE | 328,864 | ||||||
5,945 | Nice, Ltd.* | 1,146,465 | ||||||
3,700 | Oracle Corp. | 213,716 | ||||||
96,733 | Sage Group plc (The) | 748,022 | ||||||
99,424 | SAP SE | 9,056,501 | ||||||
52,620 | Sinch AB* | 170,718 | ||||||
6,251 | Temenos AG | 533,586 | ||||||
12,600 | Trend Micro, Inc. | 613,402 | ||||||
14,383 | WiseTech Global, Ltd. | 372,989 | ||||||
12,735 | Xero, Ltd.* | 677,438 | ||||||
|
| |||||||
18,235,944 | ||||||||
|
| |||||||
Specialty Retail (0.7%): | ||||||||
187,800 | Chow Tai Fook Jewellery Group, Ltd. | 353,362 | ||||||
5,500 | Fast Retailing Co., Ltd. | 2,876,593 | ||||||
66,596 | Hennes & Mauritz AB, Class B^ | 796,630 | ||||||
2,000 | Hikari Tsushin, Inc.^ | 205,207 | ||||||
105,423 | Industria de Diseno Textil SA | 2,387,221 | ||||||
250,320 | JD Sports Fashion plc* | 351,997 | ||||||
200,910 | Kingfisher plc | 597,432 | ||||||
7,700 | Nitori Co., Ltd. | 731,098 | ||||||
20,700 | USS Co., Ltd. | 357,874 | ||||||
|
| |||||||
8,657,414 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
22,600 | Brother Industries, Ltd. | 397,693 | ||||||
94,100 | Canon, Inc.^ | 2,141,087 | ||||||
35,000 | FUJIFILM Holdings Corp. | 1,879,668 | ||||||
16,980 | Logitech International SA, Class R | 884,144 | ||||||
23,500 | NEC Corp. | 913,728 | ||||||
52,700 | Ricoh Co., Ltd. | 410,008 | ||||||
27,900 | Seiko Epson Corp. | 395,155 | ||||||
|
| |||||||
7,021,483 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (3.0%): | ||||||||
16,649 | Adidas AG | 2,944,143 | ||||||
38,814 | Burberry Group plc | 776,346 | ||||||
49,717 | Cie Financiere Richemont SA | 5,295,497 | ||||||
27,479 | EssilorLuxottica SA | 4,155,825 | ||||||
3,003 | Hermes International SA | 3,392,093 | ||||||
7,120 | Kering | 3,698,730 | ||||||
26,453 | LVMH Moet Hennessy Louis Vuitton SA | 16,322,698 | ||||||
20,158 | Moncler SpA | 870,663 | ||||||
8,846 | Pandora A/S | 559,101 | ||||||
10,277 | Puma SE | 676,721 | ||||||
4,961 | Swatch Group AG (The) | 220,464 | ||||||
2,728 | Swatch Group AG (The), Class B | 647,426 | ||||||
|
| |||||||
39,559,707 | ||||||||
|
| |||||||
Tobacco (1.1%): | ||||||||
208,245 | British American Tobacco plc | 8,923,338 | ||||||
86,948 | Imperial Brands plc, Class A | 1,943,041 | ||||||
112,500 | Japan Tobacco, Inc.^ | 1,946,166 | ||||||
152,123 | Swedish Match AB | 1,554,198 | ||||||
|
| |||||||
14,366,743 | ||||||||
|
|
See accompanying notes to the financial statements.
9
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (1.6%): | ||||||||
13,089 | AerCap Holdings NV* | $ | 535,864 | |||||
41,957 | Ashtead Group plc | 1,759,817 | ||||||
15,126 | Brenntag AG | 984,324 | ||||||
32,576 | Bunzl plc | 1,078,597 | ||||||
20,610 | Ferguson plc | 2,307,334 | ||||||
5,255 | IMCD NV | 725,919 | ||||||
26,304 | Indutrade AB | 480,599 | ||||||
112,900 | Itochu Corp. | 3,053,817 | ||||||
151,900 | Marubeni Corp. | 1,371,398 | ||||||
120,900 | Mitsubishi Corp. | 3,595,531 | ||||||
134,400 | Mitsui & Co., Ltd. | 2,968,363 | ||||||
22,800 | MonotaRo Co., Ltd. | 339,166 | ||||||
20,849 | Reece, Ltd. | 198,457 | ||||||
106,800 | Sumitomo Corp. | 1,460,923 | ||||||
20,100 | Toyota Tsushu Corp. | 657,114 | ||||||
|
| |||||||
21,517,223 | ||||||||
|
| |||||||
Transportation Infrastructure (0.5%): | ||||||||
7,242 | Aena SME SA* | 920,914 | ||||||
3,168 | Aeroports de Paris* | 403,541 | ||||||
47,319 | Atlantia SpA | 1,110,431 | ||||||
118,376 | Auckland International Airport, Ltd.* | 529,948 | ||||||
42,517 | Getlink SE | 752,909 | ||||||
291,292 | Transurban Group | 2,892,142 | ||||||
|
| |||||||
6,609,885 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
23,851 | Severn Trent plc | 789,670 | ||||||
65,018 | United Utilities Group plc | 807,462 | ||||||
|
| |||||||
1,597,132 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.3%): | ||||||||
154,500 | KDDI Corp. | 4,886,259 | ||||||
273,100 | Softbank Corp. | 3,031,584 |
Shares or Principal | Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
115,700 | SoftBank Group Corp. | $ | 4,472,039 | |||||
54,662 | Tele2 AB | 623,151 | ||||||
2,551,136 | Vodafone Group plc | 3,934,823 | ||||||
|
| |||||||
16,947,856 | ||||||||
|
| |||||||
Total Common Stocks (Cost $1,090,784,825) | 1,300,258,145 | |||||||
|
| |||||||
Preferred Stocks (0.3%): | ||||||||
Automobiles (0.2%): | ||||||||
5,192 | Bayerische Motoren Werke AG (BMW), 8.61%, 5/15/20 | 367,765 | ||||||
14,102 | Porsche Automobil Holding SE, 4.06%, 5/20/20 | 932,684 | ||||||
17,679 | Volkswagen AG, 5.93%, 5/8/20 | 2,360,429 | ||||||
|
| |||||||
3,660,878 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
17,462 | Henkel AG & Co. KGaA, 3.15%, 4/21/20 | 1,075,504 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $5,168,647) | 4,736,382 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (2.2%): | ||||||||
28,452,191 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(b)(c) | 28,452,191 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 28,452,191 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.1%): | ||||||||
Money Markets (0.1%): | ||||||||
931,609 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 931,609 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $931,609) | 931,609 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,125,337,272) — 101.0% | 1,334,378,327 | |||||||
Net other assets (liabilities) — (1.0)% | (13,321,269 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,321,057,058 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $26,336,471. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. 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, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
See accompanying notes to the financial statements.
10
AZL International Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Australia | 7.5 | % | ||
Austria | 0.2 | % | ||
Belgium | 0.8 | % | ||
Bermuda | 0.1 | % | ||
China | 0.1 | % | ||
Denmark | 2.7 | % | ||
Finland | 1.2 | % | ||
France | 10.2 | % | ||
Germany | 7.5 | % | ||
Hong Kong | 3.1 | % | ||
Ireland | 0.9 | % | ||
Isle of Man | 0.1 | % | ||
Israel | 0.7 | % | ||
Italy | 1.9 | % |
Country | Percentage | |||
Japan | 21.8 | % | ||
Luxembourg | 0.2 | % | ||
Netherlands | 6.3 | % | ||
New Zealand | 0.2 | % | ||
Norway | 0.8 | % | ||
Portugal | 0.2 | % | ||
Singapore | 1.4 | % | ||
Spain | 2.5 | % | ||
Sweden | 3.1 | % | ||
Switzerland | 10.7 | % | ||
United Kingdom | 13.6 | % | ||
United States | 2.2 | % | ||
|
| |||
100.0 | % | |||
|
|
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
ASX SPI 200 Index September Futures (Australian Dollar) | 9/15/22 | 11 | $ | 1,226,149 | $ | (7,415 | ) | |||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/16/22 | 94 | 3,389,153 | 7,698 | ||||||||||||
FTSE 100 Index September Futures (British Pounds) | 9/16/22 | 28 | 2,426,737 | 17,911 | ||||||||||||
SGX Nikkei 225 Index September Futures (Japanese Yen) | 9/8/22 | 24 | 2,326,404 | (46,184 | ) | |||||||||||
|
| |||||||||||||||
$ | (27,990 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
11
AZL International Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,119,592,709 | |||
Investments in affiliates, at cost | 5,744,563 | ||||
|
| ||||
Investments in non-affiliates, at value(a) | $ | 1,326,918,487 | |||
Investments in affiliates, at value | 7,459,840 | ||||
Deposit at broker for futures contracts collateral | 782,085 | ||||
Interest and dividends receivable | 2,162,457 | ||||
Foreign currency, at value (cost $5,593,819) | 5,598,908 | ||||
Receivable for capital shares issued | 242 | ||||
Receivable for investments sold | 22,391 | ||||
Reclaims receivable | 7,929,849 | ||||
Prepaid expenses | 4,671 | ||||
|
| ||||
Total Assets | 1,350,878,930 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 5,492 | ||||
Payable for capital shares redeemed | 144,013 | ||||
Payable for collateral received on loaned securities | 28,452,191 | ||||
Payable for variation margin on futures contracts | 211,441 | ||||
Manager fees payable | 394,978 | ||||
Administration fees payable | 190,219 | ||||
Distribution fees payable | 265,285 | ||||
Custodian fees payable | 13,905 | ||||
Administrative and compliance services fees payable | 1,000 | ||||
Transfer agent fees payable | 1,398 | ||||
Trustee fees payable | 8,812 | ||||
Other accrued liabilities | 133,138 | ||||
|
| ||||
Total Liabilities | 29,821,872 | ||||
|
| ||||
Net Assets | $ | 1,321,057,058 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 1,050,962,045 | |||
Total distributable earnings | 270,095,013 | ||||
|
| ||||
Net Assets | $ | 1,321,057,058 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 75,901,697 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 7,393,142 | ||||
Net Asset Value (offering and redemption price per share) | $ | 10.27 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 1,245,155,361 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 81,270,973 | ||||
Net Asset Value (offering and redemption price per share) | $ | 15.32 | |||
|
|
(a) | Includes securities on loan of $26,336,471. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 34,226,360 | |||
Dividends from affiliates | 452,207 | ||||
Income from securities lending | 129,298 | ||||
Foreign withholding tax | (2,904,451 | ) | |||
|
| ||||
Total Investment Income | 31,903,414 | ||||
|
| ||||
Expenses: | |||||
Management fees | 2,661,380 | ||||
Administration fees | 139,218 | ||||
Distribution fees - Class 2 | 1,792,163 | ||||
Custodian fees | 105,618 | ||||
Administrative and compliance services fees | 9,067 | ||||
Transfer agent fees | 5,657 | ||||
Trustee fees | 35,745 | ||||
Professional fees | 28,674 | ||||
Licensing fees | 229,435 | ||||
Shareholder reports | 19,261 | ||||
Other expenses | 19,802 | ||||
|
| ||||
Total expenses | 5,046,020 | ||||
|
| ||||
Net Investment Income/(Loss) | 26,857,394 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 11,658,491 | ||||
Net realized gains/(losses) on affiliated transactions | 203,934 | ||||
Net realized gains/(losses) on futures contracts | (432,713 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (358,814,854 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (1,983,408 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (105,701 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (349,474,251 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (322,616,857 | ) | ||
|
|
See accompanying notes to the financial statements.
12
AZL International Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 26,857,394 | $ | 31,730,879 | ||||||
Net realized gains/(losses) on investments | 11,429,712 | 39,607,132 | ||||||||
Change in unrealized appreciation/depreciation on investments | (360,903,963 | ) | 93,451,593 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (322,616,857 | ) | 164,789,604 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (2,576,720 | ) | |||||||
Class 2 | — | (24,890,149 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (27,466,869 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 61,928 | 483,730 | ||||||||
Proceeds from dividends reinvested | — | 2,576,719 | ||||||||
Value of shares redeemed | (5,040,274 | ) | (12,651,416 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (4,978,346 | ) | (9,590,967 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 1,260,290 | 209,571,173 | ||||||||
Proceeds from dividends reinvested | — | 24,890,149 | ||||||||
Value of shares redeemed | (102,029,566 | ) | (210,685,832 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (100,769,276 | ) | 23,775,490 | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (105,747,622 | ) | 14,184,523 | |||||||
|
|
|
| |||||||
Change in net assets | (428,364,479 | ) | 151,507,258 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,749,421,537 | 1,597,914,279 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,321,057,058 | $ | 1,749,421,537 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 5,441 | 38,580 | ||||||||
Dividends reinvested | — | 210,688 | ||||||||
Shares redeemed | (434,997 | ) | (1,008,121 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (429,556 | ) | (758,853 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 75,202 | 10,982,020 | ||||||||
Dividends reinvested | — | 1,360,861 | ||||||||
Shares redeemed | (5,800,531 | ) | (11,251,145 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (5,725,329 | ) | 1,091,736 | |||||||
|
|
|
| |||||||
Change in shares | (6,154,885 | ) | 332,883 | |||||||
|
|
|
|
Amounts | shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
13
AZL International Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 12.69 | $ | 11.76 | $ | 11.53 | $ | 9.94 | $ | 12.30 | $ | 10.07 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.22 | (a) | 0.27 | (a) | 0.20 | (a) | 0.32 | (a) | 0.36 | 0.37 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.64 | ) | 0.99 | 0.61 | 1.79 | (2.00 | ) | 2.15 | ||||||||||||||||||||||
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Total from Investment Activities | (2.42 | ) | 1.26 | 0.81 | 2.11 | (1.64 | ) | 2.52 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.33 | ) | (0.55 | ) | (0.42 | ) | (0.50 | ) | (0.16 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.03 | ) | (0.10 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||||||||||
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Total Dividends | — | (0.33 | ) | (0.58 | ) | (0.52 | ) | (0.72 | ) | (0.29 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 10.27 | $ | 12.69 | $ | 11.76 | $ | 11.53 | $ | 9.94 | $ | 12.30 | ||||||||||||||||||
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Total Return(b) | (19.07 | )%(c) | 10.80 | % | 7.66 | % | 21.67 | % | (13.80 | )% | 25.12 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 75,902 | $ | 99,304 | $ | 100,924 | $ | 106,657 | $ | 98,902 | $ | 132,265 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 3.77 | % | 2.13 | % | 1.93 | % | 2.89 | % | 2.62 | % | 2.48 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.43 | % | 0.45 | % | 0.46 | % | 0.44 | % | 0.45 | % | 0.48 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.43 | % | 0.45 | % | 0.46 | % | 0.44 | % | 0.45 | % | 0.48 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 14 | % | 9 | % | 4 | % | 2 | % | 8 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 18.97 | $ | 17.43 | $ | 16.79 | $ | 14.25 | $ | 17.30 | $ | 14.10 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.30 | (a) | 0.35 | (a) | 0.26 | (a) | 0.42 | (a) | 0.43 | 0.36 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.95 | ) | 1.48 | 0.91 | 2.60 | (2.81 | ) | 3.12 | ||||||||||||||||||||||
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Total from Investment Activities | (3.65 | ) | 1.83 | 1.17 | 3.02 | (2.38 | ) | 3.48 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.29 | ) | (0.50 | ) | (0.38 | ) | (0.45 | ) | (0.15 | ) | |||||||||||||||||||
Net Realized Gains | — | — | (0.03 | ) | (0.10 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||||||||||
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Total Dividends | — | (0.29 | ) | (0.53 | ) | (0.48 | ) | (0.67 | ) | (0.28 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 15.32 | $ | 18.97 | $ | 17.43 | $ | 16.79 | $ | 14.25 | $ | 17.30 | ||||||||||||||||||
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Total Return(b) | (19.24 | )%(c) | 10.55 | % | 7.40 | % | 21.44 | % | (14.04 | )% | 24.77 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,245,155 | $ | 1,650,118 | $ | 1,496,990 | $ | 1,591,233 | $ | 1,422,711 | $ | 1,862,508 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 3.52 | % | 1.85 | % | 1.69 | % | 2.64 | % | 2.36 | % | 2.21 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.68 | % | 0.70 | % | 0.71 | % | 0.69 | % | 0.70 | % | 0.73 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.68 | % | 0.70 | % | 0.71 | % | 0.69 | % | 0.70 | % | 0.73 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 14 | % | 9 | % | 4 | % | 2 | % | 8 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
14
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance
15
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust, and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $12,396 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $28,452,191 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $10.3 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 25,609 | Payable for variation margin on futures contracts* | $ | 53,599 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
16
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (432,713 | ) | $ | (105,701 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL International Index Fund, Class 1 | 0.35 | % | 0.52 | % | ||||||
AZL International Index Fund, Class 2 | 0.35 | % | 0.77 | % |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2022, there were no such waivers.
At June 30, 2022, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 9,823,501 | $ | — | $ | (584,186 | ) | $ | 203,934 | $ | (1,983,408 | ) | $ | 7,459,841 | 39,084 | $ | 452,207 | $ | — | ||||||||||||||||||||||||||
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$ | 9,823,501 | $ | — | $ | (584,186 | ) | $ | 203,934 | $ | (1,983,408 | ) | $ | 7,459,841 | 39,084 | $ | 452,207 | $ | — | |||||||||||||||||||||||||||
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Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
17
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 14,743,470 | $ | 1,285,514,675 | $ | — | # | $ | 1,300,258,145 | |||||||||||
Preferred Stocks+ | — | 4,736,382 | — | 4,736,382 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 28,452,191 | — | — | $ | 28,452,191 | |||||||||||||||
Unaffiliated Investment Company | 931,609 | — | — | 931,609 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 44,127,270 | 1,290,251,057 | — | 1,334,378,327 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (27,990 | ) | — | — | (27,990 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 44,099,280 | $ | 1,290,251,057 | $ | — | $ | 1,334,350,337 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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, 2022. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 17,331,729 | $ | 108,151,835 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives
18
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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.
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 Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $1,224,834,375. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 581,082,021 | ||
Unrealized (depreciation) | (63,269,589 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 517,812,432 | ||
|
|
During the year ended December 31, 2021, the Fund utilized $799,546 in capital loss carry forwards (“CLCFs”) to offset capital gains. As of the end of its tax year ended December 31, 2021, the Fund had no remaining CLCFs.
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL International Index Fund | $ | 27,466,869 | $ | — | $ | 27,466,869 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | $ | 42,709,248 | $ | 32,067,914 | $ | — | $ | 517,934,708 | $ | 592,711,870 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies and mark-to-market of futures contracts. |
19
AZL International Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 50% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
20
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
21
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
22
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® MetWest Total Return Bond Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 14 |
Page 14 |
Statements of Changes in Net Assets Page 15 |
Page 16 |
Notes to the Financial Statements Page 17 |
Page 26 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 27 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MetWest Total Return Bond Fund
(Unaudited)
As a shareholder of the AZL MetWest Total Return Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 885.00 | $ | 3.74 | 0.80 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 1,000.00 | $ | 1,020.83 | $ | 4.01 | 0.80 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
U.S. Treasury Obligations | 35.0 | % | |||
U.S. Government Agency Mortgages | 34.4 | ||||
Corporate Bonds | 23.2 | ||||
Collateralized Mortgage Obligations | 10.4 | ||||
Yankee Debt Obligations | 7.5 | ||||
Asset Backed Securities | 5.0 | ||||
Unaffiliated Investment Company | 2.4 | ||||
Municipal Bonds | 0.7 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.1 | ||||
Purchased Options | — | † | |||
Rights | — | † | |||
|
| ||||
Total Investment Securities | 118.7 | ||||
Net other assets (liabilities) | (18.7 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares or Principal Amount | Value | |||||||
Rights (0.0%†): | ||||||||
Telecommunications (0.0%†): | ||||||||
649 | Intelsat Jackson Holdings SA, Expires on 1/2/23(a) | $ | — | |||||
649 | Intelsat Jackson Holdings SA, Expires on 1/2/23(a) | — | ||||||
|
| |||||||
— | ||||||||
|
| |||||||
Total Rights (Cost $—) | — | |||||||
|
| |||||||
Asset Backed Securities (5.0%): | ||||||||
$ | 739,504 | Ajax Mortgage Loan Trust, Class A1, Series 2019-F, 2.86%, 7/25/59, Callable 11/25/22 @ 100(b)(c) | 714,598 | |||||
1,288,000 | CWABS Asset-Backed Certificates Trust, Class MV5, Series 2005-7, 2.75%(US0001M+113bps), 11/25/35, Callable 7/25/22 @ 100 | 1,247,026 | ||||||
1,380,151 | CWABS Asset-Backed Certificates Trust, Class MV4, Series 2004-10, 3.20%(US0001M+158bps), 12/25/34, Callable 7/25/22 @ 100 | 1,240,999 | ||||||
584,388 | Firstkey Homes 2020 Sfr1 Trust, Class A, Series 2020-SFR1, 1.34%, 8/17/37(b) | 542,616 | ||||||
942,365 | Navient Student Loan Trust, Class A3, Series 2016-2, 3.12%(US0001M+150bps), 6/25/65, Callable 2/25/34 @ 100(b) | 949,346 | ||||||
1,352,078 | Park Place Securities, Inc. Pass-Through Certificates, Class M5, Series 2004-WWF1, 3.42%(US0001M+180bps), 12/25/34, Callable 7/25/22 @ 100 | 1,354,920 | ||||||
623,118 | SLC Student Loan Trust, Class 2A3, Series 2008-1, 3.43%(US0003M+160bps), 12/15/32, Callable 6/15/28 @ 100 | 629,411 | ||||||
448,850 | SLM Student Loan Trust, Class 2A3, Series 2003-7, 2.40%(US0003M+57bps), 9/15/39, Callable 12/15/29 @ 100 | 418,877 | ||||||
1,220,000 | SLM Student Loan Trust, Class 2A3, Series 2008-5, 3.03%(US0003M+185bps), 7/25/73, Callable 4/25/23 @ 100 | 1,184,351 | ||||||
240,000 | SLM Student Loan Trust, Class 2A3, Series 2008-9, 3.43%(US0003M+225bps), 10/25/83, Callable 7/25/23 @ 100 | 238,660 | ||||||
500,966 | SLM Student Loan Trust, Class A4, Series 2007-7, 1.51%(US0003M+33bps), 1/25/22, Callable 7/25/24 @ 100 | 492,096 | ||||||
53,095 | SLM Student Loan Trust, Class A, Series 2009-3, 2.37%(US0001M+75bps), 1/25/45, Callable 1/25/36 @ 100(b) | 51,674 | ||||||
553,815 | SLM Student Loan Trust, Class A3, Series 2012-1, 2.57%(US0001M+95bps), 9/25/28, Callable 11/25/29 @ 100 | 534,770 | ||||||
789,544 | SLM Student Loan Trust, Class A4, Series 2008-6, 2.28%(US0003M+110bps), 7/25/23, Callable 10/25/25 @ 100 | 780,508 | ||||||
277,421 | SLM Student Loan Trust, Class A, Series 2008-9, 2.68%(US0003M+150bps), 4/25/23, Callable 7/25/23 @ 100 | 277,418 | ||||||
1,220,956 | Wachovia Student Loan Trust, Class 2A3, Series 2006-1, 1.35%(US0003M+17bps), 4/25/40, Callable 4/25/26 @ 100(b) | 1,178,415 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $12,154,921) | 11,835,685 | |||||||
|
|
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations (10.4%): | ||||||||
$ | 750,000 | AGL CLO 7, Ltd., Class BR, Series 2020-7A, 2.74%(US0003M+170bps), 7/15/34, Callable 7/15/23 @ 100(b) | $ | 708,641 | ||||
725,000 | AIG CLO, Ltd., Class BR, Series 2019-2A, 2.78%(US0003M+160bps), 10/25/33, Callable 1/25/23 @ 100(b) | 683,277 | ||||||
850,000 | AIMCO CLO, Class AR2, Series 2015-AA, 2.18%(US0003M+114bps), 10/17/34, Callable 10/17/23 @ 100(b) | 813,838 | ||||||
957,009 | Alternative Loan Trust, Class 4A1, Series 2005-56, 2.24%(US0001M+31bps), 11/25/35, Callable 7/25/22 @ 100 | 870,472 | ||||||
320,363 | America Home Mortgage Investment Trust, Class 6A, Series 2005-1, 4.06%(US0006M+200bps), 6/25/45, Callable 7/25/22 @ 100 | 325,718 | ||||||
515,000 | BAMLL Commercial Mortgage Securities Trust, Class A, Series 2018-PARK, 4.23%, 8/10/38(b)(c) | 499,231 | ||||||
153,776 | Banc of America Mortgage Trust, Class 2A3, Series 2005-F, 3.07%, 7/25/35, Callable 7/25/22 @ 100(c) | 144,346 | ||||||
525,000 | Bx Commercial Mortgage Trust, Class A, Series 2022-CSMO, 2.86%(TSFR1M+211bps), 6/15/27(b) | 517,778 | ||||||
772,801 | BX Commercial Mortgage Trust, Class A, Series 2019-XL, 2.24%(US0001M+92bps), 10/15/36(b) | 759,238 | ||||||
155,000 | BX Trust, Class A, Series 2019-OC11, 3.20%, 12/9/41(b) | 138,702 | ||||||
355,000 | CALI Mortgage Trust, Class A, Series 2019-101C, 3.96%, 3/10/39(b) | 336,852 | ||||||
731,302 | C-BASS Mortgage Loan Trust, Class A2E, Series 2007-CB2, 3.57%, 2/25/37, Callable 3/25/23 @ 100(c) | 516,311 | ||||||
300,000 | Century Plaza Towers, Class A, Series 2019-CPT, 2.87%, 11/13/39, Callable 11/13/29 @ 100(b) | 264,066 | ||||||
700,000 | CIFC Funding VII, Ltd., Class A1, Series 2021-7A, 2.31%(US0003M+113bps), 1/23/35, Callable 1/23/24 @ 100(b) | 676,726 | ||||||
524,574 | Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 3.04%, 4/25/37, Callable 5/25/26 @ 100(c) | 466,981 | ||||||
634,786 | Colt 2021 6 Mortgage Loan Trust, Class A1, Series 2021-6, 1.91%, 12/25/66, Callable 12/25/23 @ 100(b)(c) | 587,503 | ||||||
837,608 | COMM Mortgage Trust, Class A3, Series 2015-CR27, 3.35%, 10/10/48, Callable 9/10/25 @ 100 | 814,515 | ||||||
325,000 | DC Office Trust, Class A, Series 2019-MTC, 2.97%, 9/15/45(b) | 285,038 | ||||||
346,037 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 2.54%, 4/25/36, Callable 7/25/22 @ 100(c) | 285,170 | ||||||
434,693 | First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 2.49%, 3/25/36, Callable 7/25/22 @ 100(c) | 338,607 | ||||||
375,249 | First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AA12, 2.84%, 2/25/36, Callable 7/25/22 @ 100(c) | 283,013 |
See accompanying notes to the financial statements.
2
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 189,836 | First Horizon Mortgage Pass-Through Trust, Class 2A1, Series 2005-AR3, 3.21%, 8/25/35, Callable 7/25/22 @ 100(c) | $ | 128,175 | ||||
332,883 | GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 3.49%, 9/19/35, Callable 7/19/22 @ 100(c) | 302,271 | ||||||
465,961 | GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 2.90%, 4/19/36, Callable 7/19/22 @ 100(c) | 371,583 | ||||||
825,182 | GoldenTree Loan Opportunities IX, Ltd., Class AR2, Series 2014-9A, 2.35%(US0003M+111bps), 10/29/29, Callable 7/29/22 @ 100(b) | 813,799 | ||||||
572,890 | GreenPoint Mortgage Funding Trust, Class A1A, Series 2006-AR1, 2.20%(US0001M+58bps), 2/25/36, Callable 7/25/22 @ 100 | 519,866 | ||||||
1,135,000 | GS Mortgage Securities Corp. II, Class A, Series 2021-ARDN, 2.57%(US0001M+125bps), 11/15/26(b) | 1,112,767 | ||||||
1,088,225 | HarborView Mortgage Loan Trust, Class 1A1A, Series 2006-10, 1.81%(US0001M+20bps), 11/19/36, Callable 1/19/23 @ 100 | 914,851 | ||||||
325,000 | Hudson Yards Mortgage Trust, Class A, Series 2019-55HY, 3.04%, 12/10/41(b)(c) | 288,311 | ||||||
330,000 | Hudson Yards Mortgage Trust, Class A, Series 2019-30HY, 3.23%, 6/10/37(b) | 299,412 | ||||||
701,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2021-HTL5, 2.44%(US0001M+112bps), 11/15/38(b) | 669,389 | ||||||
325,000 | J.P. Morgan Chase Commercial Mortgage Securities Trust, Class A, Series 2019-OSB, 3.40%, 6/5/39, Callable 6/5/29 @ 100(b) | 298,080 | ||||||
658,974 | Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 1.74%(US0001M+12bps), 7/25/37, Callable 1/25/23 @ 100 | 341,180 | ||||||
220,000 | MKT Mortgage Trust, Class A, Series 2020-525M, 2.69%, 2/12/40(b) | 189,482 | ||||||
186,937 | MortgageIT Trust, Class 2A3, Series 2005-2, 2.71%(US0001M+165bps), 5/25/35, Callable 7/25/22 @ 100 | 176,146 | ||||||
193,577 | Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 5.69%, 7/25/35, Callable 7/25/22 @ 100(c) | 197,629 | ||||||
415,000 | One Bryant Park Trust, Class A, Series 2019-OBP, 2.52%, 9/13/49(b) | 361,623 | ||||||
750,000 | Palmer Square CLO, Ltd., Class A, Series 2022-1A, 1.79%(TSFR3M+132bps), 4/20/35, Callable 4/20/24 @ 100(b) | 720,411 | ||||||
750,000 | Park Avenue Institutional Advisers CLO, Ltd., Class A1A, Series 2021-1A, 2.45%(US0003M+139bps), 1/20/34, Callable 1/20/23 @ 100(b) | 734,576 | ||||||
560,000 | RBS Commercial Funding, Inc. Trust, Class A, Series 2013-GSP, 3.96%, 1/13/32(b)(c) | 551,712 | ||||||
800,000 | Recette CLO, Ltd., Class ARR, Series 2015-1A, 2.14%(US0003M+108bps), 1/20/33, Callable 4/20/23 @ 100(b) | 766,427 | ||||||
703,342 | Residential Accredit Loans, Inc., Class A2, Series 2006-QA10, 1.98%(US0001M+18bps), 12/25/36, Callable 7/25/22 @ 100 | 583,602 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations, continued | ||||||||
$ | 800,000 | Rockford Tower CLO, Ltd., Class A1, Series 2021-1A, 2.23%(US0003M+117bps), 7/20/34, Callable 7/20/23 @ 100(b) | $ | 778,081 | ||||
1,094,520 | Structured Asset Mortgage Investments II Trust, Class 3A1, Series 2006-AR1, 2.08%(US0001M+23bps), 2/25/36, Callable 7/25/22 @ 100 | 995,923 | ||||||
590,372 | Toorak Mortgage Corp. 2018 1, Ltd., Class A1, Series 2022-INV2, 4.35%, 6/25/57, Callable 5/25/25 @ 100(b)(c) | 577,432 | ||||||
327,983 | WaMu Mortgage Pass-Through Certificates Trust, Class 2A1A, Series 2005-AR6, 2.08%(US0001M+23bps), 4/25/45, Callable 7/25/22 @ 100 | 316,517 | ||||||
144,724 | WaMu Mortgage Pass-Through Certificates Trust, Class A1A, Series 2004-AR10, 2.50%(US0001M+44bps), 7/25/44, Callable 7/25/22 @ 100 | 137,012 | ||||||
283,197 | WaMu Mortgage Pass-Through Certificates Trust, Class A2, Series 2005-AR3, 2.80%, 3/25/35, Callable 7/25/22 @ 100(c) | 288,951 | ||||||
928,368 | WaMu Mortgage Pass-Through Certificates Trust, Class 2A1A, Series 2005-AR8, 2.20%(US0001M+29bps), 7/25/45, Callable 7/25/22 @ 100 | 867,399 | ||||||
206,254 | Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 2.66%, 9/25/36, Callable 7/25/22 @ 100(c) | 184,374 | ||||||
|
| |||||||
Total Collateralized Mortgage Obligations (Cost $26,067,672) | 24,803,004 | |||||||
|
| |||||||
Corporate Bonds (23.2%): | ||||||||
Aerospace & Defense (0.3%): | ||||||||
605,000 | Boeing Co. (The), 1.17%, 2/4/23, Callable 8/8/22 @ 100 | 595,039 | ||||||
|
| |||||||
Airlines (0.2%): | ||||||||
405,788 | U.S. Airways Pass Through Trust, Series 2010-1A, 6.25%, 10/22/24 | 403,759 | ||||||
|
| |||||||
Automobiles (0.5%): | ||||||||
5,000 | Magallanes, Inc., 4.28%, 3/15/32, Callable 12/15/31 @ 100(b) | 4,468 | ||||||
585,000 | Magallanes, Inc., 5.05%, 3/15/42, Callable 9/15/41 @ 100(b) | 498,160 | ||||||
678,000 | Magallanes, Inc., 5.14%, 3/15/52, Callable 9/15/51 @ 100(b) | 572,804 | ||||||
290,000 | Michaels Cos., Inc. (The), 7.88%, 5/1/29, Callable 5/1/24 @ 103.94(b) | 191,400 | ||||||
|
| |||||||
1,266,832 | ||||||||
|
| |||||||
Banks (4.7%): | ||||||||
750,000 | Bank of America Corp., 3.00% (US0003M+79 bps), 12/20/23, Callable 12/20/22 @ 100 | 747,586 | ||||||
665,000 | Bank of America Corp., 1.66% (SOFR+91 bps), 3/11/27, Callable 3/11/26 @ 100 | 597,286 | ||||||
415,000 | Bank of America Corp., 3.42% (US0003M+104 bps), 12/20/28, Callable 12/20/27 @ 100 | 387,205 | ||||||
470,000 | Bank of America Corp., 3.97% (US0003M+107 bps), 3/5/29, Callable 3/5/28 @ 100, MTN | 448,928 | ||||||
760,000 | Bank of America Corp., 2.09% (SOFR+106 bps), 6/14/29, Callable 6/14/28 @ 100 | 654,807 |
See accompanying notes to the financial statements.
3
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Banks, continued | ||||||||
$ | 100,000 | Bank of America Corp., 2.59% (SOFR+215 bps), 4/29/31, Callable 4/29/30 @ 100 | $ | 85,348 | ||||
295,000 | Bank of America Corp., 1.92% (SOFR+137 bps), 10/24/31, Callable 10/24/30 @ 100, MTN | 235,993 | ||||||
85,000 | Bank of America Corp., 2.69% (SOFR+132 bps), 4/22/32, Callable 4/22/31 @ 100 | 71,570 | ||||||
170,000 | Bank of America Corp., 2.30% (SOFR+122 bps), 7/21/32, Callable 7/21/31 @ 100 | 137,695 | ||||||
250,000 | Bank of America Corp., 2.57% (SOFR+121 bps), 10/20/32, Callable 10/20/31 @ 100 | 206,486 | ||||||
135,000 | Citigroup, Inc., 3.07% (SOFR+128 bps), 2/24/28, Callable 2/24/27 @ 100 | 125,931 | ||||||
140,000 | Citigroup, Inc., 2.67% (SOFR+115 bps), 1/29/31, Callable 1/29/30 @ 100 | 119,227 | ||||||
630,000 | Citigroup, Inc., 4.41% (SOFR+391 bps), 3/31/31, Callable 3/31/30 @ 100 | 602,778 | ||||||
350,000 | Citigroup, Inc., 2.57% (SOFR+211 bps), 6/3/31, Callable 6/3/30 @ 100 | 293,968 | ||||||
210,000 | Citigroup, Inc., 2.56% (SOFR+117 bps), 5/1/32, Callable 5/1/31 @ 100 | 173,290 | ||||||
555,000 | Citigroup, Inc., 3.06% (SOFR+135 bps), 1/25/33, Callable 1/25/32 @ 100 | 471,353 | ||||||
115,000 | Citigroup, Inc., 3.79% (SOFR+194 bps), 3/17/33, Callable 3/17/32 @ 100 | 103,560 | ||||||
145,000 | JPMorgan Chase & Co., 0.70% (SOFR+58 bps), 3/16/24, Callable 3/16/23 @ 100 | 141,748 | ||||||
1,210,000 | JPMorgan Chase & Co., 0.97% (SOFR+58 bps), 6/23/25, Callable 6/23/24 @ 100 | 1,133,412 | ||||||
305,000 | JPMorgan Chase & Co., 2.30% (SOFR+116 bps), 10/15/25, Callable 10/15/24 @ 100 | 291,742 | ||||||
455,000 | JPMorgan Chase & Co., 1.56% (SOFR+61 bps), 12/10/25, Callable 12/10/24 @ 100 | 426,907 | ||||||
445,000 | JPMorgan Chase & Co., 1.58% (SOFR+89 bps), 4/22/27, Callable 4/22/26 @ 100 | 397,199 | ||||||
180,000 | JPMorgan Chase & Co., 2.95% (SOFR+117 bps), 2/24/28, Callable 2/24/27 @ 100 | 167,369 | ||||||
445,000 | JPMorgan Chase & Co., 2.58% (SOFR+125 bps), 4/22/32, Callable 4/22/31 @ 100 | 373,529 | ||||||
275,000 | JPMorgan Chase & Co., 2.55% (SOFR+118 bps), 11/8/32, Callable 11/8/31 @ 100 | 228,239 | ||||||
405,000 | Wells Fargo & Co., 2.16% (US0003M+75 bps), 2/11/26, Callable 2/11/25 @ 100, MTN | 381,277 | ||||||
385,000 | Wells Fargo & Co., 3.53% (SOFR+151 bps), 3/24/28, Callable 3/24/27 @ 100 | 365,281 | ||||||
410,000 | Wells Fargo & Co., 3.58% (US0003M+131 bps), 5/22/28, Callable 5/22/27 @ 100, MTN | 389,671 | ||||||
185,000 | Wells Fargo & Co., 2.39% (SOFR+210 bps), 6/2/28, Callable 6/2/27 @ 100, MTN | 165,709 | ||||||
200,000 | Wells Fargo & Co., 2.88% (US0003M+117 bps), 10/30/30, Callable 10/30/29 @ 100, MTN | 175,975 | ||||||
1,260,000 | Wells Fargo & Co., 3.35% (SOFR+150 bps), 3/2/33, Callable 3/2/32 @ 100, MTN | 1,118,081 | ||||||
|
| |||||||
11,219,150 | ||||||||
|
| |||||||
Beverages (0.4%): | ||||||||
350,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36, Callable 8/1/35 @ 100 | 338,567 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Beverages, continued | ||||||||
$ | 360,000 | Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 2/1/46, Callable 8/1/45 @ 100 | $ | 340,455 | ||||
250,000 | Constellation Brands, Inc., 4.75%, 5/9/32, Callable 2/9/32 @ 100 | 247,456 | ||||||
|
| |||||||
926,478 | ||||||||
|
| |||||||
Biotechnology (0.4%): | ||||||||
428,000 | AbbVie, Inc., 4.55%, 3/15/35, Callable 9/15/34 @ 100 | 422,128 | ||||||
293,000 | AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100 | 285,094 | ||||||
35,000 | AbbVie, Inc., 4.45%, 5/14/46, Callable 11/14/45 @ 100 | 31,961 | ||||||
135,000 | Amgen, Inc., 4.40%, 2/22/62, Callable 8/22/61 @ 100 | 117,380 | ||||||
|
| |||||||
856,563 | ||||||||
|
| |||||||
Capital Markets (2.7%): | ||||||||
135,000 | Charles Schwab Corp. (The), 2.90%, 3/3/32, Callable 12/3/31 @ 100 | 118,979 | ||||||
115,000 | Goldman Sachs Group, Inc., 1.99% (SOFFRATE+1 bps), 1/27/32, Callable 1/27/31 @ 100 | 91,302 | ||||||
735,000 | Goldman Sachs Group, Inc. (The), 1.22%, 12/6/23, Callable 12/6/22 @ 100 | 709,794 | ||||||
180,000 | Goldman Sachs Group, Inc. (The), 1.09% (SOFR+79 bps), 12/9/26, Callable 12/9/25 @ 100 | 160,741 | ||||||
885,000 | Goldman Sachs Group, Inc. (The), 1.43% (SOFR+80 bps), 3/9/27, Callable 3/9/26 @ 100 | 786,808 | ||||||
450,000 | Goldman Sachs Group, Inc. (The), 1.54% (SOFR+82 bps), 9/10/27, Callable 9/10/26 @ 100 | 396,990 | ||||||
570,000 | Goldman Sachs Group, Inc. (The), 1.95% (SOFR+91 bps), 10/21/27, Callable 10/21/26 @ 100 | 507,868 | ||||||
345,000 | Goldman Sachs Group, Inc. (The), 2.38% (SOFR+125 bps), 7/21/32, Callable 7/21/31 @ 100 | 279,544 | ||||||
170,000 | Goldman Sachs Group, Inc. The, 2.65% (SOFR+126 bps), 10/21/32, Callable 10/21/31 @ 100 | 139,618 | ||||||
320,000 | Intercontinental Exchange, Inc., 4.60%, 3/15/33, Callable 12/15/32 @ 100 | 319,039 | ||||||
155,000 | ModivCare Escrow Issuer, Inc., 5.00%, 10/1/29, Callable 10/1/24 @ 102.5(b) | 125,550 | ||||||
835,000 | Morgan Stanley, 0.79% (SOFR+53 bps), 5/30/25, Callable 5/30/24 @ 100 | 780,277 | ||||||
195,000 | Morgan Stanley, 1.16% (SOFR+56 bps), 10/21/25, Callable 10/21/24 @ 100, MTN | 180,834 | ||||||
445,000 | Morgan Stanley, 1.59% (SOFR+88 bps), 5/4/27, Callable 5/4/26 @ 100 | 395,557 | ||||||
330,000 | Morgan Stanley, 1.93% (SOFR+102 bps), 4/28/32, Callable 4/28/31 @ 100, MTN | 261,992 | ||||||
115,000 | Morgan Stanley, 2.24% (SOFR+118 bps), 7/21/32, Callable 7/21/31 @ 100, MTN | 93,306 | ||||||
250,000 | Morgan Stanley, 2.51% (SOFR+120 bps), 10/20/32, Callable 10/20/31 @ 100, MTN | 207,218 | ||||||
165,000 | Morgan Stanley, 5.30% (SOFR+262 bps), 4/20/37, Callable 4/20/32 @ 100 | 159,600 | ||||||
255,000 | Raymond James Financial, 4.95%, 7/15/46 | 251,287 | ||||||
295,000 | S&P Global, Inc., 4.75%, 8/1/28, Callable 5/1/28 @ 100(b) | 300,103 |
See accompanying notes to the financial statements.
4
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Capital Markets, continued | ||||||||
$ | 250,000 | SL Green Operating Partnership LP, 3.25%, 10/15/22, Callable 9/15/22 @ 100 | $ | 249,450 | ||||
|
| |||||||
6,515,857 | ||||||||
|
| |||||||
Chemicals (0.2%): | ||||||||
312,000 | International Flavors & Fragrances, Inc., 2.30%, 11/1/30, Callable 8/1/30 @ 100(b) | 257,991 | ||||||
135,000 | Valvoline, Inc., 3.63%, 6/15/31, Callable 6/15/26 @ 101.81(b) | 107,325 | ||||||
|
| |||||||
365,316 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
150,000 | Waste Pro USA, Inc., 5.50%, 2/15/26, Callable 8/8/22 @ 102.75(b) | 131,250 | ||||||
|
| |||||||
Communications Equipment (0.1%): | ||||||||
275,000 | CommScope, Inc., 4.75%, 9/1/29, Callable 9/1/24 @ 102.38(b) | 221,375 | ||||||
|
| |||||||
Consumer Finance (0.3%): | ||||||||
385,000 | Capital One Financial Corp., 3.27% (SOFR+179 bps), 3/1/30, Callable 3/1/29 @ 100 | 340,846 | ||||||
145,000 | FirstCash, Inc., 5.63%, 1/1/30, Callable 1/1/25 @ 102.81(b) | 125,425 | ||||||
155,000 | General Motors Financial Co., Inc., 3.55%, 7/8/22 | 155,004 | ||||||
|
| |||||||
621,275 | ||||||||
|
| |||||||
Consumer Staple Products (0.1%): | ||||||||
100,000 | Chobani LLC / Chobani Finance Corp., Inc., 4.63%, 11/15/28, Callable 11/15/23 @ 102.31(b) | 84,250 | ||||||
255,000 | Jbs USA Lux SA Jbs USA Food Co., 6.50%, 12/1/52, Callable 6/1/52 @ 100(b) | 240,019 | ||||||
|
| |||||||
324,269 | ||||||||
|
| |||||||
Containers & Packaging (0.4%): | ||||||||
135,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 5.25%, 8/15/27, Callable 8/15/22 @ 102.63(b) | 95,512 | ||||||
135,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., 5.25%, 8/15/27, Callable 8/15/22 @ 102.63(b) | 94,838 | ||||||
200,000 | Ball Corp., 4.00%, 11/15/23 | 197,500 | ||||||
500,000 | Berry Global, Inc., 1.57%, 1/15/26, Callable 12/15/25 @ 100 | 445,625 | ||||||
90,000 | Berry Global, Inc., 4.88%, 7/15/26, Callable 8/8/22 @ 102.44(b) | 85,612 | ||||||
110,000 | Graphic Packaging International LLC, 4.75%, 7/15/27, Callable 4/15/27 @ 100(b) | 103,675 | ||||||
25,000 | Mauser Packaging Solutions Holding Co., 5.50%, 4/15/24, Callable 8/8/22 @ 100(b) | 23,813 | ||||||
|
| |||||||
1,046,575 | ||||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
600,000 | Amcor Finance USA, Inc., 3.63%, 4/28/26, Callable 1/28/26 @ 100 | 576,723 | ||||||
410,000 | Berkshire Hathaway Finance Corp., 3.85%, 3/15/52, Callable 9/15/51 @ 100 | 353,861 | ||||||
80,000 | Level 3 Financing, Inc., 3.40%, 3/1/27, Callable 1/1/27 @ 100(b) | 69,500 | ||||||
300,000 | Level 3 Financing, Inc., 3.63%, 1/15/29, Callable 1/15/24 @ 101.81(b) | 231,000 | ||||||
625,000 | Level 3 Financing, Inc., 3.88%, 11/15/29, Callable 8/15/29 @ 100(b) | 518,750 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Diversified Financial Services, continued | ||||||||
$ | 300,000 | Venture Global Calcasieu Pass LLC, 3.88%, 8/15/29, Callable 2/15/29 @ 100(b) | $ | 260,250 | ||||
|
| |||||||
2,010,084 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.1%): | ||||||||
287,000 | AT&T, Inc., 2.55%, 12/1/33, Callable 9/1/33 @ 100 | 232,639 | ||||||
290,000 | AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100 | 275,533 | ||||||
255,000 | AT&T, Inc., 4.30%, 12/15/42, Callable 6/15/42 @ 100 | 223,556 | ||||||
125,000 | AT&T, Inc., 4.75%, 5/15/46, Callable 11/15/45 @ 100 | 116,278 | ||||||
1,115,000 | AT&T, Inc., 3.80%, 12/1/57, Callable 6/1/57 @ 100 | 867,657 | ||||||
64,000 | CenturyLink, Inc., 4.00%, 2/15/27, Callable 2/15/23 @ 102(b) | 53,920 | ||||||
250,000 | Lumen Technologies, Inc., 5.38%, 6/15/29, Callable 6/15/24 @ 102.69(b) | 196,250 | ||||||
175,000 | Qwest Corp., 7.25%, 9/15/25 | 180,278 | ||||||
305,000 | Verizon Communications, Inc., 2.55%, 3/21/31, Callable 12/21/30 @ 100 | 261,581 | ||||||
147,000 | Zayo Group Holdings, Inc., 4.00%, 3/1/27, Callable 8/8/22 @ 100(b) | 121,643 | ||||||
|
| |||||||
2,529,335 | ||||||||
|
| |||||||
Electric Utilities (1.2%): | ||||||||
280,000 | American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100(b) | 273,154 | ||||||
500,000 | Appalachian Power Co., Series H, 5.95%, 5/15/33 | 532,749 | ||||||
1,000,000 | Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100 | 898,758 | ||||||
355,000 | Florida Power & Light Co., 3.99%, 3/1/49, Callable 9/1/48 @ 100 | 329,003 | ||||||
750,000 | Jersey Central Power & Light Co., 6.40%, 5/15/36 | 801,708 | ||||||
|
| |||||||
2,835,372 | ||||||||
|
| |||||||
Electrical Equipment (0.0%†): | ||||||||
82,000 | Artera Services LLC, 9.03%, 12/4/25, Callable 2/4/23 @ 104.52(b) | 66,215 | ||||||
|
| |||||||
Entertainment (0.2%): | ||||||||
115,000 | Netflix, Inc., 4.63%, 5/15/29+ | 113,311 | ||||||
260,000 | Take Two Interactive Software, Inc., 4.00%, 4/14/32, Callable 1/14/32 @ 100 | 245,090 | ||||||
285,000 | Walt Disney Co. (The), 3.60%, 1/13/51, Callable 7/13/50 @ 100 | 239,302 | ||||||
|
| |||||||
597,703 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.8%): | ||||||||
590,000 | American Campus Communities Operating Partnership LP, 3.63%, 11/15/27, Callable 8/15/27 @ 100 | 580,584 | ||||||
180,000 | GLP Capital LP / GLP Financing II, Inc., 5.25%, 6/1/25, Callable 3/1/25 @ 100 | 177,041 | ||||||
460,000 | GLP Capital LP / GLP Financing II, Inc., 5.38%, 4/15/26, Callable 1/15/26 @ 100 | 450,983 | ||||||
105,000 | GLP Capital LP / GLP Financing II, Inc., 5.75%, 6/1/28, Callable 3/3/28 @ 100 | 103,249 | ||||||
290,000 | GLP Capital LP / GLP Financing II, Inc., 5.30%, 1/15/29, Callable 10/15/28 @ 100 | 277,491 | ||||||
5,000 | GLP Capital LP / GLP Financing II, Inc., 4.00%, 1/15/30, Callable 10/15/29 @ 100 | 4,401 |
See accompanying notes to the financial statements.
5
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
$ | 110,000 | Healthcare Trust of America Holdings LP, 3.10%, 2/15/30, Callable 11/15/29 @ 100 | $ | 95,034 | ||||
250,000 | VICI Properties LP, 5.13%, 5/15/32, Callable 2/15/32 @ 100 | 235,000 | ||||||
|
| |||||||
1,923,783 | ||||||||
|
| |||||||
Food Products (0.6%): | ||||||||
265,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.00%, 2/2/29, Callable 12/2/28 @ 100(b) | 224,588 | ||||||
16,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 6.50%, 4/15/29, Callable 4/15/24 @ 103.25(b) | 16,100 | ||||||
30,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.50%, 1/15/30, Callable 1/15/25 @ 102.75(b) | 28,350 | ||||||
130,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 3.75%, 12/1/31, Callable 12/1/26 @ 101.88(b) | 107,088 | ||||||
790,000 | Kraft Heinz Foods Co., 4.88%, 10/1/49, Callable 4/1/49 @ 100 | 700,145 | ||||||
25,000 | Pilgrim’s Pride Corp., 5.88%, 9/30/27, Callable 9/30/22 @ 102.94(b) | 23,875 | ||||||
367,000 | Post Holdings, Inc., 5.75%, 3/1/27, Callable 7/22/22 @ 102.88(b) | 355,072 | ||||||
|
| |||||||
1,455,218 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.3%): | ||||||||
455,000 | Becton Dickinson And Co., 1.96%, 2/11/31, Callable 11/11/30 @ 100 | 368,349 | ||||||
280,000 | Embecta Corp., 5.00%, 2/15/30, Callable 2/15/27 @ 101.25(b) | 238,000 | ||||||
|
| |||||||
606,349 | ||||||||
|
| |||||||
Health Care Providers & Services (2.1%): | ||||||||
200,000 | Aetna, Inc., 3.50%, 11/15/24, Callable 8/15/24 @ 100 | 198,054 | ||||||
140,000 | Centene Corp., 4.25%, 12/15/27, Callable 12/15/22 @ 102.13 | 130,200 | ||||||
83,000 | Centene Corp., 2.45%, 7/15/28, Callable 5/15/28 @ 100 | 69,305 | ||||||
569,000 | Centene Corp., 3.00%, 10/15/30, Callable 7/15/30 @ 100 | 469,425 | ||||||
780,000 | Cigna Corp., 4.13%, 11/15/25, Callable 9/15/25 @ 100 | 782,111 | ||||||
290,000 | CommonSpirit Health, 2.78%, 10/1/30, Callable 4/1/30 @ 100 | 252,241 | ||||||
400,000 | CVS Health Corp., 4.88%, 7/20/35, Callable 1/20/35 @ 100 | 397,922 | ||||||
525,000 | CVS Health Corp., 5.05%, 3/25/48, Callable 9/25/47 @ 100 | 504,733 | ||||||
275,000 | Encompass Health Corp., 4.63%, 4/1/31, Callable 4/1/26 @ 102.31 | 221,719 | ||||||
93,000 | HCA, Inc., 5.25%, 4/15/25 | 93,233 | ||||||
110,000 | HCA, Inc., 5.25%, 6/15/26, Callable 12/15/25 @ 100 | 110,000 | ||||||
640,000 | HCA, Inc., 4.13%, 6/15/29, Callable 3/15/29 @ 100 | 583,200 | ||||||
90,000 | HCA, Inc., 2.38%, 7/15/31, Callable 4/15/31 @ 100 | 70,544 | ||||||
255,000 | HCA, Inc., 5.50%, 6/15/47, Callable 12/15/46 @ 100 | 230,775 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
$ | 145,000 | HCA, Inc., 5.25%, 6/15/49, Callable 12/15/48 @ 100 | $ | 127,600 | ||||
365,000 | HCA, Inc., 4.63%, 3/15/52, Callable 9/15/51 @ 100(b) | 293,779 | ||||||
75,000 | Humana, Inc., 4.95%, 10/1/44, Callable 4/1/44 @ 100 | 73,390 | ||||||
409,000 | Molina Healthcare, Inc., 3.88%, 11/15/30, Callable 8/17/30 @ 100(b) | 349,695 | ||||||
150,000 | Option Care Health, Inc., 4.38%, 10/31/29, Callable 10/31/24 @ 102.19(b) | 128,250 | ||||||
|
| |||||||
5,086,176 | ||||||||
|
| |||||||
Health Care Technology (0.0%†): | ||||||||
23,000 | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.75%, 3/1/25, Callable 7/18/22 @ 100(b) | 22,482 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
125,000 | Papa John S International, 3.88%, 9/15/29, Callable 9/15/24 @ 101.94(b) | 102,187 | ||||||
275,000 | Starbucks Corp., 3.00%, 2/14/32, Callable 11/14/31 @ 100 | 239,584 | ||||||
|
| |||||||
341,771 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
275,000 | Spectrum Brands, Inc., 5.50%, 7/15/30, Callable 7/15/25 @ 102.75(b) | 247,844 | ||||||
|
| |||||||
Industrial Conglomerates (0.1%): | ||||||||
103,000 | General Electric Co., Series A, 6.75%, 3/15/32 | 115,505 | ||||||
|
| |||||||
Insurance (0.9%): | ||||||||
135,000 | Aon Corp. / Aon Global Holdings plc, 3.90%, 2/28/52, Callable 8/28/51 @ 100 | 111,432 | ||||||
225,000 | Athene Global Funding, 1.01% (SOFR+70 bps), 5/24/24(b) | 218,485 | ||||||
125,000 | Athene Global Funding, 3.21%, 3/8/27(b) | 113,863 | ||||||
375,000 | Athene Global Funding, 1.99%, 8/19/28(b) | 311,619 | ||||||
130,000 | Athene Global Funding, 2.72%, 1/7/29(b) | 111,624 | ||||||
700,000 | Farmers Exchange Capital III, 5.45% (US0003M+345 bps), 10/15/54, Callable 10/15/34 @ 100(b) | 709,976 | ||||||
670,000 | Farmers Insurance Exchange, 4.75% (US0003M+323 bps), 11/1/57, Callable 11/1/37 @ 100(b) | 620,541 | ||||||
|
| |||||||
2,197,540 | ||||||||
|
| |||||||
IT Services (0.0%†): | ||||||||
80,000 | Colt Merger Sub, Inc., 8.13%, 7/1/27, Callable 7/1/23 @ 104.06(b) | 77,000 | ||||||
|
| |||||||
Media (0.8%): | ||||||||
290,000 | Cable One, Inc., 4.00%, 11/15/30, Callable 11/15/25 @ 102(b) | 236,350 | ||||||
208,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 4.75%, 2/1/32, Callable 2/1/27 @ 102.38(b) | 170,300 | ||||||
499,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.75%, 4/1/48, Callable 10/1/47 @ 100 | 449,178 | ||||||
35,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.80%, 3/1/50, Callable 9/1/49 @ 100 | 27,931 | ||||||
380,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 5.25%, 4/1/53, Callable 10/1/52 @ 100 | 324,562 |
See accompanying notes to the financial statements.
6
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Media, continued | ||||||||
$ | 30,000 | CSC Holdings LLC, 5.38%, 2/1/28, Callable 2/1/23 @ 102.69(b) | $ | 26,175 | ||||
490,000 | CSC Holdings LLC, 4.13%, 12/1/30, Callable 12/1/25 @ 102.06(b) | 374,850 | ||||||
465,000 | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.38%, 8/15/26, Callable 8/15/22 @ 102.69(b) | 113,925 | ||||||
120,000 | Time Warner Cable LLC, 5.88%, 11/15/40, Callable 5/15/40 @ 100 | 110,595 | ||||||
125,000 | Time Warner Cable LLC, 5.50%, 9/1/41, Callable 3/1/41 @ 100 | 109,493 | ||||||
|
| |||||||
1,943,359 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.8%): | ||||||||
210,000 | Energy Transfer LP, 5.50%, 6/1/27, Callable 3/1/27 @ 100 | 212,362 | ||||||
264,000 | Energy Transfer LP, 4.95%, 6/15/28, Callable 3/15/28 @ 100 | 260,370 | ||||||
670,000 | Energy Transfer LP, 5.40%, 10/1/47, Callable 4/1/47 @ 100 | 589,600 | ||||||
55,000 | Enterprise Products Operating LLC, 5.10%, 2/15/45, Callable 8/15/44 @ 100 | 51,974 | ||||||
18,000 | Exxon Mobil Corp., 4.33%, 3/19/50, Callable 9/19/49 @ 100 | 17,105 | ||||||
163,000 | Occidental Petroleum Corp., 7.29%, 10/10/36(d) | 79,259 | ||||||
200,000 | Occidental Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100 | 159,000 | ||||||
250,000 | Rockies Express Pipeline LLC, 4.95%, 7/15/29, Callable 4/15/29 @ 100(b) | 213,750 | ||||||
250,000 | Rockies Express Pipeline LLC, 4.80%, 5/15/30, Callable 2/15/30 @ 100(b) | 207,500 | ||||||
89,000 | Sunoco LP / Sunoco Finance Corp., 4.50%, 4/30/30, Callable 4/30/25 @ 102.25(b) | 73,870 | ||||||
|
| |||||||
1,864,790 | ||||||||
|
| |||||||
Pharmaceuticals (0.7%): | ||||||||
90,000 | Bayer US Finance II LLC, 4.25%, 12/15/25, Callable 10/15/25 @ 100(b) | 88,933 | ||||||
955,000 | Bayer US Finance II LLC, 4.38%, 12/15/28, Callable 9/15/28 @ 100(b) | 928,085 | ||||||
490,000 | Bayer US Finance II LLC, 4.63%, 6/25/38, Callable 12/25/37 @ 100(b) | 445,876 | ||||||
160,000 | Bayer US Finance II LLC, 4.88%, 6/25/48, Callable 12/25/47 @ 100(b) | 144,413 | ||||||
317,000 | Endo Dac / Endo Finance LLC / Endo Finco, Inc., 6.00%, 6/30/28, Callable 6/30/23 @ 104.5(b) | 24,568 | ||||||
|
| |||||||
1,631,875 | ||||||||
|
| |||||||
Real Estate (0.3%): | ||||||||
180,000 | Healthcare Trust of America Holdings, LP, 2.00%, 3/15/31, Callable 12/15/30 @ 100 | 139,854 | ||||||
15,000 | VICI Properties LP, 4.95%, 2/15/30, Callable 12/15/29 @ 100 | 14,081 | ||||||
20,000 | VICI Properties LP / VICI Note Co., Inc., 4.63%, 6/15/25, Callable 3/15/25 @ 100(b) | 19,025 | ||||||
75,000 | VICI Properties LP / VICI Note Co., Inc., 4.50%, 9/1/26, Callable 6/1/26 @ 100(b) | 69,000 | ||||||
15,000 | Vici Properties Vici Note, 3.75%, 2/15/27, Callable 2/15/23 @ 101.88(b) | 13,425 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Real Estate, continued | ||||||||
$ | 132,000 | Vici Properties, LP, 5.63%, 5/15/52, Callable 11/15/51 @ 100 | $ | 121,110 | ||||
90,000 | Vici Properties, LP Vici Note Co., Inc., 5.75%, 2/1/27, Callable 11/1/26 @ 100(b) | 87,075 | ||||||
45,000 | Vici Properties, LP Vici Note Co., Inc., 4.50%, 1/15/28, Callable 10/15/27 @ 100(b) | 40,781 | ||||||
130,000 | Vici Properties, LP Vici Note Co., Inc., 3.88%, 2/15/29, Callable 11/15/28 @ 100(b) | 111,475 | ||||||
|
| |||||||
615,826 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (0.1%): | ||||||||
130,000 | Broadcom, Inc., 4.30%, 11/15/32, Callable 8/15/32 @ 100 | 118,231 | ||||||
140,000 | Broadcom, Inc., 3.42%, 4/15/33, Callable 1/15/33 @ 100(b) | 115,925 | ||||||
|
| |||||||
234,156 | ||||||||
|
| |||||||
Software (0.2%): | ||||||||
70,000 | Oracle Corp., 2.88%, 3/25/31, Callable 12/25/30 @ 100 | 57,767 | ||||||
70,000 | Oracle Corp., 3.80%, 11/15/37, Callable 5/15/37 @ 100 | 55,417 | ||||||
565,000 | Oracle Corp., 3.95%, 3/25/51, Callable 9/25/50 @ 100 | 414,948 | ||||||
|
| |||||||
528,132 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.0%†): | ||||||||
25,000 | USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 4/1/26, Callable 8/8/22 @ 103.44 | 22,562 | ||||||
|
| |||||||
Tobacco (0.5%): | ||||||||
625,000 | BAT Capital Corp., 4.54%, 8/15/47, Callable 2/15/47 @ 100 | 460,317 | ||||||
130,000 | BAT Capital Corp., 5.65%, 3/16/52, Callable 9/16/51 @ 100 | 112,796 | ||||||
610,000 | Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/15/45 @ 100 | 514,278 | ||||||
|
| |||||||
1,087,391 | ||||||||
|
| |||||||
Utilities (0.1%): | ||||||||
265,000 | NextEra Energy Capital Holdings, Inc., 4.63%, 7/15/27, Callable 6/15/27 @ 100 | 268,695 | ||||||
|
| |||||||
Wireless Telecommunication Services (1.0%): | ||||||||
27,000 | Sprint Corp., 7.88%, 9/15/23 | 27,844 | ||||||
845,627 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC, 4.74%, 3/20/25, Callable 3/20/24 @ 100(b) | 849,305 | ||||||
235,000 | T-Mobile USA, Inc., 2.25%, 2/15/26, Callable 2/15/23 @ 101.13 | 211,268 | ||||||
444,000 | T-Mobile USA, Inc., 2.63%, 4/15/26, Callable 4/15/23 @ 101.31 | 404,189 | ||||||
205,000 | T-Mobile USA, Inc., 3.75%, 4/15/27, Callable 2/15/27 @ 100 | 197,420 | ||||||
280,000 | T-Mobile USA, Inc., 3.88%, 4/15/30, Callable 1/15/30 @ 100 | 262,086 | ||||||
222,000 | T-Mobile USA, Inc., 2.55%, 2/15/31, Callable 11/15/30 @ 100 | 186,977 |
See accompanying notes to the financial statements.
7
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
$ | 395,000 | T-Mobile USA, Inc., 4.38%, 4/15/40, Callable 10/15/39 @ 100 | $ | 352,636 | ||||
|
| |||||||
2,491,725 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $62,037,382) | 55,294,626 | |||||||
|
| |||||||
Yankee Debt Obligations (7.5%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
345,000 | Avolon Holdings Funding, Ltd., 2.88%, 2/15/25, Callable 1/15/25 @ 100(b) | 316,537 | ||||||
355,000 | Avolon Holdings Funding, Ltd., 2.53%, 11/18/27, Callable 10/18/27 @ 100(b) | 291,987 | ||||||
|
| |||||||
608,524 | ||||||||
|
| |||||||
Banks (2.1%): | ||||||||
450,000 | DNB Bank ASA, 1.60% (H15T1Y+68 bps), 3/30/28, Callable 3/30/27 @ 100(b) | 391,421 | ||||||
450,000 | HSBC Holdings plc, 2.10% (SOFR+193 bps), 6/4/26, Callable 6/4/25 @ 100 | 416,261 | ||||||
440,000 | HSBC Holdings plc, 2.01% (SOFR+173 bps), 9/22/28, Callable 9/22/27 @ 100 | 376,614 | ||||||
410,000 | HSBC Holdings plc, 2.21% (SOFR+129 bps), 8/17/29, Callable 8/17/28 @ 100 | 345,526 | ||||||
305,000 | HSBC Holdings plc, 2.80% (SOFR+119 bps), 5/24/32, Callable 5/24/31 @ 100 | 251,323 | ||||||
295,000 | HSBC Holdings PLC, 4.75% (SOFR+211 bps), 6/9/28, Callable 6/9/27 @ 100 | 287,940 | ||||||
155,000 | Lloyds Banking Group plc, 2.91% (US0003M+81 bps), 11/7/23, Callable 11/7/22 @ 100 | 154,493 | ||||||
145,000 | Lloyds Banking Group plc, 3.87% (H15T1Y+4 bps), 7/9/25, Callable 7/9/24 @ 100 | 142,851 | ||||||
450,000 | Lloyds Banking Group plc, 1.63% (H15T1Y+85 bps), 5/11/27, Callable 5/11/26 @ 100 | 400,157 | ||||||
200,000 | Lloyds Banking Group plc, 3.75% (H15T1Y+180 bps), 3/18/28, Callable 3/18/27 @ 100 | 190,009 | ||||||
545,000 | NatWest Group plc, 4.27% (US0003M+176 bps), 3/22/25, Callable 3/22/24 @ 100 | 538,761 | ||||||
390,000 | Santander UK Group Holdings plc, 4.80% (US0003M+157 bps), 11/15/24, Callable 11/15/23 @ 100 | 391,003 | ||||||
590,000 | Santander UK Group Holdings plc, 1.09% (SOFR+79 bps), 3/15/25, Callable 3/15/24 @ 100 | 551,852 | ||||||
45,000 | Santander UK Group Holdings plc, 1.53% (H15T1Y+125 bps), 8/21/26, Callable 8/21/25 @ 100 | 40,326 | ||||||
30,000 | Santander UK Group Holdings plc, 1.67% (SOFR+99 bps), 6/14/27, Callable 6/14/26 @ 100 | 26,288 | ||||||
410,000 | Santander UK plc, 5.00%, 11/7/23(b) | 412,972 | ||||||
|
| |||||||
4,917,797 | ||||||||
|
| |||||||
Beverages (0.1%): | ||||||||
275,000 | Bacardi, Ltd., 4.45%, 5/15/25, Callable 3/15/25 @ 100(b) | 272,728 | ||||||
|
| |||||||
Biotechnology (0.1%): | ||||||||
275,000 | Grifols Escrow Issuer SA, 4.75%, 10/15/28, Callable 10/15/24 @ 102.38(b) | 238,562 | ||||||
|
|
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Capital Markets (0.9%): | ||||||||
$ | 380,000 | Credit Suisse Group AG, 2.59% (SOFR+156 bps), 9/11/25, Callable 9/11/24 @ 100(b) | $ | 357,421 | ||||
625,000 | Credit Suisse Group AG, 2.19% (SOFR+204 bps), 6/5/26, Callable 6/5/25 @ 100(b) | 568,531 | ||||||
185,000 | Credit Suisse Group AG, 1.30% (SOFR+98 bps), 2/2/27, Callable 2/2/26 @ 100(b) | 159,670 | ||||||
280,000 | Credit Suisse Group AG, 3.09% (SOFR+173 bps), 5/14/32, Callable 5/14/31 @ 100(b) | 224,077 | ||||||
165,000 | Macquarie Group, Ltd., 2.69% (SOFR+144 bps), 6/23/32, Callable 6/23/31 @ 100(b) | 132,799 | ||||||
570,000 | Macquarie Group, Ltd., 2.87% (SOFR+153 bps), 1/14/33, Callable 1/14/32 @ 100(b) | 466,959 | ||||||
170,000 | Macquarie Group, Ltd., 4.44% (SOFR+241 bps), 6/21/33, Callable 6/21/32 @ 100(b) | 158,520 | ||||||
200,000 | UBS Group AG, 4.49% (H15T1Y+155 bps), 5/12/26, Callable 5/12/25 @ 100(b) | 199,455 | ||||||
|
| |||||||
2,267,432 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
270,000 | Trivium Packaging Finance BV, 5.50%, 8/15/26, Callable 8/15/22 @ 102.75(b) | 253,800 | ||||||
|
| |||||||
Diversified Financial Services (0.3%): | ||||||||
394,000 | GE Capital International Funding, 4.42%, 11/15/35 | 369,986 | ||||||
285,000 | Park Aerospace Holdings, 4.50%, 3/15/23, Callable 2/15/23 @ 100(b) | 285,000 | ||||||
72,000 | Park Aerospace Holdings, 5.50%, 2/15/24(b) | 71,190 | ||||||
223,000 | Shell International Finance BV, 4.00%, 5/10/46 | 199,069 | ||||||
|
| |||||||
925,245 | ||||||||
|
| |||||||
Energy Equipment & Services (0.0%†): | ||||||||
111,150 | Transocean Phoenix 2, Ltd., 7.75%, 10/15/24, Callable 8/8/22 @ 102.58(b) | 106,704 | ||||||
113,438 | Transocean Poseidon, Ltd., 6.88%, 2/1/27, Callable 8/8/22 @ 105.16(b) | 101,243 | ||||||
31,050 | Transocean Proteus, Ltd., 6.25%, 12/1/24, Callable 8/8/22 @ 102.08(b) | 29,342 | ||||||
|
| |||||||
237,289 | ||||||||
|
| |||||||
Food & Staples Retailing (0.2%): | ||||||||
475,000 | Alimentation Couche-Tard, Inc., 3.55%, 7/26/27, Callable 4/26/27 @ 100(b) | 442,344 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.1%): | ||||||||
300,000 | 1011778 BC ULC / New Red Finance, Inc., 4.00%, 10/15/30, Callable 10/15/25 @ 102(b) | 243,000 | ||||||
|
| |||||||
Industrial Services (0.1%): | ||||||||
290,000 | Airport Authority, 3.25%, 1/12/52, Callable 7/12/51 @ 100(b) | 231,414 | ||||||
|
| |||||||
Interactive Media & Services (0.1%): | ||||||||
295,000 | Tencent Holdings, Ltd., 3.68%, 4/22/41, Callable 10/22/40 @ 100(b) | 237,664 | ||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
200,000 | Indonesia Asahan Aluminium Persero PT, 6.53%, 11/15/28(b) | 202,750 | ||||||
|
| |||||||
National (0.1%): | ||||||||
200,000 | Republic of South Africa Government International, 5.88%, 4/20/32 | 170,764 | ||||||
|
|
See accompanying notes to the financial statements.
8
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Oil, Gas & Consumable Fuels (0.5%): | ||||||||
$ | 200,000 | Ecopetrol SA, 6.88%, 4/29/30, Callable 1/29/30 @ 100 | $ | 176,000 | ||||
200,000 | KazMunayGas National Co. JSC, 5.38%, 4/24/30 | 176,500 | ||||||
630,000 | Petroleos Mexicanos, 6.75%, 9/21/47 | 386,124 | ||||||
120,000 | Petroleos Mexicanos, 7.69%, 1/23/50, Callable 7/23/49 @ 100 | 80,434 | ||||||
85,000 | Petroleos Mexicanos, 6.95%, 1/28/60, Callable 7/28/59 @ 100 | 52,729 | ||||||
200,000 | Petronas Capital, Ltd., 3.50%, 4/21/30, Callable 1/21/30 @ 100(b) | 187,504 | ||||||
|
| |||||||
1,059,291 | ||||||||
|
| |||||||
Sovereign Bond (1.3%): | ||||||||
400,000 | Abu Dhabi Government International, 2.50%, 9/30/29 | 368,220 | ||||||
200,000 | Arab Republic of Egypt, 7.60%, 3/1/29(b) | 146,001 | ||||||
200,000 | Brazilian Government International Bond, 3.88%, 6/12/30 | 167,796 | ||||||
200,000 | Chile Government International Bond, 3.24%, 2/6/28, Callable 11/6/27 @ 100 | 188,040 | ||||||
200,000 | Dominican Republic International Bond, 4.50%, 1/30/30(b) | 158,750 | ||||||
225,000 | Mexico Government International Bond, 3.75%, 1/11/28 | 214,825 | ||||||
200,000 | Panama Government International Bond, 3.16%, 1/23/30, Callable 10/23/29 @ 100 | 176,750 | ||||||
200,000 | Paraguay Government International Bond, 4.70%, 3/27/27 | 191,500 | ||||||
200,000 | Peruvian Government International Bond, 2.84%, 6/20/30 | 173,840 | ||||||
200,000 | Qatar Government International Bond, 4.50%, 4/23/28 | 207,490 | ||||||
200,000 | Republic of Colombia, 3.00%, 1/30/30, Callable 10/30/29 @ 100 | 151,195 | ||||||
20,000 | Republic of Peru, 4.13%, 8/25/27 | 19,574 | ||||||
200,000 | Saudi Government International Bond, 3.25%, 10/26/26 | 195,626 | ||||||
200,000 | Saudi Government International Bond, 3.63%, 3/4/28 | 197,480 | ||||||
|
| |||||||
2,557,087 | ||||||||
|
| |||||||
Telecommunications (0.3%): | ||||||||
6,202 | Intelsat, 0.00% | 169,005 | ||||||
540,000 | Intelsat, 0.00%(a)(e) | — | ||||||
111,000 | Intelsat, 0.00%(a)(e) | — | ||||||
690,000 | Intelsat Jackson Holdings SA, 6.50%, 3/15/30, Callable 3/15/25 @ 102(b) | 569,609 | ||||||
|
| |||||||
738,614 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.3%): | ||||||||
330,000 | Nationwide Building Society, 3.77% (US0003M+106 bps), 3/8/24, Callable 3/8/23 @ 100(b) | 329,424 | ||||||
140,000 | Nationwide Building Society, 4.36% (US0003M+139 bps), 8/1/24, Callable 8/1/23 @ 100(b) | 140,347 | ||||||
245,000 | Nationwide Building Society, 2.97% (SOFR+129 bps), 2/16/28, Callable 2/16/27 @ 100^(b) | 223,773 | ||||||
|
| |||||||
693,544 | ||||||||
|
|
Principal Amount | Value | |||||||
Yankee Debt Obligations, continued | ||||||||
Tobacco (0.1%): | ||||||||
$ | 280,000 | Imperial Brands Finance plc, 3.13%, 7/26/24, Callable 6/26/24 @ 100(b) | $ | 271,082 | ||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
140,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/26, Callable 9/29/26 @ 100 | 121,979 | ||||||
580,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.30%, 1/30/32, Callable 10/30/31 @ 100 | 465,346 | ||||||
|
| |||||||
587,325 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.3%): | ||||||||
345,000 | Vodafone Group plc, 5.25%, 5/30/48 | 328,843 | ||||||
468,000 | Vodafone Group plc, 4.88%, 6/19/49 | 430,326 | ||||||
|
| |||||||
759,169 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $20,088,896) | 17,915,425 | |||||||
|
| |||||||
Municipal Bonds (0.7%): | ||||||||
California (0.5%): | ||||||||
700,000 | Los Angeles Unified School District, Build America Bonds, GO, 5.76%, 7/1/29 | 760,697 | ||||||
570,000 | Regents of the University of California Medical Center Pooled Revenue, Series N, 3.26%, 5/15/60, Continuously Callable @100 | 404,791 | ||||||
|
| |||||||
1,165,488 | ||||||||
|
| |||||||
Michigan (0.0%†): | ||||||||
70,000 | University of Michigan Revenue, Series A, 3.50%, 4/1/52, Continuously Callable @100 | 64,702 | ||||||
|
| |||||||
New York (0.2%): | ||||||||
420,000 | City of New York NY, GO, Series A, 3.00%, 8/1/34, Continuously Callable @100 | 364,190 | ||||||
|
| |||||||
Total Municipal Bonds (Cost $1,893,230) | 1,594,380 | |||||||
|
| |||||||
U.S. Government Agency Mortgages (34.4%): | ||||||||
Federal National Mortgage Association (23.3%) | ||||||||
395,054 | 3.50%, 1/1/32, Pool #AB4262 | 387,713 | ||||||
50,520 | 3.00%, 7/1/32, Pool #MA3060 | 49,801 | ||||||
290,005 | 3.00%, 10/1/33, Pool #MA1676 | 276,674 | ||||||
485,000 | 2.46%, 4/1/40, Pool #BL6060 | 378,881 | ||||||
966,774 | 2.00%, 9/1/40, Pool #MA4152 | 858,069 | ||||||
1,198,211 | 2.00%, 11/1/40, Pool #MA4176 | 1,078,825 | ||||||
222,632 | 2.00%, 5/1/41, Pool #MA4333 | 197,776 | ||||||
24,881 | 4.00%, 8/1/42, Pool #MA1146 | 24,939 | ||||||
520,512 | 3.50%, 4/1/43, Pool #MA1404 | 514,046 | ||||||
237,547 | 4.50%, 2/1/46, Pool #AL9106 | 245,291 | ||||||
55,145 | Class QA , Series 2018-573.50%, 5/25/46 | 54,513 | ||||||
214,293 | Class PA , Series 2018-553.50%, 1/25/47 | 212,155 | ||||||
124,683 | 4.00%, 6/1/47, Pool #AS9830 | 124,575 | ||||||
113,374 | 4.00%, 7/1/47, Pool #AS9972 | 113,276 | ||||||
8,728 | 4.00%, 8/1/47, Pool #MA3088 | 8,735 | ||||||
717,428 | 3.50%, 1/1/48, Pool #CA0996 | 693,915 | ||||||
33,681 | 3.50%, 1/1/48, Pool #MA3238 | 32,890 | ||||||
405,174 | 4.50%, 5/1/48, Pool #CA1710 | 407,246 | ||||||
35,704 | 4.50%, 5/1/48, Pool #CA1711 | 35,887 | ||||||
297,451 | Class CT , Series 2018-433.00%, 6/25/48 | 283,006 | ||||||
246,140 | 4.50%, 8/1/48, Pool #CA2208 | 247,619 | ||||||
807,361 | 3.50%, 6/1/49, Pool #CA3633 | 780,005 | ||||||
640,502 | 3.00%, 9/1/49, Pool #BN7755 | 606,164 | ||||||
183,307 | 3.00%, 10/1/49, Pool #MA3811 | 174,775 |
See accompanying notes to the financial statements.
9
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Federal National Mortgage Association, continued | ||||||||
$ | 825,000 | 3.00%, 8/25/51, TBA | $ | 768,539 | ||||
1,381,955 | 2.00%, 12/1/51, Pool #MA4492 | 1,200,542 | ||||||
1,416,491 | 2.00%, 12/1/51, Pool #BU7089 | 1,230,748 | ||||||
1,806,357 | 2.00%, 12/1/51, Pool #BQ6913 | 1,569,095 | ||||||
1,375,841 | 2.00%, 1/1/52, Pool #CB2767 | 1,195,027 | ||||||
1,323,358 | 2.50%, 3/1/52, Pool #MA4563 | 1,193,427 | ||||||
2,825,000 | 4.50%, 7/25/52, TBA | 2,836,918 | ||||||
1,875,000 | 3.50%, 7/25/52, TBA | 1,803,516 | ||||||
4,725,000 | 2.50%, 7/25/52, TBA | 4,253,976 | ||||||
8,150,000 | 3.00%, 7/25/52, TBA | 7,601,148 | ||||||
4,875,000 | 2.00%, 7/25/52, TBA | 4,231,348 | ||||||
2,925,000 | 4.00%, 7/25/52, TBA | 2,885,695 | ||||||
7,675,000 | 2.00%, 8/25/52, TBA | 6,653,266 | ||||||
10,250,000 | 2.50%, 8/25/52, TBA | 9,216,992 | ||||||
1,025,000 | 3.50%, 8/25/52, TBA | 984,801 | ||||||
|
| |||||||
55,411,814 | ||||||||
|
| |||||||
Federal Home Loan Mortgage Corporation (6.4%) | ||||||||
187,766 | 3.00%, 3/1/31, Pool #G18592 | 184,798 | ||||||
440,924 | 3.50%, 1/1/34, Pool #G16756 | 440,062 | ||||||
955,763 | 3.50%, 4/1/44, Pool #G07848 | 929,892 | ||||||
1,208,421 | 3.50%, 4/1/45, Pool #G60023 | 1,177,718 | ||||||
915,930 | 4.00%, 12/1/45, Pool #G60344 | 914,448 | ||||||
543,058 | 3.50%, 6/1/46, Pool #G08711 | 532,003 | ||||||
348,018 | 3.00%, 8/1/46, Pool #G08715 | 330,116 | ||||||
377,769 | 3.50%, 8/1/46, Pool #G08716 | 370,077 | ||||||
92,957 | 3.00%, 9/1/46, Pool #G08721 | 88,178 | ||||||
151,385 | 3.50%, 9/1/46, Pool #G08722 | 148,300 | ||||||
460,869 | 3.00%, 10/1/46, Pool #G08726 | 437,169 | ||||||
515,775 | 3.00%, 11/1/46, Pool #G08732 | 489,249 | ||||||
653,968 | 3.00%, 1/1/47, Pool #G08741 | 620,308 | ||||||
631,585 | 3.50%, 4/1/47, Pool #G67703 | 609,430 | ||||||
64,236 | Class PA , Series 48464.00%, 6/15/47 | 64,065 | ||||||
823,978 | 3.50%, 12/1/47, Pool #G67706 | 803,719 | ||||||
251,146 | 3.50%, 12/1/47, Pool #G08792 | 245,485 | ||||||
1,597,042 | 3.50%, 1/1/48, Pool #G67707 | 1,586,880 | ||||||
288,581 | 3.50%, 2/1/48, Pool #G08800 | 281,646 | ||||||
782,934 | 4.00%, 3/1/48, Pool #G67711 | 790,088 | ||||||
384,858 | 3.50%, 3/1/48, Pool #G67710 | 377,458 | ||||||
69,130 | Class CA , Series 48183.00%, 4/15/48 | 64,029 | ||||||
269,436 | 3.50%, 6/1/48, Pool #G08816 | 262,948 | ||||||
2,909 | 4.00%, 6/1/48, Pool #G67713 | 2,908 | ||||||
83,328 | 5.00%, 7/1/48, Pool #G08833 | 85,378 | ||||||
200,160 | 4.50%, 10/1/48, Pool #G08843 | 203,597 | ||||||
691,838 | 2.00%, 4/1/52, Pool #QE0312 | 600,910 | ||||||
1,356,818 | 2.50%, 4/1/52, Pool #SD8205 | 1,223,565 | ||||||
1,366,613 | Class HZ , Series 46393.25%, 4/15/53 | 1,226,824 | ||||||
|
| |||||||
15,091,248 | ||||||||
|
| |||||||
Government National Mortgage Association (3.5%) | ||||||||
252,388 | 3.50%, 3/20/46, Pool #MA3521 | 248,348 | ||||||
261,227 | 3.50%, 4/20/46, Pool #MA3597 | 257,048 | ||||||
49,534 | 3.50%, 5/20/46, Pool #MA3663 | 48,742 | ||||||
106,634 | 3.50%, 9/20/46, Pool #MA3937 | 104,929 | ||||||
580,584 | 3.00%, 12/20/46, Pool #MA4126 | 555,373 | ||||||
427,595 | 3.50%, 1/20/47, Pool #MA4196 | 420,755 | ||||||
78,793 | 5.00%, 3/20/47, Pool #MA4324 | 83,862 |
Principal Amount or Contracts | Value | |||||||
U.S. Government Agency Mortgages, continued | ||||||||
Government National Mortgage Association, continued | ||||||||
$ | 83,513 | 3.50%, 6/20/47, Pool #MA4510 | $ | 82,013 | ||||
188,737 | 5.00%, 6/20/47, Pool #MA4513 | 193,470 | ||||||
123,248 | 5.00%, 9/20/47, Pool #MA4722 | 129,754 | ||||||
226,139 | 4.00%, 9/20/47, Pool #MA4720 | 227,688 | ||||||
156,778 | 4.00%, 11/20/47, Pool #MA4838 | 157,852 | ||||||
270,628 | 3.00%, 11/20/47, Pool #MA4836 | 255,899 | ||||||
97,477 | 3.50%, 11/20/47, Pool #MA4837 | 95,532 | ||||||
73,805 | 4.00%, 12/20/47, Pool #MA4901 | 74,311 | ||||||
805,631 | 3.50%, 12/20/47, Pool #MA4900 | 791,160 | ||||||
237,110 | 4.00%, 3/20/48, Pool #MA5078 | 238,734 | ||||||
472,531 | 4.50%, 8/20/48, Pool #MA5399 | 485,316 | ||||||
240,191 | Class NW , Series 2018-1243.50%, 9/20/48 | 229,849 | ||||||
132,388 | 4.00%, 9/20/48, Pool #MA5466 | 133,005 | ||||||
171,034 | 3.00%, 10/20/49, Pool #MA6209 | 157,936 | ||||||
3,775,000 | 2.50%, 7/20/52, TBA | 3,457,664 | ||||||
|
| |||||||
8,429,240 | ||||||||
|
| |||||||
Federal Home Loan Bank (1.2%) | ||||||||
2,925,000 | 1.04%, 6/14/24, Callable 7/14/22 @ 100.00 | 2,815,655 | ||||||
|
| |||||||
Total U.S. Government Agency Mortgages (Cost $83,458,959) | 81,747,957 | |||||||
|
| |||||||
U.S. Treasury Obligations (35.0%): | ||||||||
U.S. Treasury Bill (2.0%) | ||||||||
2,270,000 | 1.58%, 9/15/22(d) | 2,262,333 | ||||||
740,000 | 2.00%, 10/20/22(d) | 735,425 | ||||||
915,000 | 2.08%, 11/17/22(d) | 907,669 | ||||||
785,000 | 2.43%, 12/22/22(d) | 775,818 | ||||||
|
| |||||||
4,681,245 | ||||||||
|
| |||||||
U.S. Treasury Bonds (7.8%) | ||||||||
13,267,000 | 2.00%, 11/15/41 | 10,597,017 | ||||||
5,610,000 | 2.38%, 2/15/42 | 4,784,278 | ||||||
3,350,000 | 2.88%, 5/15/52 | 3,189,828 | ||||||
|
| |||||||
18,571,123 | ||||||||
|
| |||||||
U.S. Treasury Inflation Index Bonds (0.2%) | ||||||||
572,000 | 0.13%, 2/15/52 | 470,975 | ||||||
|
| |||||||
U.S. Treasury Notes (25.0%) | ||||||||
1,890,000 | 2.50%, 4/30/24 | 1,874,939 | ||||||
2,785,000 | 2.50%, 5/31/24 | 2,761,937 | ||||||
2,765,000 | 3.00%, 6/30/24 | 2,768,888 | ||||||
26,840,000 | 2.88%, 6/15/25 | 26,760,319 | ||||||
7,455,000 | 2.75%, 4/30/27 | 7,366,472 | ||||||
5,825,000 | 2.63%, 5/31/27 | 5,723,062 | ||||||
11,475,000 | 3.25%, 6/30/27 | 11,605,887 | ||||||
564,000 | 2.88%, 5/15/32 | 559,241 | ||||||
|
| |||||||
59,420,745 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $84,883,526) | 83,144,088 | |||||||
|
| |||||||
Purchased Options (0.0%†)^: | ||||||||
Total Purchased Options (Cost $60,516) | 3,700 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.1%): | ||||||||
230,431 | �� | BlackRock Liquidity FedFund, Institutional Class , 0.19%(d)(f) | 230,431 | |||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 230,431 | ||||||
|
|
See accompanying notes to the financial statements.
10
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Unaffiliated Investment Company (2.4%): | ||||||||
Money Markets (2.4%): | ||||||||
5,815,843 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(d) | $ | 5,815,843 | |||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $5,815,843) | 5,815,843 | |||||||
|
| |||||||
Total Investment Securities (Cost $296,691,376)—118.7% | 282,385,139 | |||||||
Net other assets (liabilities)—(18.7)% | (44,496,698 | ) | ||||||
|
| |||||||
Net Assets—100.0% | $ | 237,888,441 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
GO—General Obligation
H15T1Y—1 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate
TBA—To Be Announced Security
US0001M—1 Month US Dollar LIBOR
US0003M—3 Month US Dollar LIBOR
US0006M—6 Month US Dollar LIBOR
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $221,535. |
^ | See Options table below for more details. |
+ | The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. 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 liquid based on procedures approved by the Board of Trustees. |
(c) | The rate for certain asset-backed and mortgage-backed securities may vary based on factors relating to the pool of assets underlying the security. The rate presented is the rate in effect at June 30, 2022. |
(d) | The rate represents the effective yield at June 30, 2022. |
(e) | Defaulted bond. |
(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, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Treasury 2-Year Note September Futures (U.S. Dollar) | 10/3/22 | 43 | $ | 9,030,672 | $ | (45,491 | ) | |||||||||
U.S. Treasury 5-Year Note September Futures (U.S. Dollar) | 9/30/22 | 5 | 561,250 | (4,057 | ) | |||||||||||
Ultra Long Term U.S. Treasury Bond March Futures (U.S. Dollar) | 9/21/22 | 1 | 154,344 | (1,158 | ) | |||||||||||
|
| |||||||||||||||
$ | (50,706 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
11
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Options Contracts
At June 30, 2022, the Fund’s over-the-counter options purchased were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||
Euro$ 1Y Midcv Op Sep22c | Citigroup | Call | 98.38 USD | 9/16/22 | 36 | $ | 3,542 | $ | 1,800 | |||||||||||||||
Euro$ 1Y Midcv Op Sep22c | Citigroup | Call | 98.75 USD | 9/16/22 | 76 | 7,505 | 1,900 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total (Cost $60,516) | $ | 3,700 | ||||||||||||||||||||||
|
|
At June 30, 2022, the Fund’s over-the-counter options written were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||
Euro$ 1Y Midcv Op Sep22c | Citigroup | Call | 99.00 USD | 9/16/22 | 175 | $ | 17,325 | $ | (2,188 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
Total (Premiums $57,757) | (2,188 | ) | ||||||||||||||||||||||
|
|
Forward Currency Contracts
At June 30, 2022, the Fund’s open forward currency contracts were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
U.S. Dollar | 123,914 | European Euro | 116,000 | Citigroup | 7/8/22 | $ | 2,303 | |||||||||||||||
European Euro | 7,000 | U.S. Dollar | 7,306 | Citigroup | 7/8/22 | 33 | ||||||||||||||||
U.S. Dollar | 115,501 | European Euro | 109,000 | Citigroup | 10/7/22 | 442 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 2,778 | |||||||||||||||||||||
|
| |||||||||||||||||||||
European Euro | 109,000 | U.S. Dollar | 114,741 | Citigroup | 7/8/22 | (469 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Net Forward Currency Contracts |
| $ | 2,309 | |||||||||||||||||||
|
|
Swap Agreements
At June 30, 2022, the Fund’s centrally-cleared swap agreements were as follows:
Paid by the Fund | Received by the Fund | |||||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Expiration Date | Notional Amount | Upfront Premiums Paid/ (Received) | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
3-Month U.S. Dollar LIBOR | Quarterly | 1.0335% | Semi-annually | 7/24/25 | 5,065,000 | USD | $ | — | $ | (185,482 | ) | $ | (185,482 | ) | ||||||||||||||||||||||
3-Month U.S. Dollar LIBOR | Quarterly | 1.0255% | Semi-annually | 7/24/25 | 6,840,000 | USD | — | (251,506 | ) | (251,506 | ) | |||||||||||||||||||||||||
3-Month U.S. Dollar LIBOR | Quarterly | 1.0725% | Semi-annually | 7/24/25 | 3,420,000 | USD | — | (122,746 | ) | (122,746 | ) | |||||||||||||||||||||||||
3-Month U.S. Dollar LIBOR | Quarterly | 1.39% | Semi-annually | 9/28/25 | 7,585,000 | USD | — | (218,333 | ) | (218,333 | ) | |||||||||||||||||||||||||
3-Month U.S. Dollar LIBOR | Quarterly | 1.6875% | Semi-annually | 12/7/25 | 7,820,000 | USD | — | (174,516 | ) | (174,516 | ) | |||||||||||||||||||||||||
1.785% | Semi-annually | 3-Month U.S. Dollar LIBOR | Quarterly | 7/24/53 | 425,000 | USD | — | 89,011 | 89,011 | |||||||||||||||||||||||||||
1.7725% | Semi-annually | 3-Month U.S. Dollar LIBOR | Quarterly | 7/24/53 | 570,000 | USD | — | 120,786 | 120,786 | |||||||||||||||||||||||||||
1.8075% | Semi-annually | 3-Month U.S. Dollar LIBOR | Quarterly | 7/24/53 | 285,000 | USD | — | 58,424 | 58,424 | |||||||||||||||||||||||||||
1.87% | Semi-annually | 3-Month U.S. Dollar LIBOR | Quarterly | 9/28/53 | 645,000 | USD | — | 122,456 | 122,456 | |||||||||||||||||||||||||||
1.7425% | Semi-annually | 3-Month U.S. Dollar LIBOR | Quarterly | 12/7/53 | 655,000 | USD | — | 138,952 | 138,952 | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
$ | (422,954 | ) | $ | (422,954 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
See accompanying notes to the financial statements.
12
AZL MetWest Total Return Bond Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Balances Reported in the Statement of Assets and Liabilities for Options Written, Forward Currency Contracts and Swap Agreements
Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
Centrally cleared swap agreements(a) | $ | — | $ | — | $ | 529,629 | $ | (952,583 | ) | |||||||
Forward currency contracts | 2,778 | (469 | ) | |||||||||||||
Value | ||||||||||||||||
Options Written | $ | (2,188 | ) |
See accompanying notes to the financial statements.
13
AZL MetWest Total Return Bond Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 296,691,376 | |||
|
| ||||
Investment securities, at value(a) | $ | 282,385,139 | |||
Cash | 12,834 | ||||
Deposit at broker for futures contracts collateral | 1,466,729 | ||||
Interest and dividends receivable | 1,103,363 | ||||
Unrealized appreciation on forward currency contracts | 2,778 | ||||
Unrealized appreciation on swap agreements | 529,629 | ||||
Receivable for capital shares issued | 98,430 | ||||
Receivable for investments sold | 218,323 | ||||
Receivable for TBA investments sold | 18,632,717 | ||||
Receivable for variation margin on swap agreements | 420,469 | ||||
Receivable for variation margin on futures contracts | 31,292 | ||||
Prepaid expenses | 740 | ||||
|
| ||||
Total Assets | 304,902,443 | ||||
|
| ||||
Liabilities: | |||||
Unrealized depreciation on forward currency contracts | 469 | ||||
Unrealized depreciation on swap agreements | 952,583 | ||||
Payable for investments purchased | 1,390,233 | ||||
Payable for TBA investments purchased | 63,667,061 | ||||
Payable for capital shares redeemed | 584,828 | ||||
Written Options (Premiums received $57,757) | 2,188 | ||||
Payable for collateral received on loaned securities | 230,431 | ||||
Manager fees payable | 98,473 | ||||
Administration fees payable | 33,116 | ||||
Distribution fees payable | 49,236 | ||||
Custodian fees payable | 953 | ||||
Administrative and compliance services fees payable | 145 | ||||
Transfer agent fees payable | 528 | ||||
Trustee fees payable | 1,244 | ||||
Other accrued liabilities | 2,514 | ||||
|
| ||||
Total Liabilities | 67,014,002 | ||||
|
| ||||
Net Assets | $ | 237,888,441 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 263,775,945 | |||
Total distributable earnings | (25,887,504 | ) | |||
|
| ||||
Net Assets | $ | 237,888,441 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 26,642,303 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.93 | |||
|
|
(a) | Includes securities on loan of $221,535. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 3,219,765 | |||
Dividends | 13,836 | ||||
Income from securities lending | 331 | ||||
|
| ||||
Total Investment Income | 3,233,932 | ||||
|
| ||||
Expenses: | |||||
Management fees | 775,985 | ||||
Administration fees | 38,718 | ||||
Distribution fees | 323,325 | ||||
Custodian fees | 7,074 | ||||
Administrative and compliance services fees | 1,507 | ||||
Transfer agent fees | 2,592 | ||||
Trustee fees | 5,946 | ||||
Professional fees | 4,801 | ||||
Shareholder reports | 1,870 | ||||
Other expenses | 2,532 | ||||
|
| ||||
Total expenses | 1,164,350 | ||||
Less Management fees contractually waived | (129,329 | ) | |||
|
| ||||
Net Expenses | 1,035,021 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,198,911 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (15,456,296 | ) | |||
Net realized gains/(losses) on forward currency contracts | 24,557 | ||||
Net realized gains/(losses) on futures contracts | 60,502 | ||||
Net realized gains/(losses) on written options contracts | (634,285 | ) | |||
Net realized gains/(losses) on swap agreements | 20,825 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (18,421,429 | ) | |||
Change in net unrealized appreciation/depreciation on forward currency contracts | (22,316 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (56,256 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 42,144 | ||||
Change in net unrealized appreciation/depreciation on swap agreements | (209,969 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (34,652,523 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (32,453,612 | ) | ||
|
|
See accompanying notes to the financial statements.
14
AZL MetWest Total Return Bond Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,198,911 | $ | 2,612,736 | ||||||
Net realized gains/(losses) on investments | (15,984,697 | ) | 49,078 | |||||||
Change in unrealized appreciation/depreciation on investments | (18,667,826 | ) | (6,538,739 | ) | ||||||
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|
|
| |||||||
Change in net assets resulting from operations | (32,453,612 | ) | (3,876,925 | ) | ||||||
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|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (19,638,536 | ) | |||||||
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|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (19,638,536 | ) | |||||||
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|
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| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 1,176,158 | 17,585,557 | ||||||||
Proceeds from dividends reinvested | — | 19,638,536 | ||||||||
Value of shares redeemed | (19,329,533 | ) | (20,998,964 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (18,153,375 | ) | 16,225,129 | |||||||
|
|
|
| |||||||
Change in net assets | (50,606,987 | ) | (7,290,332 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 288,495,428 | 295,785,760 | ||||||||
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| |||||||
End of period | $ | 237,888,441 | $ | 288,495,428 | ||||||
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| |||||||
Share Transactions: | ||||||||||
Shares issued | 127,231 | 1,632,332 | ||||||||
Dividends reinvested | — | 1,942,486 | ||||||||
Shares redeemed | (2,070,820 | ) | (1,973,539 | ) | ||||||
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|
| |||||||
Change in shares | (1,943,589 | ) | 1,601,279 | |||||||
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| |||||||
Amounts shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
15
AZL MetWest Total Return Bond Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.09 | $ | 10.96 | $ | 10.55 | $ | 9.97 | $ | 10.20 | $ | 10.07 | ||||||||||||||||||
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| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | (a) | 0.09 | (a) | 0.16 | (a) | 0.25 | (a) | 0.26 | 0.17 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.24 | ) | (0.23 | ) | 0.74 | 0.60 | (0.29 | ) | 0.15 | |||||||||||||||||||||
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| |||||||||||||||||||
Total from Investment Activities | (1.16 | ) | (0.14 | ) | 0.90 | 0.85 | (0.03 | ) | 0.32 | |||||||||||||||||||||
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| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.16 | ) | (0.30 | ) | (0.27 | ) | (0.20 | ) | (0.16 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.57 | ) | (0.19 | ) | — | — | (0.03 | ) | |||||||||||||||||||||
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| |||||||||||||||||||
Total Dividends | — | (0.73 | ) | (0.49 | ) | (0.27 | ) | (0.20 | ) | (0.19 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Net Asset Value, End of Period | $ | 8.93 | $ | 10.09 | $ | 10.96 | $ | 10.55 | $ | 9.97 | $ | 10.20 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | (11.50 | )%(c) | (1.33 | )% | 8.58 | % | 8.49 | % | (0.21 | )% | 3.14 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 237,888 | $ | 288,495 | $ | 295,786 | $ | 318,407 | $ | 321,344 | $ | 366,574 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.70 | % | 0.88 | % | 1.47 | % | 2.37 | % | 2.25 | % | 1.63 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.90 | % | 0.91 | % | 0.92 | % | 0.91 | % | 0.91 | % | 0.91 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.80 | % | 0.81 | % | 0.82 | % | 0.81 | % | 0.85 | % | 0.86 | % | ||||||||||||||||||
Portfolio Turnover Rate | 155 | %(c) | 258 | % | 211 | % | 203 | % | 184 | % | 198 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
16
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services—Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MetWest Total Return Bond Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
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. The Fund will not pay for such securities or start earning interest on them until they are received. When the 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. The Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating
17
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $60 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $230,431 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
TBA Purchase and Sale Commitments
The Fund may enter into to-be-announced (TBA) purchase or sale commitments, pursuant to which it agrees to purchase or sell, respectively, mortgage-backed securities for a fixed unit price, with payment and delivery at a scheduled future date beyond the customary settlement period for such securities. With TBA transactions, the particular securities to be delivered are not identified at the trade date; however, delivered securities must meet specified terms, including issuer, rate, and mortgage term, and be within industry-accepted “good delivery” standards. The Fund may enter into TBA purchase transactions with the intention of taking possession of the underlying securities, may elect to extend the settlement by “rolling” the transaction, and/or may use TBAs to gain interim exposure to underlying securities. Until settlement, the Fund maintains liquid assets sufficient to settle its TBA commitments.
To mitigate counterparty risk, the Fund has entered into agreements with TBA counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all TBA commitments with a particular counterparty. At any time, the Fund’s risk of loss from a particular counterparty related to its TBA commitments is the aggregate unrealized gain on appreciated TBAs in excess of unrealized loss on depreciated TBAs and collateral held, if any, by such counterparty. As of June 30, 2022, no collateral had been posted by the Fund to counterparties for TBAs.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund entered into forward currency contracts in connections with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the
18
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. For the period ended June 30, 2022, the monthly average notional amount for short contracts was $0.6 million. There was no long contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on forward currency contracts” on the Statement of Operations.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $5.2 million, and the monthly average notional amount for short contracts was $0.7 million. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
Options Contracts
The Fund may purchase or write put and call options on a security or an index of securities. During the period ended June 30, 2022, 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 when purchasing options. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written when writing options. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value. For the period ended June 30, 2022, the monthly average notional amount for written options contracts was $38,000. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
Swap Agreements
The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate, foreign currencies and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be identified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.
Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are reported as “Payable/Receivable for variation margin on centrally cleared swap agreements” on the Statement of Assets and Liabilities.
Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members will satisfy its obligations to the Fund.
The notional amounts reflect the extent of the total investment exposure the Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Schedule of Portfolio Investments. The Fund is a party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.
19
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (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, 2022, the Fund entered into OTC and centrally cleared interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The monthly average gross notional amount for interest rate swaps was $33.3 million for the period ended June 30, 2022.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Currency Risk | ||||||||||||
Options Contracts | Written Options contracts* | $ | 2,188 | |||||||||
Interest Rate Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | — | Payable for variation margin on futures contracts* | 50,706 | |||||||
Interest Rate Swap Agreements | Unrealized appreciation on swap agreements | 529,629 | Unrealized depreciation on swap agreements | 952,583 | ||||||||
Foreign Exchange Risk | ||||||||||||
Forward Currency Contracts | Unrealized appreciation on forward currency contracts | 2,778 | Unrealized depreciation on forward currency contracts | 469 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | ||||||||||
Currency Risk |
| ||||||||||||
Options Contracts | Net realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | $ | (634,285 | ) | $ | 42,144 | |||||||
Interest Rate Risk |
| ||||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | 60,502 | 56,256 | ||||||||||
Interest Rate Swap Agreements | Net realized gains/(losses) on swap agreements/ Change in net unrealized appreciation/depreciation on swap agreements | 20,825 | (209,969 | ) | |||||||||
Foreign Exchange Risk | |||||||||||||
Forward Currency Contracts | Net realized gains/(losses) on forward currency contracts/ Change in net unrealized appreciation/depreciation on forward currency contracts | 22,557 | 22,316 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2022. 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, 2022.
20
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
As of June 30, 2022, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Forward currency contracts | $ | 2,778 | $ | 469 | ||||||
Futures contracts | 31,292 | — | ||||||||
Written option contracts | �� | — | 2,188 | |||||||
Swap agreements | 529,629 | 952,583 | ||||||||
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Total derivative assets and liabilities in the Statement of Assets and Liabilities | 563,699 | 955,240 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | (560,921 | ) | (952,583 | ) | ||||||
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Total assets and liabilities subject to a MNA | $ | 2,778 | $ | 2,657 | ||||||
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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, 2022:
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 | ||||||||||||||||||||
Citigroup | $ | 2,778 | $ | (2,657 | ) | $ | — | $ | — | $ | 121 | ||||||||||||||
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Total | $ | 2,778 | $ | (2,657 | ) | $ | — | $ | — | $ | 121 | ||||||||||||||
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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 received by the Fund as of June 30, 2022:
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 | ||||||||||||||||||||
Citigroup | $ | 2,657 | $ | (2,657 | ) | $ | — | $ | — | $ | — | ||||||||||||||
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Total | $ | 2,657 | $ | (2,657 | ) | $ | — | $ | — | $ | — | ||||||||||||||
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* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Metropolitan West Asset Management, LLC (“MetWest”), MetWest provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MetWest Total Return Bond Fund | 0.60 | % | 0.91 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.50% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
21
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Forward currency contracts are generally valued at the forward foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
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.
22
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Rights+ | $ | — | $ | — | $ | — | # | $ | — | |||||||||||
Asset Backed Securities | — | 11,835,685 | — | 11,835,685 | ||||||||||||||||
Collateralized Mortgage Obligations | — | 24,803,004 | — | 24,803,004 | ||||||||||||||||
Corporate Bonds+ | — | 55,294,626 | — | 55,294,626 | ||||||||||||||||
Yankee Debt Obligations+ | 169,005 | 17,746,420 | — | # | 17,915,425 | |||||||||||||||
Municipal Bonds | — | 1,594,380 | — | 1,594,380 | ||||||||||||||||
U.S. Government Agency Mortgages | — | 81,747,957 | — | 81,747,957 | ||||||||||||||||
U.S. Treasury Obligations | — | 83,144,088 | — | 83,144,088 | ||||||||||||||||
Purchased Options | — | 3,700 | — | 3,700 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 230,431 | — | — | 230,431 | ||||||||||||||||
Unaffiliated Investment Company | 5,815,843 | — | — | 5,815,843 | ||||||||||||||||
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Total Investment Securities | 6,215,279 | 276,169,860 | — | 282,385,139 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Written Options | — | (2,188 | ) | — | (2,188 | ) | ||||||||||||||
Futures Contracts | (50,706 | ) | — | — | (50,706 | ) | ||||||||||||||
Forward Currency Contracts | — | 2,309 | — | 2,309 | ||||||||||||||||
Interest Rate Swaps | — | (422,954 | ) | — | (422,954 | ) | ||||||||||||||
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Total Investments | $ | 6,164,573 | $ | 275,747,027 | $ | — | $ | 281,911,600 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
# | Represents the interest in securities that were determined to have a value of zero at June 30, 2022. |
* | Other Financial Instruments would include any derivative instruments, such as written options, futures contracts, forward currency contracts and interest rate swaps. These investments are generally presented in the financial statements at fair value for written options, variation margin for futures contracts or at the unrealized gain or loss on forward currency contracts and interest rate swaps. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MetWest Total Return Bond Fund | $ | 376,076,031 | $ | 382,373,683 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL MetWest Total Return Bond Fund | $ | 385,227,377 | $ | 405,689,197 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor or SOFR) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
23
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities 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, investments in mortgage-related securities may cause the fund to 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 the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the 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. The 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. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $336,750,783. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 5,641,857 | ||
Unrealized (depreciation) | (1,866,229 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 3,775,628 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MetWest Total Return Bond Fund | $ | 15,196,680 | $ | 4,441,856 | $ | 19,638,536 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MetWest Total Return Bond Fund | $ | 2,625,945 | $ | 156,447 | $ | — | $ | 4,006,181 | $ | 6,788,573 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, straddles and other miscellaneous differences. |
24
AZL MetWest Total Return Bond Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 75% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
26
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
27
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Mid Cap Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Mid Cap Index Fund
(Unaudited)
As a shareholder of the AZL Mid Cap Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 803.40 | $ | 1.39 | 0.31 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 802.10 | $ | 2.50 | 0.56 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Mid Cap Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.26 | $ | 1.56 | 0.31 | % | ||||||||||||
AZL Mid Cap Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.02 | $ | 2.81 | 0.56 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Industrials | 17.6 | % | |||
Financials | 14.8 | ||||
Information Technology | 13.6 | ||||
Consumer Discretionary | 13.5 | ||||
Health Care | 10.0 | ||||
Real Estate | 9.2 | ||||
Materials | 6.9 | ||||
Utilities | 4.4 | ||||
Consumer Staples | 4.0 | ||||
Energy | 3.9 | ||||
Communication Services | 1.6 | ||||
|
| ||||
Total Common Stocks | 99.5 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.9 | ||||
Unaffiliated Investment Company | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.8 | ||||
Net other assets (liabilities) | (0.8 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.5%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
31,090 | Axon Enterprise, Inc.* | $ | 2,896,655 | |||||
16,832 | Curtiss-Wright Corp. | 2,222,834 | ||||||
36,753 | Hexcel Corp. | 1,922,549 | ||||||
25,250 | Mercury Systems, Inc.* | 1,624,333 | ||||||
|
| |||||||
8,666,371 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
44,850 | GXO Logistics, Inc.* | 1,940,660 | ||||||
43,296 | XPO Logistics, Inc.* | 2,085,135 | ||||||
|
| |||||||
4,025,795 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
140,982 | JetBlue Airways Corp.* | 1,180,019 | ||||||
|
| |||||||
Auto Components (1.5%): | ||||||||
42,185 | Adient plc* | 1,249,942 | ||||||
62,862 | Dana, Inc. | 884,468 | ||||||
18,635 | Fox Factory Holding Corp.* | 1,500,863 | ||||||
102,440 | Gentex Corp. | 2,865,247 | ||||||
124,687 | Goodyear Tire & Rubber Co. (The)* | 1,335,398 | ||||||
26,045 | Lear Corp. | 3,278,805 | ||||||
12,459 | Visteon Corp.* | 1,290,503 | ||||||
|
| |||||||
12,405,226 | ||||||||
|
| |||||||
Automobiles (0.5%): | ||||||||
64,525 | Harley-Davidson, Inc. | 2,042,861 | ||||||
24,008 | Thor Industries, Inc. | 1,794,118 | ||||||
|
| |||||||
3,836,979 | ||||||||
|
| |||||||
Banks (6.9%): | ||||||||
65,851 | Associated Banc-Corp. | 1,202,439 | ||||||
17,433 | Bank of Hawaii Corp. | 1,297,015 | ||||||
49,434 | Bank OZK | 1,855,258 | ||||||
80,335 | Cadence Bank | 1,886,266 | ||||||
32,930 | Cathay General Bancorp | 1,289,209 | ||||||
48,213 | Commerce Bancshares, Inc. | 3,165,183 | ||||||
24,950 | Cullen/Frost Bankers, Inc. | 2,905,428 | ||||||
62,136 | East West Bancorp, Inc. | 4,026,413 | ||||||
148,245 | F.N.B. Corp. | 1,609,941 | ||||||
56,169 | First Financial Bankshares, Inc. | 2,205,757 | ||||||
234,999 | First Horizon Corp. | 5,137,078 | ||||||
70,677 | Fulton Financial Corp. | 1,021,283 | ||||||
47,255 | Glacier Bancorp, Inc. | 2,240,832 | ||||||
37,629 | Hancock Whitney Corp. | 1,668,094 | ||||||
82,830 | Home Bancshares, Inc. | 1,720,379 | ||||||
23,292 | International Bancshares Corp. | 933,543 | ||||||
128,426 | Old National Bancorp | 1,899,421 | ||||||
51,421 | PacWest Bancorp | 1,370,884 | ||||||
33,336 | Pinnacle Financial Partners, Inc. | 2,410,526 | ||||||
40,592 | Prosperity Bancshares, Inc. | 2,771,216 | ||||||
63,913 | Synovus Financial Corp. | 2,304,064 | ||||||
22,207 | Texas Capital Bancshares, Inc.* | 1,168,976 | ||||||
18,755 | UMB Financial Corp. | 1,614,805 | ||||||
95,883 | Umpqua Holdings Corp. | 1,607,958 | ||||||
59,407 | United Bankshares, Inc. | 2,083,403 | ||||||
184,019 | Valley National Bancorp | 1,915,638 | ||||||
77,975 | Webster Financial Corp. | 3,286,646 | ||||||
26,307 | Wintrust Financial Corp. | 2,108,506 | ||||||
|
| |||||||
58,706,161 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages (0.1%): | ||||||||
4,136 | Boston Beer Co., Inc. (The), Class A* | $ | 1,253,084 | |||||
|
| |||||||
Biotechnology (2.3%): | ||||||||
46,894 | Arrowhead Pharmaceuticals, Inc.* | 1,651,138 | ||||||
140,427 | Exelixis, Inc.* | 2,923,690 | ||||||
60,397 | Halozyme Therapeutics, Inc.* | 2,657,468 | ||||||
41,845 | Neurocrine Biosciences, Inc.* | 4,079,051 | ||||||
22,667 | Repligen Corp.* | 3,681,121 | ||||||
19,838 | United Therapeutics Corp.* | 4,674,626 | ||||||
|
| |||||||
19,667,094 | ||||||||
|
| |||||||
Building Products (1.7%): | ||||||||
75,639 | Builders FirstSource, Inc.* | 4,061,814 | ||||||
14,464 | Lennox International, Inc. | 2,988,118 | ||||||
42,503 | Owens Corning | 3,158,398 | ||||||
18,891 | Simpson Manufacturing Co., Inc. | 1,900,623 | ||||||
49,561 | Trex Co., Inc.* | 2,697,110 | ||||||
|
| |||||||
14,806,063 | ||||||||
|
| |||||||
Capital Markets (1.6%): | ||||||||
16,933 | Affiliated Managers Group, Inc. | 1,974,388 | ||||||
17,773 | Evercore, Inc., Class A | 1,663,731 | ||||||
40,133 | Federated Hermes, Inc., Class B | 1,275,828 | ||||||
38,405 | Interactive Brokers Group, Inc., Class A | 2,112,659 | ||||||
73,665 | Janus Henderson Group plc | 1,731,864 | ||||||
45,674 | SEI Investments Co. | 2,467,309 | ||||||
46,662 | Stifel Financial Corp. | 2,614,005 | ||||||
|
| |||||||
13,839,784 | ||||||||
|
| |||||||
Chemicals (2.7%): | ||||||||
22,205 | Ashland Global Holdings, Inc. | 2,288,225 | ||||||
40,047 | Avient Corp. | 1,605,084 | ||||||
24,742 | Cabot Corp. | 1,578,292 | ||||||
68,067 | Chemours Co. (The) | 2,179,505 | ||||||
17,089 | Ingevity Corp.* | 1,078,999 | ||||||
14,336 | Minerals Technologies, Inc. | 879,370 | ||||||
2,985 | NewMarket Corp. | 898,366 | ||||||
60,764 | Olin Corp. | 2,812,158 | ||||||
56,780 | RPM International, Inc. | 4,469,722 | ||||||
17,715 | Scotts Miracle-Gro Co. (The) | 1,399,308 | ||||||
18,191 | Sensient Technologies Corp. | 1,465,467 | ||||||
77,569 | Valvoline, Inc. | 2,236,314 | ||||||
|
| |||||||
22,890,810 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.5%): | ||||||||
20,588 | Brink’s Co. (The) | 1,249,898 | ||||||
21,931 | Clean Harbors, Inc.* | 1,922,691 | ||||||
58,785 | IAA, Inc.* | 1,926,384 | ||||||
33,472 | MillerKnoll, Inc. | 879,309 | ||||||
16,067 | MSA Safety, Inc. | 1,945,232 | ||||||
40,492 | Stericycle, Inc.* | 1,775,574 | ||||||
23,503 | Tetra Tech, Inc. | 3,209,335 | ||||||
|
| |||||||
12,908,423 | ||||||||
|
| |||||||
Communications Equipment (0.9%): | ||||||||
24,431 | Calix, Inc.* | 834,074 | ||||||
66,604 | Ciena Corp.* | 3,043,803 | ||||||
30,210 | Lumentum Holdings, Inc.* | 2,399,278 | ||||||
32,569 | ViaSat, Inc.* | 997,589 | ||||||
|
| |||||||
7,274,744 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction & Engineering (1.5%): | ||||||||
61,889 | AECOM | $ | 4,036,401 | |||||
12,972 | Dycom Industries, Inc.* | 1,206,915 | ||||||
22,391 | EMCOR Group, Inc. | 2,305,377 | ||||||
62,268 | Fluor Corp.* | 1,515,603 | ||||||
25,019 | MasTec, Inc.* | 1,792,862 | ||||||
9,353 | Valmont Industries, Inc. | 2,100,964 | ||||||
|
| |||||||
12,958,122 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
17,237 | Eagle Materials, Inc. | 1,895,036 | ||||||
|
| |||||||
Consumer Finance (0.5%): | ||||||||
17,236 | FirstCash Holdings, Inc. | 1,198,074 | ||||||
64,749 | Navient Corp. | 905,839 | ||||||
117,867 | SLM Corp. | 1,878,800 | ||||||
|
| |||||||
3,982,713 | ||||||||
|
| |||||||
Containers & Packaging (0.9%): | ||||||||
28,566 | AptarGroup, Inc. | 2,948,297 | ||||||
11,901 | Greif, Inc., Class A | 742,384 | ||||||
36,467 | Silgan Holdings, Inc. | 1,507,911 | ||||||
42,684 | Sonoco Products Co. | 2,434,695 | ||||||
|
| |||||||
7,633,287 | ||||||||
|
| |||||||
Diversified Consumer Services (1.1%): | ||||||||
1,729 | Graham Holdings Co., Class B | 980,066 | ||||||
14,150 | Grand Canyon Education, Inc.* | 1,332,789 | ||||||
69,873 | H&R Block, Inc. | 2,467,914 | ||||||
69,498 | Service Corp. International | 4,803,702 | ||||||
|
| |||||||
9,584,471 | ||||||||
|
| |||||||
Diversified Financial Services (0.6%): | ||||||||
83,888 | Jefferies Financial Group, Inc. | 2,316,986 | ||||||
44,734 | Voya Financial, Inc. | 2,663,015 | ||||||
|
| |||||||
4,980,001 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.2%): | ||||||||
56,037 | Iridium Communications, Inc.* | 2,104,750 | ||||||
|
| |||||||
Electric Utilities (1.5%): | ||||||||
24,951 | ALLETE, Inc. | 1,466,620 | ||||||
47,863 | Hawaiian Electric Industries, Inc. | 1,957,597 | ||||||
22,169 | IDACORP, Inc. | 2,348,140 | ||||||
88,114 | OGE Energy Corp. | 3,397,676 | ||||||
37,402 | PNM Resources, Inc. | 1,787,068 | ||||||
39,016 | Portland General Electric Co. | 1,885,643 | ||||||
|
| |||||||
12,842,744 | ||||||||
|
| |||||||
Electrical Equipment (1.9%): | ||||||||
15,126 | Acuity Brands, Inc. | 2,330,009 | ||||||
18,098 | EnerSys | 1,067,058 | ||||||
23,494 | Hubbell, Inc. | 4,195,559 | ||||||
72,830 | nVent Electric plc | 2,281,764 | ||||||
29,336 | Regal Rexnord Corp. | 3,330,223 | ||||||
91,992 | Sunrun, Inc.* | 2,148,933 | ||||||
9,299 | Vicor Corp.* | 508,934 | ||||||
|
| |||||||
15,862,480 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.3%): | ||||||||
28,912 | Arrow Electronics, Inc.* | 3,240,746 | ||||||
42,767 | Avnet, Inc. | 1,833,849 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
19,338 | Belden, Inc. | $ | 1,030,135 | |||||
76,066 | Cognex Corp. | 3,234,326 | ||||||
10,912 | Coherent, Inc.* | 2,904,993 | ||||||
46,560 | II-VI, Inc.*^ | 2,372,232 | ||||||
15,216 | IPG Photonics Corp.* | 1,432,282 | ||||||
61,827 | Jabil, Inc. | 3,166,161 | ||||||
10,830 | Littlelfuse, Inc. | 2,751,253 | ||||||
56,949 | National Instruments Corp. | 1,778,517 | ||||||
18,129 | TD SYNNEX Corp. | 1,651,552 | ||||||
57,425 | Vishay Intertechnology, Inc. | 1,023,314 | ||||||
70,492 | Vontier Corp. | 1,620,611 | ||||||
|
| |||||||
28,039,971 | ||||||||
|
| |||||||
Energy Equipment & Services (0.6%): | ||||||||
89,592 | ChampionX Corp. | 1,778,401 | ||||||
171,731 | NOV, Inc. | 2,903,971 | ||||||
|
| |||||||
4,682,372 | ||||||||
|
| |||||||
Entertainment (0.1%): | ||||||||
18,934 | World Wrestling Entertainment, Inc., Class A | 1,183,186 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (8.8%): | ||||||||
61,306 | American Campus Communities, Inc. | 3,952,398 | ||||||
68,351 | Apartment Income REIT Corp. | 2,843,402 | ||||||
130,933 | Brixmor Property Group, Inc. | 2,646,156 | ||||||
49,077 | Corporate Office Properties Trust | 1,285,327 | ||||||
65,213 | Cousins Properties, Inc. | 1,906,176 | ||||||
76,780 | Douglas Emmett, Inc. | 1,718,336 | ||||||
18,248 | EastGroup Properties, Inc. | 2,816,214 | ||||||
32,477 | EPR Properties | 1,524,146 | ||||||
57,793 | First Industrial Realty Trust, Inc. | 2,744,012 | ||||||
66,376 | Healthcare Realty Trust, Inc. | 1,805,427 | ||||||
46,550 | Highwoods Properties, Inc. | 1,591,544 | ||||||
63,320 | Hudson Pacific Properties, Inc. | 939,669 | ||||||
97,255 | Independence Realty Trust, Inc. | 2,016,096 | ||||||
47,601 | JBG SMITH Properties | 1,125,288 | ||||||
45,995 | Kilroy Realty Corp. | 2,406,918 | ||||||
95,829 | Kite Realty Group Trust | 1,656,883 | ||||||
38,265 | Lamar Advertising Co., Class A | 3,366,172 | ||||||
36,937 | Life Storage, Inc. | 4,124,385 | ||||||
263,067 | Medical Properties Trust, Inc. | 4,017,033 | ||||||
77,406 | National Retail Properties, Inc. | 3,328,458 | ||||||
36,840 | National Storage Affiliates Trust | 1,844,579 | ||||||
102,983 | Omega Healthcare Investors, Inc. | 2,903,091 | ||||||
101,830 | Park Hotels & Resorts, Inc. | 1,381,833 | ||||||
57,609 | Pebblebrook Hotel Trust | 954,581 | ||||||
98,639 | Physicians Realty Trust | 1,721,250 | ||||||
30,852 | PotlatchDeltic Corp. | 1,363,350 | ||||||
8,865 | PS Business Parks, Inc. | 1,659,085 | ||||||
63,824 | Rayonier, Inc. | 2,385,741 | ||||||
72,249 | Rexford Industrial Realty, Inc. | 4,160,820 | ||||||
101,279 | Sabra Health Care REIT, Inc. | 1,414,868 | ||||||
27,735 | SL Green Realty Corp. | 1,279,970 | ||||||
58,803 | Spirit Realty Capital, Inc. | 2,221,577 | ||||||
110,554 | STORE Capital Corp. | 2,883,248 | ||||||
93,232 | The Macerich Co. | 812,051 | ||||||
|
| |||||||
74,800,084 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food & Staples Retailing (1.5%): | ||||||||
59,047 | BJ’s Wholesale Club Holdings, Inc.* | $ | 3,679,809 | |||||
16,249 | Casey’s General Stores, Inc. | 3,005,740 | ||||||
38,047 | Grocery Outlet Holding Corp.* | 1,621,943 | ||||||
68,060 | Performance Food Group Co.* | 3,129,399 | ||||||
47,940 | Sprouts Farmers Market, Inc.* | 1,213,841 | ||||||
|
| |||||||
12,650,732 | ||||||||
|
| |||||||
Food Products (1.9%): | ||||||||
70,499 | Darling Ingredients, Inc.* | 4,215,840 | ||||||
87,227 | Flowers Foods, Inc. | 2,295,815 | ||||||
39,260 | Hain Celestial Group, Inc. (The)* | 932,032 | ||||||
29,024 | Ingredion, Inc. | 2,558,756 | ||||||
8,675 | Lancaster Colony Corp. | 1,117,166 | ||||||
20,541 | Pilgrim’s Pride Corp.* | 641,495 | ||||||
24,468 | Post Holdings, Inc.* | 2,014,940 | ||||||
9,252 | Sanderson Farms, Inc. | 1,994,084 | ||||||
|
| |||||||
15,770,128 | ||||||||
|
| |||||||
Gas Utilities (1.7%): | ||||||||
40,305 | National Fuel Gas Co. | 2,662,145 | ||||||
42,473 | New Jersey Resources Corp. | 1,891,323 | ||||||
23,749 | ONE Gas, Inc. | 1,928,181 | ||||||
29,269 | Southwest Gas Holdings, Inc. | 2,548,745 | ||||||
22,810 | Spire, Inc. | 1,696,380 | ||||||
91,866 | UGI Corp. | 3,546,946 | ||||||
|
| |||||||
14,273,720 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.3%): | ||||||||
20,581 | Enovis Corp.* | 1,131,955 | ||||||
71,017 | Envista Holdings Corp.* | 2,736,995 | ||||||
34,745 | Globus Medical, Inc.* | 1,950,584 | ||||||
22,631 | Haemonetics Corp.* | 1,475,089 | ||||||
8,850 | ICU Medical, Inc.* | 1,454,851 | ||||||
14,886 | Inari Medical, Inc.* | 1,012,099 | ||||||
31,302 | Integra LifeSciences Holdings Corp.* | 1,691,247 | ||||||
23,562 | LivaNova plc* | 1,471,918 | ||||||
22,453 | Masimo Corp.* | 2,933,934 | ||||||
47,285 | Neogen Corp.* | 1,139,096 | ||||||
23,020 | NuVasive, Inc.* | 1,131,663 | ||||||
15,473 | Penumbra, Inc.* | 1,926,698 | ||||||
21,987 | QuidelOrtho Corp.* | 2,136,697 | ||||||
15,670 | Shockwave Medical, Inc.* | 2,995,634 | ||||||
21,167 | STAAR Surgical Co.* | 1,501,375 | ||||||
28,151 | Tandem Diabetes Care, Inc.* | 1,666,258 | ||||||
|
| |||||||
28,356,093 | ||||||||
|
| |||||||
Health Care Providers & Services (2.5%): | ||||||||
39,532 | Acadia Healthcare Co., Inc.* | 2,673,549 | ||||||
14,445 | Amedisys, Inc.* | 1,518,458 | ||||||
6,553 | Chemed Corp. | 3,075,913 | ||||||
44,025 | Encompass Health Corp. | 2,467,601 | ||||||
37,117 | HealthEquity, Inc.* | 2,278,613 | ||||||
13,585 | LHC Group, Inc.* | 2,115,728 | ||||||
60,098 | Option Care Health, Inc.* | 1,670,123 | ||||||
38,174 | Patterson Cos., Inc. | 1,156,672 | ||||||
31,431 | Progyny, Inc.* | 913,071 | ||||||
58,436 | R1 RCM, Inc.* | 1,224,819 | ||||||
47,123 | Tenet Healthcare Corp.* | 2,476,785 | ||||||
|
| |||||||
21,571,332 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (2.6%): | ||||||||
35,024 | Boyd Gaming Corp. | $ | 1,742,444 | |||||
14,462 | Choice Hotels International, Inc. | 1,614,393 | ||||||
14,983 | Churchill Downs, Inc. | 2,869,694 | ||||||
9,996 | Cracker Barrel Old Country Store, Inc. | 834,566 | ||||||
41,604 | Light & Wonder, Inc., Class A* | 1,954,972 | ||||||
18,140 | Marriott Vacations Worldwide Corp. | 2,107,868 | ||||||
13,948 | Papa John’s International, Inc. | 1,164,937 | ||||||
33,793 | Six Flags Entertainment Corp.* | 733,308 | ||||||
29,845 | Texas Roadhouse, Inc., Class A | 2,184,654 | ||||||
37,479 | Travel + Leisure Co. | 1,454,935 | ||||||
75,041 | Wendy’s Co. (The) | 1,416,774 | ||||||
13,049 | Wingstop, Inc. | 975,674 | ||||||
40,323 | Wyndham Hotels & Resorts, Inc. | 2,650,027 | ||||||
|
| |||||||
21,704,246 | ||||||||
|
| |||||||
Household Durables (1.4%): | ||||||||
10,438 | Helen of Troy, Ltd.* | 1,695,236 | ||||||
37,763 | KB Home | 1,074,735 | ||||||
58,401 | Leggett & Platt, Inc. | 2,019,506 | ||||||
52,380 | Taylor Morrison Home Corp., Class A* | 1,223,597 | ||||||
76,857 | Tempur Sealy International, Inc. | 1,642,434 | ||||||
48,274 | Toll Brothers, Inc. | 2,153,020 | ||||||
14,273 | TopBuild Corp.* | 2,385,875 | ||||||
|
| |||||||
12,194,403 | ||||||||
|
| |||||||
Household Products (0.1%): | ||||||||
28,781 | Energizer Holdings, Inc. | 815,941 | ||||||
|
| |||||||
Industrial Conglomerates (0.6%): | ||||||||
22,634 | Carlisle Cos., Inc. | 5,400,699 | ||||||
|
| |||||||
Insurance (4.5%): | ||||||||
5,891 | Alleghany Corp.* | 4,907,792 | ||||||
29,183 | American Financial Group, Inc. | 4,050,892 | ||||||
32,790 | Brighthouse Financial, Inc.* | 1,345,046 | ||||||
50,738 | CNO Financial Group, Inc. | 917,850 | ||||||
47,025 | First American Financial Corp. | 2,488,563 | ||||||
15,579 | Hanover Insurance Group, Inc. (The) | 2,278,429 | ||||||
26,143 | Kemper Corp. | 1,252,250 | ||||||
9,389 | Kinsale Capital Group, Inc. | 2,156,090 | ||||||
11,388 | Mercury General Corp. | 504,488 | ||||||
125,810 | Old Republic International Corp. | 2,813,112 | ||||||
16,848 | Primerica, Inc. | 2,016,537 | ||||||
29,319 | Reinsurance Group of America, Inc. | 3,438,826 | ||||||
19,344 | RenaissanceRe Holdings, Ltd. | 3,024,821 | ||||||
17,416 | RLI Corp. | 2,030,531 | ||||||
26,456 | Selective Insurance Group, Inc. | 2,300,085 | ||||||
88,043 | Unum Group | 2,995,223 | ||||||
|
| |||||||
38,520,535 | ||||||||
|
| |||||||
Interactive Media & Services (0.3%): | ||||||||
44,597 | TripAdvisor, Inc.* | 793,826 | ||||||
20,707 | Ziff Davis, Inc.* | 1,543,293 | ||||||
|
| |||||||
2,337,119 | ||||||||
|
| |||||||
IT Services (2.3%): | ||||||||
21,718 | Alliance Data Systems Corp. | 804,869 | ||||||
18,903 | Concentrix Corp. | 2,564,003 | ||||||
22,132 | Euronet Worldwide, Inc.* | 2,226,258 | ||||||
74,423 | Genpact, Ltd. | 3,152,558 | ||||||
79,052 | Kyndryl Holdings, Inc.* | 773,129 |
See accompanying notes to the financial statements.
4
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
26,598 | MAXIMUS, Inc. | $ | 1,662,641 | |||||
145,710 | Sabre Corp.*^ | 849,489 | ||||||
45,840 | Teradata Corp.* | 1,696,538 | ||||||
169,013 | Western Union Co. (The.) | 2,783,644 | ||||||
19,701 | WEX, Inc.* | 3,064,688 | ||||||
|
| |||||||
19,577,817 | ||||||||
|
| |||||||
Leisure Products (1.3%): | ||||||||
33,156 | Brunswick Corp. DE | 2,167,739 | ||||||
50,774 | Callaway Golf Co.* | 1,035,790 | ||||||
154,329 | Mattel, Inc.* | 3,446,167 | ||||||
24,486 | Polaris, Inc. | 2,430,970 | ||||||
37,723 | YETI Holdings, Inc.* | 1,632,274 | ||||||
|
| |||||||
10,712,940 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.0%): | ||||||||
43,782 | Bruker Corp. | 2,747,758 | ||||||
11,785 | Medpace Holdings, Inc.* | 1,763,861 | ||||||
43,338 | Sotera Health Co.* | 848,992 | ||||||
44,909 | Syneos Health, Inc.* | 3,219,077 | ||||||
|
| |||||||
8,579,688 | ||||||||
|
| |||||||
Machinery (4.5%): | ||||||||
26,741 | AGCO Corp. | 2,639,337 | ||||||
15,654 | Chart Industries, Inc.* | 2,620,166 | ||||||
20,860 | Crane Holdings Co. | 1,826,502 | ||||||
54,451 | Donaldson Co., Inc. | 2,621,271 | ||||||
19,969 | Esab Corp. | 873,644 | ||||||
57,781 | Flowserve Corp. | 1,654,270 | ||||||
73,981 | Graco, Inc. | 4,395,211 | ||||||
36,558 | ITT, Inc. | 2,458,160 | ||||||
36,050 | Kennametal, Inc. | 837,441 | ||||||
25,436 | Lincoln Electric Holdings, Inc. | 3,137,785 | ||||||
23,813 | Middleby Corp. (The)* | 2,985,198 | ||||||
28,806 | Oshkosh Corp. | 2,366,125 | ||||||
30,221 | Terex Corp. | 827,149 | ||||||
29,535 | Timken Co. | 1,566,832 | ||||||
45,862 | Toro Co. (The) | 3,475,881 | ||||||
11,914 | Watts Water Technologies, Inc., Class A | 1,463,516 | ||||||
26,552 | Woodward, Inc. | 2,455,794 | ||||||
|
| |||||||
38,204,282 | ||||||||
|
| |||||||
Marine (0.2%): | ||||||||
26,648 | Kirby Corp.* | 1,621,264 | ||||||
|
| |||||||
Media (0.9%): | ||||||||
2,149 | Cable One, Inc. | 2,770,749 | ||||||
19,083 | John Wiley & Sons, Inc., Class A | 911,404 | ||||||
73,164 | New York Times Co. (The), Class A | 2,041,276 | ||||||
97,317 | TEGNA, Inc. | 2,040,737 | ||||||
|
| |||||||
7,764,166 | ||||||||
|
| |||||||
Metals & Mining (2.8%): | ||||||||
80,611 | Alcoa Corp. | 3,674,249 | ||||||
209,353 | Cleveland-Cliffs, Inc.* | 3,217,756 | ||||||
53,217 | Commercial Metals Co. | 1,761,483 | ||||||
27,122 | Reliance Steel & Aluminum Co. | 4,606,943 | ||||||
28,909 | Royal Gold, Inc. | 3,086,903 | ||||||
78,482 | Steel Dynamics, Inc. | 5,191,584 | ||||||
114,252 | United States Steel Corp. | 2,046,253 | ||||||
14,156 | Worthington Industries, Inc. | 624,280 | ||||||
|
| |||||||
24,209,451 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Multiline Retail (0.8%): | ||||||||
56,300 | Kohl’s Corp. | $ | 2,009,347 | |||||
124,718 | Macy’s, Inc. | 2,284,834 | ||||||
49,173 | Nordstrom, Inc. | 1,039,025 | ||||||
25,550 | Ollie’s Bargain Outlet Holdings, Inc.*^ | 1,501,063 | ||||||
|
| |||||||
6,834,269 | ||||||||
|
| |||||||
Multi-Utilities (0.7%): | ||||||||
28,385 | Black Hills Corp. | 2,065,576 | ||||||
89,221 | MDU Resources Group, Inc. | 2,408,075 | ||||||
24,050 | NorthWestern Corp. | 1,417,267 | ||||||
|
| |||||||
5,890,918 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.4%): | ||||||||
142,563 | Antero Midstream Corp. | 1,290,195 | ||||||
85,398 | CNX Resources Corp.* | 1,405,651 | ||||||
42,355 | DT Midstream, Inc. | 2,076,242 | ||||||
129,432 | EQT Corp. | 4,452,461 | ||||||
178,172 | Equitrans Midstream Corp. | 1,133,174 | ||||||
65,759 | HF Sinclair Corp. | 2,969,677 | ||||||
48,712 | Matador Resources Co. | 2,269,492 | ||||||
64,191 | Murphy Oil Corp. | 1,937,926 | ||||||
41,781 | PDC Energy, Inc. | 2,574,127 | ||||||
113,481 | Range Resources Corp.* | 2,808,655 | ||||||
99,818 | Targa Resources Corp. | 5,956,140 | ||||||
|
| |||||||
28,873,740 | ||||||||
|
| |||||||
Paper & Forest Products (0.2%): | ||||||||
35,953 | Louisiana-Pacific Corp. | 1,884,297 | ||||||
|
| |||||||
Personal Products (0.4%): | ||||||||
47,358 | BellRing Brands, Inc.* | 1,178,741 | ||||||
148,753 | Coty, Inc., Class A* | 1,191,511 | ||||||
22,108 | Nu Skin Enterprises, Inc., Class A | 957,276 | ||||||
|
| |||||||
3,327,528 | ||||||||
|
| |||||||
Pharmaceuticals (0.8%): | ||||||||
27,284 | Jazz Pharmaceuticals plc* | 4,256,577 | ||||||
58,970 | Perrigo Co. plc | 2,392,413 | ||||||
|
| |||||||
6,648,990 | ||||||||
|
| |||||||
Professional Services (1.9%): | ||||||||
22,373 | ASGN, Inc.* | 2,019,163 | ||||||
10,254 | CACI International, Inc., Class A* | 2,889,372 | ||||||
15,061 | FTI Consulting, Inc.* | 2,723,782 | ||||||
15,834 | Insperity, Inc. | 1,580,708 | ||||||
60,886 | KBR, Inc. | 2,946,274 | ||||||
23,091 | ManpowerGroup, Inc. | 1,764,383 | ||||||
24,439 | Science Applications International Corp. | 2,275,271 | ||||||
|
| |||||||
16,198,953 | ||||||||
|
| |||||||
Real Estate Management & Development (0.4%): | ||||||||
21,393 | Jones Lang LaSalle, Inc.* | 3,740,780 | ||||||
|
| |||||||
Road & Rail (1.5%): | ||||||||
15,010 | Avis Budget Group, Inc.* | 2,207,671 | ||||||
71,613 | Knight-Swift Transportation Holdings, Inc. | 3,314,966 | ||||||
16,255 | Landstar System, Inc. | 2,363,802 | ||||||
22,389 | Ryder System, Inc. | 1,590,962 | ||||||
11,468 | Saia, Inc.* | 2,155,984 | ||||||
26,023 | Werner Enterprises, Inc. | 1,002,926 | ||||||
|
| |||||||
12,636,311 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (3.6%): | ||||||||
43,591 | Amkor Technology, Inc. | $ | 738,867 | |||||
32,870 | Azenta, Inc. | 2,369,927 | ||||||
25,035 | Cirrus Logic, Inc.* | 1,816,039 | ||||||
12,513 | CMC Materials, Inc. | 2,183,393 | ||||||
43,510 | First Solar, Inc.* | 2,964,336 | ||||||
60,496 | Lattice Semiconductor Corp.* | 2,934,056 | ||||||
24,390 | MKS Instruments, Inc. | 2,503,146 | ||||||
25,393 | Power Integrations, Inc. | 1,904,729 | ||||||
27,787 | Semtech Corp.* | 1,527,451 | ||||||
16,016 | Silicon Laboratories, Inc.* | 2,245,764 | ||||||
6,817 | SiTime Corp.* | 1,111,376 | ||||||
36,737 | SunPower Corp.*^ | 580,812 | ||||||
17,373 | Synaptics, Inc.* | 2,050,883 | ||||||
19,111 | Universal Display Corp. | 1,932,887 | ||||||
54,090 | Wolfspeed, Inc.* | 3,432,010 | ||||||
|
| |||||||
30,295,676 | ||||||||
|
| |||||||
Software (2.9%): | ||||||||
50,256 | ACI Worldwide, Inc.* | 1,301,128 | ||||||
12,201 | Aspen Technology, Inc.* | 2,241,080 | ||||||
20,237 | Blackbaud, Inc.* | 1,175,162 | ||||||
51,718 | CDK Global, Inc. | 2,832,595 | ||||||
19,330 | CommVault Systems, Inc.* | 1,215,857 | ||||||
18,183 | Envestnet, Inc.* | 959,517 | ||||||
11,354 | Fair Isaac Corp.* | 4,551,819 | ||||||
27,551 | Manhattan Associates, Inc.* | 3,157,344 | ||||||
17,374 | Paylocity Holding Corp.* | 3,030,373 | ||||||
14,611 | Qualys, Inc.* | 1,843,031 | ||||||
41,276 | Sailpoint Technologies Holdings, Inc.* | 2,587,180 | ||||||
|
| |||||||
24,895,086 | ||||||||
|
| |||||||
Specialty Retail (2.8%): | ||||||||
67,917 | American Eagle Outfitters, Inc. | 759,312 | ||||||
15,577 | AutoNation, Inc.* | 1,740,885 | ||||||
25,416 | Dick’s Sporting Goods, Inc. | 1,915,604 | ||||||
24,256 | Five Below, Inc.* | 2,751,358 | ||||||
36,601 | Foot Locker, Inc. | 924,175 | ||||||
27,079 | GameStop Corp., Class A*^ | 3,311,762 | ||||||
91,607 | Gap, Inc. (The) | 754,842 | ||||||
12,668 | Lithia Motors, Inc. | 3,481,293 | ||||||
9,748 | Murphy U.S.A., Inc. | 2,270,017 | ||||||
7,759 | RH* | 1,646,925 | ||||||
29,736 | Victoria’s Secret & Co.* | 831,716 | ||||||
30,661 | Williams-Sonoma, Inc. | 3,401,838 | ||||||
|
| |||||||
23,789,727 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.3%): | ||||||||
59,806 | NCR Corp.* | 1,860,565 | ||||||
52,207 | Xerox Holdings Corp. | 775,274 | ||||||
|
| |||||||
2,635,839 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods (1.7%): | ||||||||
64,891 | Capri Holdings, Ltd.* | $ | 2,661,180 | |||||
17,641 | Carter’s, Inc. | 1,243,338 | ||||||
14,588 | Columbia Sportswear Co. | 1,044,209 | ||||||
26,959 | Crocs, Inc.* | 1,312,094 | ||||||
11,966 | Deckers Outdoor Corp.* | 3,055,518 | ||||||
153,445 | Hanesbrands, Inc. | 1,578,949 | ||||||
59,069 | Skechers U.S.A., Inc., Class A* | 2,101,675 | ||||||
82,603 | Under Armour, Inc., Class A* | 688,083 | ||||||
88,755 | Under Armour, Inc., Class C* | 672,763 | ||||||
|
| |||||||
14,357,809 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.7%): | ||||||||
47,110 | Essent Group, Ltd. | 1,832,579 | ||||||
135,550 | MGIC Investment Corp. | 1,707,930 | ||||||
205,596 | New York Community Bancorp, Inc. | 1,877,091 | ||||||
28,048 | Washington Federal, Inc. | 842,001 | ||||||
|
| |||||||
6,259,601 | ||||||||
|
| |||||||
Trading Companies & Distributors (1.0%): | ||||||||
15,725 | GATX Corp. | 1,480,666 | ||||||
20,452 | MSC Industrial Direct Co., Inc. | 1,536,150 | ||||||
74,093 | Univar Solutions, Inc.* | 1,842,693 | ||||||
14,553 | Watsco, Inc. | 3,475,547 | ||||||
|
| |||||||
8,335,056 | ||||||||
|
| |||||||
Water Utilities (0.5%): | ||||||||
100,707 | Essential Utilities, Inc. | 4,617,416 | ||||||
|
| |||||||
Total Common Stocks (Cost $715,358,636) | 847,496,322 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.9%): | ||||||||
7,658,387 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(a)(b) | 7,658,387 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 7,658,387 | ||||||
|
| |||||||
Shares | Value | |||||||
Unaffiliated Investment Company (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
3,433,609 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(b) | 3,433,609 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $3,433,609) | 3,433,609 | |||||||
|
| |||||||
Total Investment Securities (Cost $726,450,632) — 100.8% | 858,588,318 | |||||||
Net other assets (liabilities) — (0.8)% | (7,082,772 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 851,505,546 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $7,401,616. |
(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, 2022. |
(b) | The rate represents the effective yield at June 30, 2022. |
See accompanying notes to the financial statements.
6
AZL Mid Cap Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P Midcap 400 E-Mini September Futures (U.S. Dollar) | 9/16/22 | 19 | $ | 4,309,200 | $ | 37,706 | ||||||||||
|
| |||||||||||||||
$ | 37,706 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Mid Cap Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 726,450,632 | |||
|
| ||||
Investment securities, at value(a) | $ | 858,588,318 | |||
Deposit at broker for futures contracts collateral | 260,000 | ||||
Interest and dividends receivable | 967,669 | ||||
Reclaims receivable | 1,946 | ||||
Prepaid expenses | 3,329 | ||||
|
| ||||
Total Assets | 859,821,262 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 51,803 | ||||
Payable for collateral received on loaned securities | 7,658,387 | ||||
Payable for variation margin on futures contracts | 43,681 | ||||
Manager fees payable | 183,586 | ||||
Administration fees payable | 130,668 | ||||
Distribution fees payable | 174,202 | ||||
Custodian fees payable | 4,320 | ||||
Administrative and compliance services fees payable | 1,154 | ||||
Transfer agent fees payable | 2,281 | ||||
Trustee fees payable | 9,947 | ||||
Other accrued liabilities | 55,687 | ||||
|
| ||||
Total Liabilities | 8,315,716 | ||||
|
| ||||
Net Assets | $ | 851,505,546 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 495,688,696 | |||
Total distributable earnings | 355,816,850 | ||||
|
| ||||
Net Assets | $ | 851,505,546 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 43,505,475 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 6,122,177 | ||||
Net Asset Value (offering and redemption price per share) | $ | 7.11 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 808,000,071 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 35,652,813 | ||||
Net Asset Value (offering and redemption price per share) | $ | 22.66 | |||
|
|
(a) | Includes securities on loan of $7,401,616. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 7,851,082 | |||
Interest | 15 | ||||
Income from securities lending | 97,464 | ||||
|
| ||||
Total Investment Income | 7,948,561 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,255,082 | ||||
Administration fees | 90,293 | ||||
Distribution fees — Class 2 | 1,191,817 | ||||
Custodian fees | 16,323 | ||||
Administrative and compliance services fees | 6,270 | ||||
Transfer agent fees | 5,757 | ||||
Trustee fees | 24,772 | ||||
Professional fees | 19,957 | ||||
Licensing fees | 98,632 | ||||
Shareholder reports | 13,555 | ||||
Other expenses | 10,622 | ||||
|
| ||||
Total expenses | 2,733,080 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,215,481 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities | 29,906,597 | ||||
Net realized gains/(losses) on futures contracts | (388,257 | ) | |||
Change in net unrealized appreciation/depreciation on securities | (253,439,602 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (164,361 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (224,085,623 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (218,870,142 | ) | ||
|
|
See accompanying notes to the financial statements.
8
AZL Mid Cap Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,215,481 | $ | 9,030,612 | ||||||
Net realized gains/(losses) on investments | 29,518,340 | 196,868,595 | ||||||||
Change in unrealized appreciation/depreciation on investments | (253,603,963 | ) | 40,749,630 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (218,870,142 | ) | 246,648,837 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (8,374,201 | ) | |||||||
Class 2 | — | (56,973,657 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (65,347,858 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 13,471 | 101,292 | ||||||||
Proceeds from dividends reinvested | — | 8,374,200 | ||||||||
Value of shares redeemed | (3,524,148 | ) | (5,965,875 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (3,510,677 | ) | 2,509,617 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 424,193 | 122,905,502 | ||||||||
Proceeds from dividends reinvested | — | 56,973,658 | ||||||||
Value of shares redeemed | (91,819,079 | ) | (302,432,797 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (91,394,886 | ) | (122,553,637 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (94,905,563 | ) | (120,044,020 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (313,775,705 | ) | 61,256,959 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,165,281,251 | 1,104,024,292 | ||||||||
|
|
|
| |||||||
End of period | $ | 851,505,546 | $ | 1,165,281,251 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 1,652 | 11,257 | ||||||||
Dividends reinvested | — | 1,011,377 | ||||||||
Shares redeemed | (442,197 | ) | (636,312 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (440,545 | ) | 386,322 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 16,900 | 4,407,636 | ||||||||
Dividends reinvested | — | 2,153,199 | ||||||||
Shares redeemed | (3,551,793 | ) | (11,112,033 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (3,534,893 | ) | (4,551,198 | ) | ||||||
|
|
|
| |||||||
Change in shares | (3,975,438 | ) | (4,164,876 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
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. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 8.85 | $ | 8.40 | $ | 8.28 | $ | 8.16 | $ | 11.25 | $ | 10.90 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.05 | (a) | 0.09 | (a) | 0.09 | (a) | 0.12 | (a) | 0.15 | 0.25 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.79 | ) | 1.83 | 0.97 | 1.79 | (1.13 | ) | 1.41 | ||||||||||||||||||||||
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Total from Investment Activities | (1.74 | ) | 1.92 | 1.06 | 1.91 | (0.98 | ) | 1.66 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.26 | ) | (0.31 | ) | (0.30 | ) | (0.28 | ) | (0.12 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.21 | ) | (0.63 | ) | (1.49 | ) | (1.83 | ) | (1.19 | ) | |||||||||||||||||||
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Total Dividends | — | (1.47 | ) | (0.94 | ) | (1.79 | ) | (2.11 | ) | (1.31 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 7.11 | $ | 8.85 | $ | 8.40 | $ | 8.28 | $ | 8.16 | $ | 11.25 | ||||||||||||||||||
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Total Return(b) | (19.66 | )%(c) | 24.03 | % | 14.82 | % | 25.47 | % | (11.01 | )% | 16.08 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 43,505 | $ | 58,070 | $ | 51,879 | $ | 50,096 | $ | 44,788 | $ | 55,764 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.28 | % | 1.01 | % | 1.21 | % | 1.31 | % | 1.32 | % | 1.27 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.31 | % | 0.32 | % | 0.33 | % | 0.32 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.31 | % | 0.32 | % | 0.33 | % | 0.32 | % | 0.31 | % | 0.31 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 4 | % | 30 | % | 22 | % | 14 | % | 18 | % | 21 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 28.25 | $ | 24.06 | $ | 21.91 | $ | 19.00 | $ | 23.45 | $ | 21.45 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.13 | (a) | 0.21 | (a) | 0.19 | (a) | 0.23 | (a) | 0.25 | 0.24 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (5.72 | ) | 5.39 | 2.84 | 4.41 | (2.65 | ) | 3.06 | ||||||||||||||||||||||
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| |||||||||||||||||||
Total from Investment Activities | (5.59 | ) | 5.60 | 3.03 | 4.64 | (2.40 | ) | 3.30 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.20 | ) | (0.25 | ) | (0.24 | ) | (0.22 | ) | (0.11 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.21 | ) | (0.63 | ) | (1.49 | ) | (1.83 | ) | (1.19 | ) | |||||||||||||||||||
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|
|
|
|
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| |||||||||||||||||||
Total Dividends | — | (1.41 | ) | (0.88 | ) | (1.73 | ) | (2.05 | ) | (1.30 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Net Asset Value, End of Period | $ | 22.66 | $ | 28.25 | $ | 24.06 | $ | 21.91 | $ | 19.00 | $ | 23.45 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | (19.79 | )%(c) | 23.66 | % | 14.53 | % | 25.28 | % | (11.35 | )% | 15.80 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 808,000 | $ | 1,107,212 | $ | 1,052,145 | $ | 1,150,058 | $ | 1,020,140 | $ | 1,208,935 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.03 | % | 0.76 | % | 0.96 | % | 1.06 | % | 1.08 | % | 1.02 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | 0.56 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.56 | % | 0.57 | % | 0.58 | % | 0.57 | % | 0.56 | % | 0.56 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 4 | % | 30 | % | 22 | % | 14 | % | 18 | % | 21 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
10
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
11
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 33 1⁄2% 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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $9,869 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $7,658,387 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $ 6.0 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
12
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 37,706 | Payable for variation margin on futures contracts* | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (388,257 | ) | $ | (164,361 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Mid Cap Index Fund, Class 1 | 0.25 | % | 0.46 | % | ||||||
AZL Mid Cap Index Fund, Class 2 | 0.25 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations. During the period ended June 30, 2022, there were no voluntary waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
13
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 847,496,322 | $ | — | $ | — | $ | 847,496,322 | ||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 7,658,387 | — | — | 7,658,387 | ||||||||||||||||
Unaffiliated Investment Company | 3,433,609 | — | — | 3,433,609 | ||||||||||||||||
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| |||||||||||||
Total Investment Securities | 858,588,318 | — | — | 858,588,318 | ||||||||||||||||
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|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 37,706 | — | — | 37,706 | ||||||||||||||||
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|
|
|
| |||||||||||||
Total Investments | $ | 858,626,024 | $ | — | $ | — | $ | 858,626,024 | ||||||||||||
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|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 44,306,940 | $ | 130,622,506 |
14
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $804,266,330. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 389,453,927 | ||
Unrealized (depreciation) | (19,294,316 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 370,159,611 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Mid Cap Index Fund | $ | 17,708,187 | $ | 47,639,671 | $ | 65,347,858 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | $ | 31,567,536 | $ | 172,959,809 | $ | — | $ | 370,159,647 | $ | 574,686,992 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
15
AZL Mid Cap Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 30% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
16
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
17
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Moderate Index Strategy Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Moderate Index Strategy Fund
(Unaudited)
As a shareholder of the AZL Moderate Index Strategy Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 836.90 | $ | 0.32 | 0.07 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 1,000.00 | $ | 1,024.45 | $ | 0.35 | 0.07 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Domestic Equity Funds | 43.9 | % | |||
Fixed Income Fund | 41.4 | % | |||
International Equity Fund | 14.7 | ||||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | † | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL Moderate Index Strategy Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Affiliated Investment Companies (100.0%): | ||||||||
Domestic Equity Funds (43.9%): | ||||||||
5,797,458 | AZL Mid Cap Index Fund, Class 2 | $ | 131,370,406 | |||||
23,862,627 | AZL S&P 500 Index Fund, Class 2 | 464,843,975 | ||||||
4,944,211 | AZL Small Cap Stock Index Fund, Class 2 | 66,944,615 | ||||||
|
| |||||||
663,158,996 | ||||||||
|
| |||||||
Fixed Income Fund (41.4%): | ||||||||
62,752,608 | AZL Enhanced Bond Index Fund | 624,388,445 | ||||||
|
| |||||||
International Equity Fund (14.7%): | ||||||||
14,535,558 | AZL International Index Fund, Class 2 | 222,684,756 | ||||||
|
| |||||||
Total Affiliated Investment Companies (Cost $1,708,341,777) | 1,510,232,197 | |||||||
|
| |||||||
Total Investment Securities | 1,510,232,197 | |||||||
Net other assets (liabilities) — 0.0%† | (555,503 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,509,676,694 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
† | Represents less than 0.05%. |
See accompanying notes to the financial statements.
2
AZL Moderate Index Strategy Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investments in affiliates, at cost | $ | 1,708,341,777 | |||
|
| ||||
Investments in affiliates, at value | $ | 1,510,232,197 | |||
Foreign currency, at value (cost $106,270) | 103,683 | ||||
Receivable for capital shares issued | 8,149 | ||||
Receivable for investments sold | 92,215 | ||||
Prepaid expenses | 6,012 | ||||
|
| ||||
Total Assets | 1,510,442,256 | ||||
|
| ||||
Liabilities: | |||||
Cash overdraft | 91,800 | ||||
Payable for capital shares redeemed | 555,755 | ||||
Manager fees payable | 63,492 | ||||
Administration fees payable | 7,468 | ||||
Custodian fees payable | 266 | ||||
Administrative and compliance services fees payable | 1,619 | ||||
Transfer agent fees payable | 1,064 | ||||
Trustee fees payable | 13,897 | ||||
Other accrued liabilities | 30,201 | ||||
|
| ||||
Total Liabilities | 765,562 | ||||
|
| ||||
Net Assets | $ | 1,509,676,694 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 1,559,470,913 | |||
Total distributable earnings | (49,794,219 | ) | |||
|
| ||||
Net Assets | $ | 1,509,676,694 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 115,401,623 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.08 | |||
|
|
Amounts | shown as “—” are either $0 or rounds to less than $1. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Total Investment Income | $ | — | |||
|
| ||||
Expenses: | |||||
Management fees | 1,695,404 | ||||
Administration fees | 32,614 | ||||
Custodian fees | 1,146 | ||||
Administrative and compliance services fees | 10,156 | ||||
Transfer agent fees | 3,129 | ||||
Trustee fees | 40,131 | ||||
Professional fees | 32,344 | ||||
Shareholder reports | 14,999 | ||||
Other expenses | 17,025 | ||||
|
| ||||
Total expenses | 1,846,948 | ||||
Less Management fees contractually waived | (1,271,545 | ) | |||
|
| ||||
Net expenses | 575,403 | ||||
|
| ||||
Net Investment Income/(Loss) | (575,403 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 11,057 | ||||
Net realized gains/(losses) on affiliated transactions | 15,192,690 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (6,543 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (318,506,766 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (303,309,562 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (303,884,965 | ) | ||
|
|
See accompanying notes to the financial statements.
3
AZL Moderate Index Strategy Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | (575,403 | ) | $ | 17,259,651 | |||||
Net realized gains/(losses) on investments | 15,203,747 | 116,951,336 | ||||||||
Change in unrealized appreciation/depreciation on investments | (318,513,309 | ) | 4,889,597 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (303,884,965 | ) | 139,100,584 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (33,935,061 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (33,935,061 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 100,254 | 1,359,198,190 | ||||||||
Proceeds from dividends reinvested | — | 33,935,061 | ||||||||
Value of shares redeemed | (114,136,856 | ) | (181,979,760 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (114,036,602 | ) | 1,211,153,491 | |||||||
|
|
|
| |||||||
Change in net assets | (417,921,567 | ) | 1,316,319,014 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,927,598,261 | 611,279,247 | ||||||||
|
|
|
| |||||||
End of period | $ | 1,509,676,694 | $ | 1,927,598,261 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Shares issued | 7,201 | 89,961,204 | ||||||||
Dividends reinvested | — | 2,263,847 | ||||||||
Shares redeemed | (7,965,842 | ) | (11,902,446 | ) | ||||||
|
|
|
| |||||||
Change in shares | (7,958,641 | ) | 80,322,605 | |||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
4
AZL Moderate Index Strategy Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.63 | $ | 14.20 | $ | 13.32 | $ | 11.98 | $ | 13.30 | $ | 15.54 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | — | (a)(b) | 0.20 | (b) | 0.26 | (b) | 0.23 | (b) | 0.26 | 0.12 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.55 | ) | 1.50 | 1.39 | 2.03 | (0.92 | ) | 1.78 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.55 | ) | 1.70 | 1.65 | 2.26 | (0.66 | ) | 1.90 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.09 | ) | (0.27 | ) | (0.32 | ) | (0.13 | ) | (0.35 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.18 | ) | (0.50 | ) | (0.60 | ) | (0.53 | ) | (3.79 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.27 | ) | (0.77 | ) | (0.92 | ) | (0.66 | ) | (4.14 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.08 | $ | 15.63 | $ | 14.20 | $ | 13.32 | $ | 11.98 | $ | 13.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(c) | (16.31 | )%(d) | 12.06 | % | 12.84 | % | 19.33 | % | (5.17 | )% | 13.30 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,509,677 | $ | 1,927,598 | $ | 611,279 | $ | 611,984 | $ | 590,092 | $ | 740,959 | ||||||||||||||||||
Net Investment Income/(Loss)(e) | (0.07 | )% | 1.30 | % | 1.95 | % | 1.78 | % | 1.75 | % | 0.77 | % | ||||||||||||||||||
Expenses Before Reductions*(e)(f) | 0.22 | % | 0.26 | % | 0.43 | % | 0.43 | % | 0.42 | % | 0.43 | % | ||||||||||||||||||
Expenses Net of Reductions*(e) | 0.07 | % | 0.07 | % | 0.08 | % | 0.08 | % | 0.07 | % | 0.08 | % | ||||||||||||||||||
Portfolio Turnover Rate | — | (a)(d) | 14 | % | 15 | % | 5 | % | 4 | % | 7 | % |
* | The expense ratios exclude the impact of fees/expenses paid by each underlying fund. |
(a) | Represents less than $0.005 or 0.5%. |
(b) | Calculated using the average shares method. |
(c) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(d) | Not annualized for periods less than one year. |
(e) | Annualized for periods less than one year. |
(f) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
5
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Moderate Index Strategy Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Fund is a “fund of funds,” which means that the Fund invests primarily in other mutual funds (the “Underlying Funds”). Underlying Funds invest in stock, bonds, and other securities and reflect varying amounts of potential investment risk and reward. The Underlying Funds record their investments at fair value. Periodically, the Fund will adjust its asset allocation as it seeks to achieve its investment objective.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
6
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023. Expenses incurred for investment advisory and management services are reflected on the Statement of Operations as “Management fees.”
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Moderate Index Strategy Fund | 0.40 | % | 0.20 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.05% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
The Manager or an affiliate of the Manager serves as the investment adviser of certain underlying funds in which the Fund invests. At June 30, 2022, these underlying funds are noted as Affiliated Investment Companies in the Fund’s Schedule of Portfolio Investments. Additional information, including financial statements, about these Funds is available at www.allianzlife.com. The Manager or an affiliate of the Manager is paid a separate fee from the underlying funds for such services. A summary of the Fund’s investments in affiliated investment companies for the period ended June 30, 2022 is as follows:
Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | Net Realized Gains Distributions from Affiliated Underlying Funds | |||||||||||||||||||||||||||||||||||||
AZL Enhanced Bond Index Fund | $ | 758,516,926 | $ | — | $ | (53,351,630 | ) | $ | (4,132,741 | ) | $ | (76,644,110 | ) | $ | 624,388,445 | 62,752,608 | $ | — | $ | — | |||||||||||||||||||||||||
AZL International Index Fund, Class 2 | 291,329,601 | — | (14,942,706 | ) | 3,165,486 | (56,867,625 | ) | 222,684,756 | 14,535,558 | — | — | ||||||||||||||||||||||||||||||||||
AZL Mid Cap Index Fund, Class 2 | 178,097,959 | — | (13,289,925 | ) | 3,445,077 | (36,882,705 | ) | 131,370,406 | 5,797,458 | — | — | ||||||||||||||||||||||||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | 89,228,105 | — | (5,752,172 | ) | 1,154,361 | (17,685,679 | ) | 66,944,615 | 4,944,211 | — | — | ||||||||||||||||||||||||||||||||||
AZL S&P 500 Index Fund, Class 2 | 610,886,701 | 16,187 | (27,192,773 | ) | 11,560,507 | (130,426,647 | ) | 464,843,975 | 23,862,627 | — | — | ||||||||||||||||||||||||||||||||||
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$ | 1,928,059,292 | $ | 16,187 | $ | (114,529,206 | ) | $ | 15,192,690 | $ | (318,506,766 | ) | $ | 1,510,232,197 | 111,892,462 | $ | — | $ | — | |||||||||||||||||||||||||||
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Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to fees accrued daily and paid monthly. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
7
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Investments in other investment companies are valued at their published net asset value (“NAV”). Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). The investments utilizing Level 1 valuations represent investments in open-end investment companies.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Affiliated Investment Companies+ | $ | 1,510,232,197 | $ | — | $ | — | $ | 1,510,232,197 | ||||||||||||
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Total Investment Securities | $ | 1,510,232,197 | $ | — | $ | — | $ | 1,510,232,197 | ||||||||||||
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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, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL Moderate Index Strategy Fund | $ | 16,187 | $ | 114,529,205 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest directly or through affiliated or unaffiliated mutual funds or unregistered investment pools in derivative instruments such as futures, options, and options on futures. 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 other party to a derivatives contract could default. During the period ended June 30, 2022, the Fund did not directly invest in derivatives.
Foreign Securities Risk: Investing in the securities of non-U.S. issuers involves a number of risks, such as fluctuations in currency values, adverse political, social or economic developments, and differences in social and economic developments or policies.
Fund of Fund Risk: The Fund, as a shareholder of the underlying funds, indirectly bears its proportionate share of any investment management fees and other expenses of the underlying funds. Further due to the fees and expenses paid by the Fund, as well as small variations in the Fund’s actual allocations to the underlying funds and any futures and cash held in the Fund’s portfolio, the performance and income distributions of the Fund will not be the same as the performance and income distributions of the underlying funds. In addition, the Fund maintains indirect exposure to various types of risk which may exist in the underlying funds, such as foreign securities risk, fixed income securities risk and other risks.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
Market Risk: The market price of securities owned by the underlying funds may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
8
AZL Moderate Index Strategy Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $1,808,286,779. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 133,439,267 | ||
Unrealized (depreciation) | (13,666,754 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 119,772,513 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Moderate Index Strategy Fund | $ | 11,539,987 | $ | 22,395,074 | $ | 33,935,061 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL Moderate Index Strategy Fund | $ | 34,672,393 | $ | 99,641,886 | $ | — | $ | 119,776,467 | $ | 254,090,746 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 90% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
9
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
10
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
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The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® MSCI Emerging Markets Equity Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 16 |
Page 16 |
Statements of Changes in Net Assets Page 17 |
Page 18 |
Notes to the Financial Statements Page 19 |
Page 24 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 25 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MSCI Emerging Markets Equity Index Fund
(Unaudited)
As a shareholder of the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 826.20 | $ | 2.58 | 0.57 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 825.20 | $ | 3.71 | 0.82 | % |
The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57 | % | ||||||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 21.0 | % | |||
Information Technology | 19.0 | ||||
Consumer Discretionary | 14.2 | ||||
Communication Services | 11.0 | ||||
Materials | 8.2 | ||||
Consumer Staples | 6.1 | ||||
Industrials | 5.6 | ||||
Energy | 4.9 | ||||
Health Care | 4.0 | ||||
Utilities | 2.9 | ||||
Real Estate | 2.2 | ||||
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Total Common Stocks and Preferred Stocks | 99.1 | ||||
Rights | — | † | |||
Short-Term Security Held as Collateral for Securities on Loan | 0.5 | ||||
Unaffiliated Investment Company | 0.4 | % | |||
|
| ||||
Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | † | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
† | Represents less than 0.05%. |
1
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (97.9%): | ||||||||
Aerospace & Defense (0.2%): | ||||||||
5,099 | Aecc Aviation Power Co., Ltd. | $ | 34,832 | |||||
18,981 | Aselsan Elektronik Sanayi Ve Ticaret AS | 26,056 | ||||||
83,000 | AviChina Industry & Technology Co., Ltd., Class H | 48,177 | ||||||
35,570 | Bharat Electronics, Ltd. | 105,600 | ||||||
2,537 | Korea Aerospace Industries, Ltd. | 105,244 | ||||||
7,300 | Kuang-Chi Technologies Co., Ltd., Class A* | 18,860 | ||||||
|
| |||||||
338,769 | ||||||||
|
| |||||||
Air Freight & Logistics (0.3%): | ||||||||
44,036 | Agility Public Warehousing Co. KSC | 116,944 | ||||||
572 | Hyundai Glovis Co., Ltd. | 79,172 | ||||||
9,300 | SF Holding Co., Ltd., Class A | 77,659 | ||||||
3,900 | Yunda Holding Co., Ltd., Class A | 9,956 | ||||||
11,913 | ZTO Express Cayman, Inc., ADR | 327,012 | ||||||
|
| |||||||
610,743 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
66,000 | Air China, Ltd.* | 57,527 | ||||||
69,000 | China Airlines, Ltd.* | 54,591 | ||||||
39,299 | China Eastern Airlines Corp., Ltd.* | 32,272 | ||||||
38,000 | China Southern Airlines Co., Ltd.* | 41,554 | ||||||
28,000 | China Southern Airlines Co., Ltd., Class H* | 16,206 | ||||||
64,000 | Eva Airways Corp.* | 68,010 | ||||||
2,989 | InterGlobe Aviation, Ltd.* | 60,941 | ||||||
4,761 | Korean Air Lines Co., Ltd.* | 92,644 | ||||||
13,203 | Turk Hava Yollari AO* | 37,132 | ||||||
|
| |||||||
460,877 | ||||||||
|
| |||||||
Auto Components (0.5%): | ||||||||
2,213 | Balkrishna Industries, Ltd. | 60,329 | ||||||
6,982 | Bharat Forge, Ltd. | 57,760 | ||||||
900 | Changzhou Xingyu Automotive Lighting Systems Co., Ltd., Class A | 23,051 | ||||||
47,000 | Cheng Shin Rubber Industry Co., Ltd. | 55,938 | ||||||
6,500 | Fuyao Glass Industry Group Co., Ltd. | 40,643 | ||||||
12,800 | Fuyao Glass Industry Group Co., Ltd., Class H | 65,939 | ||||||
2,479 | Hankook Tire & Technology Co., Ltd. | 63,049 | ||||||
5,302 | Hanon Systems | 41,144 | ||||||
4,200 | Huayu Automotive Systems Co., Ltd. | 14,453 | ||||||
1,000 | Huizhou Desay Sv Automotive Co., Ltd., Class A | 22,152 | ||||||
1,665 | Hyundai Mobis Co., Ltd. | 255,519 | ||||||
24,000 | Minth Group, Ltd. | 65,672 | ||||||
35,987 | Motherson Sumi Systems, Ltd. | 53,976 | ||||||
62 | MRF, Ltd. | 55,646 | ||||||
1,500 | Ningbo Joyson Electronic Corp.* | 3,529 | ||||||
2,300 | Ningbo Tuopu Group Co., Ltd., Class A | 23,607 | ||||||
3,600 | Shandong Linglong Tyre Co., Ltd., Class A | 13,660 | ||||||
|
| |||||||
916,067 | ||||||||
|
| |||||||
Automobiles (3.4%): | ||||||||
564,400 | Astra International Tbk PT | 250,836 | ||||||
1,747 | Bajaj Auto, Ltd. | 82,411 | ||||||
3,133 | BYD Co., Ltd. | 157,009 | ||||||
23,500 | BYD Co., Ltd., Class H | 946,610 | ||||||
14,924 | Chongqing Changan Automobile Co., Ltd., Class A | 38,710 | ||||||
84,000 | Dongfeng Motor Group Co., Ltd., Class H | 63,925 | ||||||
4,135 | Eicher Motors, Ltd. | 146,674 | ||||||
2,009 | Ford Otomotiv Sanayi AS | 32,205 | ||||||
177,000 | Geely Automobile Holdings, Ltd. | 404,527 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Automobiles, continued | ||||||||
4,500 | Great Wall Motor Co., Ltd., Class A | $ | 24,950 | |||||
92,500 | Great Wall Motor Co., Ltd., Class H | 191,368 | ||||||
99,200 | Guangzhou Automobile Group Co., Ltd. | 96,243 | ||||||
3,348 | Hero MotoCorp, Ltd. | 115,525 | ||||||
732 | Hyundai Motor Co., Ltd. | 49,091 | ||||||
3,891 | Hyundai Motor Co., Ltd. | 541,569 | ||||||
7,717 | Kia Corp. | 460,513 | ||||||
15,497 | Li Auto, Inc., ADR* | 593,690 | ||||||
24,997 | Mahindra & Mahindra, Ltd. | 346,653 | ||||||
3,371 | Maruti Suzuki India, Ltd. | 362,373 | ||||||
37,354 | NIO, Inc., ADR* | 811,329 | ||||||
19,100 | SAIC Motor Corp., Ltd. | 50,888 | ||||||
47,846 | Tata Motors, Ltd.* | 250,353 | ||||||
11,629 | Xpeng, Inc., ADR* | 369,104 | ||||||
36,000 | Yadea Group Holdings, Ltd. | 70,729 | ||||||
|
| |||||||
6,457,285 | ||||||||
|
| |||||||
Banks (14.7%): | ||||||||
21,458 | Absa Group, Ltd. | 204,425 | ||||||
87,807 | Abu Dhabi Commercial Bank | 211,971 | ||||||
42,766 | Abu Dhabi Islamic Bank Pjsc | 87,416 | ||||||
143,000 | Agricultural Bank of China, Ltd.* | 64,544 | ||||||
724,000 | Agricultural Bank of China, Ltd., Class A* | 274,534 | ||||||
67,477 | Akbank T.A.S. | 32,491 | ||||||
57,248 | Al Rajhi Bank | 1,260,893 | ||||||
28,624 | Alinma Bank | 255,404 | ||||||
49,791 | Alpha Services and Holdings SA* | 43,766 | ||||||
53,900 | AMMB Holdings Berhad | 45,665 | ||||||
16,034 | Arab National Bank | 126,137 | ||||||
2,564 | AU Small Finance Bank, Ltd.* | 19,259 | ||||||
66,355 | Axis Bank, Ltd.* | 536,406 | ||||||
43,571 | Banco Bradesco SA | 119,733 | ||||||
1,298,706 | Banco de Chile | 118,231 | ||||||
1,979 | Banco de Credito e Inversiones | 57,959 | ||||||
24,879 | Banco do Brasil SA | 158,700 | ||||||
11,234 | Banco Santander Brasil SA | 61,849 | ||||||
2,238,136 | Banco Santander Chile | 90,409 | ||||||
10,347 | Bancolombia SA | 79,189 | ||||||
9,306 | Bancolombia SA | 75,356 | ||||||
20,207 | Bandhan Bank, Ltd. | 67,569 | ||||||
15,757 | Bank AlBilad* | 183,983 | ||||||
11,736 | Bank Al-Jazira | 69,899 | ||||||
102,800 | Bank Jago TBK PT* | 63,184 | ||||||
37,500 | Bank of Beijing Co., Ltd., Class A | 25,465 | ||||||
2,247,000 | Bank of China, Ltd.* | 900,279 | ||||||
72,500 | Bank of China, Ltd., Class A* | 35,321 | ||||||
75,999 | Bank of Communications Co., Ltd., Class A | 56,582 | ||||||
249,000 | Bank of Communications Co., Ltd., Class H | 172,001 | ||||||
20,000 | Bank of Hangzhou Co., Ltd.* | 44,794 | ||||||
36,920 | Bank of Jiangsu Co., Ltd. | 39,307 | ||||||
18,200 | Bank of Nanjing Co., Ltd. | 28,339 | ||||||
13,970 | �� | Bank of Ningbo Co., Ltd. | 74,832 | |||||
34,470 | Bank of Shanghai Co., Ltd., Class A | 33,748 | ||||||
62,666 | Bank of the Philippine Islands | 96,667 | ||||||
5,661 | Bank Pekao SA | 103,552 | ||||||
17,575 | Banque Saudi Fransi | 222,312 | ||||||
57,334 | BDO Unibank, Inc. | 115,244 |
See accompanying notes to the financial statements.
2
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
36,846 | Boubyan Bank KSCP | $ | 92,900 | |||||
2,330 | Capitec Bank Holdings, Ltd. | 284,626 | ||||||
135,393 | Chang Hwa Commercial Bank | 79,066 | ||||||
257,000 | China Citic Bank Co., Ltd. | 115,500 | ||||||
2,720,000 | China Construction Bank | 1,828,815 | ||||||
32,600 | China Construction Bank Corp. | 29,535 | ||||||
430,795 | China Development Financial Holding Corp. | 212,785 | ||||||
72,500 | China Everbright Bank Co., Ltd. | 32,628 | ||||||
114,000 | China Everbright Bank Co., Ltd., Class H | 36,943 | ||||||
36,144 | China Merchants Bank Co., Ltd. | 228,252 | ||||||
109,500 | China Merchants Bank Co., Ltd. | 744,883 | ||||||
69,700 | China Minsheng Banking Corp., Ltd., Class A | 38,772 | ||||||
113,300 | China Minsheng Banking Corp., Ltd., Class H | 40,473 | ||||||
197,400 | CIMB Group Holdings Berhad | 222,314 | ||||||
57,925 | Commercial Bank of Qatar Qsc (The) | 109,032 | ||||||
47,453 | Commercial International Bank Egypt SAE | 94,307 | ||||||
1,875 | Credicorp, Ltd. | 224,831 | ||||||
505,000 | CTBC Financial Holding Co., Ltd. | 429,105 | ||||||
66,215 | Dubai Islamic Bank | 103,929 | ||||||
360,783 | E.Sun Financial Holding Co., Ltd. | 351,626 | ||||||
56,719 | Emirates NBD Bank PJSC | 204,035 | ||||||
70,569 | Eurobank Ergasias Services and Holdings SA* | 62,824 | ||||||
130,178 | First Abu Dhabi Bank PJSC | 666,065 | ||||||
312,745 | First Financial Holdings Co., Ltd. | 276,466 | ||||||
73,601 | Grupo Financiero Banorte SAB de C.V. | 410,648 | ||||||
58,223 | Grupo Financiero Inbursa SAB de C.V., Class O* | 92,731 | ||||||
24,941 | Gulf Bank KSCP | 25,965 | ||||||
8,661 | Hana Financial Holdings Group, Inc. | 263,071 | ||||||
19,300 | Hong Leong Bank Berhad | 89,698 | ||||||
6,400 | Hong Leong Financial Group Berhad | 26,896 | ||||||
272,123 | Hua Nan Financial Holdings Co., Ltd. | 206,682 | ||||||
26,900 | Huaxia Bank Co., Ltd., Class A | 20,949 | ||||||
146,247 | ICICI Bank, Ltd. | 1,313,198 | ||||||
108,800 | Industrial & Commercial Bank of China, Ltd., Class A | 77,566 | ||||||
1,600,000 | Industrial & Commercial Bank of China, Ltd., Class H | 951,108 | ||||||
39,400 | Industrial Bank Co., Ltd. | 117,266 | ||||||
8,902 | Industrial Bank of Korea (IBK) | 66,129 | ||||||
132,769 | Itausa — Investimentos Itau S.A. | 211,602 | ||||||
3,082 | KakaoBank Corp.* | 72,088 | ||||||
11,725 | KB Financial Group, Inc. | 435,438 | ||||||
2,004 | Komercni Banka AS | 56,551 | ||||||
16,130 | Kotak Mahindra Bank, Ltd. | 340,155 | ||||||
43,000 | Krung Thai Bank | 18,854 | ||||||
149,171 | Kuwait Finance House KSCP | 424,030 | ||||||
102,501 | Malayan Banking Bhd | 199,879 | ||||||
106,740 | Masraf Al Rayan | 121,152 | ||||||
371 | mBank SA* | 18,670 | ||||||
325,000 | Mega Financial Holdings Co., Ltd. | 386,040 | ||||||
46,592 | Metropolitan Bank & Trust | 40,467 | ||||||
16,450 | Moneta Money Bank AS | 59,987 | ||||||
10,393 | National Bank of Greece SA* | 31,088 | ||||||
220,284 | National Bank of Kuwait SAKP | 749,662 | ||||||
64,205 | National Commercial Bank | 1,129,575 | ||||||
13,995 | Nedcor, Ltd. | 178,660 | ||||||
5,651 | OTP Bank Nyrt | 126,706 | ||||||
33,100 | Ping An Bank Co., Ltd., Class A* | 74,162 | ||||||
38,900 | Postal Savings Bank of China Co., Ltd., Class A | 31,356 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
231,000 | Postal Savings Bank of China Co., Ltd., Class H^ | $ | 184,509 | |||||
22,657 | Powszechna Kasa Oszczednosci Bank Polski SA* | 142,261 | ||||||
1,554,500 | PT Bank Central Asia Tbk | 757,598 | ||||||
533,300 | PT Bank Mandiri Persero Tbk | 284,761 | ||||||
242,400 | PT Bank Negara Indonesia Tbk | 127,874 | ||||||
1,992,042 | PT Bank Rakyat Indonesia Tbk | 555,729 | ||||||
421,800 | Public Bank Berhad | 418,510 | ||||||
27,221 | Qatar International Islamic Bank QSC | 79,751 | ||||||
43,180 | Qatar Islamic Bank | 264,330 | ||||||
129,909 | Qatar National Bank | 713,472 | ||||||
59,900 | RHB Bank Bhd | 77,924 | ||||||
41,240 | Riyad Bank | 353,387 | ||||||
1,058 | Santander Bank Polska SA | 55,214 | ||||||
11,462 | Saudi Investment Bank/The | 59,608 | ||||||
317,881 | Sberbank of Russia*(a) | 6 | ||||||
28,200 | SCB X pcl* | 82,967 | ||||||
105,724 | Shanghai Commercial & Savings Bank, Ltd. (The) | 189,053 | ||||||
70,100 | Shanghai Pudong Development Bank Co., Ltd. | 83,921 | ||||||
12,719 | Shinhan Financial Group Co., Ltd. | 364,001 | ||||||
295,800 | SinoPac Financial Holdings Co., Ltd. | 167,176 | ||||||
35,548 | Standard Bank Group, Ltd. | 339,621 | ||||||
53,820 | State Bank of India | 318,202 | ||||||
315,390 | Taishin Financial Holding Co., Ltd. | 172,770 | ||||||
280,247 | Taiwan Cooperative Financial Holding Co., Ltd. | 252,892 | ||||||
3,719 | TCS Group Holding plc, GDR*(a) | — | ||||||
23,255 | The Saudi British Bank | 252,707 | ||||||
102,705 | Turkiye Is Bankasi AS, Class C | 27,011 | ||||||
97,280,589 | VTB Bank PJSC(a) | 1,801 | ||||||
15,903 | Woori Financial Group, Inc. | 148,555 | ||||||
316,254 | Yes Bank, Ltd.* | 50,706 | ||||||
|
| |||||||
27,661,473 | ||||||||
|
| |||||||
Beverages (1.7%): | ||||||||
138,132 | Ambev SA Com Npv | 353,718 | ||||||
1,100 | Anhui Gujing Distillery Co., Ltd., Class A | 41,079 | ||||||
3,000 | Anhui Gujing Distillery Co., Ltd., Class B | 46,869 | ||||||
1,300 | Anhui Kouzi Distillery Co., Ltd. | 11,398 | ||||||
10,480 | Arca Continental SAB de C.V. | 69,069 | ||||||
3,700 | Beijing Shunxin Agriculture Co., Ltd., Class A | 14,888 | ||||||
8,700 | Carabao Group pcl | 26,265 | ||||||
42,000 | China Resources Beer Holdings Co., Ltd. | 318,706 | ||||||
1,400 | Chongqing Brewery Co., Ltd., Class A | 30,719 | ||||||
15,966 | Coca-Cola Femsa S.A.B de C.V. | 88,421 | ||||||
3,027 | Compania Cervecerias Unidas SA | 19,142 | ||||||
54,785 | Fomento Economico Mexicano S.A.B. de C.V. | 369,949 | ||||||
2,800 | Jiangsu King’s Luck Brewery JSC, Ltd., Class A | 21,375 | ||||||
3,200 | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A | 87,705 | ||||||
1,100 | JiuGui Liquor Co., Ltd., Class A | 30,590 | ||||||
2,172 | Kweichow Moutai Co., Ltd. | 666,329 | ||||||
2,400 | Luzhou Laojiao Co., Ltd. | 88,678 | ||||||
51,000 | Nongfu Spring Co., Ltd., Class H | 296,511 | ||||||
23,700 | Osotspa pcl | 22,994 | ||||||
2,744 | Shanghai Bairun Investment Holding Group Co., Ltd., Class A | 12,339 | ||||||
2,160 | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A | 104,978 | ||||||
1,400 | Sichuan Swellfun Co., Ltd., Class A | 19,380 | ||||||
2,600 | Tsingtao Brewery Co., Ltd., Class A | 40,437 | ||||||
14,000 | Tsingtao Brewery Co., Ltd., Class H | 146,007 |
See accompanying notes to the financial statements.
3
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
7,920 | United Spirits, Ltd.* | $ | 76,321 | |||||
6,800 | Wuliangye Yibin Co., Ltd., Class A | 205,472 | ||||||
|
| |||||||
3,209,339 | ||||||||
|
| |||||||
Biotechnology (0.7%): | ||||||||
51,000 | 3SBio, Inc. | 40,613 | ||||||
808 | Alteogen, Inc.* | 38,088 | ||||||
1,420 | BeiGene, Ltd., ADR*^ | 229,827 | ||||||
700 | Beijing Tiantan Biological Products Corp., Ltd., Class A* | 2,542 | ||||||
1,015 | Beijing Wantai Biological Pharmacy Enterprise Co., Ltd., Class A | 23,543 | ||||||
600 | BGI Genomics Co., Ltd. | 6,434 | ||||||
14,923 | Biocon, Ltd. | 58,356 | ||||||
2,869 | Celltrion, Inc. | 395,450 | ||||||
3,200 | Chongqing Zhifei Biological Products Co., Ltd., Class A | 53,187 | ||||||
185 | Green Cross Corp. | 24,056 | ||||||
3,270 | Hualan Biological Engineering, Inc., Class A | 11,151 | ||||||
300 | Imeik Technology Development Co., Ltd., Class A | 26,935 | ||||||
28,000 | Innovent Biologics, Inc.* | 127,626 | ||||||
1,702 | Legend Biotech Corp., ADR* | 93,610 | ||||||
1,238 | Seegne, Inc. | 34,565 | ||||||
1,000 | Shanghai Junshi Biosciences Co., Ltd., Class A* | 11,253 | ||||||
21,600 | Shanghai Raas Blood Products Co., Ltd. | 19,150 | ||||||
2,560 | Shenzhen Kangtai Biological Products Co., Ltd., Class A | 17,304 | ||||||
644 | SK Bioscience Co., Ltd.* | 49,920 | ||||||
4,000 | Walvax Biotechnology Co., Ltd., Class A | 28,974 | ||||||
2,417 | Zai Lab, Ltd., ADR* | 83,822 | ||||||
|
| |||||||
1,376,406 | ||||||||
|
| |||||||
Building Products (0.0%†): | ||||||||
3,000 | Beijing New Building Materials plc | 15,556 | ||||||
35,000 | China Lesso Group Holdings, Ltd. | 52,958 | ||||||
6,500 | Zhuzhou Kibing Group Co., Ltd., Class A | 12,416 | ||||||
|
| |||||||
80,930 | ||||||||
|
| |||||||
Capital Markets (1.1%): | ||||||||
173,524 | B3 SA- Brasil Bolsa Balcao | 363,436 | ||||||
34,376 | Banco BTG Pactual SA | 146,559 | ||||||
68,300 | Bangkok Commercial Asset Management pcl, Class R | 33,661 | ||||||
23,140 | Caitong Securities Co., Ltd. | 27,239 | ||||||
193,000 | China Cinda Asset Management Co., Ltd., Class H | 30,294 | ||||||
120,000 | China Galaxy Securities Co. | 69,404 | ||||||
44,400 | China International Capital Corp., Ltd. | 96,175 | ||||||
14,140 | China Merchants Securities Co., Ltd. | 30,482 | ||||||
21,465 | Citic Securities Co., Ltd., Class A | 69,596 | ||||||
67,850 | Citic Securities Co., Ltd., Class A | 152,031 | ||||||
5,300 | CSC Financial Co., Ltd., Class A | 22,917 | ||||||
27,993 | East Money Information Co., Ltd., Class A | 106,429 | ||||||
6,600 | Everbright Securities Co., Ltd. | 15,597 | ||||||
20,100 | Founder Securities Co., Ltd., Class A | 20,171 | ||||||
30,400 | GF Securities Co., Ltd. | 40,260 | ||||||
15,400 | GF Securities Co., Ltd., Class A | 43,095 | ||||||
12,599 | Guosen Securities Co., Ltd., Class A | 18,043 | ||||||
14,600 | Guotai Junan Securities Co., Ltd. | 33,210 | ||||||
28,600 | Haitong Securities Co., Ltd. | 41,986 | ||||||
78,800 | Haitong Securities Co., Ltd. | 57,936 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
1,000 | Hithink RoyalFlush Information Network Co., Ltd., Class A | $ | 14,399 | |||||
12,900 | Huatai Securities Co., Ltd., Class A | 27,418 | ||||||
44,600 | Huatai Securities Co., Ltd., Class H | 66,780 | ||||||
24,300 | Industrial Securities Co., Ltd. | 25,639 | ||||||
1,242 | Korea Investment Holdings Co., Ltd. | 59,086 | ||||||
10,139 | Meritz Securities Co., Ltd. | 35,485 | ||||||
9,168 | Mirae Asset Securities Co., Ltd. | 46,840 | ||||||
6,300 | Nanjing Securities Co., Ltd. | 7,863 | ||||||
2,777 | NH Investment & Securities Co., Ltd. | 19,389 | ||||||
26,240 | Orient Securities Co., Ltd./China | 40,169 | ||||||
3,779 | Reinet Investments SCA | 66,378 | ||||||
1,516 | Samsung Securities Co., Ltd. | 39,132 | ||||||
69,900 | Shenwan Hongyuan Group Co., Ltd. | 44,837 | ||||||
45,462 | The Moscow Exchange*(a) | 45 | ||||||
304,680 | Yuanta Financial Holding Co., Ltd. | 201,752 | ||||||
5,300 | Zheshang Securities Co., Ltd. | 9,022 | ||||||
|
| |||||||
2,122,755 | ||||||||
|
| |||||||
Chemicals (3.2%): | ||||||||
5,052 | Advanced Petrochemical Co. | 69,248 | ||||||
11,215 | Asian Paints, Ltd. | 383,549 | ||||||
9,301 | Berger Paints India, Ltd. | 67,038 | ||||||
42,000 | Dongyue Group, Ltd. | 52,744 | ||||||
88,000 | Formosa Chemicals & Fibre Corp. | 220,969 | ||||||
112,000 | Formosa Plastics Corp. | 408,529 | ||||||
4,600 | Guangzhou Tinci Materials Technology Co., Ltd., Class A | 42,794 | ||||||
3,276 | Hanwha Chemical Corp.* | 95,868 | ||||||
13,400 | Hengli Petrochemical Co., Ltd. | 44,627 | ||||||
10,092 | Hengyi Petrochemical Co., Ltd., Class A | 15,866 | ||||||
1,300 | Hoshine Silicon Industry Co., Ltd. | 22,959 | ||||||
60,600 | Indorama Ventures pcl | 80,737 | ||||||
9,200 | Jiangsu Eastern Shenghong Co., Ltd., Class A | 23,293 | ||||||
6,200 | Kingfa Sci & Tech Co., Ltd., Class A | 8,823 | ||||||
533 | Kumho Petrochemical Co., Ltd. | 57,202 | ||||||
1,357 | LG Chem, Ltd. | 540,138 | ||||||
226 | LG Chem, Ltd. | 41,913 | ||||||
3,900 | Lomon Billions Group Co., Ltd., Class A | 11,704 | ||||||
540 | Lotte Chemical Corp. | 75,029 | ||||||
135,824 | Mesaieed Petrochemical Holding Co. | 92,941 | ||||||
133,000 | Nan Ya Plastics Corp. | 371,079 | ||||||
9,868 | National Industrialization Co.* | 42,472 | ||||||
14,000 | Ningxia Baofeng Energy Group Co., Ltd., Class A | 30,745 | ||||||
29,450 | Orbia Advance Corp SAB de CV | 68,936 | ||||||
73,300 | Petronas Chemicals Group Berhad | 149,824 | ||||||
4,368 | PhosAgro, GDR(a) | 4 | ||||||
2,276 | PI Industries, Ltd. | 73,863 | ||||||
4,453 | Pidilite Industries, Ltd. | 118,054 | ||||||
832,600 | PT Barito Pacific Tbk | 42,238 | ||||||
39,200 | PTT Global Chemical Public Co., Ltd. | 50,544 | ||||||
19,350 | Rongsheng Petro Chemical Co., Ltd., Class A | 44,591 | ||||||
6,466 | SABIK Agri-Nutrients Co. | 237,619 | ||||||
8,631 | Sahara International Petrochemical Co. | 115,730 | ||||||
16,339 | Sasol, Ltd.* | 377,642 | ||||||
26,296 | Saudi Basic Industries Corp. | 712,566 | ||||||
8,430 | Saudi Industrial Investment Group | 64,148 |
See accompanying notes to the financial statements.
4
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
21,544 | Saudi Kayan Petrochemical Co.* | $ | 90,751 | |||||
4,940 | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A | 21,574 | ||||||
3,600 | Shanghai Putailai New Energy Technology Co., Ltd., Class A | 45,493 | ||||||
264 | Shenzhen Dynanonic Co., Ltd., Class A | 16,155 | ||||||
388 | SK Chemicals Co., Ltd. | 27,562 | ||||||
591 | SK IE Technology Co., Ltd.* | 44,737 | ||||||
649 | SKC Co., Ltd. | 66,597 | ||||||
1,120 | Skshu Paint Co., Ltd., Class A* | 21,683 | ||||||
4,172 | Sociedad Quimica y Minera de Chile SA | 347,970 | ||||||
3,359 | SRF, Ltd. | 96,015 | ||||||
14,118 | UPL, Ltd. | 113,253 | ||||||
7,300 | Wanhua Chemical Group Co., Ltd. | 105,903 | ||||||
7,713 | Yanbu National Petrochemical Co. | 103,922 | ||||||
|
| |||||||
5,957,641 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.1%): | ||||||||
108,222 | China Everbright International, Ltd. | 63,991 | ||||||
6,265 | Indian Railway Catering & Tourism Corp., Ltd. | 45,822 | ||||||
588 | S1 Corp. | 29,121 | ||||||
2,200 | Shanghai M&G Stationery, Inc., Class A | 18,443 | ||||||
|
| |||||||
157,377 | ||||||||
|
| |||||||
Communications Equipment (0.2%): | ||||||||
17,000 | Accton Technology Corp. | 137,545 | ||||||
20,500 | BYD Electronic International Co., Ltd. | 64,556 | ||||||
1,300 | China Zhenhua Group Science & Technology Co., Ltd., Class A | 26,391 | ||||||
5,600 | Fiberhome Telecommunication Technologies Co., Ltd. | 12,133 | ||||||
1,800 | Yealink Network Technology Corp., Ltd., Class A | 20,475 | ||||||
900 | Zhongji Innolight Co., Ltd., Class A | 4,182 | ||||||
8,300 | ZTE Corp. | 31,647 | ||||||
23,800 | ZTE Corp., Class H | 55,615 | ||||||
|
| |||||||
352,544 | ||||||||
|
| |||||||
Construction & Engineering (0.5%): | ||||||||
98,000 | China Communications Services Corp., Ltd. | 43,158 | ||||||
118,000 | China Railway Group, Ltd. | 73,444 | ||||||
53,400 | China Railway Group, Ltd., Class A | 49,042 | ||||||
80,500 | China State Construction Engineering Corp., Ltd. | 64,040 | ||||||
44,000 | China State Construction International Holdings, Ltd. | 48,757 | ||||||
1,727 | GS Engineering & Construction Corp. | 42,079 | ||||||
2,127 | Hyundai Engineering & Construction Co., Ltd. | 67,910 | ||||||
19,005 | Larsen & Toubro, Ltd. | 375,752 | ||||||
35,600 | Metallurgical Corp. of China, Ltd. | 18,629 | ||||||
38,400 | Power Construction Corp. of China, Ltd. | 45,227 | ||||||
4,331 | Samsung Engineering Co., Ltd.* | 72,295 | ||||||
|
| |||||||
900,333 | ||||||||
|
| |||||||
Construction Materials (1.0%): | ||||||||
1,933 | ACC, Ltd. | 52,013 | ||||||
19,842 | Ambuja Cements, Ltd. | 91,331 | ||||||
7,700 | Anhui Conch Cement Co., Ltd., Class A | 40,639 | ||||||
33,000 | Anhui Conch Cement Co., Ltd., Class H | 144,272 | ||||||
72,000 | Asia Cement Corp. | 106,020 | ||||||
25,400 | BBMG Corp. | 10,518 | ||||||
437,937 | Cemex SAB de C.V.* | 170,562 | ||||||
8,458 | China Jushi Co., Ltd., Class A | 22,025 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials, continued | ||||||||
122,000 | China National Buildings Material Co., Ltd. | $ | 130,652 | |||||
78,000 | China Resources Cement Holdings, Ltd. | 52,478 | ||||||
7,494 | Grasim Industries, Ltd. | 125,552 | ||||||
900 | Huaxin Cement Co., Ltd. | 2,626 | ||||||
827 | POSCO Chemical Co., Ltd. | 68,392 | ||||||
112,100 | PT Semen Indonesia (Persero) Tbk | 53,682 | ||||||
298 | Shree Cement, Ltd. | 71,848 | ||||||
162,374 | Taiwan Cement Corp. | 215,649 | ||||||
19,200 | The Siam Cement Public Co., Ltd. | 203,356 | ||||||
3,087 | Ultra Tech Cement, Ltd. | 219,579 | ||||||
|
| |||||||
1,781,194 | ||||||||
|
| |||||||
Consumer Finance (0.6%): | ||||||||
2,667 | 360 DigiTech, Inc., ADR | 46,139 | ||||||
7,885 | Bajaj Finance, Ltd. | 540,684 | ||||||
12,258 | Cholamandalam Investment and Finance Co., Ltd. | 96,361 | ||||||
15,500 | JMT Network Services pcl | 32,187 | ||||||
29,000 | Krungthai Card pcl | 46,840 | ||||||
22,256 | Lufax Holding, Ltd., ADR | 133,536 | ||||||
28,300 | Muangthai Capital pcl, Class R | 34,299 | ||||||
4,134 | Muthoot Finance, Ltd. | 51,184 | ||||||
4,769 | SBI Cards & Payment Services, Ltd. | 46,481 | ||||||
4,836 | Shriram Transport Finance | 79,358 | ||||||
27,700 | Srisawad Corp pcl | 38,085 | ||||||
|
| |||||||
1,145,154 | ||||||||
|
| |||||||
Containers & Packaging (0.1%): | ||||||||
21,248 | Klabin SA | 82,021 | ||||||
38,400 | SCG Packaging pcl | 60,384 | ||||||
1,500 | Yunnan Energy New Material Co., Ltd. | 56,260 | ||||||
|
| |||||||
198,665 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
47,790 | New Oriental Education & Technology Group, Inc.* | 97,784 | ||||||
12,817 | TAL Education Group, ADR* | 62,419 | ||||||
|
| |||||||
160,203 | ||||||||
|
| |||||||
Diversified Financial Services (0.8%): | ||||||||
41,082 | Chailease Holding Co., Ltd. | 288,330 | ||||||
58,000 | Far East Horizon, Ltd. | 48,682 | ||||||
145,699 | FirstRand, Ltd. | 560,111 | ||||||
203,038 | Fubon Financial Holdings Co., Ltd. | 408,025 | ||||||
22,368 | Haci Omer Sabanci Holding AS | 25,409 | ||||||
722 | Meritz Financial Group, Inc. | 14,424 | ||||||
431,800 | Metro Pacific Investments Corp. | 27,728 | ||||||
3,371 | Piramal Enterprises, Ltd. | 70,803 | ||||||
16,878 | Remgro, Ltd. | 134,945 | ||||||
|
| |||||||
1,578,457 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.5%): | ||||||||
1,192,000 | China Tower Corp., Ltd., Class H | 153,594 | ||||||
104,000 | Chunghwa Telecom Co., Ltd. | 427,710 | ||||||
50,100 | Converge Information and Communications Technology Solutions, Inc.* | 19,234 | ||||||
100,092 | Emirates Telecommunications Group Co. PJSC | 712,075 | ||||||
6,670 | Hellenic Telecommunications Organization SA (OTE) | 116,238 | ||||||
18,250 | Indus Towers, Ltd. | 48,415 | ||||||
6,438 | LG Uplus Corp. | 63,305 | ||||||
34,613 | Ooredoo Qsc | 73,190 | ||||||
50,779 | Operadora de Sites Mexicanos SA de CV | 58,876 |
See accompanying notes to the financial statements.
5
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
22,338 | Orange Polska SA | $ | 31,340 | |||||
1,422,900 | PT Telekomunikasi Indonesia Tbk | 382,431 | ||||||
497,700 | Sarana Menara Nusantara Tbk PT | 36,770 | ||||||
17,260 | Saudi Telecom Co. | 447,232 | ||||||
12,522 | Telefonica Brasil SA | 112,612 | ||||||
37,500 | Telekom Malaysia Berhad | 44,705 | ||||||
243,500 | Tower Bersama Infrastructure Tbk PT | 48,117 | ||||||
494,000 | True Corp. pcl | 64,361 | ||||||
|
| |||||||
2,840,205 | ||||||||
|
| |||||||
Electric Utilities (1.1%): | ||||||||
7,799 | Adani Transmission, Ltd.* | 246,919 | ||||||
29,992 | Centrais Eletricas Brasileiras S.A | 264,792 | ||||||
4,434 | Centrais Eletricas Brasileiras S.A | 39,570 | ||||||
4,545 | CEZ AS | 204,924 | ||||||
46,508 | Companhia Energetica de Minas Gerais | 92,254 | ||||||
657,720 | ENEL Americas SA | 62,459 | ||||||
1,011,183 | ENEL Chile SA | 22,876 | ||||||
6,011 | Energisa SA | 46,350 | ||||||
32,737 | Equatorial Energia SA | 142,887 | ||||||
952,130 | Inter Rao Ues PJSC(a) | 18 | ||||||
15,365 | Interconexion Electrica SA ESP | 76,047 | ||||||
7,164 | Korea Electric Power Corp., Ltd.* | 125,307 | ||||||
25,730 | PGE SA* | 61,349 | ||||||
93,408 | Power Grid Corp. of India, Ltd. | 250,995 | ||||||
4,801 | Public Power Corp. SA* | 26,554 | ||||||
25,045 | Saudi Electricity Co. | 162,031 | ||||||
42,224 | Tata Power Co., Ltd. (The) | 108,413 | ||||||
61,000 | Tenega Nasional Berhad | 110,469 | ||||||
|
| |||||||
2,044,214 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
4,200 | Contemporary Amperex Technology Co., Ltd., Class A | 336,341 | ||||||
11,375 | Doosan Heavy Industries & Construction Co., Ltd.* | 170,255 | ||||||
1,384 | Ecopro BM Co., Ltd. | 121,459 | ||||||
3,801 | Eve Energy Co., Ltd., Class A* | 55,519 | ||||||
1,050 | Ginlong Technologies Co., Ltd., Class A | 33,489 | ||||||
7,790 | Havells India, Ltd. | 108,558 | ||||||
12,500 | Jiangsu Zhongtian Technology Co., Ltd., Class A* | 43,443 | ||||||
624 | LG Energy Solution* | 178,910 | ||||||
13,176 | Nari Technology Co., Ltd. | 53,264 | ||||||
2,900 | Sungrow Power Supply Co., Ltd., Class A | 42,715 | ||||||
3,200 | Sunwoda Electronic Co., Ltd., Class A* | 15,144 | ||||||
400 | Suzhou Maxwell Technologies Co., Ltd., Class A | 29,379 | ||||||
7,200 | TBEA Co., Ltd., Class A | 29,527 | ||||||
2,000 | Voltronic Power Technology Corp. | 97,096 | ||||||
66,000 | Walsin Lihwa Corp. | 79,923 | ||||||
12,400 | Xinjiang Goldwind Science & Technology Co., Ltd.^ | 23,248 | ||||||
16,541 | Xinjiang Goldwind Science & Technology Co., Ltd. | 36,769 | ||||||
3,500 | Zhejiang Chint Electrics Co., Ltd., Class A | 18,802 | ||||||
15,800 | Zhuzhou CRRC Times Electric Co., Ltd., Class H | 78,211 | ||||||
|
| |||||||
1,552,052 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (2.7%): | ||||||||
18,500 | AAC Technologies Holdings, Inc. | 42,755 | ||||||
222,000 | AU Optronics Corp.* | 121,788 | ||||||
4,200 | Chaozhou Three-Circle Group Co., Ltd., Class A | 18,911 | ||||||
8,500 | Delta Electronics Thailand pcl | 79,929 | ||||||
57,000 | Delta Electronics, Inc. | 422,291 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
24,000 | E Ink Holdings, Inc. | $ | 151,466 | |||||
9,699 | Foxconn Industrial Internet Co., Ltd., Class A | 14,249 | ||||||
8,100 | GoerTek, Inc., Class A | 40,767 | ||||||
2,100 | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A | 23,710 | ||||||
354,000 | Hon Hai Precision Industry Co., Ltd. | 1,295,036 | ||||||
606 | Iljin Materials Co., Ltd. | 32,692 | ||||||
48,600 | Inari Amertron Berhad | 29,048 | ||||||
266,000 | Innolux Corp. | 108,136 | ||||||
19,500 | Kingboard Holdings, Ltd. | 73,757 | ||||||
37,500 | Kingboard Laminates Holdings, Ltd. | 46,363 | ||||||
659 | L&F Co., Ltd.* | 106,359 | ||||||
3,000 | Largan Precision Co., Ltd. | 174,173 | ||||||
11,400 | Lens Technology Co., Ltd., Class A | 18,847 | ||||||
6,031 | LG Display Co., Ltd. | 67,441 | ||||||
404 | LG Innotek Co., Ltd. | 106,438 | ||||||
4,700 | Lingyi iTech Guangdong Co., Class A* | 3,525 | ||||||
14,559 | Luxshare Precision Industry Co., Ltd. | 73,720 | ||||||
864 | Maxscend Microelectronics Co., Ltd., Class A | 17,477 | ||||||
7,000 | Nan Ya Printed Circuit Board Corp. | 60,933 | ||||||
1,200 | NAURA Technology Group Co., Ltd., Class A | 49,678 | ||||||
4,200 | OFILM Group Co., Ltd., Class A* | 4,217 | ||||||
1,281 | Raytron Technology Co., Ltd., Class A | 7,603 | ||||||
1,773 | Samsung Electro-Mechanics Co., Ltd., Series L | 177,747 | ||||||
1,571 | Samsung SDI Co., Ltd. | 644,871 | ||||||
3,800 | Shengyi Technology Co., Ltd., Class A | 9,644 | ||||||
1,820 | Shennan Circuits Co., Ltd., Class A | 25,526 | ||||||
20,800 | Sunny Optical Technology Group Co., Ltd. | 338,473 | ||||||
7,000 | Suzhou Dongshan Precision Manufacturing Co., Ltd. | 23,986 | ||||||
41,000 | Synnex Technology International Corp. | 73,294 | ||||||
14,000 | Tianma Microelectronics Co., Ltd., Class A | 20,852 | ||||||
35,000 | Unimicron Technology Corp. | 185,616 | ||||||
6,300 | Unisplendour Corp., Ltd., Class A* | 18,290 | ||||||
1,700 | Wingtech Technology Co., Ltd. | 21,608 | ||||||
47,960 | WPG Holdings, Ltd. | 89,185 | ||||||
6,350 | Wuhan Guide Infrared Co., Ltd. | 12,230 | ||||||
1,650 | WUS Printed Circuit Kunshan Co., Ltd., Class A | 3,647 | ||||||
12,377 | Yageo Corp. | 127,617 | ||||||
9,200 | Zhejiang Dahua Technology Co., Ltd., Class A | 22,604 | ||||||
19,000 | Zhen Ding Technology Holding, Ltd. | 65,750 | ||||||
|
| |||||||
5,052,249 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
48,000 | China Oilfield Services, Ltd. | 47,577 | ||||||
126,200 | Dialog Group Berhad | 61,036 | ||||||
|
| |||||||
108,613 | ||||||||
|
| |||||||
Entertainment (1.1%): | ||||||||
500,000 | Alibaba Pictures Group, Ltd.* | 49,231 | ||||||
4,913 | Bilibili, Inc., ADR* | 125,773 | ||||||
2,170 | CD Projekt SA | 46,474 | ||||||
400 | G-Bits Network Technology Xiamen Co., Ltd. | 23,229 | ||||||
455 | HYBE Co., Ltd.* | 51,175 | ||||||
9,347 | IQIYI, Inc., ADR* | 39,257 | ||||||
870 | Kakao Games Corp.* | 33,562 | ||||||
28,000 | Kingsoft Corp., Ltd. | 109,736 | ||||||
603 | Krafton, Inc.* | 102,039 | ||||||
4,000 | Mango Excellent Media Co., Ltd., Class A* | 19,984 | ||||||
483 | Ncsoft Corp. | 130,193 |
See accompanying notes to the financial statements.
6
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
60,175 | NetEase, Inc. | $ | 1,126,203 | |||||
657 | Netmarble Corp. | 34,950 | ||||||
810 | Pearl Abyss Corp.* | 32,006 | ||||||
7,050 | Perfect World Co., Ltd., Class A | 15,199 | ||||||
20,844 | Tencent Music Entertainment Group, ADR* | 104,637 | ||||||
4,800 | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A | 15,319 | ||||||
15,360 | Zhejiang Century Huatong Group Co., Ltd., Class A* | 11,082 | ||||||
|
| |||||||
2,070,049 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.1%): | ||||||||
96,015 | Fibra UNO Amdinistracion SA | 95,659 | ||||||
89,688 | Growthpoint Properties, Ltd. | 68,092 | ||||||
|
| |||||||
163,751 | ||||||||
|
| |||||||
Food & Staples Retailing (1.2%): | ||||||||
13,933 | Atacadao Distribuicao Comercio e Industria, Ltd. | 44,385 | ||||||
4,988 | Avenue Supermarts, Ltd.* | 215,564 | ||||||
27,700 | Berli Jucker pcl | 25,494 | ||||||
157 | BGF Retail Co., Ltd. | 22,857 | ||||||
10,042 | Bid Corp., Ltd. | 191,161 | ||||||
12,876 | BIM Birlesik Magazalar AS | 62,498 | ||||||
41,302 | Cencosud SA | 52,596 | ||||||
7,085 | Clicks Group, Ltd. | 119,642 | ||||||
166,700 | CP All pcl | 283,288 | ||||||
1,473 | Dino Polska SA* | 105,225 | ||||||
631 | E-Mart Co., Ltd. | 51,392 | ||||||
10,020 | Magnit PJSC, GDR(a) | 10 | ||||||
16,000 | President Chain Store Corp. | 146,554 | ||||||
32,016 | Raia Drogasil SA | 117,470 | ||||||
14,686 | Shoprite Holdings, Ltd. | 178,976 | ||||||
414,900 | Sumber Alfaria Trijaya Tbk PT | 56,840 | ||||||
5,844 | The Spar Group, Ltd. | 49,895 | ||||||
152,530 | Wal-Mart de Mexico SAB de C.V. | 526,000 | ||||||
3,565 | X5 Retail Group NV, GDR(a) | 4 | ||||||
1,456 | Yifeng Pharmacy Chain Co., Ltd., Class A | 11,491 | ||||||
|
| |||||||
2,261,342 | ||||||||
|
| |||||||
Food Products (2.0%): | ||||||||
4,930 | Almarai Co. JSC | 68,925 | ||||||
7,000 | Beijing Dabeinong Technology Group Co., Ltd.* | 8,192 | ||||||
21,374 | BRF SA* | 55,509 | ||||||
2,902 | Britannia Industries, Ltd. | 127,548 | ||||||
107,900 | Charoen Pokphand Foods Public Co., Ltd. | 79,436 | ||||||
110,000 | China Feihe, Ltd. | 126,707 | ||||||
274,400 | China Huishan Dairy Holdings Co., Ltd.* | — | ||||||
86,000 | China Mengniu Dairy Co., Ltd. | 429,812 | ||||||
245 | CJ CheilJedang Corp. | 71,645 | ||||||
75,500 | Dali Foods Group Co., Ltd. | 40,180 | ||||||
7,950 | Foshan Haitian Flavouring & Food Co., Ltd. | 107,474 | ||||||
700 | Fu Jian Anjoy Foods Co., Ltd., Class A | 17,586 | ||||||
5,255 | Gruma, SAB de C.V., Class B | 58,171 | ||||||
38,987 | Grupo Bimbo SAB de C.V., Series A, Class A | 126,767 | ||||||
3,800 | Guangdong Haid Group Co., Ltd., Class A | 34,097 | ||||||
5,400 | Henan Shuanghui Investment & Development Co., Ltd. | 23,643 | ||||||
10,200 | Inner Mongolia Yili Indsutrial Group Co., Ltd. | 59,401 | ||||||
90,500 | IOI Corp. Berhad | 78,904 | ||||||
22,213 | JBS SA | 134,096 | ||||||
3,100 | Jiangxi Zhengbang Technology Co., Ltd., Class A* | 2,814 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
1,500 | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd.* | $ | 7,775 | |||||
700 | Juewei Food Co., Ltd., Class A | 6,055 | ||||||
12,600 | Kuala Lumpur Kepong Berhad | 62,764 | ||||||
16,791 | Marico, Ltd. | 101,753 | ||||||
179,400 | Monde Nissin Corp.* | 42,384 | ||||||
9,772 | Muyuan Foodstuff Co., Ltd. | 80,773 | ||||||
1,031 | Nestle India, Ltd. | 228,274 | ||||||
2,000 | Nestle Malaysia Bhd | 60,168 | ||||||
10,600 | New Hope Liuhe Co., Ltd., Class A* | 24,255 | ||||||
721 | Orion Corp./ Republic of Korea | 57,806 | ||||||
20,980 | PPB Group Berhad | 75,547 | ||||||
213,700 | PT Charoen Pokphand Indonesia Tbk | 86,064 | ||||||
76,600 | PT Indofood CBP Sukses Makmur Tbk | 49,146 | ||||||
127,500 | PT Indofood Sukses Makmur Tbk | 60,367 | ||||||
32,650 | QL Resources Berhad | 38,537 | ||||||
59,200 | Sime Darby Plantation Bhd | 58,203 | ||||||
18,076 | Tata Consumer Products, Ltd. | 161,850 | ||||||
56,100 | Thai Union Frozen Products pcl | 27,167 | ||||||
9,830 | The Savola Group | 88,052 | ||||||
58,000 | Tingyi (Caymen Is) Holding Corp. | 99,504 | ||||||
6,800 | Tongwei Co., Ltd., Class A | 60,965 | ||||||
43,000 | Uni-President China Holdings, Ltd. | 36,915 | ||||||
137,000 | Uni-President Enterprises Corp. | 308,826 | ||||||
32,810 | Universal Robina Corp. | 66,091 | ||||||
163,000 | Want Want China Holdings, Ltd. | 142,161 | ||||||
13,060 | Wens Foodstuffs Group Co., Ltd. | 41,558 | ||||||
16,000 | Yihai International Holding, Ltd. | 58,622 | ||||||
2,600 | Yihai Kerry Arawana Holdings Co., Ltd., Class A* | 21,011 | ||||||
|
| |||||||
3,803,500 | ||||||||
|
| |||||||
Gas Utilities (0.7%): | ||||||||
7,970 | Adani Total Gas, Ltd. | 241,827 | ||||||
18,500 | Beijing Enterprises Holdings, Ltd. | 65,885 | ||||||
93,800 | China Gas Holdings, Ltd. | 145,030 | ||||||
26,000 | China Resources Gas Group, Ltd. | 122,323 | ||||||
23,200 | ENN Energy Holdings, Ltd. | 381,645 | ||||||
40,303 | GAIL India, Ltd. | 69,057 | ||||||
8,251 | Indraprastha Gas, Ltd. | 37,238 | ||||||
124,000 | Kunlun Energy Co., Ltd. | 101,771 | ||||||
25,200 | Petronas Gas Berhad | 94,050 | ||||||
|
| |||||||
1,258,826 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.2%): | ||||||||
54,400 | Hartalega Holdings Berhad | 37,800 | ||||||
2,280 | Jafron Biomedical Co., Ltd., Class A | 17,355 | ||||||
900 | Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | 3,453 | ||||||
7,700 | Lepu Medical Technology Beijing Co., Ltd., Class A | 21,395 | ||||||
20,000 | Microport Scientific Corp.* | 59,229 | ||||||
1,680 | Ovctek China, Inc., Class A | 14,379 | ||||||
548 | SD Biosensor, Inc. | 16,435 | ||||||
72,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 84,911 | ||||||
2,100 | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A | 98,464 | ||||||
155,200 | Top Glove Corp. Berhad | 36,649 | ||||||
|
| |||||||
390,070 | ||||||||
|
|
See accompanying notes to the financial statements.
7
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services (0.7%): | ||||||||
8,864 | Aier Eye Hospital Group Co., Ltd., Class A* | $ | 59,425 | |||||
3,000 | Apollo Hospitals Enterprise, Ltd. | 140,105 | ||||||
301,500 | Bangkok Dusit Medical Services Public Co., Ltd. | 213,363 | ||||||
13,700 | Bumrungrad Hospital pcl | 69,439 | ||||||
2,640 | Celltrion Healthcare Co., Ltd. | 139,654 | ||||||
2,203 | Dr Sulaiman Al Habib Medical Services Group Co. | 114,022 | ||||||
1,400 | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A* | 17,280 | ||||||
125,780 | Hapvida Participacoes e Investimentos SA | 131,479 | ||||||
3,300 | Huadong Medicine Co., Ltd., Class A | 22,318 | ||||||
9,200 | Hygeia Healthcare Holdings Co., Ltd.* | 61,449 | ||||||
60,100 | IHH Healthcare Berhad | 88,240 | ||||||
46,000 | Jinxin Fertility Group, Ltd. | 42,528 | ||||||
600 | Jointown Pharmaceutical Group Co., Ltd. | 1,068 | ||||||
15,300 | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A* | 12,751 | ||||||
1,233 | Mouwasat Medical Services Co. | 70,129 | ||||||
9,527 | Rede D’Or Sao Luiz SA | 52,761 | ||||||
1,900 | Shanghai Pharmaceuticals Holding Co., Ltd. | 5,147 | ||||||
25,500 | Shanghai Pharmaceuticals Holding Co., Ltd. | 42,301 | ||||||
34,400 | Sinopharm Group Co., Series H | 84,074 | ||||||
700 | Topchoice Medical Corp., Class A* | 18,273 | ||||||
|
| |||||||
1,385,806 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
130,000 | Alibaba Health Information Technology, Ltd.* | 91,862 | ||||||
14,300 | Ping An Healthcare and Technology Co., Ltd.* | 43,301 | ||||||
1,090 | Winning Health Technology Group Co., Ltd.* | 1,433 | ||||||
|
| |||||||
136,596 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.9%): | ||||||||
231,900 | Asset World Corp. pcl | 32,057 | ||||||
3,600 | China International Travel Service Corp., Ltd., Class A* | 125,810 | ||||||
67,600 | Genting Berhard | 69,729 | ||||||
86,800 | Genting Malaysia Berhad | 55,990 | ||||||
33,000 | Haidilao International Holding, Ltd.*^ | 78,860 | ||||||
5,524 | Huazhu Group, Ltd., ADR | 210,464 | ||||||
20,000 | Jiumaojiu International Holdings, Ltd. | 54,140 | ||||||
15,230 | Jollibee Foods Corp. | 56,407 | ||||||
11,750 | Jubilant Foodworks, Ltd.* | 76,458 | ||||||
2,483 | Kangwon Land, Inc.* | 48,661 | ||||||
101,900 | Minor International pcl* | 98,058 | ||||||
7,104 | OPAP SA | 102,049 | ||||||
25,400 | Shenzhen Overseas Chinese Town Co., Ltd., Class A | 24,719 | ||||||
6,660 | Songcheng Performance Development Co., Ltd., Class A | 15,303 | ||||||
11,781 | Yum China Holdings, Inc. | 571,379 | ||||||
|
| |||||||
1,620,084 | ||||||||
|
| |||||||
Household Durables (0.4%): | ||||||||
700 | Ecovacs Robotics Co., Ltd., Class A | 12,771 | ||||||
66,800 | Haier Smart Home Co., Ltd., Class H | 250,915 | ||||||
2,982 | LG Electronics, Inc. | 203,315 | ||||||
5,000 | Nien Made Enterprise Co., Ltd. | 49,310 | ||||||
1,400 | Oppein Home Group, Inc., Class A* | 31,547 | ||||||
11,900 | Qingdao Haier Co., Ltd. | 48,904 | ||||||
28,400 | TCL Corp., Class A | 20,367 | ||||||
1,893 | Woongjin Coway Co., Ltd. | 93,263 | ||||||
1,600 | Zhejiang Supor Co., Ltd., Class A | 13,484 | ||||||
|
| |||||||
723,876 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Products (0.4%): | ||||||||
23,740 | Hindustan Unilever, Ltd. | $ | 671,709 | |||||
38,309 | Kimberl- Clark de Mexico SAB de C.V. | 51,887 | ||||||
189,400 | PT Unilever Indonesia Tbk | 60,639 | ||||||
15,000 | Vinda International Holdings, Ltd.^ | 38,457 | ||||||
|
| |||||||
822,692 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (1.0%): | ||||||||
211,560 | AC Energy Corp. | 30,894 | ||||||
2,070 | ACWA Power Co.* | 82,490 | ||||||
9,102 | Adani Green Energy, Ltd.* | 222,822 | ||||||
21,119 | Adani Power, Ltd.* | 70,448 | ||||||
26,100 | B Grimm Power pcl | 25,888 | ||||||
213,000 | Cgn Power Co., Ltd., Class H | 51,952 | ||||||
96,000 | China Longyuan Power Group Corp. | 187,255 | ||||||
41,500 | China National Nuclear Power Co., Ltd. | 42,620 | ||||||
136,000 | China Power International Develpoment, Ltd. | 86,599 | ||||||
58,000 | China Resources Power Holdings Co. | 120,124 | ||||||
38,500 | China Three Gorges Renewables Group Co., Ltd.* | 36,242 | ||||||
40,400 | China Yangtze Power Co., Ltd. | 139,627 | ||||||
2,400 | Electricity Genera pcl | 11,992 | ||||||
43,600 | Energy Absolute Public Co., Ltd. | 100,749 | ||||||
7,616 | Engie Brasil Energia SA | 60,108 | ||||||
25,400 | Global Power Synergy pcl | 46,432 | ||||||
87,800 | Gulf Energy Development pcl, Class R | 115,661 | ||||||
13,900 | Huadian Power International Corp, Ltd., Class A | 8,179 | ||||||
126,000 | Huaneng Power International, Inc., Class H | 63,462 | ||||||
114,179 | NTPC, Ltd. | 206,808 | ||||||
16,900 | Ratch Group pcl | 18,302 | ||||||
20,900 | SDIC Power Holdings Co., Ltd., Class A | 32,813 | ||||||
21,900 | Sichuan Chuantou Energy Co., Ltd., Class A | 39,029 | ||||||
|
| |||||||
1,800,496 | ||||||||
|
| |||||||
Industrial Conglomerates (1.0%): | ||||||||
58,230 | Aboitiz Equity Ventures, Inc. | 50,382 | ||||||
88,657 | Alfa SAB de CV, Class A | 62,972 | ||||||
8,220 | Ayala Corp. | 89,710 | ||||||
7,824 | Bidvest Group, Ltd. | 100,871 | ||||||
176,000 | Citic, Ltd. | 178,655 | ||||||
403 | CJ Corp. | 24,140 | ||||||
68,000 | Far Eastern New Century Corp. | 72,900 | ||||||
86,500 | Fosun International, Ltd. | 80,079 | ||||||
15,971 | Grupo Carso SAB de C.V. | 59,541 | ||||||
2,295 | GT Capital Holdings, Inc. | 20,414 | ||||||
15,300 | Hap Seng Consolidated Berhad | 24,768 | ||||||
44,815 | Industries Qatar Q.S.C. | 196,863 | ||||||
101,484 | JG Summit Holdings, Inc. | 89,803 | ||||||
20,331 | KOC Holdings AS | 44,707 | ||||||
2,559 | LG Corp. | 154,004 | ||||||
1,863 | Mytilineos SA | 27,482 | ||||||
2,613 | Samsung C&T Corp. | 248,087 | ||||||
2,872 | Siemens, Ltd. | 87,415 | ||||||
62,100 | Sime Darby Berhad | 30,038 | ||||||
967 | SK, Inc. | 160,957 | ||||||
7,815 | SM Investments Corp. | 111,204 | ||||||
31,448 | Turkiye Sise ve Cam Fabrikalari AS | 40,616 | ||||||
|
| |||||||
1,955,608 | ||||||||
|
| |||||||
Insurance (2.4%): | ||||||||
1,153 | Bajaj Finserv, Ltd. | 159,990 |
See accompanying notes to the financial statements.
8
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
17,305 | BB Seguridade Participacoes SA | $ | 85,849 | |||||
1,686 | Bupa Arabia For Cooperative Insurance Co. | 71,755 | ||||||
224,137 | Cathay Financial Holding Co., Ltd. | 383,917 | ||||||
204,000 | China Life Insurance Co., Ltd. | 354,074 | ||||||
6,100 | China Life Insurance Co., Ltd. | 28,392 | ||||||
13,000 | China Pacific Insurance Group Co., Ltd., Class A* | 45,752 | ||||||
75,600 | China Pacific Insurance Group Co., Ltd., Class H | 185,312 | ||||||
49,200 | China Taiping Insurance Holdings Co., Ltd. | 60,834 | ||||||
1,303 | DB Insurance Co., Ltd. | 61,597 | ||||||
14,555 | Discovery, Ltd.* | 114,858 | ||||||
22,395 | HDFC Life Insurance Co., Ltd. | 156,274 | ||||||
6,280 | ICICI Lombard General Insurance Co., Ltd. | 89,265 | ||||||
9,176 | ICICI Prudential Life Insurance Co., Ltd. | 56,938 | ||||||
887 | Meritz Fire & Marine Insurance Co., Ltd. | 22,773 | ||||||
27,000 | New China Life Insurance Co., Ltd. | 76,753 | ||||||
4,500 | New China Life Insurance Co., Ltd., Class A | 21,673 | ||||||
145,915 | Old Mutual, Ltd.^ | 99,118 | ||||||
178,000 | People’s Insurance Co. Group of China, Ltd. (The) | 54,524 | ||||||
28,100 | People’s Insurance Co. Group of China, Ltd. (The) | 21,260 | ||||||
202,000 | Picc Property & Casuality Co., Ltd., Class H | 210,650 | ||||||
174,500 | Ping An Insurance Group Co. of China, Ltd. | 1,207,855 | ||||||
20,800 | Ping An Insurance Group Co. of China, Ltd. | 145,279 | ||||||
17,119 | Powszechny Zaklad Ubezpieczen SA | 114,875 | ||||||
846 | Samsung Fire & Marine Insurance Co., Ltd. | 131,636 | ||||||
1,838 | Samsung Life Insurance Co., Ltd. | 88,774 | ||||||
52,992 | Sanlam, Ltd. | 172,493 | ||||||
14,052 | SBI Life Insurance Co., Ltd. | 192,778 | ||||||
320,614 | Shin Kong Financial Holdings Co., Ltd. | 94,513 | ||||||
16,500 | Zhongan Online P&c Insurance Co., Ltd.* | 54,869 | ||||||
|
| |||||||
4,564,630 | ||||||||
|
| |||||||
Interactive Media & Services (5.7%): | ||||||||
1,931 | Autohome, Inc., ADR | 75,946 | ||||||
8,252 | Baidu, Inc., ADR* | 1,227,320 | ||||||
2,379 | Info Edge India, Ltd. | 113,453 | ||||||
1,413 | JOYY, Inc., ADR | 42,192 | ||||||
9,048 | Kakao Corp. | 487,908 | ||||||
2,411 | Kanzhun, Ltd., ADR* | 63,361 | ||||||
3,651 | NAVER Corp. | 677,520 | ||||||
177,300 | Tencent Holdings, Ltd. | 8,052,018 | ||||||
3,760 | VK Co., Ltd., GDR*(a) | — | ||||||
1,711 | Weibo Corp., ADR* | 39,575 | ||||||
9,068 | Yandex NV, Class A*(a) | — | ||||||
|
| |||||||
10,779,293 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (6.8%): | ||||||||
432,372 | Alibaba Group Holding, Ltd.* | 6,167,819 | ||||||
10,438 | Allegro.eu SA* | 55,827 | ||||||
13,210 | Americanas SA | 33,903 | ||||||
320 | CJ ENM Co., Ltd. | 23,124 | ||||||
88,000 | HengTen Networks Group, Ltd.* | 32,333 | ||||||
57,200 | JD Com, Inc. | 1,849,557 | ||||||
29,550 | JD Health International, Inc.* | 237,659 | ||||||
116,800 | Meituan* | 2,951,598 | ||||||
1,200 | momo.com, Inc. | 25,771 | ||||||
965 | Ozon Holdings plc, ADR*(a) | — | ||||||
321 | Ozon Holdings plc, ADR*(a) | — | ||||||
12,377 | Pinduoduo, Inc., ADR* | 764,899 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
31,200 | Tongcheng Travel Holdings, Ltd.* | $ | 68,619 | |||||
14,928 | Trip.com Group, Ltd., ADR* | 409,774 | ||||||
14,042 | Vipshop Holdings, Ltd., ADR* | 138,875 | ||||||
36,888 | Zomato, Ltd.* | 25,231 | ||||||
|
| |||||||
12,784,989 | ||||||||
|
| |||||||
IT Services (2.3%): | ||||||||
6,000 | Beijing Sinnet Technology Co., Ltd. | 9,356 | ||||||
68,000 | Chinasoft International, Ltd. | 69,415 | ||||||
9,100 | DHC Software Co., Ltd., Class A | 8,608 | ||||||
533 | Elm Co. | 36,275 | ||||||
22,296 | GDS Holdings, Ltd., Class A* | 94,296 | ||||||
30,764 | HCL Technologies, Ltd. | 379,881 | ||||||
95,964 | Infosys, Ltd. | 1,785,958 | ||||||
1,779 | Larsen & Toubro Infotech, Ltd. | 89,784 | ||||||
1,858 | Mindtree, Ltd. | 68,096 | ||||||
2,194 | Mphasis Ltd. | 63,902 | ||||||
1,016 | Samsung SDS Co., Ltd. | 101,963 | ||||||
26,402 | Tata Consultancy Services, Ltd. | 1,094,294 | ||||||
16,690 | Tech Mahindra, Ltd. | 211,790 | ||||||
25,000 | Travelsky Technology, Ltd., Series H | 49,389 | ||||||
39,340 | Wipro, Ltd. | 207,732 | ||||||
|
| |||||||
4,270,739 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
8,000 | Giant Manufacturing Co., Ltd. | 64,510 | ||||||
2,720 | HLB, Inc.* | 74,448 | ||||||
|
| |||||||
138,958 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.0%): | ||||||||
4,021 | Divi’s Laboratories, Ltd. | 185,159 | ||||||
36,000 | Genscript Biotech Corp.* | 130,858 | ||||||
1,800 | Hangzhou Tigermed Consulting Co., Ltd., Class A | 30,844 | ||||||
3,100 | Hangzhou Tigermed Consulting Co., Ltd., Class H | 35,899 | ||||||
1,200 | Joinn Laboratories China Co., Ltd., Class A | 20,440 | ||||||
3,150 | Pharmaron Beijing Co., Ltd., Class A | 45,021 | ||||||
4,800 | Pharmaron Beijing Co., Ltd., Class H | 48,259 | ||||||
520 | Samsung Biologics Co., Ltd.* | 316,679 | ||||||
5,208 | WuXi AppTec Co., Ltd., Class A | 81,114 | ||||||
9,036 | WuXi AppTec Co., Ltd., Class H | 120,650 | ||||||
102,000 | Wuxi Biologics Cayman, Inc.* | 939,602 | ||||||
|
| |||||||
1,954,525 | ||||||||
|
| |||||||
Machinery (0.7%): | ||||||||
4,185 | AirTac International Group* | 139,297 | ||||||
51,000 | China Conch Venture Holdings, Ltd. | 111,182 | ||||||
7,100 | China CSSC Holdings, Ltd., Class A | 20,157 | ||||||
45,100 | CRRC Corp., Ltd., Class A | 35,059 | ||||||
1,481 | Doosan Bobcat, Inc. | 33,065 | ||||||
23,000 | Haitian International Holdings, Ltd. | 58,873 | ||||||
378 | Hyundai Heavy Industries Co., Ltd.* | 41,685 | ||||||
3,108 | Jiangsu Hengli Hydraulic Co., Ltd., Class A | 28,687 | ||||||
1,191 | Korea Shipbuilding & Offshore* | 86,223 | ||||||
4,400 | Riyue Heavy Industry Co., Ltd., Class A | 16,765 | ||||||
19,664 | Samsung Heavy Industries Co., Ltd., Class R* | 92,093 | ||||||
36,000 | Sany Heavy Equipment International Holdings Co., Ltd. | 38,662 | ||||||
15,600 | Sany Heavy Industry Co., Ltd. | 44,491 | ||||||
4,050 | Shenzhen Inovance Technology Co., Ltd. | 39,901 | ||||||
26,000 | Sinotruk Hong Kong, Ltd. | 36,763 |
See accompanying notes to the financial statements.
9
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
51,440 | WEG SA | $ | 260,007 | |||||
15,600 | Weichai Power Co., Ltd., Class A | 29,137 | ||||||
58,000 | Weichai Power Co., Ltd., Class H | 93,583 | ||||||
2,720 | Wuxi Lead Intelligent Equipment Co., Ltd., Class A | 25,762 | ||||||
30,200 | XCMG Construction Machinery Co., Ltd. | 24,357 | ||||||
1,400 | Zhejiang Dingli Machinery Co., Ltd., Class A | 10,618 | ||||||
14,800 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class A | 13,638 | ||||||
47,600 | Zoomlion Heavy Industry Science and Technology Co., Ltd., Class H | 25,474 | ||||||
|
| |||||||
1,305,479 | ||||||||
|
| |||||||
Marine (0.5%): | ||||||||
351,274 | Cia Sud Americana de Vapores SA | 31,401 | ||||||
92,950 | COSCO SHIPPING Holdings Co., Ltd. | 130,058 | ||||||
26,260 | COSCO SHIPPING Holdings Co., Ltd., Class A | 54,719 | ||||||
71,835 | Evergreen Marine Corp., Ltd. | 204,135 | ||||||
8,078 | HMM Co., Ltd. | 153,259 | ||||||
36,500 | MISC Berhad | 58,833 | ||||||
3,500 | Orient Overseas International, Ltd. | 93,102 | ||||||
6,819 | Pan Ocean Co., Ltd. | 31,249 | ||||||
18,700 | Wan Hai Lines, Ltd. | 74,912 | ||||||
49,000 | Yang Ming Marine Transport Corp. | 135,459 | ||||||
|
| |||||||
967,127 | ||||||||
|
| |||||||
Media (1.0%): | ||||||||
2,304 | Cheil Worldwide, Inc. | 42,214 | ||||||
12,600 | China Literature, Ltd.* | 62,034 | ||||||
6,903 | Cyfrowy Polsat SA | 32,777 | ||||||
37,199 | Focus Media Information Technology Co., Ltd., Class A | 37,494 | ||||||
63,219 | Grupo Televisa SAB | 103,801 | ||||||
49,000 | Kuaishou Technology* | 549,556 | ||||||
11,118 | MultiChoice Group, Ltd. | 79,177 | ||||||
6,309 | Naspers, Ltd. | 923,306 | ||||||
806 | Saudi Research Media Group* | 40,380 | ||||||
|
| |||||||
1,870,739 | ||||||||
|
| |||||||
Metals & Mining (3.7%): | ||||||||
208,700 | Adaro Minerals Indonesia Tbk PT* | 22,160 | ||||||
3,562 | African Rainbow Minerals, Ltd. | 46,932 | ||||||
77,337 | Alrosa PAO(a) | 1 | ||||||
116,000 | Aluminum Corp. of China, Ltd. | 44,699 | ||||||
271,200 | Aneka Tambang Tbk | 32,648 | ||||||
1,515 | Anglo American Platinum, Ltd. | 133,027 | ||||||
11,940 | AngloGold Ashanti, Ltd. | 176,219 | ||||||
30,300 | Baoshan Iron & Steel Co., Ltd., Class A | 27,277 | ||||||
72,000 | China Hongqiao Group, Ltd. | 82,616 | ||||||
58,500 | China Molybdenum Co., Ltd., Class A | 50,163 | ||||||
87,000 | China Molybdenum Co., Ltd., Class H | 49,477 | ||||||
7,200 | China Northern Rare Earth Group High-Tech Co., Ltd., Class A | 37,935 | ||||||
350,000 | China Steel Corp. | 334,702 | ||||||
6,579 | Cia de Minas Buenaventura SA, ADR | 43,421 | ||||||
22,695 | Companhia Siderurgica Nacional SA (CSN) | 66,963 | ||||||
41,694 | Eregli Demir ve Celik Fabrikalari T.A.S. | 67,965 | ||||||
2,000 | Ganfeng Lithium Co., Ltd. | 44,520 | ||||||
10,920 | Ganfeng Lithium Co., Ltd., Class H | 122,452 | ||||||
13,600 | GEM Co., Ltd., Class A | 18,520 | ||||||
26,426 | Gold Fields | 246,822 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
89,412 | Grupo Mexico SAB de C.V., Series B, Class B | $ | 370,334 | |||||
17,328 | Harmony Gold Mining Co., Ltd. | 54,087 | ||||||
38,889 | Hindalco Industries, Ltd. | 167,216 | ||||||
3,115 | Hyundai Steel Co. | 77,208 | ||||||
24,831 | Impala Platinum Holdings, Ltd. | 276,807 | ||||||
4,401 | Industrias Penoles SAB de C.V. | 40,760 | ||||||
88,300 | Inner Mongolia Baotou Steel Union Co., Ltd. | 31,043 | ||||||
34,000 | Jiangxi Copper Co., Ltd. | 47,134 | ||||||
6,400 | Jiangxi Copper Co., Ltd., Class A | 17,074 | ||||||
7,560 | Jindal Steel & Power, Ltd. | 31,592 | ||||||
20,924 | JSW Steel, Ltd. | 149,866 | ||||||
3,845 | KGHM Polska Miedz SA* | 102,444 | ||||||
245 | Korea Zinc Co. | 91,998 | ||||||
1,769 | Kumba Iron Ore, Ltd. | 57,442 | ||||||
326,684 | Merdeka Copper Gold Tbk PT* | 87,583 | ||||||
1,857 | MMC Norilsk Nickel PJSC(a) | — | ||||||
76,000 | MMG, Ltd.* | 28,326 | ||||||
10,071 | Northam Platinum Holdings, Ltd.* | 106,098 | ||||||
42,350 | Novolipetsk Steel PJSC(a) | 1 | ||||||
10,301 | Polymetal International plc(a) | — | ||||||
1,026 | Polyus PJSC(a) | — | ||||||
2,151 | POSCO | 382,810 | ||||||
92,000 | Press Metal Aluminium Holdings Bhd | 99,471 | ||||||
26,058 | Saudi Arabian Mining Co.* | 346,916 | ||||||
6,613 | Severstal(a) | 7 | ||||||
8,120 | Shandong Gold Mining Co., Ltd. | 22,245 | ||||||
14,000 | Shandong Gold Mining Co., Ltd., Class H | 24,281 | ||||||
39,100 | Shandong Nanshan Aluminum Co., Ltd., Class A | 21,583 | ||||||
14,400 | Shanxi Meijin Energy Co., Ltd., Class A | 26,294 | ||||||
6,600 | Shenghe Resources Holding Co., Ltd., Class A | 22,374 | ||||||
77,036 | Sibanye Stillwater, Ltd. | 191,533 | ||||||
2,541 | Southern Copper Corp. | 126,567 | ||||||
19,645 | Tata Steel, Ltd. | 216,151 | ||||||
32,700 | Tongling Nonferrous Metals Group Co., Ltd., Class A | 15,959 | ||||||
84,297 | United Co. RUSAL International PJSC*(a) | 2 | ||||||
52,400 | Vale Indonesia Tbk PT* | 19,895 | ||||||
114,715 | Vale SA | 1,678,339 | ||||||
21,274 | Vedanta, Ltd. | 60,207 | ||||||
5,040 | Yintai Gold Co., Ltd. | 7,339 | ||||||
1,200 | YongXing Special Materials Technology Co., Ltd., Class A | 27,376 | ||||||
24,000 | Zhaojin Mining Industry Co., Ltd., Class H* | 20,702 | ||||||
3,380 | Zhejiang Huayou Cobalt Co., Ltd., Class A | 48,421 | ||||||
172,000 | Zijin Mining Group Co., Ltd. | 213,800 | ||||||
38,700 | Zijin Mining Group Co., Ltd. | 54,207 | ||||||
|
| |||||||
7,012,011 | ||||||||
|
| |||||||
Multiline Retail (0.3%): | ||||||||
72,375 | Central Retail Corp. pcl | 71,777 | ||||||
28,913 | Lojas Renner SA | 124,981 | ||||||
218 | Lotte Shopping Co., Ltd. | 17,480 | ||||||
84,931 | Magazine Luiza SA | 37,979 | ||||||
22,077 | S.A.C.I. Falabella | 51,751 | ||||||
6,235 | Trent, Ltd. | 84,948 | ||||||
30,415 | Woolworths Holdings, Ltd. | 101,603 | ||||||
|
| |||||||
490,519 | ||||||||
|
| |||||||
Multi-Utilities (0.0%†): | ||||||||
16,879 | Qatar Electricity & Water Co. | 81,338 | ||||||
|
|
See accompanying notes to the financial statements.
10
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels (4.9%): | ||||||||
24,317 | Bharat Pertoleum Corp., Ltd. | $ | 95,095 | |||||
45,000 | China Coal Energy Co., Ltd., Class H | 38,608 | ||||||
34,000 | China Petroleum & Chemical Corp., Class A | 20,703 | ||||||
708,000 | China Petroleum & Chemical Corp., Class H | 318,170 | ||||||
10,100 | China Shenhua Energy Co., Ltd. | 50,148 | ||||||
104,500 | China Shenhua Energy Co., Ltd. | 302,884 | ||||||
45,000 | China Suntien Green Energy Corp., Ltd., Class H | 23,253 | ||||||
38,180 | Coal India, Ltd. | 89,873 | ||||||
30,707 | Cosan sa industria e Comercio | 106,799 | ||||||
8,500 | COSCO SHIPPING Energy Transportation Co., Ltd., Class A | 13,161 | ||||||
143,502 | Ecopetrol SA | 78,057 | ||||||
9,515 | Empresas Copec SA | 70,232 | ||||||
7,210 | Exxaro Resources, Ltd. | 88,010 | ||||||
31,000 | Formosa Petrochemical Corp. | 97,750 | ||||||
354,974 | Gazprom PJSC(a) | 6 | ||||||
1,948 | GS Holdings | 62,935 | ||||||
14,700 | Guanghui Energy Co., Ltd., Class A | 23,078 | ||||||
22,086 | Hindustan Petroleum Corp., Ltd. | 60,807 | ||||||
1,660 | Hyundai Heavy Industries Holdings Co., Ltd. | 76,093 | ||||||
74,352 | Indian Oil Corp., Ltd. | 70,001 | ||||||
22,700 | Inner Mongolia Yitai Coal Co., Ltd., Class B* | 37,133 | ||||||
12,219 | LUKOIL PJSC(a) | — | ||||||
13,557 | MOL Hungarian Oil And Gas plc | 105,119 | ||||||
2,722 | Novatek PJSC, GDR(a) | 3 | ||||||
75,771 | Oil & Natural Gas Corp., Ltd. | 145,197 | ||||||
20,015 | Petro Rio SA* | 84,108 | ||||||
45,900 | PetroChina Co., Ltd., Class A | 36,248 | ||||||
614,000 | PetroChina Co., Ltd., Class H | 289,009 | ||||||
136,398 | Petroleo Brasileiro SA | 728,009 | ||||||
107,298 | Petroleo Brasileiro SA | 626,207 | ||||||
11,400 | Petronas Dagangan Berhad | 54,691 | ||||||
21,431 | Petronet LNG, Ltd. | 59,066 | ||||||
8,883 | Polski Koncern Naftowy Orlen SA | 136,247 | ||||||
49,036 | Polskie Gornictwo Naftowe i Gazownictwo SA | 62,547 | ||||||
427,800 | PT Adaro Energy Tbk | 82,035 | ||||||
58,000 | PT United Tractors Tbk | 110,390 | ||||||
40,500 | PTT Exploration & Production pcl | 182,380 | ||||||
290,200 | PTT pcl | 280,146 | ||||||
14,235 | Qatar Fuel QSC | 69,776 | ||||||
46,623 | Qatar Gas Transport Co., Ltd. | 47,911 | ||||||
13,408 | Rabigh Refining & Petrochemical Co.* | 61,090 | ||||||
85,510 | Reliance Industries, Ltd.* | 2,815,757 | ||||||
34,912 | Rosneft Oil Co. PJSC(a) | 1 | ||||||
66,559 | Saudi Arabian Oil Co. | 688,701 | ||||||
26,100 | Shaanxi Coal Industry Co., Ltd. | 82,914 | ||||||
10,600 | Shanxi Coking Coal Energy Group Co., Ltd., Class A | 21,319 | ||||||
1,502 | SK Innovation Co., Ltd. | 222,827 | ||||||
1,367 | S-Oil Corp. | 109,107 | ||||||
171,452 | Surgutneftegas PJSC(a) | 3 | ||||||
199,091 | Surgutneftegas Prefernce(a) | 4 | ||||||
43,241 | Tatneft PJSC(a) | 1 | ||||||
34,500 | Thai Oil Public Co., Ltd. | 50,571 | ||||||
4,521 | Tupras-Turkiye Petrol Rafine* | 71,790 | ||||||
21,910 | Ultrapar Participacoes SA | 51,542 | ||||||
50,000 | Yankuang Energy Group Co., Ltd. | 158,763 | ||||||
|
| |||||||
9,156,275 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products (0.2%): | ||||||||
33,569 | Empresas CMPC SA | $ | 55,814 | |||||
49,000 | Nine Dragons Paper Holdings, Ltd. | 41,527 | ||||||
85,700 | PT Indah Kiat Pulp & Paper Corp Tbk | 43,747 | ||||||
21,464 | Suzano SA | 203,816 | ||||||
|
| |||||||
344,904 | ||||||||
|
| |||||||
Personal Products (0.4%): | ||||||||
819 | Amorepacific Corp. | 82,216 | ||||||
863 | Amorepacific Group | 24,857 | ||||||
3,754 | Colgate-Palmolive India, Ltd. | 70,725 | ||||||
16,996 | Dabur India, Ltd. | 106,863 | ||||||
11,217 | Godrej Consumer Products, Ltd.* | 107,725 | ||||||
22,000 | Hengan International Group Co., Ltd. | 103,345 | ||||||
273 | LG Household & Health Care, Ltd. | 143,099 | ||||||
60 | LG Household & Health Care, Ltd. | 15,102 | ||||||
24,589 | Natura & Co. Holding SA | 63,060 | ||||||
|
| |||||||
716,992 | ||||||||
|
| |||||||
Pharmaceuticals (1.2%): | ||||||||
10,803 | Aspen Pharmacare Holdings, Ltd. | 92,569 | ||||||
500 | Asymchem Laboratories Tianjin Co., Ltd., Class A | 21,622 | ||||||
5,586 | Aurobindo Pharma, Ltd. | 36,331 | ||||||
900 | Betta Pharmaceuticals Co., Ltd. | 8,186 | ||||||
2,400 | CanSino Biologics, Inc., Class H* | 24,609 | ||||||
533 | Celltrion Pharm, Inc.* | 32,353 | ||||||
800 | Changchun High & New Technology Industry Group, Inc., Class A | 27,947 | ||||||
43,000 | China Medical System Holdings, Ltd. | 67,208 | ||||||
266,000 | China Pharmaceutical Enterprise & Investment Corp. | 264,782 | ||||||
100,000 | China Traditional Chinese Medicine Holdings Co., Ltd. | 61,871 | ||||||
14,918 | Cipla, Ltd. | 173,423 | ||||||
3,142 | Dr Reddy’s Laboratories, Ltd. | 174,979 | ||||||
2,900 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A | 13,698 | ||||||
185 | Hanmi Pharm Co., Ltd. | 43,927 | ||||||
36,000 | Hansoh Pharmaceutical Group Co., Ltd. | 72,734 | ||||||
2,402 | Hutchison China MediTech, Ltd., ADR* | 30,361 | ||||||
10,611 | Hypera SA | 77,136 | ||||||
10,927 | Jiangsu Hengrui Medicine Co., Ltd. | 60,653 | ||||||
5,585 | Lupin, Ltd. | 43,275 | ||||||
2,704 | Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | 11,402 | ||||||
658,200 | PT Kalbe Farma Tbk | 73,353 | ||||||
3,821 | Richter Gedeon Nyrt | 69,229 | ||||||
3,300 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 21,764 | ||||||
17,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd. | 63,114 | ||||||
6,720 | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A | 24,401 | ||||||
282,750 | Sino Biopharmaceutical, Ltd. | 182,101 | ||||||
798 | SK Biopharmaceuticals Co., Ltd.* | 46,135 | ||||||
23,631 | Sun Pharmaceutical Industries, Ltd. | 248,484 | ||||||
1,214 | Torrent Pharmaceuticals, Ltd. | 44,013 | ||||||
1,667 | Yuhan Corp. | 72,017 | ||||||
3,080 | Yunnan Baiyao Group Co., Ltd. | 27,875 | ||||||
1,300 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd.* | 69,445 | ||||||
6,380 | Zhejiang Huahai Pharmaceutical Co., Ltd.* | 21,654 | ||||||
5,184 | Zhejiang NHU Co., Ltd., Class A | 17,683 | ||||||
500 | Zhejiang Wolwo Bio-Pharmaceutical Co., Ltd. | 3,892 | ||||||
|
| |||||||
2,324,226 | ||||||||
|
|
See accompanying notes to the financial statements.
11
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Real Estate Management & Development (2.1%): | ||||||||
126,385 | Aldar Properties PJSC | $ | 153,305 | |||||
11,500 | A-Living Services Co., Ltd., Class H | 18,797 | ||||||
182,900 | Ayala Land, Inc. | 84,728 | ||||||
78,422 | Barwa Real Estate Co. | 71,962 | ||||||
58,200 | Central Pattana pcl | 100,560 | ||||||
60,000 | China Everbright Environment Group, Ltd.* | 11,045 | ||||||
166,000 | China Jinmao Holdings Group, Ltd. | 45,541 | ||||||
13,300 | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A | 26,751 | ||||||
108,500 | China Overseas Land & Investment, Ltd. | 347,106 | ||||||
55,000 | China Overseas Property Holdings, Ltd. | 59,712 | ||||||
94,000 | China Resources Land, Ltd. | 444,579 | ||||||
14,200 | China Resources Mixc Lifestyle Services, Ltd. | 71,327 | ||||||
18,800 | China Vanke Co., Ltd., Class A | 57,854 | ||||||
50,600 | China Vanke Co., Ltd., Class H | 129,218 | ||||||
20,000 | CIFI Ever Sunshine Services Group, Ltd. | 25,940 | ||||||
117,936 | CIFI Holdings Group Co., Ltd. | 59,991 | ||||||
231,000 | Country Garden Holdings Co., Ltd.^ | 145,581 | ||||||
55,000 | Country Garden Services Holdings Co., Ltd. | 250,305 | ||||||
14,300 | Dar Al Arkan Real Estate Development Co.* | 41,061 | ||||||
17,411 | DLF, Ltd. | 69,098 | ||||||
9,596 | Emaar Economic City* | 25,296 | ||||||
115,979 | Emaar Properties PJSC | 164,475 | ||||||
6,000 | Future Land Holdings Co., Ltd. | 22,912 | ||||||
10,300 | Gemdale Corp., Class A | 20,745 | ||||||
3,334 | Godrej Properties, Ltd.* | 50,045 | ||||||
22,000 | Greentown China Holdings, Ltd. | 45,676 | ||||||
44,000 | Greentown Service Group Co., Ltd. | 49,895 | ||||||
24,200 | Hopson Development Holdings, Ltd.^ | 37,043 | ||||||
12,500 | Jinke Properties Group Co., Ltd., Class A | 5,367 | ||||||
8,464 | KE Holdings, Inc., ADR* | 151,929 | ||||||
227,100 | Land & Houses Public Co., Ltd. | 53,693 | ||||||
43,000 | Logan Property Holdings Co., Ltd. | 11,349 | ||||||
51,000 | Longfor Group Holdings, Ltd. | 245,735 | ||||||
15,107 | Mabanee Co KPSC | 37,127 | ||||||
13,626 | NEPI Rockcastle plc | 72,882 | ||||||
30,600 | Poly Real Estate Group Co., Ltd., Class A | 80,079 | ||||||
30,984 | Ruentex Development Co., Ltd. | 76,436 | ||||||
62,000 | Seazen Group, Ltd.* | 31,339 | ||||||
44,500 | Shanghai Lujiazue | 39,138 | ||||||
42,000 | Shimao Property Holdings, Ltd.^ | 20,865 | ||||||
294,200 | SM Prime Holdings, Inc. | 195,596 | ||||||
81,000 | Sunac China Holdings, Ltd. | 41,697 | ||||||
34,000 | The Wharf Holdings, Ltd. | 124,002 | ||||||
37,600 | Yuexiu Property Co., Ltd. | 48,272 | ||||||
|
| |||||||
3,866,054 | ||||||||
|
| |||||||
Road & Rail (0.3%): | ||||||||
93,700 | Beijing-Shanghai High Speed Railway Co., Ltd., Class A | 70,342 | ||||||
303,300 | BTS Group Holdings pcl | 73,419 | ||||||
235 | CJ Logistics Corp.* | 20,692 | ||||||
7,427 | Container Corp. of India, Ltd. | 55,970 | ||||||
16,052 | Localiza Rent a Car SA | 160,769 | ||||||
36,591 | Rumo SA | 111,670 | ||||||
|
| |||||||
492,862 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment (8.6%): | ||||||||
885 | Advanced Micro-Fabrication Equipment, Inc., Class A* | $ | 15,419 | |||||
98,465 | ASE Technology Holding Co., Ltd. | 253,650 | ||||||
1,000 | ASMedia Technology, Inc. | 37,419 | ||||||
1,694 | Daqo New Energy Corp., ADR* | 120,918 | ||||||
2,000 | eMemory Technology, Inc. | 68,908 | ||||||
17,000 | Flat Glass Group Co., Ltd., Class H* | 60,594 | ||||||
36,500 | GCL System Integration Technology Co., Ltd.* | 20,271 | ||||||
756 | Gigadevice Semiconductor Beijing, Inc., Class A | 16,096 | ||||||
6,000 | Globalwafers Co., Ltd. | 90,899 | ||||||
3,192 | Hangzhou First Applied Material Co., Ltd., Class A | 31,253 | ||||||
2,000 | Hangzhou Silan Microelectronics Co., Ltd., Class A* | 15,534 | ||||||
14,000 | Hua Hong Semiconductor, Ltd.* | 50,521 | ||||||
1,000 | Ingenic Semiconductor Co., Ltd., Class A | 15,922 | ||||||
4,200 | JA Solar Technology Co., Ltd., Class A | 49,505 | ||||||
5,300 | JCET Group Co., Ltd., Class A | 21,356 | ||||||
15,288 | Longi Green Energy Technology Co., Ltd. | 152,196 | ||||||
43,000 | MediaTek, Inc. | 936,554 | ||||||
2,000 | Montage Technology Co., Ltd., Class A* | 18,123 | ||||||
38,000 | Nanya Technology Corp. | 63,060 | ||||||
4,972 | National Silicon Industry Group Co., Ltd., Class A* | 17,117 | ||||||
16,000 | Novatek Microelectronics Corp. | 161,619 | ||||||
2,000 | Parade Technologies, Ltd. | 76,716 | ||||||
68,000 | Powerchip Semiconductor Manufacturing Corp. | 91,612 | ||||||
14,000 | Realtek Semiconductor Corp. | 170,700 | ||||||
900 | SG Micro Corp., Class A | 24,473 | ||||||
800 | Shenzhen SC New Energy Technology Corp., Class A | 10,678 | ||||||
2,000 | Silergy Corp. | 159,496 | ||||||
15,574 | SK Hynix, Inc. | 1,089,592 | ||||||
2,914 | SK Square Co., Ltd.* | 87,411 | ||||||
400 | StarPower Semiconductor, Ltd., Class A | 23,057 | ||||||
703,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 11,196,982 | ||||||
7,000 | Tianjin Zhonghuan Semiconductor Co., Ltd. | 61,521 | ||||||
10,600 | Tianshui Huatian Technology Co., Ltd., Class A | 14,853 | ||||||
2,478 | Trina Solar Co., Ltd. | 24,165 | ||||||
1,200 | Unigroup Guoxin Microelectronics Co., Ltd., Class A* | 34,010 | ||||||
348,000 | United Microelectronics Corp. | 456,027 | ||||||
28,000 | Vanguard International Semiconductor Corp. | 71,892 | ||||||
1,900 | Will Semiconductor, Ltd., Class A* | 49,110 | ||||||
10,000 | Win Semiconductors Corp. | 64,652 | ||||||
84,000 | Winbond Electronics Corp. | 61,371 | ||||||
152,000 | Xinyi Solar Holdings, Ltd. | 234,383 | ||||||
2,500 | Zhejiang Jingsheng Mechanical & Electrical Co., Ltd., Class A | 25,243 | ||||||
|
| |||||||
16,244,878 | ||||||||
|
| |||||||
Software (0.3%): | ||||||||
8,800 | 360 Security Technology, Inc., Class A | 11,202 | ||||||
476 | Beijing Kingsoft Office Software, Inc., Class A | 14,053 | ||||||
1,960 | Beijing Shiji Information Technology Co., Ltd., Class A | 4,653 | ||||||
2,730 | Hundsun Technologies, Inc. | 17,742 | ||||||
4,600 | Iflytek Co., Ltd. | 28,395 | ||||||
84,000 | Kingdee International Software Group Co., Ltd.* | 201,359 | ||||||
12,000 | Ming Yuan Cloud Group Holdings, Ltd. | 19,553 | ||||||
13,100 | NavInfo Co., Ltd. | 29,553 | ||||||
700 | Sangfor Technologies, Inc., Class A | 10,875 | ||||||
4,420 | Shanghai Baosight Software Co., Ltd.* | 36,102 | ||||||
12,500 | Shanghai Baosight Software Co., Ltd., Class B* | 52,775 |
See accompanying notes to the financial statements.
12
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
920 | Tata Elxsi, Ltd. | $ | 95,417 | |||||
15,698 | TOTVS SA | 69,777 | ||||||
7,150 | Yonyou Network Technology Co., Ltd. | 23,253 | ||||||
|
| |||||||
614,709 | ||||||||
|
| |||||||
Specialty Retail (0.6%): | ||||||||
69,603 | Abu Dhabi National Oil Co. for Distribution PJSC | 79,981 | ||||||
18,000 | China Meidong Auto Holdings, Ltd. | 56,798 | ||||||
2,316 | FF Group* | 24 | ||||||
172,900 | Home Product Center Public Co., Ltd. | 62,333 | ||||||
9,000 | Hotai Motor Co., Ltd. | 185,055 | ||||||
919 | Hotel Shilla Co., Ltd. | 50,505 | ||||||
1,757 | Jarir Marketing Co. | 76,182 | ||||||
3,482 | Jumbo SA | 50,713 | ||||||
7,531 | Mr Price Group, Ltd. | 82,309 | ||||||
47,563 | Pepkor Holdings, Ltd. | 55,909 | ||||||
12,600 | Pop Mart International Group, Ltd. | 61,125 | ||||||
80,700 | PTT Oil & Retail Business pcl, Class R | 58,221 | ||||||
7,121 | The Foschini Group, Ltd. | 53,486 | ||||||
45,000 | Topsports International Holdings, Ltd. | 40,995 | ||||||
27,899 | Vibra Energia SA | 89,089 | ||||||
20,000 | Zhongsheng Group Holdings, Ltd. | 141,262 | ||||||
|
| |||||||
1,143,987 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.4%): | ||||||||
77,000 | Acer, Inc. | 56,230 | ||||||
11,616 | Advantech Co., Ltd. | 135,302 | ||||||
21,000 | Asustek Computer, Inc. | 219,148 | ||||||
80,300 | BOE Technology Group Co., Ltd., Class A | 47,263 | ||||||
19,000 | Catcher Technology Co., Ltd. | 106,119 | ||||||
2,600 | China Greatwall Technology Group Co., Ltd., Class A | 4,209 | ||||||
113,000 | Compal Electronics, Inc. | 86,826 | ||||||
11,400 | GRG Banking Equipment Co., Ltd., Class A | 15,786 | ||||||
3,156 | Inspur Electronic Information Industry Co., Ltd., Class A | 12,518 | ||||||
70,000 | Inventec Corp. | 59,095 | ||||||
206,000 | Lenovo Group, Ltd. | 192,970 | ||||||
60,000 | Lite-On Technology Corp. | 116,580 | ||||||
18,000 | Micro-Star International Co., Ltd. | 68,639 | ||||||
5,000 | Ninestar Corp. | 37,817 | ||||||
57,000 | Pegatron Corp. | 109,212 | ||||||
80,000 | Quanta Computer, Inc. | 214,225 | ||||||
136,014 | Samsung Electronics Co., Ltd. | 5,959,424 | ||||||
943 | Shenzhen Transsion Holdings Co., Ltd., Class A | 12,587 | ||||||
2,000 | Wiwynn Corp. | 46,665 | ||||||
428,000 | Xiaomi Corp., Class B* | 747,921 | ||||||
|
| |||||||
8,248,536 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.1%): | ||||||||
31,600 | Anta Sports Products, Ltd. | 395,490 | ||||||
116,000 | Bosideng International Holdings, Ltd.^ | 72,149 | ||||||
6,220 | Eclat Textile Co., Ltd. | 87,008 | ||||||
380 | F&F Co., Ltd. | 39,463 | ||||||
15,000 | Feng Tay Enterprise Co., Ltd. | 88,436 | ||||||
68,000 | Li Ning Co., Ltd. | 642,793 | ||||||
32 | LPP SA | 64,511 | ||||||
167 | Page Industries, Ltd. | 85,100 | ||||||
63,000 | Pou Chen Corp. | 62,434 | ||||||
23,000 | Shenzhou International Group | 282,693 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
10,688 | Titan Co., Ltd. | $ | 263,079 | |||||
34,500 | Xtep International Holdings, Ltd.^ | 62,731 | ||||||
|
| |||||||
2,145,887 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.7%): | ||||||||
48,558 | Housing Development Finance Corp., Ltd. | 1,338,600 | ||||||
|
| |||||||
Tobacco (0.4%): | ||||||||
43,949 | Eastern Co. SAE | 24,130 | ||||||
84,526 | ITC, Ltd. | 293,127 | ||||||
2,988 | KT&G Corp. | 189,186 | ||||||
12,100 | PT Gudang Garam Tbk | 25,329 | ||||||
13,906 | RLX Technology, Inc., ADR* | 29,620 | ||||||
52,000 | Smoore International Holdings, Ltd.^ | 163,784 | ||||||
|
| |||||||
725,176 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
8,010 | Adani Enterprises, Ltd. | 222,517 | ||||||
7,500 | BOC Aviation, Ltd. | 63,193 | ||||||
|
| |||||||
285,710 | ||||||||
|
| |||||||
Transportation Infrastructure (0.7%): | ||||||||
13,889 | Adani Ports & Special Economic Zone, Ltd. | 118,377 | ||||||
127,300 | Airports of Thailand Public Co., Ltd.* | 255,975 | ||||||
169,500 | Bangkok Expressway & Metro | 41,997 | ||||||
74,000 | Beijing Capital International Airport Co., Ltd.* | 50,552 | ||||||
31,993 | CCR SA | 76,606 | ||||||
47,228 | China Merchants Port Holdings Co., Ltd. | 81,004 | ||||||
38,000 | COSCO SHIPPING Ports, Ltd. | 26,842 | ||||||
5,725 | Grupo Aeroportuario de Sur | 112,547 | ||||||
10,726 | Grupo Aeroporturaio del Pacifico SAB de C.V. | 149,432 | ||||||
29,770 | International Container Terminal Services, Inc. | 99,636 | ||||||
36,000 | Jiangsu Expressway Co., Ltd., Series H, Class H | 36,259 | ||||||
28,300 | Malaysia Airports Holdings Berhad* | 42,417 | ||||||
6,504 | Promotora Y Operadora de Infraestructura SAB de CV | 47,657 | ||||||
3,000 | Shanghai International Air* | 25,452 | ||||||
35,399 | Shanghai International Port Group Co., Ltd. | 30,858 | ||||||
35,000 | Shenzhen International Holdings, Ltd. | 34,479 | ||||||
54,000 | Taiwan High Speed Rail Corp. | 50,959 | ||||||
42,000 | Zhejiang Expressway Co., Ltd.* | 38,922 | ||||||
|
| |||||||
1,319,971 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
186,000 | Beijing Enterprises Water Group, Ltd. | 56,250 | ||||||
10,225 | Cia Saneamento Basico Do Estado de Sao Paulo | 82,399 | ||||||
92,000 | Guangdong Investment, Ltd. | 97,448 | ||||||
|
| |||||||
236,097 | ||||||||
|
| |||||||
Wireless Telecommunication Services (1.7%): | ||||||||
35,300 | Advanced Info Service Public Co., Ltd. | 194,378 | ||||||
812,904 | America Movil SAB de C.V., Series L | 830,921 | ||||||
91,800 | Axiata Group Berhad | 58,987 | ||||||
63,135 | Bharti Airtel, Ltd.* | 548,333 | ||||||
57,500 | China United Network Communications, Ltd., Class A | 29,746 | ||||||
100,300 | DIGI.com Berhad | 79,710 | ||||||
12,139 | Etihad Etisalat Co. | 113,519 | ||||||
45,000 | Far EasTone Telecommunications Co., Ltd. | 126,468 | ||||||
1,005 | Globe Telecom, Inc. | 41,461 | ||||||
29,450 | Intouch Holdings Public Co., Ltd. | 57,139 | ||||||
66,900 | Maxis Berhad | 50,125 | ||||||
32,110 | Mobile Telecommunications Co KSCP | 62,238 |
See accompanying notes to the financial statements.
13
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
14,942 | Mobile TeleSystems PJSC, ADR(a) | $ | 15 | |||||
48,659 | MTN Group, Ltd. | 395,812 | ||||||
2,760 | PLDT, Inc. | 84,276 | ||||||
731 | SK Telecom Co., Ltd. | 29,321 | ||||||
49,000 | Taiwan Mobile Co., Ltd. | 178,289 | ||||||
27,636 | TIM SA | 67,388 | ||||||
40,565 | Turkcell Iletisim Hizmetleri AS | 39,450 | ||||||
16,855 | Vodacom Group, Ltd. | 136,118 | ||||||
|
| |||||||
3,123,694 | ||||||||
|
| |||||||
Total Common Stocks (Cost $143,595,489) | 184,005,146 | |||||||
|
| |||||||
Preferred Stocks (1.2%): | ||||||||
Automobiles (0.0%†): | ||||||||
986 | Hyundai Motor Co., 6/29/20 | 66,593 | ||||||
|
| |||||||
Banks (0.6%): | ||||||||
155,550 | Banco Bradesco SA, 1.15%, 1/3/20 | 511,277 | ||||||
142,087 | Itau Unibanco Holding SA, 0.40%, 1/5/21 | 615,550 | ||||||
|
| |||||||
1,126,827 | ||||||||
|
| |||||||
Chemicals (0.0%†): | ||||||||
5,513 | Braskem SA, Class A, 24.80%, 10/7/20 | 39,233 | ||||||
|
| |||||||
Metals & Mining (0.1%): | ||||||||
37,024 | Gerdau SA, 11.45%, 3/6/20 | 158,131 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.5%): | ||||||||
23,515 | Samsung Electronics Co., Ltd., 3/30/20 | 943,683 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $2,605,550) | 2,334,467 | |||||||
|
|
Shares or Principal | Value | |||||||
Rights (0.0%†): | ||||||||
Banking (0.0%†): | ||||||||
6,213 | Taishin Financial Holding Co., Ltd., Expires on 7/14/22*(a) | $ | — | |||||
|
| |||||||
Electrical Equipment (0.0%†): | ||||||||
4,613 | Walsin Lihwa Corp., Expires on 8/4/22* | 473 | ||||||
|
| |||||||
Total Rights (Cost $—) | 473 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.5%): | ||||||||
916,933 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(b)(c) | 916,933 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 916,933 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
710,774 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 710,774 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $710,774) | 710,774 | |||||||
|
| |||||||
Total Investment Securities (Cost $147,828,746) — 100.0% | 187,967,793 | |||||||
Net other assets (liabilities) — 0.0%† | (54,611 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 187,913,182 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
ADR—American Depository Receipt
GDR—Global Depositary Receipt
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $857,192. |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. 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, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
See accompanying notes to the financial statements.
14
AZL MSCI Emerging Markets Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Bermuda | 0.1 | % | ||
Brazil | 4.8 | % | ||
Cayman Islands | 0.8 | % | ||
Chile | 0.5 | % | ||
China | 31.0 | % | ||
Colombia | 0.2 | % | ||
Cyprus | — | %† | ||
Czech Republic | 0.2 | % | ||
Egypt | 0.1 | % | ||
Greece | 0.2 | % | ||
Hong Kong | 3.1 | % | ||
Hungary | 0.2 | % | ||
India | 12.6 | % | ||
Indonesia | 1.8 | % | ||
Kuwait | 0.8 | % | ||
Luxembourg | — | %† | ||
Malaysia | 1.5 | % | ||
Mexico | 2.1 | % |
Country | Percentage | |||
Peru | — | %† | ||
Philippines | 0.7 | % | ||
Poland | 0.6 | % | ||
Qatar | 1.0 | % | ||
Republic of Korea (South) | 11.1 | % | ||
Romania | — | %† | ||
Russian Federation | — | %† | ||
Saudi Arabia | 4.2 | % | ||
Singapore | — | %† | ||
South Africa | 3.4 | % | ||
Switzerland | 0.1 | % | ||
Taiwan, Province Of China | 14.1 | % | ||
Thailand | 1.9 | % | ||
Turkey | 0.3 | % | ||
United Arab Emirates | 1.3 | % | ||
United States | 1.3 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Mini MSCI Emerging Markets Index September Futures (U.S. Dollar) | 9/16/22 | 48 | $ | 2,406,480 | $ | 8,851 | ||||||||||
|
| |||||||||||||||
$ | 8,851 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
15
AZL MSCI Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 147,828,746 | |||
|
| ||||
Investment securities, at value(a) | $ | 187,967,793 | |||
Deposit at broker for futures contracts collateral | 129,000 | ||||
Interest and dividends receivable | 1,016,152 | ||||
Foreign currency, at value (cost $647,342) | 641,681 | ||||
Receivable for investments sold | 1,000 | ||||
Reclaims receivable | 52,652 | ||||
Prepaid expenses | 589 | ||||
|
| ||||
Total Assets | 189,808,867 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 42,446 | ||||
Payable for collateral received on loaned securities | 916,933 | ||||
Payable for variation margin on futures contracts | 11,315 | ||||
Accrued foreign taxes | 651,597 | ||||
Manager fees payable | 71,556 | ||||
Administration fees payable | 31,376 | ||||
Distribution fees payable | 37,205 | ||||
Custodian fees payable | 18,740 | ||||
Administrative and compliance services fees payable | 223 | ||||
Transfer agent fees payable | 2,325 | ||||
Trustee fees payable | 2,122 | ||||
Other accrued liabilities | 109,847 | ||||
|
| ||||
Total Liabilities | 1,895,685 | ||||
|
| ||||
Net Assets | $ | 187,913,182 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 146,100,423 | |||
Total distributable earnings | 41,812,759 | ||||
|
| ||||
Net Assets | $ | 187,913,182 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 12,068,265 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 1,839,279 | ||||
Net Asset Value (offering and redemption price per share) | $ | 6.56 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 175,844,917 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 26,812,428 | ||||
Net Asset Value (offering and redemption price per share) | $ | 6.56 | |||
|
|
(a) | Includes securities on loan of $857,192. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,551,970 | |||
Income from securities lending | 9,210 | ||||
Foreign withholding tax | (330,883 | ) | |||
|
| ||||
Total Investment Income | 3,230,297 | ||||
|
| ||||
Expenses: | |||||
Management fees | 894,580 | ||||
Administration fees | 28,161 | ||||
Distribution fees — Class 2 | 246,087 | ||||
Custodian fees | 39,786 | ||||
Administrative and compliance services fees | 783 | ||||
Transfer agent fees | 3,277 | ||||
Trustee fees | 3,047 | ||||
Professional fees | 4,684 | ||||
Licensing fees | 26,656 | ||||
Shareholder reports | 4,210 | ||||
Other expenses | 19,016 | ||||
|
| ||||
Total expenses before reductions | 1,270,287 | ||||
Less Management fees contractually waived | (420,978 | ) | |||
|
| ||||
Net expenses | 849,309 | ||||
|
| ||||
Net Investment Income/(Loss) | 2,380,988 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | (1,009,862 | ) | |||
Net realized gains/(losses) on futures contracts | (511,252 | ) | |||
Net realized gains/(losses) on foreign taxes | (5,762 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (41,902,949 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 8,936 | ||||
Change in net unrealized appreciation/depreciation on foreign taxes | 429,787 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (42,991,102 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (40,610,114 | ) | ||
|
|
See accompanying notes to the financial statements.
16
AZL MSCI Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 2,380,988 | $ | 3,310,055 | ||||||
Net realized gains/(losses) on investments | (1,526,876 | ) | 6,098,120 | |||||||
Change in unrealized appreciation/depreciation on investments | (41,464,226 | ) | (17,502,996 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (40,610,114 | ) | (8,094,821 | ) | ||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (553,353 | ) | |||||||
Class 2 | — | (7,183,163 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (7,736,516 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 6,000 | 20,268 | ||||||||
Proceeds from dividends reinvested | — | 553,353 | ||||||||
Value of shares redeemed | (711,624 | ) | (1,782,790 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (705,624 | ) | (1,209,169 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 710,456 | 2,832,734 | ||||||||
Proceeds from dividends reinvested | — | 7,183,163 | ||||||||
Value of shares redeemed | (8,161,116 | ) | (33,445,770 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (7,450,660 | ) | (23,429,873 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (8,156,284 | ) | (24,639,042 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (48,766,398 | ) | (40,470,379 | ) | ||||||
Net Assets: | ||||||||||
Beginning of period | 236,679,580 | 277,149,959 | ||||||||
|
|
|
| |||||||
End of period | $ | 187,913,182 | $ | 236,679,580 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 763 | 2,395 | ||||||||
Dividends reinvested | — | 69,604 | ||||||||
Shares redeemed | (98,911 | ) | (207,387 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (98,148 | ) | (135,388 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 101,135 | 330,575 | ||||||||
Dividends reinvested | — | 902,407 | ||||||||
Shares redeemed | (1,120,797 | ) | (3,764,888 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (1,019,662 | ) | (2,531,906 | ) | ||||||
|
|
|
| |||||||
Change in shares | (1,117,810 | ) | (2,667,294 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
17
AZL MSCI Emerging Markets Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.94 | $ | 8.54 | $ | 7.85 | $ | 6.99 | $ | 8.78 | $ | 6.60 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | (a) | 0.13 | (a) | 0.10 | (a) | 0.15 | (a) | 0.16 | 0.12 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.47 | ) | (0.44 | ) | 1.17 | 1.04 | (1.50 | ) | 2.30 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.38 | ) | (0.31 | ) | 1.27 | 1.19 | (1.34 | ) | 2.42 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.29 | ) | (0.15 | ) | (0.16 | ) | (0.04 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.15 | ) | (0.29 | ) | (0.18 | ) | (0.29 | ) | (0.20 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.29 | ) | (0.58 | ) | (0.33 | ) | (0.45 | ) | (0.24 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 6.56 | $ | 7.94 | $ | 8.54 | $ | 7.85 | $ | 6.99 | $ | 8.78 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (17.38 | )%(c) | (3.68 | )% | 17.26 | % | 17.55 | % | (15.31 | )% | 36.97 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 12,068 | $ | 15,392 | $ | 17,703 | $ | 17,995 | $ | 17,072 | $ | 22,883 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.49 | % | 1.51 | % | 1.32 | % | 1.97 | % | 1.89 | % | 1.56 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.97 | % | 1.09 | % | 1.17 | % | 1.10 | % | 1.03 | % | 1.11 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.57 | % | 0.69 | % | 0.77 | % | 0.70 | % | 0.63 | % | 0.71 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 2 | % | 7 | % | 12 | % | 25 | % | 20 | % | 19 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 7.95 | $ | 8.54 | $ | 7.85 | $ | 6.99 | $ | 8.77 | $ | 6.60 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.08 | (a) | 0.11 | (a) | 0.08 | (a) | 0.12 | (a) | 0.14 | 0.10 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.47 | ) | (0.44 | ) | 1.16 | 1.05 | (1.49 | ) | 2.30 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (1.39 | ) | (0.33 | ) | 1.24 | 1.17 | (1.35 | ) | 2.40 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.11 | ) | (0.26 | ) | (0.13 | ) | (0.14 | ) | (0.03 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.15 | ) | (0.29 | ) | (0.18 | ) | (0.29 | ) | (0.20 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.26 | ) | (0.55 | ) | (0.31 | ) | (0.43 | ) | (0.23 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 6.56 | $ | 7.95 | $ | 8.54 | $ | 7.85 | $ | 6.99 | $ | 8.77 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (17.48 | )%(c) | (3.83 | )% | 16.92 | % | 17.18 | % | (15.46 | )% | 36.63 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 175,845 | $ | 221,288 | $ | 259,447 | $ | 308,248 | $ | 297,839 | $ | 351,886 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 2.25 | % | 1.26 | % | 1.06 | % | 1.65 | % | 1.61 | % | 1.35 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.22 | % | 1.34 | % | 1.42 | % | 1.35 | % | 1.28 | % | 1.36 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.82 | % | 0.94 | % | 1.02 | % | 0.95 | % | 0.88 | % | 0.96 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 2 | % | 7 | % | 12 | % | 25 | % | 20 | % | 19 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
18
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Emerging Markets Equity Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust, and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
19
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $908 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $916,933 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $2.3 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Interest Rate Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 8,851 | Payable for variation margin on futures contracts* | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as “Variation margin on futures contracts”. |
20
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Interest Rate Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (511,252 | ) | $8,936 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 1 | 0.85 | % | 0.85 | % | ||||||
AZL MSCI Emerging Markets Equity Index Fund, Class 2 | 0.85 | % | 1.10 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.45% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
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) |
21
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 20,332,101 | $ | 163,671,112 | $ | 1,932 | $ | 184,005,145 | ||||||||||||
Preferred Stocks+ | 1,324,191 | 1,010,276 | — | 2,334,467 | ||||||||||||||||
Rights+ | — | 473 | — | 473 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 916,933 | — | — | 916,933 | ||||||||||||||||
Unaffiliated Investment Company | 710,774 | — | — | 710,774 | ||||||||||||||||
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Total Investment Securities | 23,283,999 | 164,681,861 | 1,932 | 187,967,792 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 8,851 | — | — | 8,851 | ||||||||||||||||
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Total Investments | $ | 23,292,850 | $ | 164,681,861 | $ | 1,932 | $ | 187,976,643 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 5,052,507 | $ | 12,278,715 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
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 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.
22
AZL MSCI Emerging Markets Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $161,796,985. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 91,950,521 | ||
Unrealized (depreciation) | (15,404,072 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 76,546,449 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 3,376,812 | $ | 4,359,704 | $ | 7,736,516 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, the components of accumulated earnings on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Accumulated Capital and Other Losses | Unrealized Appreciation/ Depreciation(a) | Total Accumulated Earnings/ (Deficit) | |||||||||||||||||||||
AZL MSCI Emerging Markets Equity Index Fund | $ | 2,648,886 | $ | 4,302,010 | $ | — | $ | 75,471,977 | $ | 82,422,873 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts, and return of capital from investments. |
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 70% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
23
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
24
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
25
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® MSCI Global Equity Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 18 |
Page 18 |
Statements of Changes in Net Assets Page 19 |
Page 20 |
Notes to the Financial Statements Page 21 |
Page 27 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 28 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL MSCI Global Equity Index Fund
(Unaudited)
As a shareholder of the AZL MSCI Global Equity Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MSCI Global Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 795.80 | $ | 1.83 | 0.41 | % | ||||||||||||
AZL MSCI Global Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 795.50 | $ | 2.94 | 0.66 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL MSCI Global Equity Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | 0.41 | % | ||||||||||||
AZL MSCI Global Equity Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 20.8 | % | |||
Health Care | 14.0 | ||||
Financials | 13.5 | ||||
Consumer Discretionary | 10.6 | ||||
Industrials | 9.9 | ||||
Consumer Staples | 7.7 | ||||
Communication Services | 7.5 | ||||
Energy | 5.0 | ||||
Materials | 4.3 | ||||
Utilities | 3.2 | ||||
Real Estate | 2.9 | ||||
|
| ||||
Total Common Stocks and Preferred Stocks | 99.4 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.9 | ||||
Unaffiliated Investment Company | 0.2 | ||||
|
| ||||
Total Investment Securities | 100.5 | ||||
Net other assets (liabilities) | (0.5 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.3%): | ||||||||
Aerospace & Defense (1.5%): | ||||||||
4,626 | Airbus SE | $ | 454,152 | |||||
25,229 | BAE Systems plc | 255,126 | ||||||
4,246 | Boeing Co. (The)* | 580,513 | ||||||
2,614 | CAE, Inc.* | 64,426 | ||||||
196 | Dassault Aviation SA | 30,593 | ||||||
169 | Elbit Systems, Ltd. | 38,766 | ||||||
1,872 | General Dynamics Corp. | 414,180 | ||||||
407 | HEICO Corp. | 53,366 | ||||||
499 | HEICO Corp., Class A | 52,585 | ||||||
2,863 | Howmet Aerospace, Inc. | 90,041 | ||||||
271 | Huntington Ingalls Industries, Inc. | 59,029 | ||||||
700 | Kongsberg Gruppen ASA | 25,197 | ||||||
1,510 | L3harris Technologies, Inc. | 364,967 | ||||||
1,884 | Lockheed Martin Corp. | 810,045 | ||||||
368 | MTU Aero Engines AG | 66,978 | ||||||
1,149 | Northrop Grumman Corp. | 549,877 | ||||||
11,569 | Raytheon Technologies Corp. | 1,111,897 | ||||||
61,901 | Rolls-Royce Holdings plc* | 62,591 | ||||||
2,724 | Safran SA | 272,463 | ||||||
16,600 | Singapore Technologies Engineering, Ltd. | 48,853 | ||||||
1,749 | Textron, Inc. | 106,811 | ||||||
795 | Thales SA | 97,506 | ||||||
414 | TransDigm Group, Inc.* | 222,181 | ||||||
|
| |||||||
5,832,143 | ||||||||
|
| |||||||
Air Freight & Logistics (0.5%): | ||||||||
964 | C.H. Robinson Worldwide, Inc. | 97,721 | ||||||
7,478 | Deutsche Post AG | 280,126 | ||||||
1,360 | Expeditors International of Washington, Inc. | 132,545 | ||||||
1,952 | FedEx Corp. | 442,538 | ||||||
3,000 | SG Holdings Co., Ltd. | 50,658 | ||||||
5,698 | United Parcel Service, Inc., Class B | 1,040,113 | ||||||
2,800 | Yamato Holdings Co., Ltd. | 44,755 | ||||||
|
| |||||||
2,088,456 | ||||||||
|
| |||||||
Airlines (0.0%†): | ||||||||
990 | Air Canada* | 12,338 | ||||||
1,000 | ANA Holdings, Inc.* | 18,440 | ||||||
1,475 | Delta Air Lines, Inc.* | 42,731 | ||||||
2,412 | Deutsche Lufthansa AG*^ | 14,066 | ||||||
1,000 | Japan Airlines Co., Ltd.* | 17,522 | ||||||
5,489 | Qantas Airways, Ltd.* | 16,947 | ||||||
8,850 | Singapore Airlines, Ltd.* | 32,541 | ||||||
1,365 | Southwest Airlines Co.* | 49,304 | ||||||
|
| |||||||
203,889 | ||||||||
|
| |||||||
Auto Components (0.3%): | ||||||||
800 | Aisin Sieki Co., Ltd. | 24,790 | ||||||
2,178 | Aptiv plc* | 193,994 | ||||||
1,648 | BorgWarner, Inc. | 54,994 | ||||||
4,700 | Bridgestone Corp.^ | 171,608 | ||||||
5,592 | Cie Generale des Etablissements Michelin SCA | 153,742 | ||||||
819 | Continental AG | 57,066 | ||||||
3,200 | Denso Corp. | 170,239 | ||||||
1,000 | Koito Manufacturing Co., Ltd. | 31,772 | ||||||
419 | Lear Corp. | 52,748 | ||||||
2,325 | Magna Internationl, Inc. | 127,685 | ||||||
5,200 | Sumitomo Electric Industries, Ltd. | 57,518 | ||||||
1,100 | Toyota Industries Corp. | 68,194 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Auto Components, continued | ||||||||
2,122 | Valeo SA | $ | 41,528 | |||||
|
| |||||||
1,205,878 | ||||||||
|
| |||||||
Automobiles (2.2%): | ||||||||
2,679 | Bayerische Motoren Werke AG (BMW) | 206,219 | ||||||
6,245 | Daimler AG, Registered Shares | 361,346 | ||||||
943 | Ferrari NV | 173,903 | ||||||
30,211 | Ford Motor Co. | 336,248 | ||||||
10,801 | General Motors Co.* | 343,040 | ||||||
12,400 | Honda Motor Co., Ltd. | 299,995 | ||||||
5,100 | Isuzu Motors, Ltd. | 56,238 | ||||||
3,397 | Lucid Group, Inc.*^ | 58,293 | ||||||
5,800 | Mazda Motor Corp. | 47,503 | ||||||
16,900 | Nissan Motor Co., Ltd. | 65,881 | ||||||
1,777 | Renault SA* | 44,966 | ||||||
1,449 | Rivian Automotive, Inc.*^ | 37,297 | ||||||
9,924 | Stellantis NV | 123,572 | ||||||
6,079 | Stellantis NV | 76,131 | ||||||
4,300 | Subaru Corp. | 76,507 | ||||||
2,700 | Suzuki Motor Corp. | 84,961 | ||||||
6,817 | Tesla, Inc.* | 4,590,704 | ||||||
82,300 | Toyota Motor Corp. | 1,267,665 | ||||||
201 | Volkswagen AG | 36,626 | ||||||
4,663 | Volvo Car AB* | 30,976 | ||||||
2,600 | Yamaha Motor Co., Ltd. | 47,687 | ||||||
|
| |||||||
8,365,758 | ||||||||
|
| |||||||
Banks (5.8%): | ||||||||
4,057 | ABN AMRO Group NV | 45,605 | ||||||
21,886 | Australia & New Zealand Banking Group, Ltd. | 332,921 | ||||||
51,177 | Banco Bilbao Vizcaya Argentaria SA | 232,243 | ||||||
132,801 | Banco Santander SA | 374,439 | ||||||
8,532 | Bank Hapoalim BM | 71,759 | ||||||
10,762 | Bank Leumi Le | 96,378 | ||||||
56,228 | Bank of America Corp. | 1,750,378 | ||||||
5,042 | Bank of Montreal | 484,925 | ||||||
9,320 | Bank of Nova Scotia | 551,669 | ||||||
131,662 | Barclays plc | 246,450 | ||||||
8,724 | BNP Paribas SA^ | 415,316 | ||||||
27,500 | BOC Hong Kong Holdings, Ltd. | 108,847 | ||||||
33,536 | CaixaBank SA | 116,687 | ||||||
6,972 | Canadian Imperial Bank of Commerce^ | 338,632 | ||||||
2,800 | Chiba Bank, Ltd. (The) | 15,309 | ||||||
15,365 | Citigroup, Inc. | 706,636 | ||||||
3,404 | Citizens Financial Group, Inc. | 121,489 | ||||||
9,260 | Commerzbank AG* | 64,871 | ||||||
13,193 | Commonwealth Bank of Australia | 823,351 | ||||||
8,400 | Concordia Financial Group, Ltd. | 29,114 | ||||||
8,923 | Credit Agricole SA | 81,727 | ||||||
5,146 | Danske Bank A/S | 72,946 | ||||||
14,400 | DBS Group Holdings, Ltd. | 308,290 | ||||||
7,511 | DNB Bank ASA | 135,237 | ||||||
2,582 | Erste Group Bank AG | 65,577 | ||||||
5,394 | Fifth Third Bancorp | 181,238 | ||||||
5,399 | Finecobank Banca Fineco SpA^ | 65,074 | ||||||
97 | First Citizens BancShares, Inc., Class A | 63,417 | ||||||
1,332 | First Republic Bank | 192,074 | ||||||
5,700 | Hang Seng Bank, Ltd. | 100,713 |
See accompanying notes to the financial statements.
2
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
156,075 | HSBC Holdings plc | $ | 1,018,034 | |||||
11,934 | Huntington Bancshares, Inc. | 143,566 | ||||||
31,284 | ING Groep NV | 310,435 | ||||||
133,371 | Intesa Sanpaolo SpA | 250,727 | ||||||
7,605 | Isreal Discount Bank | 39,846 | ||||||
1,600 | Japan Post Bank Co., Ltd. | 12,446 | ||||||
22,914 | JPMorgan Chase & Co. | 2,580,346 | ||||||
1,998 | KBC Group NV | 112,220 | ||||||
6,790 | KeyCorp | 116,992 | ||||||
536,187 | Lloyds Banking Group plc | 276,526 | ||||||
1,430 | M&T Bank Corp. | 227,928 | ||||||
5,740 | Mediobanca SpA | 49,960 | ||||||
91,700 | Mitsubishi UFJ Financial Group, Inc. | 490,713 | ||||||
1,433 | Mizrahi Tefahot Bank, Ltd. | 47,715 | ||||||
18,650 | Mizuho Financial Group, Inc. | 212,105 | ||||||
24,651 | National Australia Bank, Ltd. | 466,098 | ||||||
2,763 | National Bank of Canada^ | 181,345 | ||||||
45,008 | Natwest Group plc | 119,708 | ||||||
25,524 | Nordea Bank AB | 224,904 | ||||||
27,900 | Oversea-Chinese Banking Corp., Ltd. | 229,141 | ||||||
3,267 | PNC Financial Services Group, Inc. (The) | 515,435 | ||||||
7,800 | Regions Financial Corp. | 146,250 | ||||||
14,500 | Resona Holdings, Inc. | 54,330 | ||||||
10,903 | Royal Bank of Canada | 1,055,905 | ||||||
4,800 | Shizuoka Bank, Ltd. (The) | 28,845 | ||||||
509 | Signature Bank | 91,218 | ||||||
13,057 | Skandinaviska Enskilda Banken AB, Class A | 128,369 | ||||||
5,883 | Societe Generale | 129,005 | ||||||
20,594 | Standard Chartered plc | 155,249 | ||||||
10,000 | Sumitomo Mitsui Financial Group, Inc. | 297,034 | ||||||
2,300 | Sumitomo Mitsui Trust Holdings, Inc. | 70,874 | ||||||
480 | SVB Financial Group* | 189,595 | ||||||
11,088 | Svenska Handelsbanken AB, Class A | 94,891 | ||||||
7,027 | Swedbank AB, Class A | 88,954 | ||||||
14,028 | Toronto-Dominion Bank (The) | 920,049 | ||||||
10,289 | Truist Financial Corp. | 488,007 | ||||||
10,970 | U.S. Bancorp | 504,839 | ||||||
17,483 | Unicredit SpA | 167,620 | ||||||
9,604 | United Overseas Bank, Ltd. | 181,863 | ||||||
1,465 | Webster Financial Corp. | 61,750 | ||||||
29,847 | Wells Fargo & Co. | 1,169,107 | ||||||
27,079 | Westpac Banking Corp. | 364,603 | ||||||
|
| |||||||
22,207,859 | ||||||||
|
| |||||||
Beverages (1.9%): | ||||||||
6,647 | Anheuser-Busch InBev NV | 358,505 | ||||||
3,500 | Asahi Breweries, Ltd. | 114,743 | ||||||
2,493 | Brown-Forman Corp., Class B | 174,909 | ||||||
18,500 | Budweiser Brewing Co. APAC, Ltd. | 55,489 | ||||||
797 | Carlsberg A/S, Class B | 101,682 | ||||||
32,036 | Coca-Cola Co. (The) | 2,015,385 | ||||||
810 | Coca-Cola Europacific Partners plc | 41,804 | ||||||
618 | Coca-Cola European Partners plc | 31,719 | ||||||
1,283 | Coca-Cola HBC AG | 28,483 | ||||||
1,253 | Constellation Brands, Inc., Class C | 292,024 | ||||||
4,937 | David Campari-Milano NV | 52,120 | ||||||
17,831 | Diageo plc | 769,131 | ||||||
771 | Heineken Holding NV | 56,386 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages, continued | ||||||||
1,959 | Heineken NV | $ | 179,383 | |||||
400 | ITO EN, Ltd. | 17,913 | ||||||
5,741 | Keurig Dr Pepper, Inc. | 203,174 | ||||||
6,100 | Kirin Holdings Co., Ltd. | 96,151 | ||||||
1,309 | Molson Coors Brewing Co., Class B | 71,353 | ||||||
3,102 | Monster Beverage Corp.* | 287,555 | ||||||
10,801 | PepsiCo, Inc. | 1,800,095 | ||||||
1,596 | Pernod Ricard SA | 295,594 | ||||||
125 | Remy Cointreau SA | 22,010 | ||||||
800 | Suntory Beverage & Food, Ltd. | 30,265 | ||||||
6,668 | Treasury Wine Estates, Ltd. | 52,194 | ||||||
|
| |||||||
7,148,067 | ||||||||
|
| |||||||
Biotechnology (1.9%): | ||||||||
13,695 | AbbVie, Inc. | 2,097,526 | ||||||
953 | Alnylam Pharmaceuticals, Inc.* | 138,995 | ||||||
4,350 | Amgen, Inc. | 1,058,355 | ||||||
343 | Argenx SE* | 129,435 | ||||||
1,119 | Biogen, Inc.* | 228,209 | ||||||
1,349 | BioMarin Pharmaceutical, Inc.* | 111,792 | ||||||
3,729 | CSL, Ltd. | 692,727 | ||||||
1,266 | Exact Sciences Corp.* | 49,868 | ||||||
547 | Genmab A/S* | 177,460 | ||||||
9,770 | Gilead Sciences, Inc. | 603,884 | ||||||
2,757 | Grifols SA* | 52,142 | ||||||
1,359 | Incyte Corp.* | 103,243 | ||||||
2,613 | Moderna, Inc.* | 373,267 | ||||||
660 | Neurocrine Biosciences, Inc.* | 64,337 | ||||||
830 | Regeneron Pharmaceuticals, Inc.* | 490,638 | ||||||
1,099 | Seagen, Inc.* | 194,457 | ||||||
1,322 | Swedish Orphan Biovitrum AB* | 28,627 | ||||||
1,950 | Vertex Pharmaceuticals, Inc.* | 549,490 | ||||||
|
| |||||||
7,144,452 | ||||||||
|
| |||||||
Building Products (0.6%): | ||||||||
953 | A. O. Smith Corp. | 52,110 | ||||||
1,800 | AGC, Inc.^ | 63,344 | ||||||
644 | Allegion plc | 63,048 | ||||||
7,899 | ASSA Abloy AB, Class B | 169,130 | ||||||
6,680 | Carrier Global Corp. | 238,209 | ||||||
4,061 | Compagnie de Saint-Gobain | 176,378 | ||||||
1,900 | Daikin Industries, Ltd. | 304,987 | ||||||
1,013 | Fortune Brands Home & Security, Inc. | 60,658 | ||||||
269 | Geberit AG, Registered Shares | 129,403 | ||||||
5,570 | Johnson Controls International plc | 266,692 | ||||||
1,045 | Kingspan Group plc | 62,858 | ||||||
223 | Lennox International, Inc. | 46,069 | ||||||
2,500 | Lixil Corp. | 46,859 | ||||||
1,920 | Masco Corp. | 97,152 | ||||||
11,325 | Nibe Industrier AB, Class B | 85,182 | ||||||
729 | Owens Corning | 54,172 | ||||||
52 | ROCKWOOL A/S, Class B | 11,758 | ||||||
1,300 | TOTO, Ltd. | 42,980 | ||||||
1,787 | Trane Technologies plc | 232,078 | ||||||
13,000 | Xinyi Glass Holdings, Ltd. | 31,291 | ||||||
|
| |||||||
2,234,358 | ||||||||
|
| |||||||
Capital Markets (3.0%): | ||||||||
7,666 | 3i Group plc | 103,547 |
See accompanying notes to the financial statements.
3
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Capital Markets, continued | ||||||||
895 | Ameriprise Financial, Inc. | $ | 212,724 | |||||
375 | Amundi SA | 20,756 | ||||||
1,391 | ASX, Ltd. | 78,487 | ||||||
5,874 | Bank of New York Mellon Corp. (The) | 245,005 | ||||||
1,194 | BlackRock, Inc., Class A+ | 727,194 | ||||||
5,480 | Blackstone, Inc., Class A | 499,940 | ||||||
10,995 | Brookfield Asset Management, Inc., Class A | 489,179 | ||||||
1,473 | Carlyle Group, Inc. (The) | 46,635 | ||||||
867 | Cboe Global Markets, Inc. | 98,136 | ||||||
11,392 | Charles Schwab Corp. (The) | 719,747 | ||||||
2,766 | CME Group, Inc. | 566,200 | ||||||
938 | Coinbase Global, Inc.*^ | 44,105 | ||||||
22,580 | Credit Suisse Group AG | 128,591 | ||||||
13,400 | Daiwa Securities Group, Inc. | 59,886 | ||||||
17,000 | Deutsche Bank AG | 148,109 | ||||||
1,470 | Deutsche Boerse AG | 245,829 | ||||||
2,202 | EQT AB | 45,799 | ||||||
719 | Euronext NV | 58,902 | ||||||
295 | FactSet Research Systems, Inc. | 113,448 | ||||||
1,979 | Franklin Resources, Inc.^ | 46,131 | ||||||
2,615 | Goldman Sachs Group, Inc. (The) | 776,707 | ||||||
3,288 | Hargreaves Lansdown plc | 31,561 | ||||||
9,700 | Hong Kong Exchanges & Clearing, Ltd. | 484,218 | ||||||
217 | IGM Financial, Inc. | 5,817 | ||||||
4,403 | Intercontinental Exchange, Inc. | 414,058 | ||||||
2,555 | Invesco, Ltd. | 41,212 | ||||||
4,700 | Japan Exchange Group, Inc. | 67,888 | ||||||
1,702 | Julius Baer Group, Ltd. | 78,645 | ||||||
3,976 | KKR & Co., Inc., Class A | 184,049 | ||||||
2,521 | London Stock Exchange Group plc | 234,310 | ||||||
626 | LPL Financial Holdings, Inc. | 115,484 | ||||||
2,852 | Macquarie Group, Ltd. | 324,068 | ||||||
287 | MarketAxess Holdings, Inc. | 73,475 | ||||||
1,279 | Moody’s Corp. | 347,850 | ||||||
10,472 | Morgan Stanley | 796,500 | ||||||
633 | MSCI, Inc. | 260,891 | ||||||
931 | Nasdaq, Inc. | 142,015 | ||||||
23,000 | Nomura Holdings, Inc. | 84,137 | ||||||
1,595 | Northern Trust Corp. | 153,886 | ||||||
177 | Partners Group Holding AG | 159,698 | ||||||
1,455 | Raymond James Financial, Inc. | 130,092 | ||||||
2,771 | S&P Global, Inc. | 933,993 | ||||||
2,400 | SBI Holdings, Inc. | 47,008 | ||||||
1,149 | Schroders plc | 37,407 | ||||||
757 | SEI Investments Co. | 40,893 | ||||||
3,200 | Singapore Exchange, Ltd. | 21,819 | ||||||
3,801 | St. James Place plc | 51,076 | ||||||
2,961 | State Street Corp. | 182,546 | ||||||
1,699 | T. Rowe Price Group, Inc. | 193,023 | ||||||
521 | TMX Group, Ltd. | 53,031 | ||||||
940 | Tradeweb Markets, Inc., Class A | 64,155 | ||||||
27,178 | UBS Group AG | 438,780 | ||||||
|
| |||||||
11,668,642 | ||||||||
|
| |||||||
Chemicals (2.2%): | ||||||||
4,086 | Air Liquide SA | 552,193 | ||||||
1,697 | Air Products & Chemicals, Inc. | 408,095 | ||||||
1,542 | Akzo Nobel NV | 101,863 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
874 | Albemarle Corp. | $ | 182,649 | |||||
413 | Arkema SA | 37,215 | ||||||
9,200 | Asahi Kasei Corp. | 70,318 | ||||||
7,055 | BASF SE | 306,963 | ||||||
897 | Celanese Corp. | 105,496 | ||||||
1,613 | CF Industries Holdings, Inc. | 138,282 | ||||||
801 | Christian Hansen Holding A/S | 58,448 | ||||||
2,080 | Clariant AG* | 39,665 | ||||||
5,793 | Corteva, Inc. | 313,633 | ||||||
1,415 | Covestro AG | 48,897 | ||||||
1,096 | Croda International plc | 86,416 | ||||||
5,806 | Dow, Inc. | 299,648 | ||||||
3,956 | DuPont de Nemours, Inc. | 219,874 | ||||||
1,020 | Eastman Chemical Co. | 91,565 | ||||||
2,005 | Ecolab, Inc. | 308,289 | ||||||
62 | EMS-Chemie Holding AG | 46,197 | ||||||
1,938 | Evonik Industries AG | 41,371 | ||||||
949 | FMC Corp. | 101,553 | ||||||
73 | Givaudan SA, Registered Shares^ | 258,038 | ||||||
6,835 | ICL Group, Ltd. | 62,463 | ||||||
1,948 | International Flavors & Fragrances, Inc. | 232,046 | ||||||
1,789 | Johnson Matthey plc | 41,978 | ||||||
1,200 | JSR Corp. | 31,171 | ||||||
1,339 | Koninklijke DSM NV | 193,401 | ||||||
3,959 | Linde plc | 1,138,331 | ||||||
2,005 | LyondellBasell Industries NV, Class A | 175,357 | ||||||
11,800 | Mitsubishi Chemical Holdings Corp. | 63,984 | ||||||
1,700 | Mitsui Chemicals, Inc. | 36,251 | ||||||
2,710 | Mosaic Co. (The) | 127,993 | ||||||
6,600 | Nippon Paint Holdings Co., Ltd.^ | 49,253 | ||||||
1,100 | Nippon Sanso Holdings Corp. | 17,553 | ||||||
800 | Nissan Chemical Corp. | 36,902 | ||||||
1,000 | Nitto Denko Corp. | 64,784 | ||||||
1,580 | Novozymes A/S, Class B | 95,159 | ||||||
4,314 | Nutrien, Ltd. | 343,612 | ||||||
824 | OCI NV | 27,167 | ||||||
2,876 | Orica, Ltd. | 31,241 | ||||||
1,849 | PPG Industries, Inc. | 211,415 | ||||||
942 | RPM International, Inc. | 74,154 | ||||||
1,929 | Sherwin-Williams Co. (The) | 431,922 | ||||||
2,900 | Shin-Etsu Chemical Co., Ltd. | 327,428 | ||||||
1,096 | Sika AG | 252,882 | ||||||
685 | Solvay SA | 55,566 | ||||||
13,800 | Sumitomo Chemical Co., Ltd. | 53,880 | ||||||
979 | Symrise AG | 106,529 | ||||||
12,800 | Toray Industries, Inc. | 71,874 | ||||||
2,700 | Tosoh Corp. | 33,561 | ||||||
1,822 | Umicore SA | 63,679 | ||||||
301 | Westlake Corp. | 29,504 | ||||||
1,092 | Yara International ASA | 45,848 | ||||||
|
| |||||||
8,343,556 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
10,643 | Brambles, Ltd. | 78,601 | ||||||
748 | Cintas Corp. | 279,400 | ||||||
1,599 | Copart, Inc.* | 173,747 | ||||||
1,800 | Dai Nippon Printing Co., Ltd. | 38,851 | ||||||
1,558 | GFL Environmental, Inc. | 40,142 |
See accompanying notes to the financial statements.
4
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Commercial Services & Supplies, continued | ||||||||
13,958 | Rentokil Initial plc | $ | 80,661 | |||||
1,681 | Republic Services, Inc. | 219,993 | ||||||
1,016 | Ritchie Bros Auctioneers, Inc. | 66,115 | ||||||
1,460 | Rollins, Inc. | 50,983 | ||||||
1,500 | Secom Co., Ltd. | 92,736 | ||||||
3,081 | Securitas AB, Class B | 26,764 | ||||||
2,800 | TOPPAN, INC. | 46,821 | ||||||
2,020 | Waste Connections, Inc. | 250,399 | ||||||
3,267 | Waste Management, Inc. | 499,786 | ||||||
|
| |||||||
1,944,999 | ||||||||
|
| |||||||
Communications Equipment (0.6%): | ||||||||
1,856 | Arista Networks, Inc.* | 173,981 | ||||||
32,064 | Cisco Systems, Inc. | 1,367,209 | ||||||
438 | F5, Inc.* | 67,032 | ||||||
2,336 | Juniper Networks, Inc. | 66,576 | ||||||
1,344 | Motorola Solutions, Inc. | 281,702 | ||||||
42,435 | Nokia OYJ | 197,642 | ||||||
22,141 | Telefonaktiebolaget LM Ericsson, Class B | 165,343 | ||||||
|
| |||||||
2,319,485 | ||||||||
|
| |||||||
Construction & Engineering (0.3%): | ||||||||
2,376 | ACS Actividades de Construccion y Servicios SA | 57,634 | ||||||
1,522 | Bouygues SA | 47,063 | ||||||
542 | Eiffage SA | 49,215 | ||||||
3,633 | Ferrovial SA | 92,630 | ||||||
4,400 | Kajima Corp. | 50,530 | ||||||
4,900 | Obayashi Corp. | 35,601 | ||||||
1,125 | Quanta Services, Inc. | 141,007 | ||||||
5,900 | Shimizu Corp. | 32,640 | ||||||
3,144 | Skanska AB, Class B | 48,269 | ||||||
1,100 | Taisei Corp. | 34,279 | ||||||
4,213 | Vinci SA | 378,444 | ||||||
868 | WSP Global, Inc. | 98,157 | ||||||
|
| |||||||
1,065,469 | ||||||||
|
| |||||||
Construction Materials (0.2%): | ||||||||
6,076 | CRH plc | 210,279 | ||||||
993 | HeidelbergCement AG | 47,695 | ||||||
4,174 | Holcim, Ltd. | 178,812 | ||||||
3,417 | James Hardie Industries SE | 74,829 | ||||||
503 | Martin Marietta Materials, Inc. | 150,518 | ||||||
1,084 | Vulcan Materials Co. | 154,036 | ||||||
|
| |||||||
816,169 | ||||||||
|
| |||||||
Consumer Finance (0.4%): | ||||||||
2,642 | Ally Financial, Inc. | 88,534 | ||||||
5,050 | American Express Co. | 700,031 | ||||||
3,160 | Capital One Financial Corp. | 329,240 | ||||||
2,217 | Discover Financial Services | 209,684 | ||||||
1 | Isracard, Ltd. | 2 | ||||||
4,172 | Synchrony Financial | 115,231 | ||||||
163 | Upstart Holdings, Inc.*^ | 5,154 | ||||||
|
| |||||||
1,447,876 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
12,355 | Amcor plc | 153,572 | ||||||
648 | Avery Dennison Corp. | 104,892 | ||||||
2,547 | Ball Corp. | 175,157 | ||||||
1,393 | CCL Industries, Inc. | 65,851 | ||||||
998 | Crown Holdings, Inc. | 91,986 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Containers & Packaging, continued | ||||||||
2,770 | International Paper Co. | $ | 115,869 | |||||
682 | Packaging Corp. of America | 93,775 | ||||||
1,076 | Sealed Air Corp. | 62,107 | ||||||
1,807 | Smurfit Kappa Group plc | 60,968 | ||||||
1,935 | Westrock Co. | 77,090 | ||||||
|
| |||||||
1,001,267 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
195 | D’ieteren Group | 28,564 | ||||||
1,145 | Genuine Parts Co. | 152,285 | ||||||
2,156 | LKQ Corp. | 105,838 | ||||||
321 | Pool Corp. | 112,745 | ||||||
|
| |||||||
399,432 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
1,753 | IDP Education, Ltd. | 28,772 | ||||||
|
| |||||||
Diversified Financial Services (1.0%): | ||||||||
3,127 | Apollo Global Management, Inc. | 151,597 | ||||||
10,020 | Berkshire Hathaway, Inc., Class B* | 2,735,660 | ||||||
2,830 | Equitable Holdings, Inc. | 73,778 | ||||||
414 | Eurazeo SE | 25,861 | ||||||
1,002 | EXOR NV | 62,879 | ||||||
823 | Groupe Bruxelles Lambert SA | 68,745 | ||||||
885 | Industrivarden AB, Class A | 19,947 | ||||||
1,476 | Industrivarden AB, Class C | 32,877 | ||||||
4,187 | Investor AB | 75,274 | ||||||
13,524 | Investor AB, Class B | 222,697 | ||||||
2,236 | Kinnevik AB, Class B* | 36,086 | ||||||
418 | L E Lundbergforetagen AB | 17,019 | ||||||
24,030 | M&G plc | 56,944 | ||||||
4,100 | Mitsubishi HC Capital, Inc. | 18,929 | ||||||
755 | Onex Corp. | 37,603 | ||||||
9,900 | ORIX Corp. | 166,218 | ||||||
142 | Sofina SA | 29,040 | ||||||
20,261 | Standard Life Aberdeen plc | 39,470 | ||||||
122 | Wendel^ | 10,311 | ||||||
|
| |||||||
3,880,935 | ||||||||
|
| |||||||
Diversified Telecommunication Services (1.4%): | ||||||||
55,904 | AT&T, Inc. | 1,171,748 | ||||||
692 | BCE, Inc. | 34,019 | ||||||
54,369 | BT Group plc | 123,353 | ||||||
4,277 | Cellnex Telecom SAU | 166,593 | ||||||
24,711 | Deutsche Telekom AG | 490,559 | ||||||
1,315 | Elisa OYJ | 73,905 | ||||||
36,000 | HKT Trust & HKT, Ltd. | 48,376 | ||||||
2,027 | Infrastrutture Wireless Italiane SpA | 20,619 | ||||||
24,798 | Koninklijke KPN NV | 88,445 | ||||||
2,488 | Liberty Global plc, Class C* | 54,960 | ||||||
6,467 | Lumen Technologies, Inc. | 70,555 | ||||||
9,200 | Nippon Telegraph & Telephone Corp. | 264,191 | ||||||
16,116 | Orange SA | 189,494 | ||||||
1,048 | Proximus SADP | 15,449 | ||||||
62,100 | Singapore Telecommunications, Ltd. | 113,199 | ||||||
17,116 | Spark New Zealand, Ltd. | 51,284 | ||||||
191 | Swisscom AG | 105,740 | ||||||
92,093 | Telecom Italia SpA* | 24,127 | ||||||
3,372 | Telefonica Deutschland Holding AG | 9,683 | ||||||
41,617 | Telefonica SA | 212,082 |
See accompanying notes to the financial statements.
5
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
5,021 | Telenor ASA | $ | 66,915 | |||||
18,848 | Telia Co AB | 72,253 | ||||||
29,855 | Telstra Corp., Ltd. | 79,284 | ||||||
3,956 | TELUS Corp. | 88,126 | ||||||
476 | United Internet AG, Registered Shares | 13,581 | ||||||
32,461 | Verizon Communications, Inc. | 1,647,396 | ||||||
|
| |||||||
5,295,936 | ||||||||
|
| |||||||
Electric Utilities (1.9%): | ||||||||
193 | Acciona SA | 35,660 | ||||||
2,033 | Alliant Energy Corp. | 119,154 | ||||||
4,001 | American Electric Power Co., Inc. | 383,856 | ||||||
6,000 | Chubu Electric Power Co., Inc. | 60,426 | ||||||
7,000 | CK Infrastructure Holdings, Ltd. | 43,008 | ||||||
12,500 | CLP Holdings, Ltd. | 103,776 | ||||||
2,662 | Constellation Energy Corp. | 152,426 | ||||||
5,894 | Duke Energy Corp. | 631,896 | ||||||
3,058 | Edison International | 193,388 | ||||||
20,856 | EDP — Energias de Portugal SA | 97,461 | ||||||
4,958 | Electricite de France | 40,576 | ||||||
240 | Elia Group SA/NV^ | 34,040 | ||||||
1,880 | Emera, Inc. | 88,084 | ||||||
3,072 | Endesa SA^ | 57,962 | ||||||
62,566 | Enel SpA | 343,838 | ||||||
1,617 | Entergy Corp. | 182,139 | ||||||
1,705 | Evergy, Inc. | 111,251 | ||||||
2,630 | Eversource Energy | 222,156 | ||||||
7,537 | Exelon Corp. | 341,577 | ||||||
4,352 | FirstEnergy Corp. | 167,073 | ||||||
3,796 | Fortis, Inc. | 179,477 | ||||||
3,188 | Fortum OYJ | 47,889 | ||||||
7,500 | HK Electric Investments, Ltd. | 6,883 | ||||||
2,288 | Hydro One, Ltd. | 61,529 | ||||||
44,718 | Iberdrola SA | 463,964 | ||||||
6,500 | Kansai Electric Power Co., Inc. (The) | 64,410 | ||||||
4,873 | Mercury NZ, Ltd. | 17,187 | ||||||
15,347 | NextEra Energy, Inc. | 1,188,779 | ||||||
1,642 | NRG Energy, Inc. | 62,675 | ||||||
12,220 | Origin Energy, Ltd. | 48,662 | ||||||
1,522 | Orsted A/S | 159,174 | ||||||
11,217 | PG&E Corp.* | 111,946 | ||||||
13,000 | Power Assets Holdings, Ltd. | 81,884 | ||||||
5,489 | PPL Corp. | 148,917 | ||||||
1,850 | Red Electrica Corp SA | 35,021 | ||||||
8,440 | Scottish & Southern Energy plc | 166,831 | ||||||
8,261 | Southern Co. (The) | 589,092 | ||||||
10,285 | Terna SpA | 80,825 | ||||||
14,900 | Tokyo Electric Power Co. Holdings, Inc.* | 62,295 | ||||||
453 | Verbund AG, Class A | 44,342 | ||||||
4,240 | Xcel Energy, Inc. | 300,022 | ||||||
|
| |||||||
7,331,551 | ||||||||
|
| |||||||
Electrical Equipment (0.8%): | ||||||||
13,088 | ABB, Ltd. | 349,845 | ||||||
1,759 | AMETEK, Inc. | 193,296 | ||||||
3,092 | Eaton Corp. plc | 389,561 | ||||||
4,557 | Emerson Electric Co. | 362,464 | ||||||
1,200 | Fuji Electric Co., Ltd. | 49,775 | ||||||
515 | Generac Holdings, Inc.* | 108,449 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electrical Equipment, continued | ||||||||
1,991 | Legrand SA | $ | 148,158 | |||||
14,900 | Mitsubishi Electric Corp. | 159,508 | ||||||
3,500 | Nidec Corp. | 216,449 | ||||||
3,798 | Plug Power, Inc.*^ | 62,933 | ||||||
1,694 | Prysmian SpA | 46,743 | ||||||
916 | Rockwell Automation, Inc. | 182,568 | ||||||
4,239 | Schneider Electric SA | 502,115 | ||||||
1,457 | Sensata Technologies Holding plc | 60,189 | ||||||
3,694 | Siemens Energy AG | 54,166 | ||||||
2,219 | Siemens Gamesa Renewable Energy* | 41,887 | ||||||
7,736 | Vestas Wind Systems A/S | 163,964 | ||||||
|
| |||||||
3,092,070 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.8%): | ||||||||
4,587 | Amphenol Corp., Class A | 295,311 | ||||||
499 | Arrow Electronics, Inc.* | 55,933 | ||||||
800 | Azbil Corp. | 21,043 | ||||||
1,096 | CDW Corp. | 172,686 | ||||||
1,304 | Cognex Corp. | 55,446 | ||||||
6,443 | Corning, Inc. | 203,019 | ||||||
2,865 | Halma plc | 70,615 | ||||||
1,300 | Hamamatsu Photonics KK | 50,553 | ||||||
14,804 | Hexagon AB, Class B | 154,018 | ||||||
205 | Hirose Electric Co., Ltd. | 27,075 | ||||||
600 | Ibiden Co., Ltd. | 16,771 | ||||||
1,500 | Keyence Corp. | 513,420 | ||||||
1,425 | Keysight Technologies, Inc.* | 196,436 | ||||||
2,500 | Kyocera Corp. | 133,836 | ||||||
4,600 | Murata Manufacturing Co., Ltd. | 249,175 | ||||||
1,700 | Omron Corp. | 86,463 | ||||||
2,200 | Shimadzu Corp. | 69,642 | ||||||
2,900 | TDK Corp. | 89,700 | ||||||
2,543 | TE Connectivity, Ltd. | 287,740 | ||||||
370 | Teledyne Technologies, Inc.* | 138,791 | ||||||
2,027 | Trimble, Inc.* | 118,032 | ||||||
1,300 | Venture Corp., Ltd. | 15,588 | ||||||
1,000 | Yokogawa Electric Corp. | 16,409 | ||||||
416 | Zebra Technologies Corp., Class A* | 122,283 | ||||||
|
| |||||||
3,159,985 | ||||||||
|
| |||||||
Energy Equipment & Services (0.2%): | ||||||||
7,460 | Baker Hughes Co. | 215,370 | ||||||
7,216 | Halliburton Co. | 226,294 | ||||||
11,214 | Schlumberger, Ltd. | 401,012 | ||||||
3,045 | Tenaris SA | 39,115 | ||||||
|
| |||||||
881,791 | ||||||||
|
| |||||||
Entertainment (1.2%): | ||||||||
5,986 | Activision Blizzard, Inc. | 466,070 | ||||||
4,441 | AMC Entertainment Holdings, Inc., Class A*^ | 60,176 | ||||||
8,533 | Bollore, Inc. | 39,802 | ||||||
1,200 | Capcom Co., Ltd. | 29,166 | ||||||
2,124 | Electronic Arts, Inc. | 258,385 | ||||||
2,754 | Embracer Group AB* | 21,033 | ||||||
390 | Koei Tecmo Holdings Co., Ltd. | 12,601 | ||||||
900 | Konami Holdings Corp. | 49,853 | ||||||
1,414 | Liberty Media Corp-Liberty Formula One, Class C* | 89,747 | ||||||
1,290 | Live Nation Entertainment, Inc.* | 106,528 | ||||||
3,403 | Netflix, Inc.* | 595,083 |
See accompanying notes to the financial statements.
6
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Entertainment, continued | ||||||||
3,600 | Nexon Co., Ltd. | $ | 73,771 | |||||
800 | Nintendo Co., Ltd. | 345,805 | ||||||
2,750 | ROBLOX Corp., Class A*^ | 90,365 | ||||||
924 | Roku, Inc.* | 75,897 | ||||||
2,586 | Sea, Ltd., ADR* | 172,900 | ||||||
400 | Square Enix Holdings Co., Ltd. | 17,732 | ||||||
1,335 | Take-Two Interactive Software, Inc.* | 163,578 | ||||||
600 | Toho Co., Ltd. | 21,708 | ||||||
856 | UbiSoft Entertainment SA* | 37,805 | ||||||
5,833 | Universal Music Group NV | 117,834 | ||||||
5,833 | Vivendi Universal SA | 59,521 | ||||||
14,048 | Walt Disney Co. (The)* | 1,326,131 | ||||||
17,412 | Warner Bros Discovery, Inc.* | 233,669 | ||||||
|
| |||||||
4,465,160 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (2.4%): | ||||||||
1,112 | Alexandria Real Estate Equities, Inc. | 161,273 | ||||||
2,448 | American Homes 4 Rent, Class A | 86,757 | ||||||
3,584 | American Tower Corp. | 916,035 | ||||||
29,744 | Ascendas Real Estate Investment Trust | 61,062 | ||||||
1,081 | AvalonBay Communities, Inc. | 209,984 | ||||||
1,147 | Boston Properties, Inc. | 102,060 | ||||||
8,137 | British Land Co. plc | 44,319 | ||||||
739 | Camden Property Trust | 99,381 | ||||||
815 | Canadian Apartment Properties REIT | 28,383 | ||||||
31,506 | CapitaLand Mall Trust | 49,260 | ||||||
316 | Covivio | 17,699 | ||||||
3,316 | Crown Castle International Corp. | 558,348 | ||||||
18 | Daiwahouse Residential Investment Corp. | 40,809 | ||||||
10,038 | Dexus | 61,448 | ||||||
2,280 | Digital Realty Trust, Inc. | 296,012 | ||||||
2,988 | Duke Realty Corp. | 164,191 | ||||||
708 | Equinix, Inc. | 465,170 | ||||||
1,394 | Equity Lifestyle Properties, Inc. | 98,235 | ||||||
2,712 | Equity Residential | 195,861 | ||||||
522 | Essex Property Trust, Inc. | 136,508 | ||||||
1,083 | Extra Space Storage, Inc. | 184,240 | ||||||
424 | Gecina SA | 39,881 | ||||||
28 | GLP J-REIT | 34,227 | ||||||
13,861 | Goodman Group | 170,475 | ||||||
11,976 | GPT Group | 34,837 | ||||||
4,227 | Healthpeak Properties, Inc. | 109,522 | ||||||
5,303 | Host Hotels & Resorts, Inc. | 83,151 | ||||||
4,453 | Invitation Homes, Inc. | 158,438 | ||||||
2,113 | Iron Mountain, Inc. | 102,882 | ||||||
68 | Japan Metropolitan Fund Invest | 53,006 | ||||||
12 | Japan Real Estate Investment Corp. | 55,202 | ||||||
4,981 | Kimco Realty Corp. | 98,474 | ||||||
1,908 | Klepierre | 36,741 | ||||||
4,161 | Land Securities Group plc | 33,652 | ||||||
14,300 | Link REIT (The) | 116,792 | ||||||
15,100 | Mapletree Commercial Trust | 19,912 | ||||||
21,123 | Mapletree Logistics Trust | 25,575 | ||||||
4,192 | Medical Properties Trust, Inc. | 64,012 | ||||||
919 | Mid-America Apartment Communities, Inc. | 160,522 | ||||||
36,393 | Mirvac Group | 49,555 | ||||||
10 | Nippon Building Fund, Inc. | 49,764 | ||||||
20 | Nippon Prologis REIT, Inc. | 49,197 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
39 | Nomura Real Estate Master Fund, Inc. | $ | 48,706 | |||||
5,670 | Prologis, Inc. | 667,075 | ||||||
1,229 | Public Storage | 384,271 | ||||||
4,569 | Realty Income Corp. | 311,880 | ||||||
1,170 | Regency Centers Corp. | 69,393 | ||||||
480 | RioCan REIT | 7,467 | ||||||
819 | SBA Communications Corp. | 262,121 | ||||||
36,788 | Scentre Group | 65,679 | ||||||
9,532 | Segro plc | 113,330 | ||||||
2,589 | Simon Property Group, Inc. | 245,748 | ||||||
22,062 | Stockland | 54,978 | ||||||
871 | Sun Communities, Inc. | 138,803 | ||||||
2,260 | UDR, Inc. | 104,050 | ||||||
812 | Unibail-Rodamco-Westfield* | 41,434 | ||||||
3,011 | Ventas, Inc. | 154,856 | ||||||
7,605 | VICI Properties, Inc. | 226,553 | ||||||
24,703 | Vicinity Centres | 31,304 | ||||||
1,503 | Vornado Realty Trust | 42,971 | ||||||
1,164 | Warehouses De Pauw CVA | 36,619 | ||||||
3,318 | Welltower, Inc. | 273,237 | ||||||
5,617 | Weyerhaeuser Co. | 186,035 | ||||||
1,287 | WP Carey, Inc. | 106,641 | ||||||
|
| |||||||
9,096,003 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
4,900 | AEON Co., Ltd. | 85,073 | ||||||
6,504 | Alimentation Couche-Tard, Inc. | 253,742 | ||||||
4,522 | Carrefour SA | 80,223 | ||||||
10,570 | Coles Group, Ltd. | 129,968 | ||||||
3,431 | Costco Wholesale Corp. | 1,644,410 | ||||||
1,563 | Empire Co., Ltd., Class A | 48,153 | ||||||
11,695 | Endeavour Group, Ltd. | 61,117 | ||||||
528 | George Weston, Ltd. | 61,690 | ||||||
1,243 | HelloFresh SE* | 40,216 | ||||||
15,420 | J Sainsbury plc | 38,298 | ||||||
2,416 | Jeronimo Martins SGPS SA | 52,505 | ||||||
2,524 | Kesko Oyj, Class B | 59,576 | ||||||
1,000 | Kobe Bussan Co., Ltd. | 24,483 | ||||||
8,171 | Koninklijke Ahold Delhaize NV | 212,920 | ||||||
5,574 | Kroger Co. (The) | 263,817 | ||||||
1,246 | Loblaw Cos., Ltd. | 112,392 | ||||||
1,796 | Metro, Inc. | 96,415 | ||||||
3,324 | Ocado Group plc* | 31,607 | ||||||
5,900 | Seven & I Holdings Co., Ltd. | 228,744 | ||||||
3,825 | Sysco Corp. | 324,016 | ||||||
57,561 | Tesco plc | 179,004 | ||||||
5,796 | Walgreens Boots Alliance, Inc. | 219,668 | ||||||
11,831 | Walmart, Inc. | 1,438,413 | ||||||
500 | Welcia Holdings Co., Ltd. | 10,020 | ||||||
9,047 | Woolworths Group, Ltd. | 222,194 | ||||||
|
| |||||||
5,918,664 | ||||||||
|
| |||||||
Food Products (1.7%): | ||||||||
3,400 | Ajinomoto Co., Inc. | 82,749 | ||||||
4,394 | Archer-Daniels-Midland Co. | 340,974 | ||||||
3,293 | Associated British Foods plc | 63,648 | ||||||
33 | Barry Callebaut AG, Registered Shares | 73,920 | ||||||
1,032 | Bunge, Ltd. | 93,592 | ||||||
1,351 | Campbell Soup Co. | 64,916 |
See accompanying notes to the financial statements.
7
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
3,715 | Conagra Brands, Inc. | $ | 127,202 | |||||
5,258 | Danone SA | 295,452 | ||||||
4,828 | General Mills, Inc. | 364,273 | ||||||
1,108 | Hershey Co. (The) | 238,397 | ||||||
2,218 | Hormel Foods Corp. | 105,044 | ||||||
476 | JDE Peet’s NV | 13,587 | ||||||
815 | JM Smucker Co. (The) | 104,328 | ||||||
1,968 | Kellogg Co. | 140,397 | ||||||
1,279 | Kerry Group plc, Class A | 122,504 | ||||||
1,300 | Kikkoman Corp. | 69,056 | ||||||
5,513 | Kraft Heinz Co. (The) | 210,266 | ||||||
7 | Lindt & Spruengli AG | 71,209 | ||||||
1,974 | McCormick & Co. | 164,336 | ||||||
800 | Meiji Holdings Co., Ltd. | 39,282 | ||||||
10,693 | Mondelez International, Inc., Class A | 663,928 | ||||||
3,271 | Mowi ASA | 74,660 | ||||||
22,026 | Nestle SA | 2,584,522 | ||||||
700 | Nisshin Seifun Group, Inc. | 8,197 | ||||||
300 | Nissin Foods Holdings Co., Ltd. | 20,714 | ||||||
5,748 | Orkla ASA, Class A | 46,029 | ||||||
461 | Salmar ASA | 32,540 | ||||||
2,279 | Saputo, Inc. | 49,706 | ||||||
2,404 | Tyson Foods, Inc., Class A | 206,888 | ||||||
68,033 | WH Group, Ltd. | 52,638 | ||||||
18,000 | Wilmar International, Ltd. | 52,385 | ||||||
900 | Yakult Honsha Co., Ltd. | 51,965 | ||||||
|
| |||||||
6,629,304 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
1,545 | AltaGas, Ltd. | 32,605 | ||||||
10,905 | APA Group | 84,758 | ||||||
960 | Atmos Energy Corp. | 107,616 | ||||||
595 | Enagas SA | 13,141 | ||||||
83,117 | Hong Kong & China Gas Co., Ltd. | 89,545 | ||||||
1,662 | Naturgy Energy Group SA | 47,866 | ||||||
3,600 | Osaka Gas Co., Ltd. | 69,152 | ||||||
14,344 | Snam SpA | 75,275 | ||||||
3,500 | Tokyo Gas Co., Ltd. | 72,424 | ||||||
1,451 | UGI Corp. | 56,023 | ||||||
|
| |||||||
648,405 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (2.8%): | ||||||||
13,685 | Abbott Laboratories | 1,486,875 | ||||||
342 | ABIOMED, Inc.* | 84,648 | ||||||
3,994 | Alcon, Inc. | 279,042 | ||||||
614 | Align Technology, Inc.* | 145,315 | ||||||
1,400 | Asahi Intecc Co., Ltd. | 21,109 | ||||||
4,010 | Baxter International, Inc. | 257,562 | ||||||
2,197 | Becton Dickinson & Co. | 541,626 | ||||||
245 | BioMerieux | 23,927 | ||||||
11,047 | Boston Scientific Corp.* | 411,722 | ||||||
372 | Carl Zeiss Meditec AG | 44,416 | ||||||
451 | Cochlear, Ltd. | 61,884 | ||||||
934 | Coloplast A/S, Class B | 106,695 | ||||||
393 | Cooper Cos., Inc. (The) | 123,056 | ||||||
5,318 | Danaher Corp. | 1,348,219 | ||||||
1,001 | Demant A/S* | 37,581 | ||||||
1,576 | DENTSPLY Sirona, Inc. | 56,311 | ||||||
2,996 | Dexcom, Inc.* | 223,292 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
233 | DiaSorin SpA | $ | 30,599 | |||||
4,911 | Edwards Lifesciences Corp.* | 466,987 | ||||||
4,138 | Fisher & Paykel Healthcare Corp., Ltd. | 51,531 | ||||||
1,920 | Getinge AB, Class B | 44,430 | ||||||
843 | GN Store Nord A/S | 29,742 | ||||||
2,052 | Hologic, Inc.* | 142,204 | ||||||
2,800 | Hoya Corp. | 239,393 | ||||||
666 | IDEXX Laboratories, Inc.* | 233,586 | ||||||
555 | Insulet Corp.* | 120,957 | ||||||
2,765 | Intuitive Surgical, Inc.* | 554,963 | ||||||
7,129 | Koninklijke Philips NV | 154,659 | ||||||
395 | Masimo Corp.* | 51,615 | ||||||
10,323 | Medtronic plc | 926,489 | ||||||
852 | Novocure, Ltd.* | 59,214 | ||||||
9,700 | Olympus Corp. | 195,103 | ||||||
1,148 | ResMed, Inc. | 240,655 | ||||||
198 | Sartorius AG | 69,153 | ||||||
2,110 | Siemens Healthineers AG | 107,243 | ||||||
6,641 | Smith & Nephew plc | 92,833 | ||||||
440 | Sonova Holding AG | 140,150 | ||||||
806 | STERIS plc | 166,157 | ||||||
860 | Straumann Holding AG | 103,468 | ||||||
2,647 | Stryker Corp. | 526,568 | ||||||
1,500 | Sysmex Corp. | 90,395 | ||||||
354 | Teleflex, Inc. | 87,031 | ||||||
4,800 | Terumo Corp. | 144,766 | ||||||
551 | West Pharmaceutical Services, Inc. | 166,606 | ||||||
1,644 | Zimmer Biomet Holdings, Inc. | 172,719 | ||||||
|
| |||||||
10,662,496 | ||||||||
|
| |||||||
Health Care Providers & Services (2.3%): | ||||||||
1,218 | AmerisourceBergen Corp. | 172,323 | ||||||
845 | Amplifon SpA | 26,011 | ||||||
2,209 | Cardinal Health, Inc. | 115,464 | ||||||
4,632 | Centene Corp.* | 391,914 | ||||||
2,508 | Cigna Corp. | 660,908 | ||||||
10,250 | CVS Health Corp. | 949,765 | ||||||
457 | DaVita, Inc.* | 36,542 | ||||||
1,881 | Elevance Health, Inc. | 907,733 | ||||||
1,484 | Fresenius Medical Care AG & Co., KGaA | 74,106 | ||||||
3,378 | Fresenius SE & Co. KGaA | 102,340 | ||||||
1,856 | HCA Healthcare, Inc. | 311,919 | ||||||
997 | Henry Schein, Inc.* | 76,510 | ||||||
980 | Humana, Inc. | 458,709 | ||||||
729 | Laboratory Corp. of America Holdings | 170,848 | ||||||
1,171 | McKesson Corp. | 381,992 | ||||||
453 | Molina Healthcare, Inc.* | 126,663 | ||||||
904 | Quest Diagnostics, Inc. | 120,214 | ||||||
1,328 | Ramsay Health Care, Ltd. | 67,146 | ||||||
3,322 | Sonic Healthcare, Ltd. | 75,716 | ||||||
7,302 | UnitedHealth Group, Inc. | 3,750,526 | ||||||
521 | Universal Health Services, Inc., Class B | 52,470 | ||||||
|
| |||||||
9,029,819 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
3,600 | M3, Inc. | 103,591 | ||||||
1,250 | Teladoc Health, Inc.* | 41,512 | ||||||
1,069 | Veeva Systems, Inc., Class A* | 211,705 | ||||||
|
| |||||||
356,808 | ||||||||
|
|
See accompanying notes to the financial statements.
8
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure (1.7%): | ||||||||
1,592 | Accor SA* | $ | 43,716 | |||||
2,614 | Airbnb, Inc., Class A* | 232,855 | ||||||
1,529 | Aramark | 46,833 | ||||||
4,751 | Aristocrat Leisure, Ltd. | 112,809 | ||||||
321 | Booking Holdings, Inc.* | 561,426 | ||||||
1,690 | Caesars Entertainment, Inc.* | 64,727 | ||||||
6,658 | Carnival Corp., Class A*^ | 57,592 | ||||||
213 | Chipotle Mexican Grill, Inc.* | 278,446 | ||||||
14,087 | Compass Group plc | 288,352 | ||||||
1,030 | Darden Restaurants, Inc. | 116,514 | ||||||
580 | Domino’s Pizza Enterprises, Ltd. | 27,195 | ||||||
308 | Domino’s Pizza, Inc. | 120,031 | ||||||
4,276 | Entain PLC* | 64,874 | ||||||
1,406 | Evolution AB | 128,085 | ||||||
1,136 | Expedia Group, Inc.* | 107,727 | ||||||
1,257 | Flutter Entertainment plc* | 127,237 | ||||||
16,000 | Galaxy Entertainment Group, Ltd. | 95,747 | ||||||
25,500 | Genting Singapore, Ltd. | 13,239 | ||||||
2,143 | Hilton Worldwide Holdings, Inc. | 238,816 | ||||||
1,297 | InterContinental Hotels Group plc | 68,751 | ||||||
883 | La Francaise des Jeux SAEM | 30,757 | ||||||
2,602 | Las Vegas Sands Corp.* | 87,401 | ||||||
20,492 | Lottery Corp., Ltd. The* | 63,919 | ||||||
2,158 | Marriott International, Inc., Class A | 293,510 | ||||||
5,808 | McDonald’s Corp. | 1,433,879 | ||||||
300 | McDonald’s Holdings Co., Ltd. | 10,923 | ||||||
2,452 | MGM Resorts International | 70,985 | ||||||
1,600 | Oriental Land Co., Ltd. | 222,861 | ||||||
2,135 | Restaurant Brands International, Inc. | 107,070 | ||||||
1,827 | Royal Caribbean Cruises, Ltd.* | 63,781 | ||||||
22,400 | Sands China, Ltd.* | 54,699 | ||||||
818 | Sodexo SA | 58,036 | ||||||
8,923 | Starbucks Corp. | 681,628 | ||||||
297 | Vail Resorts, Inc. | 64,761 | ||||||
1,865 | Whitbread plc | 56,334 | ||||||
962 | Wynn Resorts, Ltd.* | 54,815 | ||||||
2,205 | Yum! Brands, Inc. | 250,290 | ||||||
|
| |||||||
6,400,621 | ||||||||
|
| |||||||
Household Durables (0.6%): | ||||||||
6,179 | Barratt Developments plc | 34,437 | ||||||
1,048 | Berkeley Group Holdings plc* | 47,543 | ||||||
2,557 | DR Horton, Inc. | 169,248 | ||||||
2,085 | Electrolux AB, Class B | 28,099 | ||||||
1,260 | Garmin, Ltd. | 123,795 | ||||||
600 | Iida Group Holdings Co., Ltd. | 9,243 | ||||||
1,999 | Lennar Corp., Class A | 141,069 | ||||||
380 | Mohawk Industries, Inc.* | 47,154 | ||||||
2,638 | Newell Brands, Inc. | 50,227 | ||||||
27 | NVR, Inc.* | 108,112 | ||||||
700 | Open House Co., Ltd. | 27,885 | ||||||
18,100 | Panasonic Holdings Corp. | 146,443 | ||||||
2,260 | Persimmon plc | 51,293 | ||||||
2,163 | PulteGroup, Inc. | 85,720 | ||||||
256 | SEB SA | 24,695 | ||||||
3,500 | Sekisui Chemical Co., Ltd. | 47,952 | ||||||
4,500 | Sekisui House, Ltd. | 78,769 | ||||||
1,000 | Sharp Corp. | 7,741 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Durables, continued | ||||||||
9,700 | Sony Group Corp. | $ | 792,838 | |||||
33,694 | Taylor Wimpey plc | 47,888 | ||||||
460 | Whirlpool Corp. | 71,240 | ||||||
|
| |||||||
2,141,391 | ||||||||
|
| |||||||
Household Products (1.2%): | ||||||||
1,959 | Church & Dwight Co., Inc. | 181,521 | ||||||
1,001 | Clorox Co. (The) | 141,121 | ||||||
6,271 | Colgate-Palmolive Co. | 502,558 | ||||||
4,830 | Essity AB, Class B | 126,174 | ||||||
960 | Henkel AG & Co. KGaA | 58,742 | ||||||
2,592 | Kimberly-Clark Corp. | 350,309 | ||||||
18,602 | Procter & Gamble Co. (The) | 2,674,781 | ||||||
5,616 | Reckitt Benckiser Group plc | 421,752 | ||||||
3,000 | Unicharm Corp. | 100,456 | ||||||
|
| |||||||
4,557,414 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
5,538 | AES Corp. (The) | 116,353 | ||||||
787 | Brookfield Renewable Corp., Class A | 28,037 | ||||||
2,812 | EDP Renovaveis SA | 66,435 | ||||||
6,904 | Meridian Energy, Ltd. | 20,142 | ||||||
2,059 | Northland Power, Inc. | 61,306 | ||||||
254 | Uniper SE | 3,769 | ||||||
3,098 | Vistra Corp. | 70,789 | ||||||
|
| |||||||
366,831 | ||||||||
|
| |||||||
Industrial Conglomerates (1.0%): | ||||||||
4,407 | 3M Co. | 570,310 | ||||||
21,000 | CK Hutchison Holdings, Ltd. | 142,820 | ||||||
654 | DCC plc | 40,858 | ||||||
8,694 | General Electric Co. | 553,547 | ||||||
7,400 | Hitachi, Ltd. | 350,673 | ||||||
5,299 | Honeywell International, Inc. | 921,019 | ||||||
1,007 | Investment AB Latour, Class B | 19,948 | ||||||
1,500 | Jardine Matheson Holdings, Ltd. | 78,948 | ||||||
7,500 | Keppel Corp., Ltd. | 35,073 | ||||||
1,957 | Lifco AB, Class B | 31,484 | ||||||
29,985 | Melrose Industries plc | 54,742 | ||||||
340 | Rheinmetall AG | 78,500 | ||||||
812 | Roper Technologies, Inc. | 320,456 | ||||||
5,956 | Siemens AG | 606,101 | ||||||
3,663 | Smiths Group plc | 62,455 | ||||||
3,100 | Toshiba Corp.^ | 126,101 | ||||||
|
| |||||||
3,993,035 | ||||||||
|
| |||||||
Insurance (3.3%): | ||||||||
1,782 | Admiral Group plc | 48,697 | ||||||
12,269 | Aegon NV | 53,468 | ||||||
4,770 | Aflac, Inc. | 263,924 | ||||||
1,180 | Ageas NV | 51,944 | ||||||
93,800 | AIA Group, Ltd. | 1,030,340 | ||||||
101 | Alleghany Corp.* | 84,143 | ||||||
3,173 | Allianz SE+ | 605,621 | ||||||
2,215 | Allstate Corp. (The) | 280,707 | ||||||
506 | American Financial Group, Inc. | 70,238 | ||||||
6,311 | American International Group, Inc. | 322,681 | ||||||
1,668 | Aon plc, Class A | 449,826 | ||||||
3,125 | Arch Capital Group, Ltd.* | 142,156 |
See accompanying notes to the financial statements.
9
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
1,638 | Arthur J. Gallagher & Co. | $ | 267,060 | |||||
8,867 | Assicurazioni Generali SpA | 141,999 | ||||||
407 | Assurant, Inc. | 70,350 | ||||||
24,057 | Aviva PLC | 117,510 | ||||||
15,272 | AXA SA | 347,004 | ||||||
296 | Baloise Holding AG | 48,595 | ||||||
1,810 | Brown & Brown, Inc. | 105,595 | ||||||
3,269 | Chubb, Ltd. | 642,620 | ||||||
1,198 | Cincinnati Financial Corp. | 142,538 | ||||||
8,200 | Dai-ichi Life Holdings, Inc. | 151,401 | ||||||
116 | Erie Indemnity Co., Class A | 22,294 | ||||||
281 | Everest Re Group, Ltd. | 78,759 | ||||||
188 | Fairfax Financial Holdings, Ltd. | 99,639 | ||||||
1,917 | Fidelity National Financial, Inc. | 70,852 | ||||||
1,848 | Gjensidige Forsikring ASA | 37,548 | ||||||
676 | Globe Life, Inc. | 65,890 | ||||||
1,806 | Great-West Lifeco, Inc. | 44,105 | ||||||
557 | Hannover Rueck SE | 80,794 | ||||||
2,596 | Hartford Financial Services Group, Inc. (The) | 169,856 | ||||||
1,012 | IA Financial Corp., Inc. | 50,341 | ||||||
22,784 | Insurance Australia Group, Ltd. | 68,585 | ||||||
1,399 | Intact Financial Corp. | 197,360 | ||||||
18,100 | Japan Post Holdings Co., Ltd. | 129,341 | ||||||
1,700 | Japan Post Insurance Co., Ltd. | 27,211 | ||||||
47,860 | Legal & General Group plc | 139,683 | ||||||
1,326 | Lincoln National Corp. | 62,017 | ||||||
1,606 | Loews Corp. | 95,172 | ||||||
15,239 | Manulife Financial Corp. | 264,285 | ||||||
106 | Markel Corp.* | 137,085 | ||||||
3,906 | Marsh & McLennan Cos., Inc. | 606,407 | ||||||
25,594 | Medibank Private, Ltd. | 57,430 | ||||||
5,493 | MetLife, Inc. | 344,905 | ||||||
3,200 | MS&AD Insurance Group Holdings, Inc. | 98,122 | ||||||
1,058 | Muenchener Rueckversicherungs-Gesellschaft AG | 248,593 | ||||||
2,086 | NN Group NV | 95,393 | ||||||
6,201 | Phoenix Group Holdings plc | 44,598 | ||||||
4,829 | Poste Italiane SpA | 45,359 | ||||||
4,218 | Power Corp. of Canada | 108,547 | ||||||
2,145 | Principal Financial Group, Inc. | 143,265 | ||||||
4,633 | Progressive Corp. (The) | 538,679 | ||||||
2,979 | Prudential Financial, Inc. | 285,031 | ||||||
21,399 | Prudential plc | 266,136 | ||||||
10,467 | QBE Insurance Group, Ltd. | 87,812 | ||||||
3,651 | Sampo Oyj, Class A | 158,969 | ||||||
2,300 | Sompo Holdings, Inc. | 101,485 | ||||||
4,504 | Sun Life Financial, Inc. | 206,407 | ||||||
9,098 | Suncorp Group, Ltd. | 68,972 | ||||||
244 | Swiss Life Holding AG | 118,978 | ||||||
2,253 | Swiss Re AG | 174,747 | ||||||
5,000 | T&D Holdings, Inc. | 59,768 | ||||||
4,900 | Tokio Marine Holdings, Inc. | 285,587 | ||||||
1,885 | Travelers Cos., Inc. (The) | 318,810 | ||||||
3,328 | Tryg A/S | 74,788 | ||||||
879 | Willis Towers Watson plc | 173,506 | ||||||
1,540 | WR Berkley Corp. | 105,120 | ||||||
1,161 | Zurich Insurance Group AG | 505,409 | ||||||
|
| |||||||
12,602,057 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services (3.6%): | ||||||||
1,569 | Adevinta ASA* | $ | 11,426 | |||||
2,334 | Alphabet, Inc., Class A* | 5,086,393 | ||||||
2,204 | Alphabet, Inc., Class C* | 4,821,140 | ||||||
6,294 | Auto Trader Group plc | 42,554 | ||||||
729 | IAC/InterActiveCorp.* | 55,382 | ||||||
500 | Kakaku.com, Inc. | 8,258 | ||||||
2,194 | Match Group, Inc.* | 152,900 | ||||||
17,919 | Meta Platforms, Inc., Class A* | 2,889,439 | ||||||
4,921 | Pinterest, Inc., Class A* | 89,365 | ||||||
488 | REA Group, Ltd. | 37,612 | ||||||
483 | Scout24 AG | 24,812 | ||||||
3,100 | Seek, Ltd. | 44,975 | ||||||
8,297 | Snap, Inc., Class A* | 108,939 | ||||||
6,490 | Twitter, Inc.* | 242,661 | ||||||
19,800 | Z Holdings Corp. | 57,935 | ||||||
1,887 | ZoomInfo Technologies, Inc.* | 62,724 | ||||||
|
| |||||||
13,736,515 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (2.3%): | ||||||||
71,077 | Amazon.com, Inc.* | 7,549,088 | ||||||
819 | Chewy, Inc., Class A*^ | 28,436 | ||||||
1,451 | Delivery Hero SE* | 54,383 | ||||||
1,488 | DoorDash, Inc., Class A* | 95,485 | ||||||
4,747 | eBay, Inc. | 197,807 | ||||||
1,029 | Etsy, Inc.* | 75,333 | ||||||
1,296 | Just Eat Takeaway* | 20,720 | ||||||
361 | MercadoLibre, Inc.* | 229,910 | ||||||
6,490 | Prosus NV | 428,852 | ||||||
8,000 | Rakuten, Inc. | 36,128 | ||||||
553 | Wayfair, Inc., Class A* | 24,089 | ||||||
1,812 | Zalando SE* | 47,386 | ||||||
1,200 | ZOZO, Inc. | 21,651 | ||||||
|
| |||||||
8,809,268 | ||||||||
|
| |||||||
IT Services (3.6%): | ||||||||
4,904 | Accenture plc, Class A | 1,361,596 | ||||||
160 | Adyen NV* | 235,169 | ||||||
733 | Affirm Holdings, Inc.*^ | 13,238 | ||||||
1,286 | Akamai Technologies, Inc.* | 117,450 | ||||||
3,441 | Amadeus IT Group SA* | 193,303 | ||||||
3,263 | Automatic Data Processing, Inc. | 685,361 | ||||||
589 | Bechtle AG | 24,080 | ||||||
1,147 | Black Knight, Inc.* | 75,002 | ||||||
3,333 | Block, Inc.* | 204,846 | ||||||
610 | Block, Inc.* | 37,581 | ||||||
921 | Broadridge Financial Solutions, Inc. | 131,289 | ||||||
1,256 | Capgemini SA | 217,168 | ||||||
1,784 | CGI, Inc.* | 142,138 | ||||||
3,973 | Cognizant Technology Solutions Corp., Class A | 268,138 | ||||||
5,010 | Computershare, Ltd. | 85,254 | ||||||
1,792 | Edenred | 84,903 | ||||||
412 | EPAM Systems, Inc.* | 121,449 | ||||||
4,676 | Fidelity National Information Services, Inc. | 428,649 | ||||||
4,848 | Fiserv, Inc.* | 431,327 | ||||||
639 | FleetCor Technologies, Inc.* | 134,260 | ||||||
1,500 | Fujitsu, Ltd. | 187,786 | ||||||
648 | Gartner, Inc.* | 156,706 | ||||||
2,179 | Global Payments, Inc. | 241,085 | ||||||
200 | GMO Payment Gateway, Inc. | 14,101 |
See accompanying notes to the financial statements.
10
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
IT Services, continued | ||||||||
1,211 | GoDaddy, Inc., Class A* | $ | 84,237 | |||||
6,948 | International Business Machines Corp. | 980,988 | ||||||
800 | Itochu Techno-Solutions Corp. | 19,509 | ||||||
546 | Jack Henry & Associates, Inc. | 98,291 | ||||||
6,773 | Mastercard, Inc., Class A | 2,136,746 | ||||||
455 | MongoDB, Inc.* | 118,072 | ||||||
4,062 | Nexi SpA* | 33,820 | ||||||
2,520 | Nomura Research Institute, Ltd. | 67,121 | ||||||
4,600 | NTT Data Corp. | 63,173 | ||||||
340 | Nuvei Corp.* | 12,290 | ||||||
600 | OBIC Co., Ltd. | 84,951 | ||||||
1,193 | Okta, Inc.* | 107,847 | ||||||
1,100 | Otsuka Corp. | 32,499 | ||||||
2,570 | Paychex, Inc. | 292,646 | ||||||
8,670 | PayPal Holdings, Inc.* | 605,513 | ||||||
900 | SCSK Corp. | 15,157 | ||||||
8,990 | Shopify, Inc., Class A* | 280,946 | ||||||
1,688 | Snowflake, Inc., Class A* | 234,733 | ||||||
1,600 | TIS, Inc. | 41,960 | ||||||
1,365 | Twilio, Inc., Class A* | 114,401 | ||||||
817 | VeriSign, Inc.* | 136,709 | ||||||
12,870 | Visa, Inc., Class A | 2,533,974 | ||||||
2,632 | Western Union Co. (The.) | 43,349 | ||||||
514 | Wix.com, Ltd.* | 33,693 | ||||||
2,032 | Worldline SA* | 75,159 | ||||||
|
| |||||||
13,839,663 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
1,400 | Bandai Namco Holdings, Inc. | 98,928 | ||||||
298 | BRP, Inc. | 18,343 | ||||||
961 | Hasbro, Inc. | 78,687 | ||||||
2,184 | Peloton Interactive, Inc., Class A* | 20,049 | ||||||
600 | Shimano, Inc. | 101,510 | ||||||
1,200 | Yamaha Corp. | 49,401 | ||||||
|
| |||||||
366,918 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.0%): | ||||||||
2,371 | Agilent Technologies, Inc. | 281,603 | ||||||
4,207 | Avantor, Inc.* | 130,838 | ||||||
260 | Bachem Holding AG | 18,075 | ||||||
171 | Bio-Rad Laboratories, Inc., Class A* | 84,645 | ||||||
305 | Bio-Techne Corp. | 105,725 | ||||||
403 | Charles River Laboratories International, Inc.* | 86,230 | ||||||
1,012 | Eurofins Scientific SE | 79,993 | ||||||
1,164 | Illumina, Inc.* | 214,595 | ||||||
1,477 | IQVIA Holdings, Inc.* | 320,494 | ||||||
601 | Lonza Group AG | 320,518 | ||||||
170 | Mettler-Toledo International, Inc.* | 195,291 | ||||||
894 | PerkinElmer, Inc. | 127,145 | ||||||
1,659 | Qiagen NV* | 77,900 | ||||||
206 | Sartorius Stedim Biotech | 65,210 | ||||||
3,031 | Thermo Fisher Scientific, Inc. | 1,646,682 | ||||||
450 | Waters Corp.* | 148,941 | ||||||
|
| |||||||
3,903,885 | ||||||||
|
| |||||||
Machinery (1.8%): | ||||||||
2,154 | Alfa Laval AB | 52,009 | ||||||
2,573 | Alstom SA^ | 58,889 | ||||||
21,816 | Atlas Copco AB* | 204,254 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
11,256 | Atlas Copco AB* | $ | 94,326 | |||||
4,137 | Caterpillar, Inc. | 739,530 | ||||||
7,981 | CNH Industrial NV | 92,617 | ||||||
1,139 | Cummins, Inc. | 220,431 | ||||||
700 | Daifuku Co., Ltd. | 40,097 | ||||||
3,580 | Daimler Truck Holding AG* | 93,421 | ||||||
2,244 | Deere & Co. | 672,011 | ||||||
1,174 | Dover Corp. | 142,430 | ||||||
5,056 | Epiroc AB, Class A | 78,195 | ||||||
3,604 | Epiroc AB, Class B | 48,770 | ||||||
1,400 | FANUC Corp. | 219,472 | ||||||
2,617 | Fortive Corp. | 142,312 | ||||||
1,430 | GEA Group AG | 49,272 | ||||||
800 | Hitachi Construction Machinery Co., Ltd. | 17,739 | ||||||
600 | Hoshizaki Corp. | 17,902 | ||||||
2,525 | Husqvarna AB, Class B | 18,592 | ||||||
593 | IDEX Corp. | 107,707 | ||||||
2,473 | Illinois Tool Works, Inc. | 450,704 | ||||||
3,004 | Ingersoll-Rand, Inc. | 126,408 | ||||||
667 | Kion Group AG | 27,659 | ||||||
670 | Knorr-Bremse AG | 38,220 | ||||||
7,100 | Komatsu, Ltd. | 158,076 | ||||||
2,390 | Kone Oyj, Class B | 114,266 | ||||||
389 | Kornit Digital, Ltd.* | 12,331 | ||||||
8,300 | Kubota Corp. | 124,156 | ||||||
1,000 | Kurita Water Industries, Ltd. | 36,379 | ||||||
1,500 | Makita Corp. | 37,436 | ||||||
3,400 | MINEBEA MITSUMI, Inc. | 57,979 | ||||||
2,600 | Misumi Group, Inc. | 54,881 | ||||||
2,300 | Mitsubishi Heavy Industries, Ltd. | 80,516 | ||||||
2,700 | NGK Insulators, Ltd. | 36,415 | ||||||
411 | Nordson Corp. | 83,203 | ||||||
3,212 | Otis Worldwide Corp. | 226,992 | ||||||
2,625 | PACCAR, Inc. | 216,142 | ||||||
982 | Parker-Hannifin Corp. | 241,621 | ||||||
1,194 | Pentair plc | 54,649 | ||||||
32 | Rational AG | 18,604 | ||||||
8,277 | Sandvik AB | 134,443 | ||||||
275 | Schindler Holding AG | 50,209 | ||||||
187 | Schindler Holding AG, Registered Shares | 33,657 | ||||||
3,527 | SKF AB, Class B | 51,992 | ||||||
400 | SMC Corp. | 178,521 | ||||||
388 | Snap-On, Inc. | 76,448 | ||||||
556 | Spirax-Sarco Engineering plc | 66,907 | ||||||
1,345 | Stanley Black & Decker, Inc. | 141,037 | ||||||
10,500 | Techtronic Industries Co., Ltd. | 109,775 | ||||||
227 | VAT Group AG | 54,216 | ||||||
1,851 | Volvo AB, Class A | 29,832 | ||||||
11,010 | Volvo AB, Class B | 170,755 | ||||||
4,375 | Wartsila Oyj Abp, Class B | 34,101 | ||||||
1,375 | Westinghouse Air Brake Technologies Corp. | 112,860 | ||||||
1,469 | Xylem, Inc. | 114,846 | ||||||
2,200 | Yaskawa Electric Corp. | 70,965 | ||||||
|
| |||||||
6,737,177 | ||||||||
|
| |||||||
Marine (0.1%): | ||||||||
20 | A.P. Moeller — Maersk A/S, Class A | 46,381 | ||||||
39 | A.P. Moeller — Maersk A/S, Class B | 91,614 |
See accompanying notes to the financial statements.
11
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Marine, continued | ||||||||
408 | Kuehne & Nagel International AG | $ | 96,611 | |||||
2,700 | Mitsui O.S.K. Lines, Ltd. | 62,020 | ||||||
1,200 | Nippon Yusen KK | 82,333 | ||||||
12,000 | SITC International Holdings Co., Ltd. | 34,002 | ||||||
656 | ZIM Integrated Shipping Services, Ltd.^ | 30,983 | ||||||
|
| |||||||
443,944 | ||||||||
|
| |||||||
Media (0.8%): | ||||||||
50 | Cable One, Inc. | 64,466 | ||||||
946 | Charter Communications, Inc., Class A* | 443,229 | ||||||
35,101 | Comcast Corp., Class A | 1,377,363 | ||||||
3,700 | Cyberagent, Inc. | 36,888 | ||||||
2,000 | Dentsu Group, Inc. | 60,125 | ||||||
2,260 | DISH Network Corp., Class A* | 40,522 | ||||||
2,345 | Fox Corp., Class A | 75,415 | ||||||
968 | Fox Corp., Class B | 28,750 | ||||||
1,700 | Hakuhodo DY Holdings, Inc. | 15,618 | ||||||
10,971 | Informa plc* | 70,691 | ||||||
2,935 | Interpublic Group of Cos., Inc. (The) | 80,801 | ||||||
991 | Liberty Broadband Corp., Class C* | 114,599 | ||||||
914 | Liberty Global plc, Class A* | 19,240 | ||||||
1,594 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 57,464 | ||||||
885 | Liberty Media Corp-Liberty SiriusXM, Class A* | 31,895 | ||||||
3,615 | News Corp., Class A | 56,322 | ||||||
1,573 | Omnicom Group, Inc. | 100,058 | ||||||
4,820 | Pearson plc | 44,018 | ||||||
1,673 | Publicis Groupe SA | 82,582 | ||||||
675 | Quebecor, Inc., Class B | 14,428 | ||||||
3,346 | Shaw Communications, Inc., Class B | 98,612 | ||||||
6,283 | Sirius XM Holdings, Inc.^ | 38,515 | ||||||
4,613 | ViacomCBS, Inc., Class B | 113,849 | ||||||
9,369 | WPP plc | 94,135 | ||||||
|
| |||||||
3,159,585 | ||||||||
|
| |||||||
Metals & Mining (1.5%): | ||||||||
3,422 | Agnico Eagle Mines, Ltd. | 156,662 | ||||||
1,443 | Alcoa Corp. | 65,772 | ||||||
9,765 | Anglo American plc | 348,599 | ||||||
3,645 | Antofagasta plc | 51,246 | ||||||
4,446 | ArcelorMittal SA | 100,939 | ||||||
14,000 | Barrick Gold Corp. | 247,583 | ||||||
16,871 | BHP Group, Ltd. | 471,697 | ||||||
22,752 | BHP Group, Ltd. | 655,173 | ||||||
4,656 | BlueScope Steel, Ltd. | 51,069 | ||||||
2,098 | Boliden AB | 66,769 | ||||||
4,103 | Cleveland-Cliffs, Inc.* | 63,063 | ||||||
15,792 | Evolution Mining, Ltd. | 25,394 | ||||||
4,279 | First Quantum Minerals, Ltd. | 81,191 | ||||||
13,866 | Fortescue Metals Group, Ltd. | 170,521 | ||||||
1,429 | Franco-Nevada Corp. | 188,002 | ||||||
11,134 | Freeport-McMoRan, Inc. | 325,781 | ||||||
78,047 | Glencore plc | 422,854 | ||||||
1,100 | Hitachi Metals, Ltd.* | 16,635 | ||||||
4,254 | Ivanhoe Mines, Ltd., Class A* | 24,493 | ||||||
4,800 | JFE Holdings, Inc. | 50,497 | ||||||
11,630 | Kinross Gold Corp. | 41,387 | ||||||
4,089 | Lundin Mining Corp. | 25,926 | ||||||
1,374 | Mineral Resources, Ltd. | 46,479 | ||||||
6,151 | Newcrest Mining, Ltd. | 87,448 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining, continued | ||||||||
6,231 | Newmont Corp. | $ | 371,804 | |||||
6,300 | Nippon Steel Corp. | 87,945 | ||||||
10,117 | Norsk Hydro ASA | 57,058 | ||||||
10,215 | Northern Star Resources, Ltd. | 47,097 | ||||||
2,151 | Nucor Corp. | 224,586 | ||||||
1,988 | Pan American Silver Corp. | 39,065 | ||||||
8,628 | Rio Tinto plc | 515,824 | ||||||
2,928 | Rio Tinto, Ltd. | 209,707 | ||||||
33,569 | South32, Ltd. | 92,647 | ||||||
1,560 | Steel Dynamics, Inc. | 103,194 | ||||||
1,800 | Sumitomo Metal & Mining Co., Ltd. | 56,417 | ||||||
3,432 | Teck Cominco, Ltd., Class B | 104,960 | ||||||
522 | Voestalpine AG | 11,107 | ||||||
3,566 | Wheaton Precious Metals Corp. | 128,509 | ||||||
|
| |||||||
5,835,100 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.0%†): | ||||||||
12,926 | Annaly Capital Management, Inc. | 76,393 | ||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
380 | Canadian Tire Corp., Class A | 47,950 | ||||||
1,815 | Dollar General Corp. | 445,474 | ||||||
1,738 | Dollar Tree, Inc.* | 270,867 | ||||||
2,154 | Dollarama, Inc. | 124,052 | ||||||
1,084 | Next plc | 77,383 | ||||||
3,900 | Pan Pacific International Holdings Corp. | 62,279 | ||||||
3,731 | Target Corp. | 526,929 | ||||||
8,710 | Wesfarmers, Ltd. | 252,049 | ||||||
|
| |||||||
1,806,983 | ||||||||
|
| |||||||
Multi-Utilities (0.9%): | ||||||||
5,519 | Algonquin Power & Utilities Corp. | 74,187 | ||||||
2,032 | Ameren Corp. | 183,612 | ||||||
993 | Canadian Utilities, Ltd., Class A | 29,620 | ||||||
5,098 | CenterPoint Energy, Inc. | 150,799 | ||||||
2,272 | CMS Energy Corp. | 153,360 | ||||||
2,819 | Consolidated Edison, Inc. | 268,087 | ||||||
6,243 | Dominion Energy, Inc. | 498,254 | ||||||
1,570 | DTE Energy Co. | 198,998 | ||||||
16,775 | E.ON SE | 140,722 | ||||||
15,043 | Engie Group | 174,570 | ||||||
27,699 | National Grid plc | 354,910 | ||||||
2,801 | NiSource, Inc. | 82,601 | ||||||
4,019 | Public Service Enterprise Group, Inc. | 254,322 | ||||||
5,263 | RWE AG | 193,946 | ||||||
2,386 | Sempra Energy | 358,544 | ||||||
5,246 | Veolia Environnement SA* | 129,767 | ||||||
2,413 | WEC Energy Group, Inc. | 242,844 | ||||||
|
| |||||||
3,489,143 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.7%): | ||||||||
2,453 | Aker BP ASA^ | 84,803 | ||||||
2,317 | Ampol, Ltd. | 54,439 | ||||||
2,715 | APA Corp. | 94,753 | ||||||
5,374 | ARC Resources, Ltd. | 67,770 | ||||||
150,014 | BP plc | 706,429 | ||||||
2,896 | Cameco Corp. | 60,890 | ||||||
9,196 | Canadian Natural Resources, Ltd. | 494,240 | ||||||
10,929 | Cenovus Energy, Inc. | 207,965 | ||||||
1,826 | Cheniere Energy, Inc. | 242,913 |
See accompanying notes to the financial statements.
12
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
15,113 | Chevron Corp. | $ | 2,188,060 | |||||
10,144 | ConocoPhillips | 911,033 | ||||||
5,813 | Coterra Energy, Inc. | 149,917 | ||||||
4,946 | Devon Energy Corp. | 272,574 | ||||||
1,284 | Diamondback Energy, Inc. | 155,557 | ||||||
15,728 | Enbridge, Inc. | 664,316 | ||||||
22,150 | ENEOS Holdings, Inc. | 83,628 | ||||||
18,950 | ENI SpA | 225,090 | ||||||
4,524 | EOG Resources, Inc. | 499,631 | ||||||
2,651 | EQT Corp. | 91,194 | ||||||
7,550 | Equinor ASA | 262,747 | ||||||
32,853 | Exxon Mobil Corp. | 2,813,531 | ||||||
4,843 | Galp Energia SGPS SA | 56,762 | ||||||
2,111 | Hess Corp. | 223,639 | ||||||
1,482 | Idemitsu Kosan Co., Ltd. | 35,604 | ||||||
1,615 | Imperial Oil, Ltd. | 76,145 | ||||||
7,500 | INPEX Corp. | 80,956 | ||||||
2,058 | Keyera Corp. | 47,013 | ||||||
15,888 | Kinder Morgan, Inc. | 266,283 | ||||||
5,622 | Marathon Oil Corp. | 126,383 | ||||||
4,423 | Marathon Petroleum Corp. | 363,615 | ||||||
3,389 | Neste Oyj | 150,143 | ||||||
7,166 | Occidental Petroleum Corp. | 421,934 | ||||||
1,361 | OMV AG | 63,906 | ||||||
3,601 | ONEOK, Inc. | 199,855 | ||||||
1,471 | Parkland Corp. | 39,958 | ||||||
4,263 | Pembina Pipeline Corp. | 150,712 | ||||||
3,584 | Phillips 66 | 293,852 | ||||||
1,807 | Pioneer Natural Resources Co. | 403,106 | ||||||
11,515 | Repsol SA^ | 169,533 | ||||||
24,668 | Santos, Ltd. | 125,728 | ||||||
58,672 | Shell PLC | 1,530,814 | ||||||
11,195 | Suncor Energy, Inc. | 392,825 | ||||||
1,697 | Targa Resources Corp. | 101,260 | ||||||
7,383 | TC Energy Corp. | 382,516 | ||||||
19,155 | TotalEnergies SE | 1,009,554 | ||||||
2,601 | Tourmaline Oil Corp. | 135,264 | ||||||
3,156 | Valero Energy Corp. | 335,420 | ||||||
1,889 | Washington H. Soul Pattinson & Co., Ltd. | 30,703 | ||||||
9,461 | Williams Cos., Inc. | 295,278 | ||||||
11,391 | Woodside Energy Group, Ltd. | 249,405 | ||||||
3,049 | Woodside Energy Group, Ltd. | 64,562 | ||||||
|
| |||||||
18,154,208 | ||||||||
|
| |||||||
Paper & Forest Products (0.1%): | ||||||||
734 | Holmen AB, Class B | 29,815 | ||||||
3,443 | Mondi plc | 61,066 | ||||||
8,500 | Oji Holdings Corp. | 36,857 | ||||||
4,244 | Stora Enso Oyj, Class R | 66,626 | ||||||
4,358 | Svenska Cellulosa AB SCA, Class B | 65,192 | ||||||
4,277 | UPM-Kymmene Oyj | 130,810 | ||||||
607 | West Fraser Timber Co., Ltd. | 46,584 | ||||||
|
| |||||||
436,950 | ||||||||
|
| |||||||
Personal Products (0.6%): | ||||||||
702 | Beiersdorf AG | 71,699 | ||||||
1,803 | Estee Lauder Cos., Inc. (The), Class A | 459,170 | ||||||
4,000 | Kao Corp. | 161,450 | ||||||
200 | Kobayashi Pharmaceutical Co., Ltd. | 12,333 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Personal Products, continued | ||||||||
300 | Kose Corp. | $ | 27,320 | |||||
1,885 | L’Oreal SA | 651,189 | ||||||
3,200 | Shiseido Co., Ltd. | 128,586 | ||||||
20,032 | Unilever plc | 911,584 | ||||||
|
| |||||||
2,423,331 | ||||||||
|
| |||||||
Pharmaceuticals (5.9%): | ||||||||
14,300 | Astellas Pharma, Inc. | 222,836 | ||||||
12,072 | AstraZeneca plc | 1,582,150 | ||||||
2,794 | Bausch Health Cos., Inc.* | 23,359 | ||||||
7,534 | Bayer AG, Registered Shares | 447,558 | ||||||
17,016 | Bristol-Myers Squibb Co. | 1,310,232 | ||||||
1,386 | Catalent, Inc.* | 148,704 | ||||||
5,400 | Chugai Pharmaceutical Co., Ltd.^ | 138,213 | ||||||
13,600 | Daiichi Sankyo Co., Ltd. | 343,366 | ||||||
1,700 | Eisai Co., Ltd. | 71,790 | ||||||
3,147 | Elanco Animal Health, Inc.* | 61,776 | ||||||
6,249 | Eli Lilly & Co. | 2,026,113 | ||||||
39,256 | GSK plc | 843,955 | ||||||
1,106 | Hikma Pharmaceuticals plc | 21,775 | ||||||
1,722 | Horizon Therapeutics plc* | 137,347 | ||||||
283 | Ipsen SA | 26,713 | ||||||
423 | Jazz Pharmaceuticals plc* | 65,992 | ||||||
20,404 | Johnson & Johnson | 3,621,914 | ||||||
2,500 | Kyowa Kirin Co., Ltd. | 56,244 | ||||||
19,571 | Merck & Co., Inc. | 1,784,288 | ||||||
999 | Merck KGaA | 168,586 | ||||||
200 | Nippon Shinyaku Co., Ltd. | 12,171 | ||||||
17,053 | Novartis AG, Registered Shares | 1,442,772 | ||||||
13,113 | Novo Nordisk A/S, Class B | 1,455,666 | ||||||
2,500 | Ono Pharmaceutical Co., Ltd. | 64,191 | ||||||
1,038 | Orion Oyj, Class B | 46,357 | ||||||
2,900 | Otsuka Holdings Co., Ltd. | 103,049 | ||||||
43,537 | Pfizer, Inc. | 2,282,645 | ||||||
990 | Recordati SpA | 43,252 | ||||||
236 | Roche Holding AG | 91,135 | ||||||
5,437 | Roche Holding AG | 1,815,306 | ||||||
2,868 | Royalty Pharma plc, Class A | 120,571 | ||||||
8,852 | Sanofi | 895,037 | ||||||
2,000 | Shionogi & Co., Ltd. | 101,117 | ||||||
11,750 | Takeda Pharmacuetical Co., Ltd. | 330,254 | ||||||
10,134 | Teva Pharmaceutical Industries, Ltd., ADR* | 76,208 | ||||||
950 | UCB SA | 80,449 | ||||||
9,546 | Viatris, Inc. | 99,947 | ||||||
342 | Vifor Pharma AG | 59,301 | ||||||
3,651 | Zoetis, Inc. | 627,570 | ||||||
|
| |||||||
22,849,909 | ||||||||
|
| |||||||
Professional Services (0.8%): | ||||||||
1,432 | Adecco SA | 48,719 | ||||||
973 | Booz Allen Hamilton Holding Corp. | 87,920 | ||||||
1,956 | Bureau Veritas SA | 50,143 | ||||||
3,091 | Clarivate plc* | 42,841 | ||||||
2,990 | CoStar Group, Inc.* | 180,626 | ||||||
922 | Equifax, Inc. | 168,523 | ||||||
7,309 | Experian plc | 214,227 | ||||||
1,287 | Intertek Group plc | 65,938 | ||||||
1,024 | Jacobs Engineering Group, Inc. | 130,181 | ||||||
995 | Leidos Holdings, Inc. | 100,207 |
See accompanying notes to the financial statements.
13
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
2,800 | Nihon M&A Center, Inc. | $ | 29,830 | |||||
1,300 | Persol Holdings Co., Ltd. | 23,666 | ||||||
1,105 | Randstad NV | 53,880 | ||||||
11,300 | Recruit Holdings Co., Ltd. | 333,279 | ||||||
14,545 | RELX plc | 392,706 | ||||||
825 | Robert Half International, Inc. | 61,784 | ||||||
47 | SGS SA, Registered Shares | 107,679 | ||||||
480 | Teleperformance | 147,642 | ||||||
1,374 | Thomson Reuters Corp. | 143,261 | ||||||
1,541 | TransUnion | 123,265 | ||||||
1,226 | Verisk Analytics, Inc. | 212,208 | ||||||
2,011 | Wolters Kluwer NV | 195,606 | ||||||
|
| |||||||
2,914,131 | ||||||||
|
| |||||||
Real Estate Management & Development (0.5%): | ||||||||
9,234 | Aroundtown SA^ | 29,357 | ||||||
116 | Azrieli Group | 8,171 | ||||||
24,400 | Capitaland Investment, Ltd. | 67,200 | ||||||
2,563 | CBRE Group, Inc., Class A* | 188,662 | ||||||
3,700 | City Developments, Ltd. | 21,729 | ||||||
14,000 | CK Asset Holdings, Ltd. | 99,169 | ||||||
600 | Daito Trust Construction Co., Ltd. | 51,750 | ||||||
4,200 | Daiwa House Industry Co., Ltd. | 97,970 | ||||||
18,800 | ESR Cayman, Ltd.* | 50,881 | ||||||
3,858 | Fastighets AB Balder* | 18,510 | ||||||
257 | FirstService Corp. | 31,179 | ||||||
11,000 | Hang Lung Properties, Ltd. | 20,879 | ||||||
13,324 | Henderson Land Development Co., Ltd. | 50,152 | ||||||
6,600 | Hongkong Land Holdings, Ltd. | 33,188 | ||||||
2,400 | Hulic Co., Ltd. | 18,592 | ||||||
666 | LEG Immobilien SE | 55,205 | ||||||
4,109 | Lend Lease Group | 25,848 | ||||||
9,300 | Mitsubishi Estate Co., Ltd. | 135,070 | ||||||
7,400 | Mitsui Fudosan Co., Ltd. | 159,264 | ||||||
8,827 | New World Development Co., Ltd. | 31,863 | ||||||
1,000 | Nomura Real Estate Holdings, Inc. | 24,527 | ||||||
1,352 | Sagax AB, Class B | 24,982 | ||||||
24,117 | Sino Land Co., Ltd. | 35,617 | ||||||
2,900 | Sumitomo Realty & Development Co., Ltd. | 76,661 | ||||||
10,000 | Sun Hung Kai Properties, Ltd. | 118,329 | ||||||
5,000 | Swire Pacific, Ltd., Class A | 30,045 | ||||||
9,200 | Swire Properties, Ltd. | 22,873 | ||||||
702 | Swiss Prime Site AG | 61,619 | ||||||
1,769 | UOL Group, Ltd. | 9,380 | ||||||
5,641 | Vonovia SE | 173,816 | ||||||
15,000 | Wharf Real Estate Investment Co., Ltd. | 71,513 | ||||||
1,442 | Zillow Group, Inc., Class C*^ | 45,784 | ||||||
|
| |||||||
1,889,785 | ||||||||
|
| |||||||
Road & Rail (1.2%): | ||||||||
68 | AMERCO, Inc. | 32,520 | ||||||
11,052 | Aurizon Holdings, Ltd. | 29,037 | ||||||
4,654 | Canadian National Railway Co. | 523,584 | ||||||
2,261 | Canadian Pacific Railway, Ltd. | 157,908 | ||||||
4,825 | Canadian Pacific Railway, Ltd., Class 1 | 337,075 | ||||||
1,100 | Central Japan Railway Co. | 127,007 | ||||||
17,056 | CSX Corp. | 495,647 | ||||||
1,502 | DSV A/S | 210,342 | ||||||
2,300 | East Japan Railway Co. | 117,698 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
8,772 | Grab Holdings, Ltd.*^ | $ | 22,193 | |||||
2,100 | Hankyu Hanshin Holdings, Inc. | 57,316 | ||||||
653 | J.B. Hunt Transport Services, Inc. | 102,828 | ||||||
1,000 | Keio Corp. | 35,815 | ||||||
1,000 | Keisei Electric Railway Co., Ltd. | 27,591 | ||||||
1,700 | Kintetsu Group Holdings Co., Ltd. | 52,905 | ||||||
1,035 | Knight-Swift Transportation Holdings, Inc. | 47,910 | ||||||
1,897 | Lyft, Inc., Class A* | 25,192 | ||||||
14,500 | MTR Corp., Ltd. | 75,783 | ||||||
700 | Nippon Express Holdings Co., Ltd. | 38,054 | ||||||
1,856 | Norfolk Southern Corp. | 421,850 | ||||||
2,700 | Odakyu Electric Railway Co., Ltd. | 36,352 | ||||||
740 | Old Dominion Freight Line, Inc. | 189,647 | ||||||
703 | TFI International, Inc. | 56,442 | ||||||
900 | Tobu Railway Co., Ltd. | 20,583 | ||||||
4,600 | Tokyu Corp. | 54,220 | ||||||
11,759 | Uber Technologies, Inc.* | 240,589 | ||||||
4,903 | Union Pacific Corp. | 1,045,712 | ||||||
1,500 | West Japan Railway Co. | 55,223 | ||||||
|
| |||||||
4,637,023 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.2%): | ||||||||
12,603 | Advanced Micro Devices, Inc.* | 963,751 | ||||||
1,400 | Advantest Corp. | 74,399 | ||||||
4,095 | Analog Devices, Inc. | �� | 598,239 | |||||
6,869 | Applied Materials, Inc. | 624,942 | ||||||
377 | ASM International NV | 95,193 | ||||||
3,181 | ASML Holding NV | 1,535,021 | ||||||
3,177 | Broadcom, Inc. | 1,543,418 | ||||||
200 | Disco Corp. | 47,120 | ||||||
1,033 | Enphase Energy, Inc.* | 201,683 | ||||||
1,138 | Entegris, Inc. | 104,844 | ||||||
10,514 | Infineon Technologies AG | 254,353 | ||||||
31,326 | Intel Corp. | 1,171,906 | ||||||
1,157 | KLA Corp. | 369,176 | ||||||
1,077 | Lam Research Corp. | 458,964 | ||||||
600 | Lasertec Corp. | 70,854 | ||||||
6,392 | Marvell Technology, Inc. | 278,244 | ||||||
4,299 | Microchip Technology, Inc. | 249,686 | ||||||
8,735 | Micron Technology, Inc. | 482,871 | ||||||
349 | Monolithic Power Systems, Inc. | 134,030 | ||||||
19,400 | NVIDIA Corp. | 2,940,846 | ||||||
1,996 | NXP Semiconductors NV | 295,468 | ||||||
3,414 | ON Semiconductor Corp.* | 171,758 | ||||||
903 | Qorvo, Inc.* | 85,171 | ||||||
8,763 | Qualcomm, Inc. | 1,119,386 | ||||||
8,700 | Renesas Electronics Corp.* | 78,502 | ||||||
800 | ROHM Co., Ltd. | 55,410 | ||||||
1,377 | Skyworks Solutions, Inc. | 127,565 | ||||||
385 | SolarEdge Technologies, Inc.* | 105,367 | ||||||
5,179 | STMicroelectronics NV | 164,632 | ||||||
2,600 | SUMCO Corp. | 33,461 | ||||||
1,326 | Teradyne, Inc. | 118,743 | ||||||
7,197 | Texas Instruments, Inc. | 1,105,819 | ||||||
1,100 | Tokyo Electron, Ltd. | 356,851 | ||||||
853 | Tower Semiconductor, Ltd.* | 39,880 | ||||||
|
| |||||||
16,057,553 | ||||||||
|
|
See accompanying notes to the financial statements.
14
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software (6.7%): | ||||||||
3,660 | Adobe, Inc.* | $ | 1,339,780 | |||||
650 | ANSYS, Inc.* | 155,539 | ||||||
930 | AppLovin Corp., Class A*^ | 32,029 | ||||||
1,761 | Autodesk, Inc.* | 302,822 | ||||||
790 | Avalara, Inc.* | 55,774 | ||||||
1,063 | AVEVA Group plc | 29,043 | ||||||
1,586 | Bentley Systems, Inc., Class B | 52,814 | ||||||
627 | Bill.com Holdings, Inc.* | 68,932 | ||||||
4,940 | BlackBerry, Ltd.* | 26,638 | ||||||
2,122 | Cadence Design Systems, Inc.* | 318,364 | ||||||
1,003 | Ceridian HCM Holding, Inc.* | 47,221 | ||||||
748 | Check Point Software Technologies, Ltd.* | 91,091 | ||||||
905 | Citrix Systems, Inc. | 87,939 | ||||||
1,927 | Cloudflare, Inc., Class A* | 84,306 | ||||||
160 | Constellation Software, Inc. | 237,560 | ||||||
667 | Coupa Software, Inc.* | 38,086 | ||||||
1,582 | Crowdstrike Holdings, Inc., Class A* | 266,662 | ||||||
382 | CyberArk Software, Ltd.* | 48,881 | ||||||
5,166 | Dassault Systemes SE | 191,390 | ||||||
1,767 | Datadog, Inc., Class A* | 168,289 | ||||||
1,635 | DocuSign, Inc.* | 93,816 | ||||||
1,999 | Dropbox, Inc., Class A* | 41,959 | ||||||
1,323 | Dynatrace, Inc.* | 52,179 | ||||||
188 | Fair Isaac Corp.* | 75,369 | ||||||
5,235 | Fortinet, Inc.* | 296,196 | ||||||
735 | Guidewire Software, Inc.* | 52,178 | ||||||
370 | HubSpot, Inc.* | 111,241 | ||||||
2,110 | Intuit, Inc. | 813,278 | ||||||
911 | Lightspeed Commerce, Inc.* | 20,315 | ||||||
55,268 | Microsoft Corp. | 14,194,480 | ||||||
423 | Nemetschek SE | 25,600 | ||||||
487 | Nice Systems, Ltd.* | 93,916 | ||||||
4,346 | NortonLifeLock, Inc. | 95,438 | ||||||
2,016 | Open Text Corp. | 76,270 | ||||||
12,537 | Oracle Corp. | 875,960 | ||||||
300 | Oracle Corp. | 17,328 | ||||||
12,569 | Palantir Technologies, Inc., Class A* | 114,001 | ||||||
779 | Palo Alto Networks, Inc.* | 384,779 | ||||||
416 | Paycom Software, Inc.* | 116,530 | ||||||
818 | PTC, Inc.* | 86,986 | ||||||
697 | RingCentral, Inc., Class A* | 36,425 | ||||||
7,580 | Sage Group plc (The) | 58,615 | ||||||
7,700 | Salesforce, Inc.* | 1,270,808 | ||||||
8,196 | SAP SE | 746,571 | ||||||
1,565 | ServiceNow, Inc.* | 744,189 | ||||||
4,675 | Sinch AB* | 15,167 | ||||||
1,311 | Splunk, Inc.* | 115,971 | ||||||
1,810 | SS&C Technologies Holdings, Inc. | 105,107 | ||||||
1,167 | Synopsys, Inc.* | 354,418 | ||||||
617 | Temenos AG | 52,667 | ||||||
3,431 | The Trade Desk, Inc., Class A* | 143,725 | ||||||
800 | Trend Micro, Inc. | 38,946 | ||||||
326 | Tyler Technologies, Inc.* | 108,389 | ||||||
1,496 | Unity Software, Inc.*^ | 55,083 | ||||||
1,648 | VMware, Inc., Class A | 187,839 | ||||||
656 | WiseTech Global, Ltd. | 17,012 | ||||||
1,476 | Workday, Inc., Class A* | 206,020 | ||||||
951 | Xero, Ltd.* | 50,588 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
886 | Zendesk, Inc.* | $ | 65,626 | |||||
1,593 | Zoom Video Communications, Inc., Class A* | 171,996 | ||||||
663 | Zscaler, Inc.* | 99,125 | ||||||
|
| |||||||
25,925,266 | ||||||||
|
| |||||||
Specialty Retail (1.6%): | ||||||||
492 | Advance Auto Parts, Inc. | 85,160 | ||||||
164 | AutoZone, Inc.* | 352,456 | ||||||
2,191 | Bath & Body Works, Inc. | 58,982 | ||||||
1,669 | Best Buy Co., Inc. | 108,802 | ||||||
521 | Burlington Stores, Inc.* | 70,976 | ||||||
1,320 | CarMax, Inc.* | 119,434 | ||||||
577 | Carvana Co.*^ | 13,029 | ||||||
22,400 | Chow Tai Fook Jewellery Group, Ltd. | 42,147 | ||||||
400 | Fast Retailing Co., Ltd. | 209,207 | ||||||
5,397 | Hennes & Mauritz AB, Class B | 64,560 | ||||||
100 | Hikari Tsushin, Inc. | 10,260 | ||||||
8,079 | Home Depot, Inc. (The) | 2,215,827 | ||||||
8,388 | Industria de Diseno Textil SA | 189,940 | ||||||
17,355 | JD Sports Fashion plc* | 24,404 | ||||||
19,508 | Kingfisher plc | 58,010 | ||||||
5,223 | Lowe’s Cos., Inc. | 912,301 | ||||||
700 | Nitori Co., Ltd. | 66,463 | ||||||
517 | O’Reilly Automotive, Inc.* | 326,620 | ||||||
2,849 | Ross Stores, Inc. | 200,085 | ||||||
9,407 | TJX Cos., Inc. (The) | 525,381 | ||||||
839 | Tractor Supply Co. | 162,640 | ||||||
426 | Ulta Beauty, Inc.* | 164,214 | ||||||
1,700 | USS Co., Ltd. | 29,391 | ||||||
|
| |||||||
6,010,289 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (4.9%): | ||||||||
126,642 | Apple, Inc. | 17,314,494 | ||||||
2,300 | Brother Industries, Ltd. | 40,473 | ||||||
8,100 | Canon, Inc.^ | 184,302 | ||||||
2,057 | Dell Technologies, Inc., Class C | 95,054 | ||||||
2,900 | FUJIFILM Holdings Corp. | 155,744 | ||||||
10,343 | Hewlett Packard Enterprise Co. | 137,148 | ||||||
8,242 | HP, Inc. | 270,173 | ||||||
1,306 | Logitech International SA, Class R | 68,003 | ||||||
1,800 | NEC Corp. | 69,988 | ||||||
1,731 | NetApp, Inc. | 112,931 | ||||||
3,600 | Ricoh Co., Ltd. | 28,008 | ||||||
1,662 | Seagate Technology Holdings plc | 118,733 | ||||||
2,200 | Seiko Epson Corp. | 31,159 | ||||||
2,418 | Western Digital Corp.* | 108,399 | ||||||
|
| |||||||
18,734,609 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.2%): | ||||||||
1,353 | Adidas AG | 239,259 | ||||||
2,664 | Burberry Group plc | 53,285 | ||||||
4,009 | Cie Financiere Richemont SA | 427,010 | ||||||
2,252 | EssilorLuxottica SA | 340,584 | ||||||
1,834 | Gildan Activewear, Inc. | 52,797 | ||||||
243 | Hermes International SA | 274,485 | ||||||
595 | Kering | 309,093 | ||||||
888 | Lululemon Athletica, Inc.* | 242,078 | ||||||
2,139 | LVMH Moet Hennessy Louis Vuitton SA | 1,319,860 | ||||||
1,545 | Moncler SpA | 66,732 |
See accompanying notes to the financial statements.
15
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
9,852 | NIKE, Inc., Class B | $ | 1,006,874 | |||||
733 | Pandora A/S | 46,328 | ||||||
767 | Puma SE | 50,506 | ||||||
116 | Swatch Group AG (The) | 5,155 | ||||||
267 | Swatch Group AG (The), Class B | 63,366 | ||||||
2,741 | VF Corp. | 121,070 | ||||||
|
| |||||||
4,618,482 | ||||||||
|
| |||||||
Tobacco (0.8%): | ||||||||
14,149 | Altria Group, Inc. | 591,004 | ||||||
16,944 | British American Tobacco plc | 726,054 | ||||||
6,629 | Imperial Brands plc, Class A | 148,139 | ||||||
9,800 | Japan Tobacco, Inc.^ | 169,533 | ||||||
11,987 | Philip Morris International, Inc. | 1,183,596 | ||||||
12,075 | Swedish Match AB | 123,367 | ||||||
|
| |||||||
2,941,693 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.6%): | ||||||||
1,088 | AerCap Holdings NV* | 44,543 | ||||||
3,452 | Ashtead Group plc | 144,788 | ||||||
1,133 | Brenntag AG | 73,730 | ||||||
2,452 | Bunzl plc | 81,186 | ||||||
4,413 | Fastenal Co. | 220,297 | ||||||
1,741 | Ferguson plc | 194,909 | ||||||
478 | IMCD NV | 66,030 | ||||||
2,137 | Indutrade AB | 39,045 | ||||||
9,300 | Itochu Corp. | 251,555 | ||||||
11,600 | Marubeni Corp. | 104,728 | ||||||
9,600 | Mitsubishi Corp. | 285,501 | ||||||
10,900 | Mitsui & Co., Ltd. | 240,738 | ||||||
1,400 | MonotaRo Co., Ltd. | 20,826 | ||||||
1,239 | Reece, Ltd. | 11,794 | ||||||
9,000 | Sumitomo Corp. | 123,111 | ||||||
731 | Toromont Industries, Ltd. | 59,116 | ||||||
2,000 | Toyota Tsushu Corp. | 65,384 | ||||||
590 | United Rentals, Inc.* | 143,317 | ||||||
355 | W.W. Grainger, Inc. | 161,323 | ||||||
|
| |||||||
2,331,921 | ||||||||
|
| |||||||
Transportation Infrastructure (0.1%): | ||||||||
546 | Aena SME SA* | 69,431 | ||||||
215 | Aeroports de Paris* | 27,387 | ||||||
3,306 | Atlantia SpA | 77,581 | ||||||
12,535 | Auckland International Airport, Ltd.* | 56,117 | ||||||
2,993 | Getlink SE | 53,001 | ||||||
23,513 | Transurban Group | 233,453 | ||||||
|
| |||||||
516,970 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
1,396 | American Water Works Co., Inc. | 207,683 | ||||||
1,666 | Essential Utilities, Inc. | 76,386 | ||||||
2,208 | Severn Trent plc | 73,103 | ||||||
4,770 | United Utilities Group plc | 59,239 | ||||||
|
| |||||||
416,411 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.6%): | ||||||||
12,500 | KDDI Corp. | 395,328 | ||||||
2,761 | Rogers Communications, Inc., Class B | 132,322 | ||||||
21,500 | Softbank Corp. | 238,664 | ||||||
9,600 | SoftBank Group Corp. | 371,059 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Wireless Telecommunication Services, continued | ||||||||
4,629 | Tele2 AB | $ | 52,771 | |||||
4,799 | T-Mobile US, Inc.* | 645,658 | ||||||
205,262 | Vodafone Group plc | 316,592 | ||||||
|
| |||||||
2,152,394 | ||||||||
|
| |||||||
Total Common Stocks (Cost $376,404,071) | 381,192,302 | |||||||
|
| |||||||
Preferred Stocks (0.1%): | ||||||||
Automobiles (0.1%): | ||||||||
526 | Bayerische Motoren Werke AG (BMW), 8.61%, 5/15/20 | 37,258 | ||||||
1,151 | Porsche Automobil Holding SE, 4.06%, 5/20/20 | 76,125 | ||||||
1,475 | Volkswagen AG, 5.93%, 5/8/20 | 196,936 | ||||||
|
| |||||||
310,319 | �� | |||||||
|
| |||||||
Household Products (0.0%†): | ||||||||
1,314 | Henkel AG & Co. KGaA, 3.15%, 4/21/20 | 80,931 | ||||||
|
| |||||||
Total Preferred Stocks (Cost $589,456) | 391,250 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.9%): | ||||||||
3,285,494 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(a)(b) | 3,285,494 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 3,285,494 | ||||||
|
| |||||||
Shares | Value | |||||||
Unaffiliated Investment Company (0.2%): | ||||||||
Money Markets (0.2%): | ||||||||
780,283 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(b) | 780,283 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $780,283) | 780,283 | |||||||
|
| |||||||
Total Investment Securities (Cost $381,059,304) — 100.5% | 385,649,329 | |||||||
Net other assets (liabilities) — (0.5)% | (1,813,165 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 383,836,164 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
ADR—American Depository Receipt
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $3,068,918. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
(b) | The rate represents the effective yield at June 30, 2022. |
See accompanying notes to the financial statements.
16
AZL MSCI Global Equity Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total value of investments as of June 30, 2022:
(Unaudited)
Country | Percentage | |||
Argentina | 0.1 | % | ||
Australia | 2.1 | % | ||
Austria | — | %† | ||
Belgium | 0.2 | % | ||
Bermuda | 0.1 | % | ||
Canada | 3.7 | % | ||
China | — | %† | ||
Denmark | 0.8 | % | ||
Finland | 0.3 | % | ||
France | 2.9 | % | ||
Germany | 2.1 | % | ||
Hong Kong | 0.9 | % | ||
Ireland | 0.8 | % | ||
Isle of Man | — | %† | ||
Israel | 0.2 | % | ||
Italy | 0.5 | % |
Country | Percentage | |||
Japan | 6.1 | % | ||
Jersey | — | %† | ||
Liberia | — | %† | ||
Luxembourg | 0.1 | % | ||
Netherlands | 2.0 | % | ||
New Zealand | 0.1 | % | ||
Norway | 0.2 | % | ||
Panama | — | %† | ||
Portugal | 0.1 | % | ||
Singapore | 0.4 | % | ||
Spain | 0.7 | % | ||
Sweden | 0.9 | % | ||
Switzerland | 3.2 | % | ||
United Kingdom | 4.4 | % | ||
United States | 67.1 | % | ||
|
| |||
100.0 | % | |||
|
|
† | Represents less than 0.05%. |
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
DJ EURO STOXX 50 September Futures (Euro) | 9/16/22 | 6 | $ | 216,329 | $ | 1,190 | ||||||||||
FTSE 100 Index September Futures (British Pounds) | 9/16/22 | 2 | 173,338 | 3,493 | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/16/22 | 8 | 1,515,800 | 46,678 | ||||||||||||
SGX Nikkei 225 Index September Futures (Japenese Yen) | 9/8/22 | 1 | 96,934 | (334 | ) | |||||||||||
|
| |||||||||||||||
$ | 51,027 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
17
AZL MSCI Global Equity Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 379,561,744 | |||
Investments in affiliates, at cost | 1,497,560 | ||||
|
| ||||
Investment securities, at value(a) | $ | 384,316,514 | |||
Investments in affiliates, at value | 1,332,815 | ||||
Cash | 18,199 | ||||
Deposit at broker for futures contracts collateral | 126,593 | ||||
Interest and dividends receivable | 384,058 | ||||
Foreign currency, at value (cost $854,165) | 854,785 | ||||
Receivable for capital shares issued | 121 | ||||
Receivable for investments sold | 6,532 | ||||
Reclaims receivable | 418,714 | ||||
Prepaid expenses | 1,412 | ||||
|
| ||||
Total Assets | 387,459,743 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 5,485 | ||||
Payable for capital shares redeemed | 9,278 | ||||
Payable for collateral received on loaned securities | 3,285,494 | ||||
Payable for variation margin on futures contracts | 22,646 | ||||
Manager fees payable | 101,740 | ||||
Administration fees payable | 73,053 | ||||
Distribution fees payable | 73,367 | ||||
Custodian fees payable | 4,207 | ||||
Administrative and compliance services fees payable | 232 | ||||
Transfer agent fees payable | 1,398 | ||||
Trustee fees payable | 2,362 | ||||
Other accrued liabilities | 44,317 | ||||
|
| ||||
Total Liabilities | 3,623,579 | ||||
|
| ||||
Net Assets | $ | 383,836,164 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 338,455,418 | |||
Total distributable earnings | 45,380,746 | ||||
|
| ||||
Net Assets | $ | 383,836,164 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 30,544,545 | ||||
Net Asset Value (offering and redemption price per share) | $ | 12.57 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 40,732,623 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,905,226 | ||||
Net Asset Value (offering and redemption price per share) | $ | 8.30 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 343,103,541 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 25,639,319 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.38 | |||
|
|
(a) | Includes securities on loan of $3,068,918. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 5,365,826 | |||
Dividends from affiliates | 49,085 | ||||
Income from securities lending | 19,730 | ||||
Foreign withholding tax | (298,069 | ) | |||
|
| ||||
Total Investment Income | 5,136,572 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,568,291 | ||||
Administration fees | 58,822 | ||||
Distribution fees | 500,926 | ||||
Custodian fees | 29,509 | ||||
Administrative and compliance services fees | 3,079 | ||||
Transfer agent fees | 6,548 | ||||
Trustee fees | 11,974 | ||||
Professional fees | 9,521 | ||||
Licensing fees | 85,470 | ||||
Shareholder reports | 3,236 | ||||
Dividends on securities sold short | 207 | ||||
Other expenses | 11,903 | ||||
|
| ||||
Total expenses before reductions | 2,289,486 | ||||
Less Management fees contractually waived | (873,759 | ) | |||
|
| ||||
Net expenses | 1,415,757 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,720,845 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 5,060,008 | ||||
Net realized gains/(losses) on affiliated transactions | 15,230 | ||||
Net realized gains/(losses) on futures contracts | (298,403 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (110,058,989 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (538,262 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 12,252 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (105,808,164 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (102,087,319 | ) | ||
|
|
See accompanying notes to the financial statements.
18
AZL MSCI Global Equity Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,720,845 | $ | 4,432,074 | ||||||
Net realized gains/(losses) on investments | 4,776,835 | 30,434,123 | ||||||||
Change in unrealized appreciation/depreciation on investments | (110,584,999 | ) | 46,241,084 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (102,087,319 | ) | 81,107,281 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (2,699,791 | ) | |||||||
Class 2 | — | (14,913,892 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (17,613,683 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 1,150 | 292,588 | ||||||||
Proceeds from dividends reinvested | — | 2,699,791 | ||||||||
Proceeds from in-kind shares issued | — | 53,013,674 | ||||||||
Value of shares redeemed | (2,999,657 | ) | (3,968,036 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (2,998,507 | ) | 52,038,017 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 1,819,204 | 1,424,827 | ||||||||
Proceeds from dividends reinvested | — | 14,913,892 | ||||||||
Proceeds from in-kind shares issued | — | 162,355,745 | ||||||||
Value of shares redeemed | (30,923,090 | ) | (97,837,065 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (29,103,886 | ) | 80,857,399 | |||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (32,102,393 | ) | 132,895,416 | |||||||
|
|
|
| |||||||
Change in net assets | (134,189,712 | ) | 196,389,014 | |||||||
Net Assets: | ||||||||||
Beginning of period | 518,025,876 | 321,636,862 | ||||||||
|
|
|
| |||||||
End of period | $ | 383,836,164 | $ | 518,025,876 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 139 | 28,178 | ||||||||
Shares from in-kind transactions | — | 5,301,367 | ||||||||
Dividends reinvested | — | 277,471 | ||||||||
Shares redeemed | (319,016 | ) | (382,913 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (318,877 | ) | 5,224,103 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 123,462 | 80,110 | ||||||||
Shares from in-kind transactions | — | 10,251,349 | ||||||||
Dividends reinvested | — | 949,325 | ||||||||
Shares redeemed | (2,038,677 | ) | (6,140,552 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (1,915,215 | ) | 5,140,232 | |||||||
|
|
|
| |||||||
Change in shares | (2,234,092 | ) | 10,364,335 | |||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
19
AZL MSCI Global Equity Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021^ | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.43 | $ | 10.00 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | (a) | 0.06 | (a) | ||||||||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.22 | ) | 0.91 | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total from Investment Activities | (2.13 | ) | 0.97 | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | |||||||||||||||||||||||||||
Net Realized Gains | — | (0.41 | ) | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total Dividends | — | (0.54 | ) | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Net Asset Value, End of Period | $ | 8.30 | $ | 10.43 | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Total Return(b) | (20.42 | )%(c) | 10.00 | % | ||||||||||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 40,733 | $ | 54,468 | ||||||||||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.89 | % | 1.09 | % | ||||||||||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.80 | % | 1.88 | % | ||||||||||||||||||||||||||
Expenses Net of Reductions(d) | 0.41 | % | 1.49 | % | ||||||||||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 49 | %(g) | ||||||||||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.82 | $ | 14.35 | $ | 12.55 | $ | 10.03 | $ | 11.22 | $ | 9.36 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | (a) | 0.17 | (a) | 0.16 | (a) | 0.11 | (a) | 0.21 | 0.20 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.56 | ) | 2.84 | 1.75 | 2.52 | (1.19 | ) | 1.86 | ||||||||||||||||||||||
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Total from Investment Activities | (3.44 | ) | 3.01 | 1.91 | 2.71 | (0.98 | ) | 2.06 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.13 | ) | (0.11 | ) | (0.19 | ) | (0.21 | ) | (0.20 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.41 | ) | — | — | — | — | |||||||||||||||||||||||
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Total Dividends | — | (0.54 | ) | (0.11 | ) | (0.19 | ) | (0.21 | ) | (0.20 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.38 | $ | 16.82 | $ | 14.35 | $ | 12.55 | $ | 10.03 | $ | 11.22 | ||||||||||||||||||
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Total Return(b) | (20.45 | )%(c) | 21.18 | % | 15.36 | % | 27.25 | % | (8.94 | )% | 22.18 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 343,104 | $ | 463,557 | $ | 321,637 | $ | 331,138 | $ | 127,860 | $ | 153,857 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.64 | % | 1.06 | % | 1.32 | % | 1.68 | % | 1.62 | % | 1.62 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.05 | % | 1.01 | % | 1.08 | % | — | 1.16 | % | 1.16 | % | |||||||||||||||||||
Expenses Net of Reductions(d) | 0.66 | % | 0.62 | % | 0.69 | % | 0.73 | % | 0.73 | % | — | |||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 49 | %(g) | 13 | % | — | — | — |
^ | Class 1 activity is for the period June 21, 2021 (commencement of operations) to December 31, 2021. |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the fund as a whole without distinguishing between classes of shares issued. |
(g) | Excludes impact of in-kind transactions. |
See accompanying notes to the financial statements.
20
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MSCI Global Equity Index Fund (the “Fund”), and 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
21
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,514 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,285,494 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $3.1 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
22
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 51,361 | Payable for variation margin on futures contracts* | $ | 334 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (298,403 | ) | $ | 12,252 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL MSCI Global Equity Index Fund, Class 1 | 0.70 | % | 0.55 | % | ||||||
AZL MSCI Global Equity Index Fund, Class 2 | 0.70 | % | 0.80 | % |
* | The annual rate due to the Manager is 0.70% of the first $5 billion of the Fund’s net assets, 0.65% of the next $5 billion of the Fund’s net assets, and 0.61% of the Fund’s assets over $10 billion. The Manager waived, prior to any application of expense limit, the management fee to 0.31% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
At June 30, 2022, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Net Unrealized Appreciation/ Depreciation | Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
Allianz SE, Registered Shares | $ | 795,478 | $ | — | $ | (42,300 | ) | $ | (3,810 | ) | $ | (143,747 | ) | $ | 605,621 | 3,173 | $ | 37,275 | $ | — | |||||||||||||||||||||||||
BlackRock Inc., Class A | 1,158,183 | — | (55,514 | ) | 19,040 | (394,515 | ) | 727,194 | 1,194 | 11,810 | — | ||||||||||||||||||||||||||||||||||
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$ | 1,953,661 | $ | — | $ | (97,814 | ) | $ | 15,230 | $ | (538,262 | ) | $ | 1,332,815 | 4,367 | $ | 49,085 | $ | — | |||||||||||||||||||||||||||
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Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
23
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 366,982,987 | $ | 14,209,315 | $ | — | $ | 381,192,302 | ||||||||||||
Preferred Stocks+ | — | 391,250 | — | 391,250 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 3,285,494 | — | — | 3,285,494 | ||||||||||||||||
Unaffiliated Investment Company | 780,283 | — | — | 780,283 | ||||||||||||||||
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Total Investment Securities | 371,048,764 | 14,600,565 | — | 385,649,329 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 51,027 | — | — | 51,027 | ||||||||||||||||
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Total Investments | $ | 371,099,791 | $ | 14,600,565 | $ | — | $ | 385,700,356 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
24
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
5. Security Purchases and Sales
For the period ended June 30, 2022, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:
Purchases | Sales | |||||||||
AZL MSCI Global Equity Index Fund | $ | 4,436,350 | $ | 32,599,151 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
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 Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $404,737,150. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 122,658,959 | ||
Unrealized (depreciation) | (10,527,253 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 112,131,706 | ||
|
|
25
AZL MSCI Global Equity Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL MSCI Global Equity Index Fund | $ | 14,428,841 | $ | 3,184,842 | $ | 17,613,683 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 MSCI Global Equity Index Fund | $ | 29,179,547 | $ | 6,141,499 | $ | — | $ | 112,147,639 | $ | 147,468,685 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of passive foreign investment companies, mark-to-market of futures contracts, straddles and other miscellaneous differences. |
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 80% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
26
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
27
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
28
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Russell 1000 Growth Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Growth Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Growth Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 717.80 | $ | 1.75 | 0.41 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 716.90 | $ | 2.81 | 0.66 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | 0.41 | % | ||||||||||||
AZL Russell 1000 Growth Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 43.1 | % | |||
Consumer Discretionary | 15.3 | ||||
Health Care | 12.2 | ||||
Communication Services | 8.0 | ||||
Industrials | 7.0 | ||||
Consumer Staples | 5.8 | ||||
Financials | 2.9 | ||||
Real Estate | 1.8 | ||||
Materials | 1.4 | ||||
Energy | 1.4 | ||||
Utilities | 0.1 | ||||
|
| ||||
Total Common Stocks | 99.0 | ||||
Unaffiliated Investment Company | 1.0 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.4 | ||||
|
| ||||
Total Investment Securities | 100.4 | ||||
Net other assets (liabilities) | (0.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.0%): | ||||||||
Aerospace & Defense (1.0%): | ||||||||
2,208 | Axon Enterprise, Inc.* | $ | 205,719 | |||||
7,206 | Boeing Co. (The)* | 985,204 | ||||||
1,504 | BWX Technologies, Inc. | 82,855 | ||||||
1,779 | HEICO Corp. | 233,263 | ||||||
3,124 | HEICO Corp., Class A | 329,207 | ||||||
1,541 | Howmet Aerospace, Inc. | 48,464 | ||||||
366 | Huntington Ingalls Industries, Inc. | 79,722 | ||||||
10,036 | Lockheed Martin Corp. | 4,315,079 | ||||||
724 | Northrop Grumman Corp. | 346,485 | ||||||
4,182 | Spirit AeroSystems Holdings, Inc., Class A | 122,533 | ||||||
859 | TransDigm Group, Inc.* | 461,000 | ||||||
|
| |||||||
7,209,531 | ||||||||
|
| |||||||
Air Freight & Logistics (0.7%): | ||||||||
1,426 | C.H. Robinson Worldwide, Inc. | 144,554 | ||||||
2,179 | Expeditors International of Washington, Inc. | 212,365 | ||||||
486 | GXO Logistics, Inc.* | 21,029 | ||||||
27,725 | United Parcel Service, Inc., Class B | 5,060,921 | ||||||
329 | XPO Logistics, Inc.* | 15,845 | ||||||
|
| |||||||
5,454,714 | ||||||||
|
| |||||||
Airlines (0.1%): | ||||||||
27,040 | Delta Air Lines, Inc.* | 783,349 | ||||||
|
| |||||||
Auto Components (0.0%†): | ||||||||
2,867 | Aptiv plc* | 255,364 | ||||||
|
| |||||||
Automobiles (3.3%): | ||||||||
21,083 | Lucid Group, Inc.*^ | 361,784 | ||||||
35,853 | Tesla, Inc.* | 24,144,127 | ||||||
|
| |||||||
24,505,911 | ||||||||
|
| |||||||
Banks (0.1%): | ||||||||
127 | First Citizens BancShares, Inc., Class A | 83,030 | ||||||
133 | Signature Bank | 23,835 | ||||||
1,582 | SVB Financial Group* | 624,874 | ||||||
2,796 | Western Alliance Bancorp | 197,398 | ||||||
|
| |||||||
929,137 | ||||||||
|
| |||||||
Beverages (2.4%): | ||||||||
401 | Boston Beer Co., Inc. (The), Class A* | 121,491 | ||||||
1,156 | Brown-Forman Corp., Class A | 78,192 | ||||||
4,558 | Brown-Forman Corp., Class B | 319,789 | ||||||
123,820 | Coca-Cola Co. (The) | 7,789,516 | ||||||
14,530 | Monster Beverage Corp.* | 1,346,931 | ||||||
49,393 | PepsiCo, Inc. | 8,231,838 | ||||||
|
| |||||||
17,887,757 | ||||||||
|
| |||||||
Biotechnology (3.1%): | ||||||||
74,728 | AbbVie, Inc. | 11,445,341 | ||||||
5,078 | Alnylam Pharmaceuticals, Inc.* | 740,626 | ||||||
18,965 | Amgen, Inc. | 4,614,185 | ||||||
1,336 | Exact Sciences Corp.* | 52,625 | ||||||
11,269 | Exelixis, Inc.* | 234,621 | ||||||
6,668 | Incyte Corp.* | 506,568 | ||||||
5,346 | Ionis Pharmaceuticals, Inc.* | 197,909 | ||||||
871 | Moderna, Inc.* | 124,422 | ||||||
3,567 | Natera, Inc.* | 126,415 | ||||||
4,003 | Neurocrine Biosciences, Inc.* | 390,212 | ||||||
3,179 | Novavax, Inc.*^ | 163,496 | ||||||
640 | Regeneron Pharmaceuticals, Inc.* | 378,323 | ||||||
1,663 | Repligen Corp.* | 270,071 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
3,477 | Sarepta Therapeutics, Inc.* | $ | 260,636 | |||||
5,742 | Seagen, Inc.* | 1,015,989 | ||||||
2,197 | Ultragenyx Pharmaceutical, Inc.* | 131,073 | ||||||
10,206 | Vertex Pharmaceuticals, Inc.* | 2,875,949 | ||||||
|
| |||||||
23,528,461 | ||||||||
|
| |||||||
Building Products (0.2%): | ||||||||
1,305 | A. O. Smith Corp. | 71,357 | ||||||
2,455 | Advanced Drainage Systems, Inc. | 221,122 | ||||||
2,859 | Allegion plc | 279,896 | ||||||
1,167 | Armstrong World Industries, Inc. | 87,478 | ||||||
1,908 | Fortune Brands Home & Security, Inc. | 114,251 | ||||||
518 | Masco Corp. | 26,211 | ||||||
5,727 | Trane Technologies plc | 743,766 | ||||||
4,638 | Trex Co., Inc.* | 252,400 | ||||||
|
| |||||||
1,796,481 | ||||||||
|
| |||||||
Capital Markets (1.5%): | ||||||||
2,959 | Ameriprise Financial, Inc. | 703,295 | ||||||
6,407 | Ares Management Corp., Class A | 364,302 | ||||||
29,590 | Blackstone, Inc., Class A | 2,699,496 | ||||||
17,018 | Blue Owl Capital, Inc.^ | 170,691 | ||||||
35,668 | Charles Schwab Corp. (The) | 2,253,504 | ||||||
1,603 | FactSet Research Systems, Inc. | 616,466 | ||||||
3,362 | LPL Financial Holdings, Inc. | 620,222 | ||||||
1,568 | MarketAxess Holdings, Inc. | 401,424 | ||||||
6,371 | Moody’s Corp. | 1,732,721 | ||||||
933 | Morningstar, Inc. | 225,627 | ||||||
2,510 | MSCI, Inc. | 1,034,496 | ||||||
660 | Raymond James Financial, Inc. | 59,011 | ||||||
2,874 | Tradeweb Markets, Inc., Class A | 196,150 | ||||||
|
| |||||||
11,077,405 | ||||||||
|
| |||||||
Chemicals (1.0%): | ||||||||
2,546 | Albemarle Corp. | 532,063 | ||||||
2,921 | Axalta Coating Systems, Ltd.* | 64,583 | ||||||
8,793 | CF Industries Holdings, Inc. | 753,824 | ||||||
4,185 | Chemours Co. (The) | 134,004 | ||||||
9,257 | Ecolab, Inc. | 1,423,356 | ||||||
1,819 | FMC Corp. | 194,651 | ||||||
9,136 | Ginkgo Bioworks Holdings, Inc.* | 21,744 | ||||||
4,461 | Linde plc | 1,282,672 | ||||||
1,878 | Mosaic Co. (The) | 88,698 | ||||||
5,286 | PPG Industries, Inc. | 604,401 | ||||||
275 | RPM International, Inc. | 21,648 | ||||||
583 | Scotts Miracle-Gro Co. (The) | 46,051 | ||||||
10,110 | Sherwin-Williams Co. (The) | 2,263,730 | ||||||
7,566 | Valvoline, Inc. | 218,128 | ||||||
|
| |||||||
7,649,553 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.7%): | ||||||||
3,451 | Cintas Corp. | 1,289,052 | ||||||
9,003 | Copart, Inc.* | 978,266 | ||||||
4,686 | IAA, Inc.* | 153,560 | ||||||
707 | MSA Safety, Inc. | 85,597 | ||||||
558 | Republic Services, Inc. | 73,025 | ||||||
8,640 | Rollins, Inc. | 301,709 | ||||||
925 | Tetra Tech, Inc. | 126,309 | ||||||
16,437 | Waste Management, Inc. | 2,514,532 | ||||||
|
| |||||||
5,522,050 | ||||||||
|
|
See accompanying notes to the financial statements.
2
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment (0.1%): | ||||||||
10,531 | Arista Networks, Inc.* | $ | 987,176 | |||||
73 | Ubiquiti, Inc.^ | 18,119 | ||||||
|
| |||||||
1,005,295 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
349 | AECOM | 22,762 | ||||||
3,282 | Quanta Services, Inc. | 411,366 | ||||||
123 | Valmont Industries, Inc. | 27,629 | ||||||
4,868 | WillScot Mobile Mini Holdings Corp.* | 157,821 | ||||||
|
| |||||||
619,578 | ||||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
1,374 | Eagle Materials, Inc. | 151,058 | ||||||
231 | Martin Marietta Materials, Inc. | 69,124 | ||||||
2,729 | Vulcan Materials Co. | 387,791 | ||||||
|
| |||||||
607,973 | ||||||||
|
| |||||||
Consumer Finance (0.0%†): | ||||||||
1,604 | American Express Co. | 222,346 | ||||||
48 | Credit Acceptance Corp.* | 22,724 | ||||||
592 | Upstart Holdings, Inc.*^ | 18,719 | ||||||
|
| |||||||
263,789 | ||||||||
|
| |||||||
Containers & Packaging (0.2%): | ||||||||
3,590 | Ardagh Metal Packaging SA | 21,899 | ||||||
2,115 | Avery Dennison Corp. | 342,355 | ||||||
5,275 | Ball Corp. | 362,762 | ||||||
2,660 | Berry Global Group, Inc.* | 145,343 | ||||||
4,390 | Crown Holdings, Inc. | 404,626 | ||||||
9,958 | Graphic Packaging Holding Co. | 204,139 | ||||||
6,156 | Sealed Air Corp. | 355,324 | ||||||
|
| |||||||
1,836,448 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
475 | Genuine Parts Co. | 63,175 | ||||||
1,647 | Pool Corp. | 578,476 | ||||||
|
| |||||||
641,651 | ||||||||
|
| |||||||
Diversified Consumer Services (0.0%†): | ||||||||
704 | Bright Horizons Family Solutions, Inc.* | 59,502 | ||||||
5,459 | H&R Block, Inc. | 192,812 | ||||||
3,926 | Mister Car Wash, Inc.*^ | 42,715 | ||||||
|
| |||||||
295,029 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
14,782 | Apollo Global Management, Inc. | 716,631 | ||||||
|
| |||||||
Electrical Equipment (0.3%): | ||||||||
8,388 | ChargePoint Holdings, Inc.* | 114,832 | ||||||
7,963 | Emerson Electric Co. | 633,377 | ||||||
2,589 | Generac Holdings, Inc.* | 545,191 | ||||||
10,902 | Plug Power, Inc.*^ | 180,646 | ||||||
3,316 | Rockwell Automation, Inc. | 660,912 | ||||||
2,026 | Vertiv Holdings Co. | 16,654 | ||||||
|
| |||||||
2,151,612 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.6%): | ||||||||
18,769 | Amphenol Corp., Class A | 1,208,348 | ||||||
204 | Arrow Electronics, Inc.* | 22,866 | ||||||
5,711 | CDW Corp. | 899,825 | ||||||
6,832 | Cognex Corp. | 290,497 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
892 | Coherent, Inc.* | $ | 237,468 | |||||
1,882 | Corning, Inc. | 59,302 | ||||||
4,660 | Jabil, Inc. | 238,639 | ||||||
7,090 | Keysight Technologies, Inc.* | 977,357 | ||||||
718 | National Instruments Corp. | 22,423 | ||||||
4,871 | Vontier Corp. | 111,984 | ||||||
906 | Zebra Technologies Corp., Class A* | 266,319 | ||||||
|
| |||||||
4,335,028 | ||||||||
|
| |||||||
Energy Equipment & Services (0.1%): | ||||||||
17,194 | Halliburton Co. | 539,204 | ||||||
|
| |||||||
Entertainment (0.7%): | ||||||||
734 | Electronic Arts, Inc. | 89,291 | ||||||
949 | Liberty Media Corp-Liberty Formula One, Class C* | 60,233 | ||||||
3,253 | Live Nation Entertainment, Inc.* | 268,633 | ||||||
402 | Madison Square Garden Sports Corp., Class A* | 60,702 | ||||||
8,348 | Netflix, Inc.* | 1,459,815 | ||||||
3,454 | Playtika Holding Corp.* | 45,731 | ||||||
18,594 | ROBLOX Corp., Class A*^ | 610,999 | ||||||
1,431 | Roku, Inc.* | 117,542 | ||||||
5,888 | Spotify Technology SA* | 552,471 | ||||||
5,539 | Take-Two Interactive Software, Inc.* | 678,693 | ||||||
5,162 | Walt Disney Co. (The)* | 487,293 | ||||||
73,148 | Warner Bros Discovery, Inc.* | 981,646 | ||||||
1,818 | World Wrestling Entertainment, Inc., Class A | 113,607 | ||||||
|
| |||||||
5,526,656 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (1.7%): | ||||||||
15,047 | American Tower Corp. | 3,845,863 | ||||||
552 | Apartment Income REIT Corp. | 22,963 | ||||||
368 | Camden Property Trust | 49,489 | ||||||
18,242 | Crown Castle International Corp. | 3,071,588 | ||||||
2,896 | Equinix, Inc. | 1,902,730 | ||||||
4,598 | Equity Lifestyle Properties, Inc. | 324,021 | ||||||
666 | Extra Space Storage, Inc. | 113,300 | ||||||
9,287 | Iron Mountain, Inc. | 452,184 | ||||||
3,163 | Lamar Advertising Co., Class A | 278,249 | ||||||
5,245 | Public Storage | 1,639,954 | ||||||
1,027 | SBA Communications Corp. | 328,691 | ||||||
6,684 | Simon Property Group, Inc. | 634,445 | ||||||
|
| |||||||
12,663,477 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
3,571 | BJ’s Wholesale Club Holdings, Inc.* | 222,545 | ||||||
18,720 | Costco Wholesale Corp. | 8,972,122 | ||||||
537 | Grocery Outlet Holding Corp.* | 22,892 | ||||||
1,984 | Performance Food Group Co.* | 91,224 | ||||||
21,463 | Sysco Corp. | 1,818,131 | ||||||
|
| |||||||
11,126,914 | ||||||||
|
| |||||||
Food Products (0.3%): | ||||||||
451 | Darling Ingredients, Inc.* | 26,970 | ||||||
1,073 | Freshpet, Inc.* | 55,678 | ||||||
5,346 | Hershey Co. (The) | 1,150,245 | ||||||
5,843 | Kellogg Co. | 416,840 | ||||||
6,087 | Lamb Weston Holdings, Inc. | 434,977 | ||||||
1,200 | Pilgrim’s Pride Corp.* | 37,476 | ||||||
|
| |||||||
2,122,186 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Gas Utilities (0.0%†): | ||||||||
333 | National Fuel Gas Co. | $ | 21,995 | |||||
|
| |||||||
Health Care Equipment & Supplies (2.1%): | ||||||||
9,570 | Abbott Laboratories | 1,039,780 | ||||||
1,842 | ABIOMED, Inc.* | 455,913 | ||||||
2,486 | Align Technology, Inc.* | 588,362 | ||||||
3,318 | Baxter International, Inc. | 213,115 | ||||||
1,861 | Danaher Corp. | 471,801 | ||||||
16,546 | Dexcom, Inc.* | 1,233,173 | ||||||
26,111 | Edwards Lifesciences Corp.* | 2,482,895 | ||||||
486 | Globus Medical, Inc.* | 27,284 | ||||||
158 | ICU Medical, Inc.* | 25,974 | ||||||
3,522 | IDEXX Laboratories, Inc.* | 1,235,271 | ||||||
2,916 | Insulet Corp.* | 635,513 | ||||||
13,934 | Intuitive Surgical, Inc.* | 2,796,693 | ||||||
1,507 | Masimo Corp.* | 196,920 | ||||||
4,203 | Novocure, Ltd.* | 292,108 | ||||||
1,532 | Penumbra, Inc.* | 190,765 | ||||||
6,104 | ResMed, Inc. | 1,279,582 | ||||||
7,947 | Stryker Corp. | 1,580,897 | ||||||
2,461 | Tandem Diabetes Care, Inc.* | 145,667 | ||||||
3,128 | West Pharmaceutical Services, Inc. | 945,813 | ||||||
|
| |||||||
15,837,526 | ||||||||
|
| |||||||
Health Care Providers & Services (3.3%): | ||||||||
7,381 | agilon health, Inc.*^ | 161,127 | ||||||
6,302 | AmerisourceBergen Corp. | 891,607 | ||||||
220 | Chemed Corp. | 103,266 | ||||||
2,100 | Cigna Corp. | 553,392 | ||||||
2,466 | DaVita, Inc.* | 197,181 | ||||||
3,098 | Elevance Health, Inc. | 1,495,033 | ||||||
4,274 | Guardant Health, Inc.* | 172,413 | ||||||
582 | HCA Healthcare, Inc. | 97,811 | ||||||
3,773 | Humana, Inc. | 1,766,028 | ||||||
1,202 | McKesson Corp. | 392,105 | ||||||
1,897 | Molina Healthcare, Inc.* | 530,420 | ||||||
35,990 | UnitedHealth Group, Inc. | 18,485,544 | ||||||
|
| |||||||
24,845,927 | ||||||||
|
| |||||||
Health Care Technology (0.2%): | ||||||||
3,583 | Certara, Inc.* | 76,891 | ||||||
966 | Change Healthcare, Inc.* | 22,276 | ||||||
1,052 | Definitive Healthcare Corp.* | 24,122 | ||||||
1,887 | Doximity, Inc., Class A*^ | 65,705 | ||||||
708 | Teladoc Health, Inc.* | 23,513 | ||||||
5,886 | Veeva Systems, Inc., Class A* | 1,165,664 | ||||||
|
| |||||||
1,378,171 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (2.0%): | ||||||||
15,823 | Airbnb, Inc., Class A* | 1,409,513 | ||||||
1,717 | Booking Holdings, Inc.* | 3,003,016 | ||||||
6,116 | Caesars Entertainment, Inc.* | 234,243 | ||||||
1,175 | Chipotle Mexican Grill, Inc.* | 1,536,031 | ||||||
1,379 | Choice Hotels International, Inc. | 153,938 | ||||||
1,532 | Churchill Downs, Inc. | 293,424 | ||||||
3,819 | Darden Restaurants, Inc. | 432,005 | ||||||
1,106 | Domino’s Pizza, Inc. | 431,019 | ||||||
16,004 | DraftKings, Inc.*^ | 186,767 | ||||||
6,278 | Expedia Group, Inc.* | 595,343 | ||||||
8,374 | Hilton Worldwide Holdings, Inc. | 933,199 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
5,211 | Las Vegas Sands Corp.* | $ | 175,037 | |||||
11,599 | Marriott International, Inc., Class A | 1,577,580 | ||||||
7,593 | McDonald’s Corp. | 1,874,560 | ||||||
1,944 | Norwegian Cruise Line Holdings, Ltd.* | 21,617 | ||||||
2,576 | Planet Fitness, Inc., Class A* | 175,194 | ||||||
1,955 | Six Flags Entertainment Corp.* | 42,423 | ||||||
17,454 | Starbucks Corp. | 1,333,311 | ||||||
2,426 | Travel + Leisure Co. | 94,177 | ||||||
1,607 | Vail Resorts, Inc. | 350,406 | ||||||
7,225 | Wendy’s Co. (The) | 136,408 | ||||||
2,617 | Wyndham Hotels & Resorts, Inc. | 171,989 | ||||||
565 | Wynn Resorts, Ltd.* | 32,194 | ||||||
1,391 | Yum! Brands, Inc. | 157,892 | ||||||
|
| |||||||
15,351,286 | ||||||||
|
| |||||||
Household Durables (0.2%): | ||||||||
7,148 | DR Horton, Inc. | 473,126 | ||||||
91 | NVR, Inc.* | 364,377 | ||||||
3,944 | PulteGroup, Inc. | 156,301 | ||||||
2,437 | Toll Brothers, Inc. | 108,690 | ||||||
1,174 | TopBuild Corp.* | 196,246 | ||||||
|
| |||||||
1,298,740 | ||||||||
|
| |||||||
Household Products (1.3%): | ||||||||
4,646 | Church & Dwight Co., Inc. | 430,498 | ||||||
4,240 | Clorox Co. (The) | 597,755 | ||||||
21,526 | Colgate-Palmolive Co. | 1,725,094 | ||||||
8,433 | Kimberly-Clark Corp. | 1,139,720 | ||||||
43,050 | Procter & Gamble Co. (The) | 6,190,160 | ||||||
|
| |||||||
10,083,227 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
5,072 | AES Corp. (The) | 106,563 | ||||||
10,389 | Vistra Corp. | 237,388 | ||||||
|
| |||||||
343,951 | ||||||||
|
| |||||||
Industrial Conglomerates (0.3%): | ||||||||
1,831 | Carlisle Cos., Inc. | 436,895 | ||||||
2,593 | General Electric Co. | 165,096 | ||||||
8,465 | Honeywell International, Inc. | 1,471,302 | ||||||
|
| |||||||
2,073,293 | ||||||||
|
| |||||||
Insurance (1.2%): | ||||||||
79 | Alleghany Corp.* | 65,815 | ||||||
8,378 | Aon plc, Class A | 2,259,379 | ||||||
4,948 | Arch Capital Group, Ltd.* | 225,085 | ||||||
1,002 | Arthur J. Gallagher & Co. | 163,366 | ||||||
949 | Brown & Brown, Inc. | 55,365 | ||||||
823 | Erie Indemnity Co., Class A | 158,172 | ||||||
508 | Everest Re Group, Ltd. | 142,382 | ||||||
1,604 | Lincoln National Corp. | 75,019 | ||||||
129 | Markel Corp.* | 166,829 | ||||||
18,924 | Marsh & McLennan Cos., Inc. | 2,937,951 | ||||||
21,474 | Progressive Corp. (The) | 2,496,782 | ||||||
1,071 | RenaissanceRe Holdings, Ltd. | 167,472 | ||||||
3,473 | Ryan Specialty Holdings, Inc.*^ | 136,107 | ||||||
|
| |||||||
9,049,724 | ||||||||
|
|
See accompanying notes to the financial statements.
4
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services (6.9%): | ||||||||
11,064 | Alphabet, Inc., Class A* | $ | 24,111,332 | |||||
10,104 | Alphabet, Inc., Class C* | 22,101,995 | ||||||
11,276 | Match Group, Inc.* | 785,824 | ||||||
20,651 | Meta Platforms, Inc., Class A* | 3,329,974 | ||||||
5,117 | Pinterest, Inc., Class A* | 92,925 | ||||||
349 | TripAdvisor, Inc.* | 6,212 | ||||||
29,182 | Twitter, Inc.* | 1,091,115 | ||||||
11,608 | ZoomInfo Technologies, Inc.* | 385,850 | ||||||
|
| |||||||
51,905,227 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (5.5%): | ||||||||
375,816 | Amazon.com, Inc.* | 39,915,417 | ||||||
9,342 | DoorDash, Inc., Class A* | 599,476 | ||||||
3,076 | eBay, Inc. | 128,177 | ||||||
5,341 | Etsy, Inc.* | 391,015 | ||||||
1,972 | Wayfair, Inc., Class A* | 85,900 | ||||||
|
| |||||||
41,119,985 | ||||||||
|
| |||||||
IT Services (6.5%): | ||||||||
26,791 | Accenture plc, Class A | 7,438,521 | ||||||
16,207 | Automatic Data Processing, Inc. | 3,404,118 | ||||||
607 | Black Knight, Inc.* | 39,692 | ||||||
4,432 | Broadridge Financial Solutions, Inc. | 631,782 | ||||||
2,306 | EPAM Systems, Inc.* | 679,763 | ||||||
1,424 | Euronet Worldwide, Inc.* | 143,240 | ||||||
2,289 | Fiserv, Inc.* | 203,652 | ||||||
3,178 | FleetCor Technologies, Inc.* | 667,730 | ||||||
3,301 | Gartner, Inc.* | 798,281 | ||||||
4,026 | Genpact, Ltd. | 170,541 | ||||||
943 | GoDaddy, Inc., Class A* | 65,595 | ||||||
25,418 | International Business Machines Corp. | 3,588,767 | ||||||
3,065 | Jack Henry & Associates, Inc. | 551,761 | ||||||
36,398 | Mastercard, Inc., Class A | 11,482,841 | ||||||
2,655 | MongoDB, Inc.* | 688,973 | ||||||
713 | Okta, Inc.* | 64,455 | ||||||
13,627 | Paychex, Inc. | 1,551,706 | ||||||
15,077 | PayPal Holdings, Inc.* | 1,052,978 | ||||||
2,598 | Shift4 Payments, Inc., Class A* | 85,890 | ||||||
7,753 | Snowflake, Inc., Class A* | 1,078,132 | ||||||
3,615 | Switch, Inc., Class A | 121,102 | ||||||
2,386 | Teradata Corp.* | 88,306 | ||||||
3,595 | Thoughtworks Holding, Inc.*^ | 50,725 | ||||||
9,547 | Toast, Inc., Class A* | 123,538 | ||||||
2,739 | Twilio, Inc., Class A* | 229,556 | ||||||
433 | VeriSign, Inc.* | 72,454 | ||||||
69,610 | Visa, Inc., Class A | 13,705,513 | ||||||
6,042 | Western Union Co. (The.) | 99,512 | ||||||
1,271 | WEX, Inc.* | 197,717 | ||||||
1,764 | Wix.com, Ltd.* | 115,630 | ||||||
|
| |||||||
49,192,471 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
529 | Brunswick Corp. DE | 34,586 | ||||||
7,155 | Mattel, Inc.* | 159,771 | ||||||
1,627 | Polaris, Inc. | 161,529 | ||||||
3,789 | YETI Holdings, Inc.* | 163,950 | ||||||
|
| |||||||
519,836 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services (1.1%): | ||||||||
3,558 | 10X Genomics, Inc., Class A* | $ | 161,000 | |||||
11,377 | Agilent Technologies, Inc. | 1,351,246 | ||||||
23,929 | Avantor, Inc.* | 744,192 | ||||||
1,643 | Bio-Techne Corp. | 569,530 | ||||||
4,650 | Bruker Corp. | 291,834 | ||||||
1,987 | Charles River Laboratories International, Inc.* | 425,158 | ||||||
7,954 | IQVIA Holdings, Inc.* | 1,725,938 | ||||||
4,214 | Maravai LifeSciences Holdings, Inc., Class A* | 119,720 | ||||||
945 | Mettler-Toledo International, Inc.* | 1,085,588 | ||||||
4,272 | Sotera Health Co.* | 83,688 | ||||||
906 | Syneos Health, Inc.* | 64,942 | ||||||
2,018 | Thermo Fisher Scientific, Inc. | 1,096,339 | ||||||
2,547 | Waters Corp.* | 843,006 | ||||||
|
| |||||||
8,562,181 | ||||||||
|
| |||||||
Machinery (1.5%): | ||||||||
325 | AGCO Corp. | 32,077 | ||||||
3,283 | Allison Transmission Holdings, Inc. | 126,231 | ||||||
19,642 | Caterpillar, Inc. | 3,511,204 | ||||||
11,852 | Deere & Co. | �� | 3,549,318 | |||||
840 | Donaldson Co., Inc. | 40,438 | ||||||
5,073 | Graco, Inc. | 301,387 | ||||||
571 | IDEX Corp. | 103,711 | ||||||
11,776 | Illinois Tool Works, Inc. | 2,146,176 | ||||||
2,366 | Lincoln Electric Holdings, Inc. | 291,870 | ||||||
158 | Middleby Corp. (The)* | 19,807 | ||||||
572 | Nordson Corp. | 115,796 | ||||||
2,181 | Otis Worldwide Corp. | 154,131 | ||||||
1,227 | Parker-Hannifin Corp. | 301,903 | ||||||
4,589 | Toro Co. (The) | 347,800 | ||||||
1,059 | Xylem, Inc. | 82,793 | ||||||
|
| |||||||
11,124,642 | ||||||||
|
| |||||||
Media (0.4%): | ||||||||
154 | Cable One, Inc. | 198,555 | ||||||
4,888 | Charter Communications, Inc., Class A* | 2,290,175 | ||||||
409 | Liberty Broadband Corp., Class A* | 46,442 | ||||||
2,532 | Liberty Broadband Corp., Class C* | 292,800 | ||||||
1,817 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 65,503 | ||||||
881 | Liberty Media Corp-Liberty SiriusXM, Class A* | 31,751 | ||||||
149 | Nexstar Media Group, Inc., Class A | 24,269 | ||||||
|
| |||||||
2,949,495 | ||||||||
|
| |||||||
Metals & Mining (0.0%†): | ||||||||
3,832 | MP Materials Corp.* | 122,931 | ||||||
204 | Royal Gold, Inc. | 21,783 | ||||||
2,374 | Southern Copper Corp. | 118,249 | ||||||
|
| |||||||
262,963 | ||||||||
|
| |||||||
Multiline Retail (0.6%): | ||||||||
9,667 | Dollar General Corp. | 2,372,668 | ||||||
2,783 | Dollar Tree, Inc.* | 433,731 | ||||||
3,923 | Nordstrom, Inc. | 82,893 | ||||||
372 | Ollie’s Bargain Outlet Holdings, Inc.* | 21,855 | ||||||
10,789 | Target Corp. | 1,523,730 | ||||||
|
| |||||||
4,434,877 | ||||||||
|
|
See accompanying notes to the financial statements.
5
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels (1.4%): | ||||||||
8,081 | Antero Resources Corp.* | $ | 247,683 | |||||
6,152 | Cheniere Energy, Inc. | 818,400 | ||||||
1,146 | Continental Resources, Inc. | 74,891 | ||||||
5,404 | Coterra Energy, Inc. | 139,369 | ||||||
13,591 | Devon Energy Corp. | 749,000 | ||||||
4,271 | Diamondback Energy, Inc. | 517,432 | ||||||
1,293 | Enviva, Inc. | 73,985 | ||||||
18,074 | EOG Resources, Inc. | 1,996,093 | ||||||
9,314 | Hess Corp. | 986,725 | ||||||
2,035 | New Fortress Energy, Inc. | 80,525 | ||||||
28,566 | Occidental Petroleum Corp. | 1,681,966 | ||||||
2,122 | ONEOK, Inc. | 117,771 | ||||||
7,769 | Ovintiv, Inc. | 343,312 | ||||||
2,142 | PDC Energy, Inc. | 131,969 | ||||||
5,601 | Pioneer Natural Resources Co. | 1,249,471 | ||||||
7,329 | Range Resources Corp.* | 181,393 | ||||||
3,337 | Southwestern Energy Co.* | 20,856 | ||||||
9,543 | Targa Resources Corp. | 569,431 | ||||||
242 | Texas Pacific Land Corp. | 360,101 | ||||||
|
| |||||||
10,340,373 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%†): | ||||||||
595 | Louisiana-Pacific Corp. | 31,184 | ||||||
|
| |||||||
Personal Products (0.3%): | ||||||||
9,701 | Estee Lauder Cos., Inc. (The), Class A | 2,470,554 | ||||||
5,249 | Olaplex Holdings, Inc.* | 73,958 | ||||||
|
| |||||||
2,544,512 | ||||||||
|
| |||||||
Pharmaceuticals (2.4%): | ||||||||
2,300 | Catalent, Inc.* | 246,767 | ||||||
29,001 | Eli Lilly & Co. | 9,402,994 | ||||||
8,821 | Horizon Therapeutics plc* | 703,563 | ||||||
44,817 | Merck & Co., Inc. | 4,085,966 | ||||||
19,910 | Zoetis, Inc. | 3,422,330 | ||||||
|
| |||||||
17,861,620 | ||||||||
|
| |||||||
Professional Services (0.4%): | ||||||||
5,512 | Booz Allen Hamilton Holding Corp. | 498,064 | ||||||
2,374 | CoStar Group, Inc.* | 143,413 | ||||||
2,567 | Equifax, Inc. | 469,196 | ||||||
598 | FTI Consulting, Inc.* | 108,148 | ||||||
3,794 | KBR, Inc. | 183,592 | ||||||
3,919 | Robert Half International, Inc. | 293,494 | ||||||
6,113 | TransUnion | 488,979 | ||||||
6,562 | Verisk Analytics, Inc. | 1,135,817 | ||||||
|
| |||||||
3,320,703 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
6,801 | CBRE Group, Inc., Class A* | 500,622 | ||||||
8,730 | Opendoor Technologies, Inc.* | 41,118 | ||||||
150 | Zillow Group, Inc., Class A* | 4,771 | ||||||
422 | Zillow Group, Inc., Class C*^ | 13,399 | ||||||
|
| |||||||
559,910 | ||||||||
|
| |||||||
Road & Rail (1.3%): | ||||||||
23,142 | CSX Corp. | 672,507 | ||||||
3,111 | J.B. Hunt Transport Services, Inc. | 489,889 | ||||||
1,305 | Landstar System, Inc. | 189,773 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Road & Rail, continued | ||||||||
10,356 | Lyft, Inc., Class A* | $ | 137,528 | |||||
4,305 | Old Dominion Freight Line, Inc. | 1,103,285 | ||||||
69,177 | Uber Technologies, Inc.* | 1,415,362 | ||||||
26,544 | Union Pacific Corp. | 5,661,304 | ||||||
|
| |||||||
9,669,648 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (6.9%): | ||||||||
53,815 | Advanced Micro Devices, Inc.* | 4,115,233 | ||||||
1,997 | Allegro MicroSystems, Inc.* | 41,318 | ||||||
4,436 | Analog Devices, Inc. | 648,055 | ||||||
37,281 | Applied Materials, Inc. | 3,391,825 | ||||||
16,884 | Broadcom, Inc. | 8,202,416 | ||||||
5,529 | Enphase Energy, Inc.* | 1,079,482 | ||||||
5,719 | Entegris, Inc. | 526,891 | ||||||
639 | GLOBALFOUNDRIES, Inc.*^ | 25,777 | ||||||
6,308 | KLA Corp. | 2,012,757 | ||||||
5,858 | Lam Research Corp. | 2,496,387 | ||||||
5,731 | Lattice Semiconductor Corp.* | 277,954 | ||||||
19,413 | Microchip Technology, Inc. | 1,127,507 | ||||||
8,912 | Micron Technology, Inc. | 492,655 | ||||||
1,917 | Monolithic Power Systems, Inc. | 736,205 | ||||||
101,827 | NVIDIA Corp. | 15,435,955 | ||||||
11,437 | ON Semiconductor Corp.* | 575,395 | ||||||
47,378 | Qualcomm, Inc. | 6,052,066 | ||||||
6,131 | Teradyne, Inc. | 549,031 | ||||||
26,705 | Texas Instruments, Inc. | 4,103,223 | ||||||
1,740 | Universal Display Corp. | 175,984 | ||||||
|
| |||||||
52,066,116 | ||||||||
|
| |||||||
Software (17.0%): | ||||||||
19,953 | Adobe, Inc.* | 7,303,995 | ||||||
2,283 | Alteryx, Inc., Class A* | 110,543 | ||||||
1,936 | ANSYS, Inc.* | 463,265 | ||||||
9,501 | AppLovin Corp., Class A*^ | 327,214 | ||||||
1,121 | Aspen Technology, Inc.* | 205,905 | ||||||
5,780 | Atlassian Corp. plc, Class A* | 1,083,172 | ||||||
9,197 | Autodesk, Inc.* | 1,581,516 | ||||||
3,581 | Avalara, Inc.* | 252,819 | ||||||
7,120 | Bentley Systems, Inc., Class B | 237,096 | ||||||
11,526 | Cadence Design Systems, Inc.* | 1,729,246 | ||||||
2,771 | CCC Intelligent Solutions Holdings, Inc.* | 25,493 | ||||||
4,087 | CDK Global, Inc. | 223,845 | ||||||
1,098 | Ceridian HCM Holding, Inc.* | 51,694 | ||||||
2,501 | Citrix Systems, Inc. | 243,022 | ||||||
11,802 | Cloudflare, Inc., Class A* | 516,338 | ||||||
5,245 | Confluent, Inc., Class A*^ | 121,894 | ||||||
1,767 | Coupa Software, Inc.* | 100,896 | ||||||
8,972 | Crowdstrike Holdings, Inc., Class A* | 1,512,320 | ||||||
10,918 | Datadog, Inc., Class A* | 1,039,830 | ||||||
8,164 | DocuSign, Inc.* | 468,450 | ||||||
2,438 | DoubleVerify Holdings, Inc.* | 55,269 | ||||||
11,033 | Dropbox, Inc., Class A* | 231,583 | ||||||
8,701 | Dynatrace, Inc.* | 343,167 | ||||||
3,037 | Elastic NV* | 205,514 | ||||||
1,065 | Fair Isaac Corp.* | 426,959 | ||||||
2,879 | Five9, Inc.* | 262,392 | ||||||
27,708 | Fortinet, Inc.* | 1,567,719 | ||||||
1,680 | Globant SA* | 292,320 |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
1,923 | HubSpot, Inc.* | $ | 578,150 | |||||
11,652 | Intuit, Inc. | 4,491,147 | ||||||
2,228 | Jamf Holding Corp.* | 55,188 | ||||||
1,787 | Manhattan Associates, Inc.* | 204,790 | ||||||
316,379 | Microsoft Corp. | 81,255,619 | ||||||
471 | nCino, Inc.* | 14,563 | ||||||
1,937 | New Relic, Inc.* | 96,947 | ||||||
8,536 | NortonLifeLock, Inc. | 187,451 | ||||||
4,633 | Nutanix, Inc., Class A* | 67,781 | ||||||
43,941 | Oracle Corp. | 3,070,158 | ||||||
76,667 | Palantir Technologies, Inc., Class A* | 695,370 | ||||||
4,094 | Palo Alto Networks, Inc.* | 2,022,190 | ||||||
2,226 | Paycom Software, Inc.* | 623,547 | ||||||
1,616 | Paylocity Holding Corp.* | 281,863 | ||||||
1,841 | Pegasystems, Inc. | 88,073 | ||||||
2,022 | Procore Technologies, Inc.* | 91,779 | ||||||
4,448 | PTC, Inc.* | 473,000 | ||||||
3,562 | RingCentral, Inc., Class A* | 186,150 | ||||||
8,708 | Salesforce, Inc.* | 1,437,168 | ||||||
5,090 | SentinelOne, Inc., Class A*^ | 118,750 | ||||||
8,466 | ServiceNow, Inc.* | 4,025,752 | ||||||
5,315 | Smartsheet, Inc., Class A* | 167,050 | ||||||
6,798 | Splunk, Inc.* | 601,351 | ||||||
6,441 | Synopsys, Inc.* | 1,956,132 | ||||||
18,537 | The Trade Desk, Inc., Class A* | 776,515 | ||||||
1,511 | Tyler Technologies, Inc.* | 502,377 | ||||||
1,450 | UiPath, Inc., Class A* | 26,375 | ||||||
5,921 | Unity Software, Inc.*^ | 218,011 | ||||||
4,298 | VMware, Inc., Class A | 489,886 | ||||||
8,229 | Workday, Inc., Class A* | 1,148,604 | ||||||
4,900 | Zendesk, Inc.* | 362,943 | ||||||
5,377 | Zoom Video Communications, Inc., Class A* | 580,555 | ||||||
3,539 | Zscaler, Inc.* | 529,116 | ||||||
|
| |||||||
128,407,827 | ||||||||
|
| |||||||
Specialty Retail (2.7%): | ||||||||
204 | Advance Auto Parts, Inc. | 35,310 | ||||||
760 | AutoZone, Inc.* | 1,633,331 | ||||||
2,777 | Best Buy Co., Inc. | 181,033 | ||||||
2,606 | Burlington Stores, Inc.* | 355,015 | ||||||
792 | CarMax, Inc.* | 71,660 | ||||||
4,510 | Carvana Co.*^ | 101,836 | ||||||
2,224 | Five Below, Inc.* | 252,268 | ||||||
4,389 | Floor & Decor Holdings, Inc., Class A* | 276,332 | ||||||
25,339 | Home Depot, Inc. (The) | 6,949,728 | ||||||
5,011 | Leslie’s, Inc.* | 76,067 | ||||||
24,135 | Lowe’s Cos., Inc. | 4,215,661 | ||||||
1,126 | O’Reilly Automotive, Inc.* | 711,362 | ||||||
275 | RH* | 58,372 | ||||||
6,183 | Ross Stores, Inc. | 434,232 | ||||||
49,639 | TJX Cos., Inc. (The) | 2,772,338 | ||||||
4,725 | Tractor Supply Co. | 915,941 | ||||||
2,171 | Ulta Beauty, Inc.* | 836,877 | ||||||
2,858 | Victoria’s Secret & Co.* | 79,938 | ||||||
2,292 | Williams-Sonoma, Inc. | 254,297 | ||||||
|
| |||||||
20,211,598 | ||||||||
|
|
Shares or | Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals (11.9%): | ||||||||
646,550 | Apple, Inc. | $ | 88,396,316 | |||||
1,728 | Dell Technologies, Inc., Class C | 79,851 | ||||||
20,435 | HP, Inc. | 669,859 | ||||||
279 | NCR Corp.* | 8,680 | ||||||
9,397 | NetApp, Inc. | 613,060 | ||||||
11,777 | Pure Storage, Inc., Class A* | 302,787 | ||||||
|
| |||||||
90,070,553 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.9%): | ||||||||
1,008 | Deckers Outdoor Corp.* | 257,393 | ||||||
4,718 | Lululemon Athletica, Inc.* | 1,286,174 | ||||||
51,809 | NIKE, Inc., Class B | 5,294,880 | ||||||
734 | Skechers U.S.A., Inc., Class A* | 26,115 | ||||||
1,506 | Tapestry, Inc. | 45,963 | ||||||
|
| |||||||
6,910,525 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
1,773 | Rocket Cos., Inc., Class A^ | 13,049 | ||||||
6,859 | UWM Holdings Corp. | 24,281 | ||||||
|
| |||||||
37,330 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.4%): | ||||||||
211 | Core & Main, Inc., Class A* | 4,705 | ||||||
24,317 | Fastenal Co. | 1,213,905 | ||||||
1,252 | SiteOne Landscape Supply, Inc.* | 148,825 | ||||||
1,385 | United Rentals, Inc.* | 336,430 | ||||||
1,925 | W.W. Grainger, Inc. | 874,778 | ||||||
736 | Watsco, Inc. | 175,772 | ||||||
995 | WESCO International, Inc.* | 106,564 | ||||||
|
| |||||||
2,860,979 | ||||||||
|
| |||||||
Total Common Stocks (Cost $393,843,561) | 746,299,579 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.4%): | ||||||||
3,057,781 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(a)(b) | 3,057,781 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 3,057,781 | ||||||
|
| |||||||
Unaffiliated Investment Company (1.0%): | ||||||||
Money Markets (1.0%): | ||||||||
7,759,548 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(b) | 7,759,548 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $7,759,548) | 7,759,548 | |||||||
|
| |||||||
Total Investment Securities (Cost $404,660,890) — 100.4% | 757,116,908 | |||||||
Net other assets (liabilities) — (0.4)% | (2,789,228 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 754,327,680 | ||||||
|
|
See accompanying notes to the financial statements.
7
AZL Russell 1000 Growth Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2022.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $2,865,163. |
† | Represents less than 0.05%. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
(b) | The rate represents the effective yield at June 30, 2022. |
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
NASDAQ 100 E-Mini September Futures (U.S. Dollar) | 9/16/22 | 28 | $ | 6,456,520 | $ | (189,141 | ) | |||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/16/22 | 10 | 1,894,750 | (33,741 | ) | |||||||||||
|
| |||||||||||||||
$ | (222,882 | ) | ||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investments, at cost | $ | 404,660,890 | |||
|
| ||||
Investments, at value(a) | $ | 757,116,908 | |||
Deposit at broker for futures contracts collateral | 531,200 | ||||
Interest and dividends receivable | 294,417 | ||||
Receivable for capital shares issued | 95,832 | ||||
Receivable for investments sold | 19,000 | ||||
Reclaims receivable | 1,033 | ||||
Receivable from Manager | 57,778 | ||||
Prepaid expenses | 3,140 | ||||
|
| ||||
Total Assets | 758,119,308 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 1,896 | ||||
Payable for collateral received on loaned securities | 3,057,781 | ||||
Payable for variation margin on futures contracts | 109,466 | ||||
Manager fees payable | 282,467 | ||||
Administration fees payable | 117,415 | ||||
Distribution fees payable | 149,031 | ||||
Custodian fees payable | 2,478 | ||||
Administrative and compliance services fees payable | 990 | ||||
Transfer agent fees payable | 2,296 | ||||
Trustee fees payable | 8,740 | ||||
Other accrued liabilities | 59,068 | ||||
|
| ||||
Total Liabilities | 3,791,628 | ||||
|
| ||||
Net Assets | $ | 754,327,680 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 210,746,177 | |||
Total distributable earnings | 543,581,503 | ||||
|
| ||||
Net Assets | $ | 754,327,680 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 53,989,222 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 4,890,842 | ||||
Net Asset Value (offering and redemption price per share) | $ | 11.04 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 700,338,458 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 41,469,466 | ||||
Net Asset Value (offering and redemption price per share) | $ | 16.89 | |||
|
|
(a) | Includes securities on loan of $2,865,163. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 3,936,640 | |||
Income from securities lending | 19,248 | ||||
Foreign withholding tax | (1,065 | ) | |||
|
| ||||
Total Investment Income | 3,954,823 | ||||
|
| ||||
Expenses: | |||||
Management fees | 1,994,842 | ||||
Administration fees | 85,852 | ||||
Distribution fees — Class 2 | 1,051,545 | ||||
Custodian fees | 9,522 | ||||
Administrative and compliance services fees | 5,596 | ||||
Transfer agent fees | 5,686 | ||||
Trustee fees | 22,136 | ||||
Professional fees | 17,697 | ||||
Licensing fees | 89,513 | ||||
Shareholder reports | 12,744 | ||||
Other expenses | 9,563 | ||||
|
| ||||
Total expenses before reductions | 3,304,696 | ||||
Less expense contractually waived | (408,043 | ) | |||
|
| ||||
Net expenses | 2,896,653 | ||||
|
| ||||
Net Investment Income/(Loss) | 1,058,170 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 31,434,257 | ||||
Net realized gains/(losses) on futures contracts | (1,089,090 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (339,987,479 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (230,683 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (309,872,995 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (308,814,825 | ) | ||
|
|
See accompanying notes to the financial statements.
9
AZL Russell 1000 Growth Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 1,058,170 | $ | 826,724 | ||||||
Net realized gains/(losses) on investments | 30,345,167 | 161,785,915 | ||||||||
Change in unrealized appreciation/depreciation on investments | (340,218,162 | ) | 103,078,858 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (308,814,825 | ) | 265,691,497 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (13,301,296 | ) | |||||||
Class 2 | — | (119,314,081 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (132,615,377 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 72,169 | 184,490 | ||||||||
Proceeds from dividends reinvested | — | 13,301,296 | ||||||||
Value of shares redeemed | (4,801,752 | ) | (8,469,958 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (4,729,583 | ) | 5,015,828 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 4,848,310 | 52,822,423 | ||||||||
Proceeds from dividends reinvested | — | 119,314,081 | ||||||||
Value of shares redeemed | (54,737,741 | ) | (258,720,459 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (49,889,431 | ) | (86,583,955 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (54,619,014 | ) | (81,568,127 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (363,433,839 | ) | 51,507,993 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,117,761,519 | 1,066,253,526 | ||||||||
|
|
|
| |||||||
End of period | $ | 754,327,680 | $ | 1,117,761,519 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 6,060 | 12,137 | ||||||||
Dividends reinvested | — | 956,928 | ||||||||
Shares redeemed | (375,748 | ) | (539,566 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (369,688 | ) | 429,499 | |||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 246,817 | 2,417,820 | ||||||||
Dividends reinvested | — | 5,601,600 | ||||||||
Shares redeemed | (2,781,846 | ) | (11,158,495 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (2,535,029 | ) | (3,139,075 | ) | ||||||
|
|
|
| |||||||
Change in shares | (2,904,717 | ) | (2,709,576 | ) | ||||||
|
|
|
|
Amounts | shown as “—” are either $0 or rounds to less than $1. |
See accompanying notes to the financial statements.
10
AZL Russell 1000 Growth Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.38 | $ | 14.68 | $ | 11.46 | $ | 10.12 | $ | 11.74 | $ | 10.28 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.03 | (a) | 0.05 | (a) | 0.07 | (a) | 0.10 | (a) | 0.13 | 0.14 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (4.37 | ) | 3.62 | 4.28 | 3.28 | (0.20 | ) | 2.73 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (4.34 | ) | 3.67 | 4.35 | 3.38 | (0.07 | ) | 2.87 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.12 | ) | (0.15 | ) | (0.18 | ) | (0.20 | ) | (0.05 | ) | |||||||||||||||||||
Net Realized Gains | — | (2.85 | ) | (0.98 | ) | (1.86 | ) | (1.35 | ) | (1.36 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (2.97 | ) | (1.13 | ) | (2.04 | ) | (1.55 | ) | (1.41 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 11.04 | $ | 15.38 | $ | 14.68 | $ | 11.46 | $ | 10.12 | $ | 11.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (28.22 | )%(c) | 27.14 | % | 39.03 | % | 35.53 | % | (1.86 | )% | 29.19 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 53,989 | $ | 80,919 | $ | 70,903 | $ | 57,430 | $ | 48,665 | $ | 55,307 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.47 | % | 0.31 | % | 0.56 | % | 0.86 | % | 0.96 | % | 1.04 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.50 | % | 0.51 | % | 0.52 | % | 0.51 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.41 | % | 0.42 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.45 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 18 | % | 22 | % | 15 | % | 17 | % | 12 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 23.56 | $ | 21.11 | $ | 16.10 | $ | 13.53 | $ | 15.21 | $ | 12.99 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.02 | (a) | 0.01 | (a) | 0.06 | (a) | 0.10 | (a) | 0.15 | 0.13 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (6.69 | ) | 5.35 | 6.04 | 4.46 | (0.33 | ) | 3.49 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (6.67 | ) | 5.36 | 6.10 | 4.56 | (0.18 | ) | 3.62 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.06 | ) | (0.11 | ) | (0.13 | ) | (0.15 | ) | (0.04 | ) | |||||||||||||||||||
Net Realized Gains | — | (2.85 | ) | (0.98 | ) | (1.86 | ) | (1.35 | ) | (1.36 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (2.91 | ) | (1.09 | ) | (1.99 | ) | (1.50 | ) | (1.40 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 16.89 | $ | 23.56 | $ | 21.11 | $ | 16.10 | $ | 13.53 | $ | 15.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (28.31 | )%(c) | 26.87 | % | 38.58 | % | 35.28 | % | (2.14 | )% | 28.89 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 700,338 | $ | 1,036,843 | $ | 995,350 | $ | 871,046 | $ | 775,621 | $ | 1,046,158 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.22 | % | 0.06 | % | 0.31 | % | 0.61 | % | 0.71 | % | 0.79 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.75 | % | 0.76 | % | 0.77 | % | 0.76 | % | 0.75 | % | 0.75 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.66 | % | 0.67 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.70 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 18 | % | 22 | % | 15 | % | 17 | % | 12 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
11
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Private Placements
The Fund may invest in private placement securities which are securities issued by corporations without registration under the Securities Act of 1933, as amended (the “1933 Act”), in reliance on a “private placement” exemption. These unregistered securities may be restricted and generally are sold to institutional investors, such as the Fund, who agree that they are purchasing the securities for investment and not with a view to public distribution. Unregistered securities are normally resold to other institutional investors through or with the assistance of the issuer or investment dealers who make a market in such securities.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
12
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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 Trust, Allianz Variable Insurance Products Fund of Funds Trust, and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,935 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $3,057,781 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $6.4 million. There was no short contract activity during the period. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.
13
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | — | Payable for variation margin on futures contracts* | $ | 222,882 |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as “Variation margin on futures contracts”. |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (1,089,090 | ) | $ | (230,683 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Russell 1000 Growth Index Fund, Class 1 | 0.44 | % | 0.59 | % | ||||||
AZL Russell 1000 Growth Index Fund, Class 2 | 0.44 | % | 0.84 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.35% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
14
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 746,299,579 | $ | — | $ | — | $ | 746,299,579 | ||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 3,057,781 | — | — | 3,057,781 | ||||||||||||||||
Unaffiliated Investment Company | 7,759,548 | — | — | 7,759,548 | ||||||||||||||||
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Total Investment Securities | 757,116,908 | — | — | 757,116,908 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | (222,882 | ) | — | — | (222,882 | ) | ||||||||||||||
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Total Investments | $ | 756,894,026 | $ | — | $ | — | $ | 756,894,026 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 99,876,635 | $ | 155,859,478 |
15
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Concentration Risk: The Fund may be susceptible to an increased risk of loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the extent that the Fund’s investments are concentrated in the securities of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset class.
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Technology Sector Risk: Technology companies, including information technology companies, may have limited product lines, markets, financial resources or personnel. Technology companies typically face intense competition and potentially rapid product obsolescence. They are also heavily dependent on intellectual property rights and may be adversely affected by the loss or impairment of those rights.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $430,936,581. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 701,294,357 | ||
Unrealized (depreciation) | (11,266,899 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 690,027,458 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Growth Index Fund | $ | 3,119,928 | $ | 129,495,449 | $ | 132,615,377 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
16
AZL Russell 1000 Growth Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
At December 31, 2021, 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 | $ | 4,770,547 | $ | 157,598,323 | $ | — | $ | 690,027,458 | $ | 852,396,328 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market on futures contracts and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 55% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
18
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Russell 1000 Value Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 12 |
Page 12 |
Statements of Changes in Net Assets Page 13 |
Page 14 |
Notes to the Financial Statements Page 15 |
Page 20 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 21 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Russell 1000 Value Index Fund
(Unaudited)
As a shareholder of the AZL Russell 1000 Value Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 869.80 | $ | 1.90 | 0.41 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 868.50 | $ | 3.06 | 0.66 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Russell 1000 Value Index Fund, Class 1 | $ | 1,000.00 | $ | 1,022.76 | $ | 2.06 | 0.41 | % | ||||||||||||
AZL Russell 1000 Value Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | 0.66 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 19.6 | % | |||
Health Care | 17.1 | ||||
Industrials | 10.1 | ||||
Information Technology | 8.8 | ||||
Communication Services | 8.5 | ||||
Consumer Staples | 7.3 | ||||
Energy | 7.2 | ||||
Utilities | 5.9 | ||||
Consumer Discretionary | 5.7 | ||||
Real Estate | 5.0 | ||||
Materials | 4.2 | ||||
|
| ||||
Total Common Stocks | 99.4 | ||||
Unaffiliated Investment Company | 0.5 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.5 | ||||
|
| ||||
Total Investment Securities | 100.4 | ||||
Net other assets (liabilities) | (0.4 | ) | |||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.4%): | ||||||||
Aerospace & Defense (2.4%): | ||||||||
814 | Axon Enterprise, Inc.* | $ | 75,840 | |||||
20,188 | Boeing Co. (The)* | 2,760,103 | ||||||
2,970 | BWX Technologies, Inc. | 163,617 | ||||||
2,139 | Curtiss-Wright Corp. | 282,476 | ||||||
13,118 | General Dynamics Corp. | 2,902,358 | ||||||
151 | HEICO Corp. | 19,799 | ||||||
266 | HEICO Corp., Class A | 28,031 | ||||||
4,128 | Hexcel Corp. | 215,936 | ||||||
18,136 | Howmet Aerospace, Inc. | 570,377 | ||||||
1,642 | Huntington Ingalls Industries, Inc. | 357,661 | ||||||
10,286 | L3harris Technologies, Inc. | 2,486,126 | ||||||
2,886 | Mercury Systems, Inc.* | 185,656 | ||||||
6,897 | Northrop Grumman Corp. | 3,300,697 | ||||||
79,513 | Raytheon Technologies Corp. | 7,641,995 | ||||||
285 | Spirit AeroSystems Holdings, Inc., Class A | 8,351 | ||||||
11,637 | Textron, Inc. | 710,672 | ||||||
1,722 | TransDigm Group, Inc.* | 924,146 | ||||||
|
| |||||||
22,633,841 | ||||||||
|
| |||||||
Air Freight & Logistics (0.6%): | ||||||||
4,888 | C.H. Robinson Worldwide, Inc. | 495,497 | ||||||
6,162 | Expeditors International of Washington, Inc. | 600,549 | ||||||
12,834 | FedEx Corp. | 2,909,596 | ||||||
5,026 | GXO Logistics, Inc.* | 217,475 | ||||||
4,245 | United Parcel Service, Inc., Class B | 774,882 | ||||||
5,051 | XPO Logistics, Inc.* | 243,256 | ||||||
|
| |||||||
5,241,255 | ||||||||
|
| |||||||
Airlines (0.3%): | ||||||||
6,403 | Alaska Air Group, Inc.* | 256,440 | ||||||
33,761 | American Airlines Group, Inc.*^ | 428,090 | ||||||
1,589 | Copa Holdings SA, Class A* | 100,695 | ||||||
16,728 | JetBlue Airways Corp.* | 140,013 | ||||||
31,513 | Southwest Airlines Co.* | 1,138,250 | ||||||
16,915 | United Airlines Holdings, Inc.* | 599,129 | ||||||
|
| |||||||
2,662,617 | ||||||||
|
| |||||||
Auto Components (0.2%): | ||||||||
10,792 | Aptiv plc* | 961,243 | ||||||
12,296 | BorgWarner, Inc. | 410,318 | ||||||
12,840 | Gentex Corp. | 359,135 | ||||||
3,080 | Lear Corp. | 387,741 | ||||||
13,005 | QuantumScape Corp.*^ | 111,713 | ||||||
|
| |||||||
2,230,150 | ||||||||
|
| |||||||
Automobiles (0.6%): | ||||||||
210,398 | Ford Motor Co. | 2,341,730 | ||||||
77,748 | General Motors Co.* | 2,469,276 | ||||||
7,172 | Harley-Davidson, Inc. | 227,066 | ||||||
1,727 | Lucid Group, Inc.*^ | 29,635 | ||||||
9,462 | Rivian Automotive, Inc.*^ | 243,552 | ||||||
2,810 | Thor Industries, Inc. | 209,991 | ||||||
|
| |||||||
5,521,250 | ||||||||
|
| |||||||
Banks (7.1%): | ||||||||
375,553 | Bank of America Corp. | 11,690,965 | ||||||
1,905 | Bank of Hawaii Corp. | 141,732 | ||||||
5,830 | Bank OZK | 218,800 | ||||||
1,587 | BOK Financial Corp. | 119,945 | ||||||
105,260 | Citigroup, Inc. | 4,840,907 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
26,082 | Citizens Financial Group, Inc. | $ | 930,867 | |||||
6,675 | Comerica, Inc. | 489,811 | ||||||
5,650 | Commerce Bancshares, Inc. | 370,923 | ||||||
3,132 | Cullen/Frost Bankers, Inc. | 364,721 | ||||||
7,392 | East West Bancorp, Inc. | 479,002 | ||||||
18,027 | F.N.B. Corp. | 195,773 | ||||||
36,347 | Fifth Third Bancorp | 1,221,259 | ||||||
491 | First Citizens BancShares, Inc., Class A | 321,006 | ||||||
6,558 | First Hawaiian, Inc. | 148,932 | ||||||
27,203 | First Horizon Corp. | 594,658 | ||||||
9,550 | First Republic Bank | 1,377,110 | ||||||
75,602 | Huntington Bancshares, Inc. | 909,492 | ||||||
155,697 | JPMorgan Chase & Co. | 17,533,039 | ||||||
48,879 | KeyCorp | 842,185 | ||||||
9,509 | M&T Bank Corp. | 1,515,640 | ||||||
6,557 | PacWest Bancorp | 174,810 | ||||||
3,811 | Pinnacle Financial Partners, Inc. | 275,573 | ||||||
22,192 | PNC Financial Services Group, Inc. (The) | 3,501,232 | ||||||
3,973 | Popular, Inc. | 305,643 | ||||||
4,490 | Prosperity Bancshares, Inc. | 306,532 | ||||||
50,800 | Regions Financial Corp. | 952,500 | ||||||
3,134 | Signature Bank | 561,644 | ||||||
1,135 | SVB Financial Group* | 448,314 | ||||||
7,659 | Synovus Financial Corp. | 276,107 | ||||||
70,970 | Truist Financial Corp. | 3,366,107 | ||||||
71,641 | U.S. Bancorp | 3,296,919 | ||||||
12,073 | Umpqua Holdings Corp. | 202,464 | ||||||
9,198 | Webster Financial Corp. | 387,696 | ||||||
202,525 | Wells Fargo & Co. | 7,932,904 | ||||||
2,187 | Western Alliance Bancorp | 154,402 | ||||||
3,120 | Wintrust Financial Corp. | 250,068 | ||||||
7,581 | Zions Bancorp | 385,873 | ||||||
|
| |||||||
67,085,555 | ||||||||
|
| |||||||
Beverages (1.0%): | ||||||||
1,395 | Brown-Forman Corp., Class A | 94,358 | ||||||
4,032 | Brown-Forman Corp., Class B | 282,885 | ||||||
52,195 | Coca-Cola Co. (The) | 3,283,587 | ||||||
8,270 | Constellation Brands, Inc., Class C | 1,927,406 | ||||||
45,821 | Keurig Dr Pepper, Inc. | 1,621,605 | ||||||
9,262 | Molson Coors Brewing Co., Class B | 504,872 | ||||||
1,557 | Monster Beverage Corp.* | 144,334 | ||||||
11,473 | PepsiCo, Inc. | 1,912,090 | ||||||
|
| |||||||
9,771,137 | ||||||||
|
| |||||||
Biotechnology (1.5%): | ||||||||
4,567 | Amgen, Inc. | 1,111,151 | ||||||
7,758 | Biogen, Inc.* | 1,582,167 | ||||||
9,840 | BioMarin Pharmaceutical, Inc.* | 815,441 | ||||||
7,647 | Exact Sciences Corp.* | 301,215 | ||||||
1,631 | Exelixis, Inc.* | 33,958 | ||||||
66,731 | Gilead Sciences, Inc. | 4,124,643 | ||||||
1,234 | Incyte Corp.* | 93,747 | ||||||
498 | Ionis Pharmaceuticals, Inc.* | 18,436 | ||||||
2,285 | Mirati Therapeutics, Inc.* | 153,392 | ||||||
17,266 | Moderna, Inc.* | 2,466,448 | ||||||
243 | Natera, Inc.* | 8,612 | ||||||
4,725 | Regeneron Pharmaceuticals, Inc.* | 2,793,089 |
See accompanying notes to the financial statements.
2
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Biotechnology, continued | ||||||||
846 | Repligen Corp.* | $ | 137,390 | |||||
1,019 | Ultragenyx Pharmaceutical, Inc.* | 60,794 | ||||||
2,353 | United Therapeutics Corp.* | 554,461 | ||||||
766 | Vertex Pharmaceuticals, Inc.* | 215,851 | ||||||
|
| |||||||
14,470,795 | ||||||||
|
| |||||||
Building Products (0.7%): | ||||||||
5,205 | A. O. Smith Corp. | 284,610 | ||||||
1,010 | Allegion plc | 98,879 | ||||||
1,116 | Armstrong World Industries, Inc. | 83,655 | ||||||
6,030 | AZEK Co., Inc. (The)* | 100,942 | ||||||
9,166 | Builders FirstSource, Inc.* | 492,214 | ||||||
45,292 | Carrier Global Corp. | 1,615,113 | ||||||
4,560 | Fortune Brands Home & Security, Inc. | 273,053 | ||||||
37,116 | Johnson Controls International plc | 1,777,114 | ||||||
1,711 | Lennox International, Inc. | 353,476 | ||||||
11,905 | Masco Corp. | 602,393 | ||||||
5,188 | Owens Corning | 385,520 | ||||||
5,223 | Trane Technologies plc | 678,311 | ||||||
|
| |||||||
6,745,280 | ||||||||
|
| |||||||
Capital Markets (4.6%): | ||||||||
2,071 | Affiliated Managers Group, Inc. | 241,479 | ||||||
2,126 | Ameriprise Financial, Inc. | 505,308 | ||||||
39,198 | Bank of New York Mellon Corp. (The) | 1,634,948 | ||||||
7,995 | BlackRock, Inc., Class A+ | 4,869,275 | ||||||
11,041 | Carlyle Group, Inc. (The) | 349,558 | ||||||
5,426 | Cboe Global Markets, Inc. | 614,169 | ||||||
36,167 | Charles Schwab Corp. (The) | 2,285,031 | ||||||
19,063 | CME Group, Inc. | 3,902,196 | ||||||
8,279 | Coinbase Global, Inc.*^ | 389,278 | ||||||
1,943 | Evercore, Inc., Class A | 181,884 | ||||||
14,800 | Franklin Resources, Inc.^ | 344,988 | ||||||
17,787 | Goldman Sachs Group, Inc. (The) | 5,283,095 | ||||||
4,940 | Interactive Brokers Group, Inc., Class A | 271,749 | ||||||
29,502 | Intercontinental Exchange, Inc. | 2,774,368 | ||||||
19,865 | Invesco, Ltd. | 320,422 | ||||||
7,344 | Janus Henderson Group plc | 172,657 | ||||||
30,555 | KKR & Co., Inc., Class A | 1,414,391 | ||||||
4,898 | Lazard, Ltd., Class A^ | 158,744 | ||||||
469 | Moody’s Corp. | 127,554 | ||||||
68,065 | Morgan Stanley | 5,177,024 | ||||||
171 | Morningstar, Inc. | 41,353 | ||||||
1,038 | MSCI, Inc. | 427,812 | ||||||
6,127 | Nasdaq, Inc. | 934,613 | ||||||
10,836 | Northern Trust Corp. | 1,045,457 | ||||||
9,548 | Raymond James Financial, Inc. | 853,687 | ||||||
29,677 | Robinhood Markets, Inc.* | 243,945 | ||||||
18,161 | S&P Global, Inc. | 6,121,347 | ||||||
5,398 | SEI Investments Co. | 291,600 | ||||||
19,174 | State Street Corp. | 1,182,077 | ||||||
5,529 | Stifel Financial Corp. | 309,735 | ||||||
11,956 | T. Rowe Price Group, Inc. | 1,358,321 | ||||||
2,116 | Tradeweb Markets, Inc., Class A | 144,417 | ||||||
4,556 | Virtu Financial, Inc., Class A | 106,656 | ||||||
|
| |||||||
44,079,138 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals (2.5%): | ||||||||
11,820 | Air Products & Chemicals, Inc. | $ | 2,842,474 | |||||
3,032 | Albemarle Corp. | 633,627 | ||||||
2,596 | Ashland Global Holdings, Inc. | 267,518 | ||||||
9,285 | Axalta Coating Systems, Ltd.* | 205,291 | ||||||
5,784 | Celanese Corp. | 680,256 | ||||||
3,774 | Chemours Co. (The) | 120,844 | ||||||
38,595 | Corteva, Inc. | 2,089,533 | ||||||
38,707 | Dow, Inc. | 1,997,668 | ||||||
26,896 | DuPont de Nemours, Inc. | 1,494,880 | ||||||
7,012 | Eastman Chemical Co. | 629,467 | ||||||
1,700 | Ecolab, Inc. | 261,392 | ||||||
12,271 | Element Solutions, Inc. | 218,424 | ||||||
4,416 | FMC Corp. | 472,556 | ||||||
34,772 | Ginkgo Bioworks Holdings, Inc.* | 82,757 | ||||||
10,654 | Huntsman Corp. | 302,041 | ||||||
13,562 | International Flavors & Fragrances, Inc. | 1,615,506 | ||||||
21,223 | Linde plc | 6,102,249 | ||||||
13,728 | Lyondellbasell Industries NV | 1,200,651 | ||||||
16,960 | Mosaic Co. (The) | 801,021 | ||||||
309 | NewMarket Corp. | 92,997 | ||||||
7,450 | Olin Corp. | 344,786 | ||||||
5,904 | PPG Industries, Inc. | 675,063 | ||||||
6,469 | RPM International, Inc. | 509,240 | ||||||
1,410 | Scotts Miracle-Gro Co. (The) | 111,376 | ||||||
1,756 | Westlake Corp. | 172,123 | ||||||
|
| |||||||
23,923,740 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.3%): | ||||||||
11,118 | ADT, Inc. | 68,376 | ||||||
262 | Cintas Corp. | 97,865 | ||||||
2,659 | Clean Harbors, Inc.* | 233,114 | ||||||
3,136 | Driven Brands Holdings, Inc.* | 86,365 | ||||||
1,218 | IAA, Inc.* | 39,914 | ||||||
1,329 | MSA Safety, Inc. | 160,902 | ||||||
10,326 | Republic Services, Inc. | 1,351,364 | ||||||
722 | Rollins, Inc. | 25,212 | ||||||
4,811 | Stericycle, Inc.* | 210,962 | ||||||
1,676 | Tetra Tech, Inc. | 228,858 | ||||||
1,398 | Waste Management, Inc. | 213,866 | ||||||
|
| |||||||
2,716,798 | ||||||||
|
| |||||||
Communications Equipment (1.4%): | ||||||||
8,072 | Ciena Corp.* | 368,890 | ||||||
221,996 | Cisco Systems, Inc. | 9,465,909 | ||||||
3,182 | F5, Inc.* | 486,973 | ||||||
17,044 | Juniper Networks, Inc. | 485,754 | ||||||
3,624 | Lumentum Holdings, Inc.* | 287,818 | ||||||
8,763 | Motorola Solutions, Inc. | 1,836,725 | ||||||
226 | Ubiquiti, Inc.^ | 56,096 | ||||||
4,027 | ViaSat, Inc.* | 123,347 | ||||||
|
| |||||||
13,111,512 | ||||||||
|
| |||||||
Construction & Engineering (0.2%): | ||||||||
6,917 | AECOM | 451,127 | ||||||
3,480 | MasTec, Inc.* | 249,377 | ||||||
3,451 | Quanta Services, Inc. | 432,548 | ||||||
1,082 | Valmont Industries, Inc. | 243,050 | ||||||
5,415 | WillScot Mobile Mini Holdings Corp.* | 175,554 | ||||||
|
| |||||||
1,551,656 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Construction Materials (0.2%): | ||||||||
356 | Eagle Materials, Inc. | $ | 39,139 | |||||
3,023 | Martin Marietta Materials, Inc. | 904,602 | ||||||
3,621 | Vulcan Materials Co. | 514,544 | ||||||
|
| |||||||
1,458,285 | ||||||||
|
| |||||||
Consumer Finance (1.1%): | ||||||||
17,706 | Ally Financial, Inc. | 593,328 | ||||||
30,164 | American Express Co. | 4,181,334 | ||||||
21,114 | Capital One Financial Corp. | 2,199,868 | ||||||
333 | Credit Acceptance Corp.* | 157,646 | ||||||
14,993 | Discover Financial Services | 1,418,038 | ||||||
5,753 | OneMain Holdings, Inc. | 215,047 | ||||||
14,135 | SLM Corp. | 225,312 | ||||||
42,461 | SoFi Technologies, Inc.*^ | 223,769 | ||||||
26,695 | Synchrony Financial | 737,316 | ||||||
3,152 | Upstart Holdings, Inc.*^ | 99,666 | ||||||
|
| |||||||
10,051,324 | ||||||||
|
| |||||||
Containers & Packaging (0.5%): | ||||||||
80,142 | Amcor plc | 996,165 | ||||||
3,600 | AptarGroup, Inc. | 371,556 | ||||||
3,918 | Ardagh Metal Packaging SA | 23,900 | ||||||
1,670 | Avery Dennison Corp. | 270,323 | ||||||
10,103 | Ball Corp. | 694,783 | ||||||
3,600 | Berry Global Group, Inc.* | 196,704 | ||||||
750 | Crown Holdings, Inc. | 69,128 | ||||||
3,745 | Graphic Packaging Holding Co. | 76,772 | ||||||
19,823 | International Paper Co. | 829,196 | ||||||
4,856 | Packaging Corp. of America | 667,700 | ||||||
4,453 | Silgan Holdings, Inc. | 184,132 | ||||||
5,208 | Sonoco Products Co. | 297,064 | ||||||
13,707 | Westrock Co. | 546,087 | ||||||
|
| |||||||
5,223,510 | ||||||||
|
| |||||||
Distributors (0.2%): | ||||||||
6,804 | Genuine Parts Co. | 904,932 | ||||||
14,208 | LKQ Corp. | 697,471 | ||||||
|
| |||||||
1,602,403 | ||||||||
|
| |||||||
Diversified Consumer Services (0.1%): | ||||||||
2,253 | Bright Horizons Family Solutions, Inc.* | 190,423 | ||||||
1,941 | Grand Canyon Education, Inc.* | 182,823 | ||||||
1,972 | H&R Block, Inc. | 69,651 | ||||||
490 | Mister Car Wash, Inc.*^ | 5,331 | ||||||
8,341 | Service Corp. International | 576,530 | ||||||
6,161 | Terminix Global Holdings, Inc.* | 250,445 | ||||||
|
| |||||||
1,275,203 | ||||||||
|
| |||||||
Diversified Financial Services (3.1%): | ||||||||
5,825 | Apollo Global Management, Inc. | 282,396 | ||||||
96,238 | Berkshire Hathaway, Inc., Class B* | 27,963,368 | ||||||
20,373 | Equitable Holdings, Inc. | 531,124 | ||||||
10,792 | Jefferies Financial Group, Inc. | 298,075 | ||||||
5,661 | Voya Financial, Inc. | 336,999 | ||||||
|
| |||||||
29,411,962 | ||||||||
|
| |||||||
Diversified Telecommunication Services (2.1%): | ||||||||
380,612 | AT&T, Inc. | 7,977,627 | ||||||
13,081 | Frontier Communications Parent, Inc.* | 307,927 | ||||||
53,059 | Lumen Technologies, Inc.^ | 578,874 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Telecommunication Services, continued | ||||||||
224,742 | Verizon Communications, Inc. | $ | 11,405,656 | |||||
|
| |||||||
20,270,084 | ||||||||
|
| |||||||
Electric Utilities (3.7%): | ||||||||
13,101 | Alliant Energy Corp. | 767,850 | ||||||
27,484 | American Electric Power Co., Inc. | 2,636,815 | ||||||
3,771 | Avangrid, Inc. | 173,918 | ||||||
17,020 | Constellation Energy Corp. | 974,565 | ||||||
40,929 | Duke Energy Corp. | 4,387,998 | ||||||
20,070 | Edison International | 1,269,227 | ||||||
10,845 | Entergy Corp. | 1,221,581 | ||||||
12,016 | Evergy, Inc. | 784,044 | ||||||
18,340 | Eversource Energy | 1,549,180 | ||||||
52,284 | Exelon Corp. | 2,369,511 | ||||||
28,921 | FirstEnergy Corp. | 1,110,277 | ||||||
5,803 | Hawaiian Electric Industries, Inc. | 237,343 | ||||||
2,663 | IDACORP, Inc. | 282,065 | ||||||
104,826 | NextEra Energy, Inc. | 8,119,822 | ||||||
12,603 | NRG Energy, Inc. | 481,056 | ||||||
10,336 | OGE Energy Corp. | 398,556 | ||||||
82,867 | PG&E Corp.* | 827,013 | ||||||
5,734 | Pinnacle West Capital Corp. | 419,270 | ||||||
39,659 | PPL Corp. | 1,075,949 | ||||||
56,523 | Southern Co. (The) | 4,030,655 | ||||||
29,024 | Xcel Energy, Inc. | 2,053,738 | ||||||
|
| |||||||
35,170,433 | ||||||||
|
| |||||||
Electrical Equipment (0.9%): | ||||||||
1,748 | Acuity Brands, Inc. | 269,262 | ||||||
12,062 | AMETEK, Inc. | 1,325,493 | ||||||
21,340 | Eaton Corp. plc | 2,688,627 | ||||||
21,497 | Emerson Electric Co. | 1,709,871 | ||||||
2,822 | Hubbell, Inc. | 503,953 | ||||||
8,871 | nVent Electric plc | 277,928 | ||||||
13,954 | Plug Power, Inc.* | 231,218 | ||||||
3,558 | Regal Rexnord Corp. | 403,904 | ||||||
2,022 | Rockwell Automation, Inc. | 403,005 | ||||||
8,413 | Sensata Technologies Holding plc | 347,541 | ||||||
10,183 | Sunrun, Inc.* | 237,875 | ||||||
13,572 | Vertiv Holdings Co. | 111,562 | ||||||
|
| |||||||
8,510,239 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.6%): | ||||||||
7,707 | Amphenol Corp., Class A | 496,177 | ||||||
3,568 | Arrow Electronics, Inc.* | 399,937 | ||||||
5,385 | Avnet, Inc. | 230,909 | ||||||
655 | Cognex Corp. | 27,851 | ||||||
113 | Coherent, Inc.* | 30,083 | ||||||
37,958 | Corning, Inc. | 1,196,057 | ||||||
3,162 | Dolby Laboratories, Inc., Class A | 226,273 | ||||||
5,618 | II-VI, Inc.* | 286,237 | ||||||
1,770 | IPG Photonics Corp.* | 166,610 | ||||||
1,291 | Jabil, Inc. | 66,112 | ||||||
716 | Keysight Technologies, Inc.* | 98,701 | ||||||
1,209 | Littlelfuse, Inc. | 307,134 | ||||||
6,602 | National Instruments Corp. | 206,180 | ||||||
2,323 | TD SYNNEX Corp. | 211,625 | ||||||
2,410 | Teledyne Technologies, Inc.* | 904,015 | ||||||
12,976 | Trimble, Inc.* | 755,592 |
See accompanying notes to the financial statements.
4
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
3,234 | Vontier Corp. | $ | 74,350 | |||||
1,649 | Zebra Technologies Corp., Class A* | 484,723 | ||||||
|
| |||||||
6,168,566 | ||||||||
|
| |||||||
Energy Equipment & Services (0.6%): | ||||||||
49,465 | Baker Hughes Co. | 1,428,055 | ||||||
26,256 | Halliburton Co. | 823,388 | ||||||
21,113 | NOV, Inc. | 357,021 | ||||||
75,407 | Schlumberger, Ltd. | 2,696,554 | ||||||
|
| |||||||
5,305,018 | ||||||||
|
| |||||||
Entertainment (1.9%): | ||||||||
41,463 | Activision Blizzard, Inc. | 3,228,309 | ||||||
27,602 | AMC Entertainment Holdings, Inc., Class A*^ | 374,007 | ||||||
14,013 | Electronic Arts, Inc. | 1,704,682 | ||||||
1,444 | Liberty Media Corp-Liberty Formula One, Class A* | 83,709 | ||||||
9,501 | Liberty Media Corp-Liberty Formula One, Class C* | 603,029 | ||||||
4,419 | Live Nation Entertainment, Inc.* | 364,921 | ||||||
491 | Madison Square Garden Sports Corp., Class A* | 74,141 | ||||||
12,851 | Netflix, Inc.* | 2,247,254 | ||||||
4,587 | Roku, Inc.* | 376,776 | ||||||
1,455 | Take-Two Interactive Software, Inc.* | 178,281 | ||||||
90,767 | Walt Disney Co. (The)* | 8,568,405 | ||||||
33,524 | Warner Bros Discovery, Inc.* | 449,892 | ||||||
|
| |||||||
18,253,406 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (4.8%): | ||||||||
8,643 | Alexandria Real Estate Equities, Inc. | 1,253,494 | ||||||
7,269 | American Campus Communities, Inc. | 468,632 | ||||||
15,531 | American Homes 4 Rent, Class A | 550,419 | ||||||
5,780 | American Tower Corp. | 1,477,310 | ||||||
13,743 | Americold Realty Trust | 412,840 | ||||||
8,286 | Apartment Income REIT Corp. | 344,698 | ||||||
7,320 | AvalonBay Communities, Inc. | 1,421,910 | ||||||
8,345 | Boston Properties, Inc. | 742,538 | ||||||
14,858 | Brixmor Property Group, Inc. | 300,280 | ||||||
5,234 | Camden Property Trust | 703,868 | ||||||
7,559 | Cousins Properties, Inc. | 220,950 | ||||||
11,689 | CubeSmart | 499,354 | ||||||
15,175 | Digital Realty Trust, Inc. | 1,970,170 | ||||||
8,303 | Douglas Emmett, Inc. | 185,821 | ||||||
20,407 | Duke Realty Corp. | 1,121,365 | ||||||
2,197 | EastGroup Properties, Inc. | 339,063 | ||||||
4,018 | EPR Properties | 188,565 | ||||||
1,196 | Equinix, Inc. | 785,796 | ||||||
3,662 | Equity Lifestyle Properties, Inc. | 258,061 | ||||||
19,764 | Equity Residential | 1,427,356 | ||||||
3,461 | Essex Property Trust, Inc. | 905,086 | ||||||
6,242 | Extra Space Storage, Inc. | 1,061,889 | ||||||
4,092 | Federal Realty Investment Trust | 391,768 | ||||||
6,663 | First Industrial Realty Trust, Inc. | 316,359 | ||||||
12,183 | Gaming and Leisure Properties, Inc. | 558,712 | ||||||
11,322 | Healthcare Trust of America, Inc., Class A | 315,997 | ||||||
28,844 | Healthpeak Properties, Inc. | 747,348 | ||||||
4,971 | Highwoods Properties, Inc. | 169,958 | ||||||
37,087 | Host Hotels & Resorts, Inc. | 581,524 | ||||||
8,064 | Hudson Pacific Properties, Inc. | 119,670 | ||||||
32,551 | Invitation Homes, Inc. | 1,158,165 | ||||||
4,407 | Iron Mountain, Inc. | 214,577 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
6,749 | JBG SMITH Properties | $ | 159,546 | |||||
5,910 | Kilroy Realty Corp. | 309,270 | ||||||
32,135 | Kimco Realty Corp. | 635,309 | ||||||
729 | Lamar Advertising Co., Class A | 64,130 | ||||||
4,278 | Life Storage, Inc. | 477,681 | ||||||
31,699 | Medical Properties Trust, Inc. | 484,044 | ||||||
5,974 | Mid-America Apartment Communities, Inc. | 1,043,479 | ||||||
9,103 | National Retail Properties, Inc. | 391,429 | ||||||
4,516 | National Storage Affiliates Trust | 226,116 | ||||||
12,593 | Omega Healthcare Investors, Inc. | 354,997 | ||||||
11,750 | Park Hotels & Resorts, Inc. | 159,447 | ||||||
39,260 | Prologis, Inc. | 4,618,939 | ||||||
1,718 | Public Storage | 537,167 | ||||||
7,857 | Rayonier, Inc. | 293,695 | ||||||
32,164 | Realty Income Corp. | 2,195,515 | ||||||
8,984 | Regency Centers Corp. | 532,841 | ||||||
8,424 | Rexford Industrial Realty, Inc. | 485,138 | ||||||
4,404 | SBA Communications Corp. | 1,409,500 | ||||||
8,975 | Simon Property Group, Inc. | 851,907 | ||||||
3,538 | SL Green Realty Corp. | 163,279 | ||||||
6,493 | Spirit Realty Capital, Inc. | 245,306 | ||||||
12,618 | STORE Capital Corp. | 329,077 | ||||||
6,399 | Sun Communities, Inc. | 1,019,745 | ||||||
16,929 | UDR, Inc. | 779,411 | ||||||
20,764 | Ventas, Inc. | 1,067,892 | ||||||
51,091 | VICI Properties, Inc. | 1,522,001 | ||||||
9,606 | Vornado Realty Trust | 274,636 | ||||||
24,140 | Welltower, Inc. | 1,987,929 | ||||||
39,647 | Weyerhaeuser Co. | 1,313,109 | ||||||
10,058 | WP Carey, Inc. | 833,406 | ||||||
|
| |||||||
45,979,484 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
8,525 | Albertsons Cos., Inc., Class A | 227,788 | ||||||
2,625 | BJ’s Wholesale Club Holdings, Inc.* | 163,590 | ||||||
1,864 | Casey’s General Stores, Inc. | 344,803 | ||||||
4,377 | Grocery Outlet Holding Corp.* | 186,591 | ||||||
35,022 | Kroger Co. (The) | 1,657,591 | ||||||
5,612 | Performance Food Group Co.* | 258,040 | ||||||
11,840 | US Foods Holding Corp.* | 363,251 | ||||||
38,332 | Walgreens Boots Alliance, Inc. | 1,452,783 | ||||||
77,083 | Walmart, Inc. | 9,371,751 | ||||||
|
| |||||||
14,026,188 | ||||||||
|
| |||||||
Food Products (2.0%): | ||||||||
29,889 | Archer-Daniels-Midland Co. | 2,319,386 | ||||||
7,455 | Bunge, Ltd. | 676,094 | ||||||
10,337 | Campbell Soup Co. | 496,693 | ||||||
24,554 | Conagra Brands, Inc. | 840,729 | ||||||
7,951 | Darling Ingredients, Inc.* | 475,470 | ||||||
10,100 | Flowers Foods, Inc. | 265,832 | ||||||
1,066 | Freshpet, Inc.* | 55,315 | ||||||
32,067 | General Mills, Inc. | 2,419,455 | ||||||
1,066 | Hershey Co. (The) | 229,361 | ||||||
15,254 | Hormel Foods Corp. | 722,429 | ||||||
3,449 | Ingredion, Inc. | 304,064 | ||||||
5,462 | JM Smucker Co. (The) | 699,191 | ||||||
6,102 | Kellogg Co. | 435,317 |
See accompanying notes to the financial statements.
5
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Food Products, continued | ||||||||
37,195 | Kraft Heinz Co. (The) | $ | 1,418,617 | |||||
13,339 | McCormick & Co. | 1,110,472 | ||||||
73,448 | Mondelez International, Inc., Class A | 4,560,386 | ||||||
1,856 | Pilgrim’s Pride Corp.* | 57,963 | ||||||
2,857 | Post Holdings, Inc.* | 235,274 | ||||||
7 | Seaboard Corp. | 27,178 | ||||||
15,171 | Tyson Foods, Inc., Class A | 1,305,616 | ||||||
|
| |||||||
18,654,842 | ||||||||
|
| |||||||
Gas Utilities (0.2%): | ||||||||
7,343 | Atmos Energy Corp. | 823,150 | ||||||
4,410 | National Fuel Gas Co. | 291,281 | ||||||
10,625 | UGI Corp. | 410,231 | ||||||
|
| |||||||
1,524,662 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (4.2%): | ||||||||
79,587 | Abbott Laboratories | 8,647,128 | ||||||
1,048 | Align Technology, Inc.* | 248,030 | ||||||
22,693 | Baxter International, Inc. | 1,457,571 | ||||||
15,159 | Becton Dickinson & Co. | 3,737,148 | ||||||
75,847 | Boston Scientific Corp.* | 2,826,818 | ||||||
2,523 | Cooper Cos., Inc. (The) | 790,002 | ||||||
32,213 | Danaher Corp. | 8,166,640 | ||||||
11,487 | DENTSPLY Sirona, Inc. | 410,430 | ||||||
2,558 | Enovis Corp.* | 140,690 | ||||||
8,576 | Envista Holdings Corp.* | 330,519 | ||||||
3,916 | Globus Medical, Inc.* | 219,844 | ||||||
13,093 | Hologic, Inc.* | 907,345 | ||||||
875 | ICU Medical, Inc.* | 143,841 | ||||||
3,766 | Integra LifeSciences Holdings Corp.* | 203,477 | ||||||
1,512 | Intuitive Surgical, Inc.* | 303,474 | ||||||
698 | Masimo Corp.* | 91,208 | ||||||
71,469 | Medtronic plc | 6,414,343 | ||||||
2,628 | QuidelOrtho Corp.* | 255,389 | ||||||
4,553 | STERIS plc | 938,601 | ||||||
8,733 | Stryker Corp. | 1,737,256 | ||||||
139 | Tandem Diabetes Care, Inc.* | 8,227 | ||||||
2,506 | Teleflex, Inc. | 616,100 | ||||||
11,202 | Zimmer Biomet Holdings, Inc. | 1,176,882 | ||||||
|
| |||||||
39,770,963 | ||||||||
|
| |||||||
Health Care Providers & Services (3.1%): | ||||||||
4,501 | Acadia Healthcare Co., Inc.* | 304,403 | ||||||
1,482 | Amedisys, Inc.* | 155,788 | ||||||
14,554 | Cardinal Health, Inc. | 760,738 | ||||||
31,039 | Centene Corp.* | 2,626,210 | ||||||
502 | Chemed Corp. | 235,634 | ||||||
14,045 | Cigna Corp. | 3,701,138 | ||||||
69,684 | CVS Health Corp. | 6,456,919 | ||||||
8,972 | Elevance Health, Inc. | 4,329,708 | ||||||
5,230 | Encompass Health Corp. | 293,142 | ||||||
11,321 | HCA Healthcare, Inc. | 1,902,607 | ||||||
7,247 | Henry Schein, Inc.* | 556,135 | ||||||
1,987 | Humana, Inc. | 930,055 | ||||||
4,848 | Laboratory Corp. of America Holdings | 1,136,177 | ||||||
6,244 | McKesson Corp. | 2,036,855 | ||||||
692 | Molina Healthcare, Inc.* | 193,490 | ||||||
6,185 | Oak Street Health, Inc.* | 101,681 | ||||||
5,791 | Premier, Inc., Class A | 206,623 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Providers & Services, continued | ||||||||
6,292 | Quest Diagnostics, Inc. | $ | 836,710 | |||||
4,275 | Signify Health, Inc., Class A* | 58,995 | ||||||
5,677 | Tenet Healthcare Corp.* | 298,383 | ||||||
4,501 | UnitedHealth Group, Inc. | 2,311,849 | ||||||
3,665 | Universal Health Services, Inc., Class B | 369,102 | ||||||
|
| |||||||
29,802,342 | ||||||||
|
| |||||||
Health Care Technology (0.1%): | ||||||||
2,568 | Certara, Inc.* | 55,109 | ||||||
12,484 | Change Healthcare, Inc.* | 287,881 | ||||||
2,719 | Doximity, Inc., Class A*^ | 94,676 | ||||||
8,274 | Teladoc Health, Inc.* | 274,779 | ||||||
|
| |||||||
712,445 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.8%): | ||||||||
11,808 | Aramark | 361,679 | ||||||
4,264 | Boyd Gaming Corp. | 212,134 | ||||||
3,923 | Caesars Entertainment, Inc.* | 150,251 | ||||||
45,596 | Carnival Corp., Class A*^ | 394,405 | ||||||
1,793 | Darden Restaurants, Inc. | 202,824 | ||||||
515 | Domino’s Pizza, Inc. | 200,701 | ||||||
4,047 | Hilton Worldwide Holdings, Inc. | 450,998 | ||||||
2,578 | Hyatt Hotels Corp., Class A* | 190,540 | ||||||
11,078 | Las Vegas Sands Corp.* | 372,110 | ||||||
2,116 | Marriott Vacations Worldwide Corp. | 245,879 | ||||||
29,914 | McDonald’s Corp. | 7,385,168 | ||||||
19,812 | MGM Resorts International | 573,558 | ||||||
20,042 | Norwegian Cruise Line Holdings, Ltd.* | 222,867 | ||||||
8,435 | Penn National Gaming, Inc.* | 256,593 | ||||||
1,138 | Planet Fitness, Inc., Class A* | 77,395 | ||||||
11,732 | Royal Caribbean Cruises, Ltd.* | 409,564 | ||||||
2,876 | Six Flags Entertainment Corp.* | 62,409 | ||||||
39,241 | Starbucks Corp. | 2,997,620 | ||||||
1,696 | Travel + Leisure Co. | 65,839 | ||||||
126 | Vail Resorts, Inc. | 27,474 | ||||||
1,630 | Wyndham Hotels & Resorts, Inc. | 107,124 | ||||||
4,959 | Wynn Resorts, Ltd.* | 282,564 | ||||||
13,706 | Yum! Brands, Inc. | 1,555,768 | ||||||
|
| |||||||
16,805,464 | ||||||||
|
| |||||||
Household Durables (0.5%): | ||||||||
8,222 | DR Horton, Inc. | 544,214 | ||||||
8,226 | Garmin, Ltd. | 808,205 | ||||||
6,700 | Leggett & Platt, Inc. | 231,686 | ||||||
13,262 | Lennar Corp., Class A | 935,899 | ||||||
977 | Lennar Corp., Class B | 57,360 | ||||||
2,855 | Mohawk Industries, Inc.* | 354,277 | ||||||
19,864 | Newell Brands, Inc. | 378,211 | ||||||
50 | NVR, Inc.* | 200,207 | ||||||
7,672 | PulteGroup, Inc. | 304,041 | ||||||
9,149 | Tempur Sealy International, Inc. | 195,514 | ||||||
2,824 | Toll Brothers, Inc. | 125,950 | ||||||
242 | TopBuild Corp.* | 40,453 | ||||||
2,959 | Whirlpool Corp. | 458,260 | ||||||
|
| |||||||
4,634,277 | ||||||||
|
| |||||||
Household Products (1.5%): | ||||||||
7,095 | Church & Dwight Co., Inc. | 657,423 | ||||||
1,241 | Clorox Co. (The) | 174,956 |
See accompanying notes to the financial statements.
6
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Household Products, continued | ||||||||
17,041 | Colgate-Palmolive Co. | $ | 1,365,666 | |||||
7,318 | Kimberly-Clark Corp. | 989,028 | ||||||
73,356 | Procter & Gamble Co. (The) | 10,547,859 | ||||||
2,358 | Reynolds Consumer Products, Inc. | 64,302 | ||||||
2,244 | Spectrum Brands Holdings, Inc. | 184,053 | ||||||
|
| |||||||
13,983,287 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.1%): | ||||||||
29,261 | AES Corp. (The) | 614,773 | ||||||
6,810 | Brookfield Renewable Corp., Class A | 242,504 | ||||||
9,629 | Vistra Corp. | 220,023 | ||||||
|
| |||||||
1,077,300 | ||||||||
|
| |||||||
Industrial Conglomerates (1.5%): | ||||||||
30,345 | 3M Co. | 3,926,946 | ||||||
431 | Carlisle Cos., Inc. | 102,841 | ||||||
55,348 | General Electric Co. | 3,524,007 | ||||||
25,708 | Honeywell International, Inc. | 4,468,308 | ||||||
5,643 | Roper Technologies, Inc. | 2,227,010 | ||||||
|
| |||||||
14,249,112 | ||||||||
|
| |||||||
Insurance (3.5%): | ||||||||
33,730 | Aflac, Inc. | 1,866,281 | ||||||
598 | Alleghany Corp.* | 498,194 | ||||||
14,636 | Allstate Corp. (The) | 1,854,820 | ||||||
3,639 | American Financial Group, Inc. | 505,130 | ||||||
42,254 | American International Group, Inc. | 2,160,447 | ||||||
652 | Aon plc, Class A | 175,831 | ||||||
13,013 | Arch Capital Group, Ltd.* | 591,961 | ||||||
9,845 | Arthur J. Gallagher & Co. | 1,605,129 | ||||||
2,790 | Assurant, Inc. | 482,252 | ||||||
3,455 | Assured Guaranty, Ltd. | 192,755 | ||||||
4,179 | Axis Capital Holdings, Ltd. | 238,579 | ||||||
3,934 | Brighthouse Financial, Inc.* | 161,373 | ||||||
11,387 | Brown & Brown, Inc. | 664,318 | ||||||
22,476 | Chubb, Ltd. | 4,418,332 | ||||||
8,342 | Cincinnati Financial Corp. | 992,531 | ||||||
1,529 | CNA Financial Corp. | 68,652 | ||||||
481 | Erie Indemnity Co., Class A | 92,443 | ||||||
1,434 | Everest Re Group, Ltd. | 401,922 | ||||||
13,925 | Fidelity National Financial, Inc. | 514,668 | ||||||
5,452 | First American Financial Corp. | 288,520 | ||||||
4,825 | Globe Life, Inc. | 470,293 | ||||||
1,842 | Hanover Insurance Group, Inc. (The) | 269,393 | ||||||
17,208 | Hartford Financial Services Group, Inc. (The) | 1,125,919 | ||||||
3,342 | Kemper Corp. | 160,082 | ||||||
7,672 | Lincoln National Corp. | 358,819 | ||||||
10,705 | Loews Corp. | 634,378 | ||||||
549 | Markel Corp.* | 709,994 | ||||||
2,868 | Marsh & McLennan Cos., Inc. | 445,257 | ||||||
36,658 | MetLife, Inc. | 2,301,756 | ||||||
13,980 | Old Republic International Corp. | 312,593 | ||||||
1,957 | Primerica, Inc. | 234,233 | ||||||
13,452 | Principal Financial Group, Inc. | 898,459 | ||||||
4,058 | Progressive Corp. (The) | 471,824 | ||||||
19,746 | Prudential Financial, Inc. | 1,889,297 | ||||||
3,691 | Reinsurance Group of America, Inc. | 432,917 | ||||||
1,051 | RenaissanceRe Holdings, Ltd. | 164,345 | ||||||
12,764 | Travelers Cos., Inc. (The) | 2,158,775 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Insurance, continued | ||||||||
10,653 | Unum Group | $ | 362,415 | |||||
145 | White Mountains Insurance Group, Ltd. | 180,689 | ||||||
5,931 | Willis Towers Watson plc | 1,170,720 | ||||||
10,885 | WR Berkley Corp. | 743,010 | ||||||
|
| |||||||
33,269,306 | ||||||||
|
| |||||||
Interactive Media & Services (2.5%): | ||||||||
2,091 | Alphabet, Inc., Class A* | 4,556,833 | ||||||
1,909 | Alphabet, Inc., Class C* | 4,175,842 | ||||||
4,169 | IAC/InterActiveCorp.* | 316,719 | ||||||
957 | Match Group, Inc.* | 66,693 | ||||||
96,492 | Meta Platforms, Inc., Class A* | 13,870,866 | ||||||
24,198 | Pinterest, Inc., Class A* | 439,436 | ||||||
4,993 | TripAdvisor, Inc.* | 88,875 | ||||||
2,949 | Twitter, Inc.* | 110,263 | ||||||
|
| |||||||
23,625,527 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.1%): | ||||||||
1,530 | DoorDash, Inc., Class A* | 98,180 | ||||||
26,035 | eBay, Inc. | 1,084,878 | ||||||
1,921 | Wayfair, Inc., Class A* | 83,679 | ||||||
|
| |||||||
1,266,737 | ||||||||
|
| |||||||
IT Services (2.4%): | ||||||||
9,376 | Affirm Holdings, Inc.*^ | 169,331 | ||||||
8,284 | Akamai Technologies, Inc.* | 756,578 | ||||||
6,563 | Amdocs, Ltd. | 546,764 | ||||||
1,908 | Automatic Data Processing, Inc. | 400,756 | ||||||
7,474 | Black Knight, Inc.* | 488,725 | ||||||
27,654 | Block, Inc.* | 1,699,615 | ||||||
659 | Broadridge Financial Solutions, Inc. | 93,940 | ||||||
27,549 | Cognizant Technology Solutions Corp., Class A | 1,859,282 | ||||||
2,170 | Concentrix Corp. | 294,339 | ||||||
13,277 | DXC Technology Co.* | 402,426 | ||||||
883 | Euronet Worldwide, Inc.* | 88,821 | ||||||
32,564 | Fidelity National Information Services, Inc. | 2,985,142 | ||||||
28,939 | Fiserv, Inc.* | 2,574,703 | ||||||
4,550 | Genpact, Ltd. | 192,738 | ||||||
14,741 | Global Payments, Inc. | 1,630,944 | ||||||
7,811 | GoDaddy, Inc., Class A* | 543,333 | ||||||
15,976 | International Business Machines Corp. | 2,255,651 | ||||||
10,465 | Kyndryl Holdings, Inc.* | 102,348 | ||||||
5,731 | Okta, Inc.* | 518,082 | ||||||
42,838 | PayPal Holdings, Inc.* | 2,991,806 | ||||||
705 | Snowflake, Inc., Class A* | 98,037 | ||||||
3,132 | Switch, Inc., Class A | 104,922 | ||||||
2,549 | Teradata Corp.* | 94,338 | ||||||
5,689 | Twilio, Inc., Class A* | 476,795 | ||||||
4,579 | VeriSign, Inc.* | 766,204 | ||||||
14,764 | Western Union Co. (The.) | 243,163 | ||||||
689 | WEX, Inc.* | 107,181 | ||||||
634 | Wix.com, Ltd.* | 41,559 | ||||||
|
| |||||||
22,527,523 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
3,386 | Brunswick Corp. DE | 221,376 | ||||||
6,792 | Hasbro, Inc. | 556,129 | ||||||
2,751 | Hayward Holdings, Inc.* | 39,587 | ||||||
9,725 | Mattel, Inc.* | 217,159 |
See accompanying notes to the financial statements.
7
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Leisure Products, continued | ||||||||
15,815 | Peloton Interactive, Inc., Class A* | $ | 145,182 | |||||
796 | Polaris, Inc. | 79,027 | ||||||
|
| |||||||
1,258,460 | ||||||||
|
| |||||||
Life Sciences Tools & Services (1.5%): | ||||||||
1,641 | Agilent Technologies, Inc. | 194,901 | ||||||
2,309 | Avantor, Inc.* | 71,810 | ||||||
1,097 | Bio-Rad Laboratories, Inc., Class A* | 543,015 | ||||||
212 | Charles River Laboratories International, Inc.* | 45,362 | ||||||
8,398 | Illumina, Inc.* | 1,548,255 | ||||||
6,544 | PerkinElmer, Inc. | 930,688 | ||||||
11,698 | Qiagen NV* | 552,145 | ||||||
4,603 | Syneos Health, Inc.* | 329,943 | ||||||
18,338 | Thermo Fisher Scientific, Inc. | 9,962,669 | ||||||
|
| |||||||
14,178,788 | ||||||||
|
| |||||||
Machinery (1.7%): | ||||||||
2,883 | AGCO Corp. | 284,552 | ||||||
1,546 | Allison Transmission Holdings, Inc. | 59,444 | ||||||
3,670 | Caterpillar, Inc. | 656,049 | ||||||
2,733 | Crane Holdings Co. | 239,302 | ||||||
7,461 | Cummins, Inc. | 1,443,927 | ||||||
5,436 | Donaldson Co., Inc. | 261,689 | ||||||
7,485 | Dover Corp. | 908,080 | ||||||
2,557 | Esab Corp. | 111,869 | ||||||
6,325 | Flowserve Corp. | 181,085 | ||||||
19,164 | Fortive Corp. | 1,042,138 | ||||||
5,779 | Gates Industrial Corp. plc* | 62,471 | ||||||
2,810 | Graco, Inc. | 166,942 | ||||||
3,340 | IDEX Corp. | 606,644 | ||||||
1,635 | Illinois Tool Works, Inc. | 297,979 | ||||||
21,668 | Ingersoll-Rand, Inc. | 911,790 | ||||||
4,407 | ITT, Inc. | 296,327 | ||||||
2,688 | Middleby Corp. (The)* | 336,968 | ||||||
2,366 | Nordson Corp. | 478,973 | ||||||
3,431 | Oshkosh Corp. | 281,822 | ||||||
19,842 | Otis Worldwide Corp. | 1,402,234 | ||||||
18,157 | PACCAR, Inc. | 1,495,047 | ||||||
5,292 | Parker-Hannifin Corp. | 1,302,097 | ||||||
8,915 | Pentair plc | 408,040 | ||||||
2,679 | Snap-On, Inc. | 527,843 | ||||||
8,036 | Stanley Black & Decker, Inc. | 842,655 | ||||||
3,308 | Timken Co. | 175,489 | ||||||
9,476 | Westinghouse Air Brake Technologies Corp. | 777,790 | ||||||
3,282 | Woodward, Inc. | 303,552 | ||||||
8,229 | �� | Xylem, Inc. | 643,343 | |||||
|
| |||||||
16,506,141 | ||||||||
|
| |||||||
Marine (0.0%†): | ||||||||
2,938 | Kirby Corp.* | 178,748 | ||||||
|
| |||||||
Media (1.5%): | ||||||||
11,130 | Altice USA, Inc., Class A* | 102,953 | ||||||
134 | Cable One, Inc. | 172,769 | ||||||
237,129 | Comcast Corp., Class A | 9,304,942 | ||||||
13,101 | DISH Network Corp., Class A* | 234,901 | ||||||
16,044 | Fox Corp., Class A | 515,975 | ||||||
8,008 | Fox Corp., Class B | 237,838 | ||||||
21,068 | Interpublic Group of Cos., Inc. (The) | 580,002 | ||||||
596 | Liberty Broadband Corp., Class A* | 67,676 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Media, continued | ||||||||
3,685 | Liberty Broadband Corp., Class C* | $ | 426,133 | |||||
5,975 | Liberty Media Corp.-Liberty SiriusXM, Class C* | 215,399 | ||||||
2,887 | Liberty Media Corp-Liberty SiriusXM, Class A* | 104,047 | ||||||
8,778 | New York Times Co. (The), Class A | 244,906 | ||||||
21,484 | News Corp., Class A | 334,721 | ||||||
6,485 | News Corp., Class B | 103,047 | ||||||
1,963 | Nexstar Media Group, Inc., Class A | 319,733 | ||||||
10,968 | Omnicom Group, Inc. | 697,674 | ||||||
37,818 | Sirius XM Holdings, Inc.^ | 231,824 | ||||||
30,867 | ViacomCBS, Inc., Class B | 761,798 | ||||||
|
| |||||||
14,656,338 | ||||||||
|
| |||||||
Metals & Mining (1.0%): | ||||||||
9,781 | Alcoa Corp. | 445,818 | ||||||
27,644 | Cleveland-Cliffs, Inc.* | 424,888 | ||||||
77,263 | Freeport-McMoRan, Inc. | 2,260,715 | ||||||
42,464 | Newmont Corp. | 2,533,827 | ||||||
14,111 | Nucor Corp. | 1,473,330 | ||||||
3,213 | Reliance Steel & Aluminum Co. | 545,760 | ||||||
3,455 | Royal Gold, Inc. | 368,925 | ||||||
1,558 | Southern Copper Corp. | 77,604 | ||||||
11,322 | SSR Mining, Inc. | 189,077 | ||||||
9,557 | Steel Dynamics, Inc. | 632,196 | ||||||
14,121 | United States Steel Corp. | 252,907 | ||||||
|
| |||||||
9,205,047 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (0.1%): | ||||||||
26,999 | AGNC Investment Corp. | 298,879 | ||||||
82,899 | Annaly Capital Management, Inc. | 489,933 | ||||||
23,975 | New Residential Investment Corp. | 223,447 | ||||||
14,723 | Starwood Property Trust, Inc. | 307,564 | ||||||
|
| |||||||
1,319,823 | ||||||||
|
| |||||||
Multiline Retail (0.4%): | ||||||||
7,833 | Dollar Tree, Inc.* | 1,220,773 | ||||||
6,882 | Kohl’s Corp. | 245,619 | ||||||
15,200 | Macy’s, Inc. | 278,464 | ||||||
779 | Nordstrom, Inc. | 16,460 | ||||||
3,212 | Ollie’s Bargain Outlet Holdings, Inc.*^ | 188,705 | ||||||
11,115 | Target Corp. | 1,569,771 | ||||||
|
| |||||||
3,519,792 | ||||||||
|
| |||||||
Multi-Utilities (1.7%): | ||||||||
13,696 | Ameren Corp. | 1,237,571 | ||||||
33,465 | CenterPoint Energy, Inc. | 989,895 | ||||||
15,418 | CMS Energy Corp. | 1,040,715 | ||||||
18,887 | Consolidated Edison, Inc. | 1,796,154 | ||||||
43,360 | Dominion Energy, Inc. | 3,460,562 | ||||||
10,306 | DTE Energy Co. | 1,306,285 | ||||||
11,279 | MDU Resources Group, Inc. | 304,420 | ||||||
20,880 | NiSource, Inc. | 615,751 | ||||||
26,381 | Public Service Enterprise Group, Inc. | 1,669,390 | ||||||
16,638 | Sempra Energy | 2,500,192 | ||||||
16,808 | WEC Energy Group, Inc. | 1,691,557 | ||||||
|
| |||||||
16,612,492 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (6.6%): | ||||||||
17,501 | Antero Midstream Corp. | 158,384 | ||||||
5,479 | Antero Resources Corp.* | 167,931 | ||||||
17,959 | APA Corp. | 626,769 |
See accompanying notes to the financial statements.
8
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
5,750 | Cheniere Energy, Inc. | $ | 764,923 | |||||
6,812 | Chesapeake Energy Corp. | 552,453 | ||||||
104,901 | Chevron Corp. | 15,187,567 | ||||||
68,998 | ConocoPhillips | 6,196,710 | ||||||
475 | Continental Resources, Inc. | 31,041 | ||||||
35,135 | Coterra Energy, Inc. | 906,132 | ||||||
17,961 | Devon Energy Corp. | 989,831 | ||||||
4,058 | Diamondback Energy, Inc. | 491,627 | ||||||
5,260 | DT Midstream, Inc. | 257,845 | ||||||
8,411 | EOG Resources, Inc. | 928,911 | ||||||
19,684 | EQT Corp. | 677,130 | ||||||
224,882 | Exxon Mobil Corp. | 19,258,894 | ||||||
3,265 | Hess Corp. | 345,894 | ||||||
8,435 | HF Sinclair Corp. | 380,925 | ||||||
106,023 | Kinder Morgan, Inc. | 1,776,945 | ||||||
37,593 | Marathon Oil Corp. | 845,091 | ||||||
28,866 | Marathon Petroleum Corp. | 2,373,074 | ||||||
7,610 | Occidental Petroleum Corp. | 448,077 | ||||||
21,092 | ONEOK, Inc. | 1,170,606 | ||||||
3,974 | Ovintiv, Inc. | 175,611 | ||||||
2,331 | PDC Energy, Inc. | 143,613 | ||||||
25,710 | Phillips 66 | 2,107,963 | ||||||
5,803 | Pioneer Natural Resources Co. | 1,294,533 | ||||||
4,747 | Range Resources Corp.* | 117,488 | ||||||
55,218 | Southwestern Energy Co.* | 345,112 | ||||||
21,661 | Valero Energy Corp. | 2,302,131 | ||||||
64,824 | Williams Cos., Inc. | 2,023,157 | ||||||
|
| |||||||
63,046,368 | ||||||||
|
| |||||||
Paper & Forest Products (0.0%†): | ||||||||
4,148 | Louisiana-Pacific Corp. | 217,397 | ||||||
|
| |||||||
Personal Products (0.0%†): | ||||||||
19,667 | Coty, Inc., Class A* | 157,533 | ||||||
|
| |||||||
Pharmaceuticals (6.7%): | ||||||||
113,570 | Bristol-Myers Squibb Co. | 8,744,890 | ||||||
6,194 | Catalent, Inc.* | 664,554 | ||||||
23,446 | Elanco Animal Health, Inc.* | 460,245 | ||||||
8,378 | Eli Lilly & Co. | 2,716,399 | ||||||
840 | Horizon Therapeutics plc* | 66,998 | ||||||
3,093 | Jazz Pharmaceuticals plc* | 482,539 | ||||||
140,388 | Johnson & Johnson | 24,920,274 | ||||||
78,591 | Merck & Co., Inc. | 7,165,142 | ||||||
13,648 | Organon & Co. | 460,620 | ||||||
7,132 | Perrigo Co. plc | 289,345 | ||||||
302,220 | Pfizer, Inc. | 15,845,395 | ||||||
19,606 | Royalty Pharma plc, Class A | 824,236 | ||||||
63,863 | Viatris, Inc. | 668,646 | ||||||
|
| |||||||
63,309,283 | ||||||||
|
| |||||||
Professional Services (0.6%): | ||||||||
1,291 | CACI International, Inc., Class A* | 363,778 | ||||||
27,106 | Clarivate plc* | 375,689 | ||||||
17,991 | CoStar Group, Inc.* | 1,086,836 | ||||||
13,408 | Dun & Bradstreet Holdings, Inc.* | 201,522 | ||||||
3,251 | Equifax, Inc. | 594,218 | ||||||
1,045 | FTI Consulting, Inc.* | 188,988 | ||||||
6,787 | Jacobs Engineering Group, Inc. | 862,831 | ||||||
2,591 | KBR, Inc. | 125,379 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Professional Services, continued | ||||||||
7,254 | Leidos Holdings, Inc. | $ | 730,550 | |||||
2,922 | ManpowerGroup, Inc. | 223,270 | ||||||
18,832 | Nielsen Holdings plc | 437,279 | ||||||
857 | Robert Half International, Inc. | 64,181 | ||||||
3,195 | Science Applications International Corp. | 297,455 | ||||||
3,052 | TransUnion | 244,130 | ||||||
|
| |||||||
5,796,106 | ||||||||
|
| |||||||
Real Estate (0.0%†): | ||||||||
6,914 | WeWork, Inc.*^ | 34,708 | ||||||
|
| |||||||
Real Estate Management & Development (0.2%): | ||||||||
9,023 | CBRE Group, Inc., Class A* | 664,183 | ||||||
2,028 | Howard Hughes Corp. (The)* | 138,005 | ||||||
2,702 | Jones Lang LaSalle, Inc.* | 472,472 | ||||||
20,580 | Opendoor Technologies, Inc.* | 96,932 | ||||||
2,902 | Zillow Group, Inc., Class A* | 92,313 | ||||||
8,220 | Zillow Group, Inc., Class C* | 260,985 | ||||||
|
| |||||||
1,724,890 | ||||||||
|
| |||||||
Road & Rail (0.8%): | ||||||||
468 | AMERCO, Inc. | 223,812 | ||||||
1,588 | Avis Budget Group, Inc.* | 233,563 | ||||||
86,869 | CSX Corp. | 2,524,413 | ||||||
12,443 | Hertz Global Holdings, Inc.*^ | 197,097 | ||||||
582 | J.B. Hunt Transport Services, Inc. | 91,647 | ||||||
8,548 | Knight-Swift Transportation Holdings, Inc. | 395,687 | ||||||
281 | Landstar System, Inc. | 40,863 | ||||||
3,261 | Lyft, Inc., Class A* | 43,306 | ||||||
12,664 | Norfolk Southern Corp. | 2,878,400 | ||||||
2,829 | Ryder System, Inc. | 201,029 | ||||||
3,052 | Schneider National, Inc., Class B | 68,304 | ||||||
13,495 | Uber Technologies, Inc.* | 276,108 | ||||||
|
| |||||||
7,174,229 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (2.5%): | ||||||||
18,309 | Advanced Micro Devices, Inc.* | 1,400,089 | ||||||
22,301 | Analog Devices, Inc. | 3,257,953 | ||||||
3,955 | Azenta, Inc. | 285,155 | ||||||
3,188 | Cirrus Logic, Inc.* | 231,257 | ||||||
5,678 | First Solar, Inc.* | 386,842 | ||||||
2,529 | GLOBALFOUNDRIES, Inc.*^ | 102,020 | ||||||
218,816 | Intel Corp. | 8,185,907 | ||||||
45,275 | Marvell Technology, Inc. | 1,970,821 | ||||||
4,263 | Microchip Technology, Inc. | 247,595 | ||||||
48,422 | Micron Technology, Inc. | 2,676,768 | ||||||
2,964 | MKS Instruments, Inc. | 304,195 | ||||||
8,726 | ON Semiconductor Corp.* | 439,005 | ||||||
5,571 | Qorvo, Inc.* | 525,457 | ||||||
8,590 | Skyworks Solutions, Inc. | 795,778 | ||||||
794 | Teradyne, Inc. | 71,103 | ||||||
15,530 | Texas Instruments, Inc. | 2,386,184 | ||||||
6,346 | Wolfspeed, Inc.* | 402,654 | ||||||
|
| |||||||
23,668,783 | ||||||||
|
| |||||||
Software (1.5%): | ||||||||
2,198 | ANSYS, Inc.* | 525,959 | ||||||
5,212 | Bill.com Holdings, Inc.* | 573,007 | ||||||
5,505 | CCC Intelligent Solutions Holdings, Inc.* | 50,646 | ||||||
1,066 | CDK Global, Inc. | 58,385 |
See accompanying notes to the financial statements.
9
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Software, continued | ||||||||
5,906 | Ceridian HCM Holding, Inc.* | $ | 278,054 | |||||
3,558 | Citrix Systems, Inc. | 345,731 | ||||||
1,774 | Coupa Software, Inc.* | 101,295 | ||||||
4,477 | Guidewire Software, Inc.* | 317,822 | ||||||
1,601 | Informatica, Inc.* | 33,253 | ||||||
1,110 | Jamf Holding Corp.* | 27,495 | ||||||
12,266 | Mandiant, Inc.* | 267,644 | ||||||
1,282 | Manhattan Associates, Inc.* | 146,917 | ||||||
2,409 | nCino, Inc.* | 74,486 | ||||||
19,325 | NortonLifeLock, Inc. | 424,377 | ||||||
5,355 | Nutanix, Inc., Class A* | 78,344 | ||||||
25,317 | Oracle Corp. | 1,768,899 | ||||||
2,512 | Paycor HCM, Inc.* | 65,312 | ||||||
916 | Procore Technologies, Inc.* | 41,577 | ||||||
40,448 | Salesforce, Inc.* | 6,675,538 | ||||||
2,715 | SentinelOne, Inc., Class A*^ | 63,341 | ||||||
11,918 | SS&C Technologies Holdings, Inc. | 692,078 | ||||||
351 | Tyler Technologies, Inc.* | 116,701 | ||||||
18,095 | UiPath, Inc., Class A* | 329,148 | ||||||
3,357 | Unity Software, Inc.*^ | 123,605 | ||||||
5,725 | VMware, Inc., Class A | 652,536 | ||||||
6,691 | Zoom Video Communications, Inc., Class A* | 722,427 | ||||||
|
| |||||||
14,554,577 | ||||||||
|
| |||||||
Specialty Retail (1.4%): | ||||||||
2,999 | Advance Auto Parts, Inc. | 519,097 | ||||||
2,105 | AutoNation, Inc.* | 235,255 | ||||||
97 | AutoZone, Inc.* | 208,465 | ||||||
12,764 | Bath & Body Works, Inc. | 343,607 | ||||||
7,376 | Best Buy Co., Inc. | 480,842 | ||||||
255 | Burlington Stores, Inc.* | 34,739 | ||||||
7,859 | CarMax, Inc.* | 711,082 | ||||||
3,213 | Dick’s Sporting Goods, Inc.^ | 242,164 | ||||||
3,584 | GameStop Corp., Class A*^ | 438,323 | ||||||
11,133 | Gap, Inc. (The) | 91,736 | ||||||
23,205 | Home Depot, Inc. (The) | 6,364,435 | ||||||
558 | Leslie’s, Inc.* | 8,471 | ||||||
1,541 | Lithia Motors, Inc. | 423,482 | ||||||
4,845 | Lowe’s Cos., Inc. | 846,276 | ||||||
2,066 | O’Reilly Automotive, Inc.* | 1,305,216 | ||||||
1,612 | Penske Automotive Group, Inc. | 168,760 | ||||||
4,468 | Petco Health & Wellness Co., Inc.*^ | 65,858 | ||||||
578 | RH* | 122,686 | ||||||
10,623 | Ross Stores, Inc. | 746,053 | ||||||
1,388 | Victoria’s Secret & Co.* | 38,822 | ||||||
879 | Williams-Sonoma, Inc. | 97,525 | ||||||
|
| |||||||
13,492,894 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.4%): | ||||||||
12,100 | Dell Technologies, Inc., Class C | 559,141 | ||||||
69,113 | Hewlett Packard Enterprise Co. | 916,438 | ||||||
30,451 | HP, Inc. | 998,184 | ||||||
6,436 | NCR Corp.* | 200,224 | ||||||
16,262 | Western Digital Corp.* | 729,026 | ||||||
|
| |||||||
3,403,013 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.3%): | ||||||||
7,315 | Capri Holdings, Ltd.* | 299,988 | ||||||
2,168 | Carter’s, Inc. | 152,801 |
Shares or Principal Amount | Value | |||||||
Common Stocks, continued | ||||||||
Textiles, Apparel & Luxury Goods, continued | ||||||||
1,918 | Columbia Sportswear Co. | $ | 137,290 | |||||
169 | Deckers Outdoor Corp.* | 43,154 | ||||||
18,505 | Hanesbrands, Inc. | 190,416 | ||||||
3,459 | PVH Corp. | 196,817 | ||||||
2,360 | Ralph Lauren Corp. | 211,574 | ||||||
6,337 | Skechers U.S.A., Inc., Class A* | 225,471 | ||||||
12,710 | Tapestry, Inc. | 387,909 | ||||||
10,245 | Under Armour, Inc., Class A* | 85,341 | ||||||
10,506 | Under Armour, Inc., Class C* | 79,636 | ||||||
18,673 | VF Corp. | 824,786 | ||||||
|
| |||||||
2,835,183 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (0.0%†): | ||||||||
17,550 | MGIC Investment Corp. | 221,130 | ||||||
22,090 | New York Community Bancorp, Inc. | 201,682 | ||||||
2,177 | TFS Financial Corp. | 29,890 | ||||||
|
| |||||||
452,702 | ||||||||
|
| |||||||
Tobacco (1.3%): | ||||||||
96,845 | Altria Group, Inc. | 4,045,216 | ||||||
82,858 | Philip Morris International, Inc. | 8,181,399 | ||||||
|
| |||||||
12,226,615 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
5,441 | Air Lease Corp. | 181,893 | ||||||
1,012 | Core & Main, Inc., Class A* | 22,568 | ||||||
2,453 | MSC Industrial Direct Co., Inc. | 184,245 | ||||||
1,159 | SiteOne Landscape Supply, Inc.* | 137,770 | ||||||
2,068 | United Rentals, Inc.* | 502,338 | ||||||
8,734 | Univar Solutions, Inc.* | 217,214 | ||||||
828 | Watsco, Inc. | 197,743 | ||||||
1,114 | WESCO International, Inc.* | 119,309 | ||||||
|
| |||||||
1,563,080 | ||||||||
|
| |||||||
Water Utilities (0.2%): | ||||||||
9,682 | American Water Works Co., Inc. | 1,440,391 | ||||||
12,026 | Essential Utilities, Inc. | 551,392 | ||||||
|
| |||||||
1,991,783 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.5%): | ||||||||
31,855 | T-Mobile US, Inc.* | 4,285,772 | ||||||
|
| |||||||
Total Common Stocks (Cost $829,564,559) | 943,725,161 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.5%): | ||||||||
4,848,778 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(a)(b) | 4,848,778 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 4,848,778 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.5%): | ||||||||
Money Markets (0.5%): | ||||||||
5,185,693 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(b) | 5,185,693 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $5,185,693) | 5,185,693 | |||||||
|
| |||||||
Total Investment Securities (Cost $839,599,030) — 100.4% | 953,759,632 | |||||||
Net other assets (liabilities) — (0.4)% | (4,265,982 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 949,493,650 | ||||||
|
|
See accompanying notes to the financial statements.
10
AZL Russell 1000 Value Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Percentages indicated are based on net assets as of June 30, 2022.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $4,585,935. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(a) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2022. |
(b) | The rate represents the effective yield at June 30, 2022. |
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/16/22 | 21 | $ | 3,978,975 | $ | 28,050 | ||||||||||
S&P Midcap 400 E-Mini September Futures (U.S. Dollar) | 9/16/22 | 10 | 2,268,000 | 19,461 | ||||||||||||
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$ | 47,511 | |||||||||||||||
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See accompanying notes to the financial statements.
11
AZL Russell 1000 Value Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 835,609,184 | |||
Investments in affiliates, at cost | 3,989,846 | ||||
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Investments in non-affiliates, at value(a) | $ | 948,890,357 | |||
Investments in affiliates, at value | 4,869,275 | ||||
Cash | 76,028 | ||||
Deposit at broker for futures contracts collateral | 359,200 | ||||
Interest and dividends receivable | 1,146,777 | ||||
Receivable for investments sold | 11,000 | ||||
Receivable for variation margin on futures contracts | (56,593 | ) | |||
Reclaims receivable | 16,593 | ||||
Receivable from Manager | 73,274 | ||||
Prepaid expenses | 3,278 | ||||
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Total Assets | 955,389,189 | ||||
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Liabilities: | |||||
Payable for capital shares redeemed | 302,494 | ||||
Payable for collateral received on loaned securities | 4,848,778 | ||||
Manager fees payable | 358,223 | ||||
Administration fees payable | 145,943 | ||||
Distribution fees payable | 164,772 | ||||
Custodian fees payable | 3,622 | ||||
Administrative and compliance services fees payable | 1,140 | ||||
Transfer agent fees payable | 1,928 | ||||
Trustee fees payable | 9,533 | ||||
Other accrued liabilities | 59,106 | ||||
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Total Liabilities | 5,895,539 | ||||
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Net Assets | $ | 949,493,650 | |||
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Net Assets Consist of: | |||||
Paid in capital | $ | 677,447,706 | |||
Total distributable earnings | 272,045,944 | ||||
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Net Assets | $ | 949,493,650 | |||
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Class 1 | |||||
Net Assets | $ | 181,590,408 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 19,015,160 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.55 | |||
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Class 2 | |||||
Net Assets | $ | 767,903,242 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 57,863,019 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.27 | |||
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(a) | Includes securities on loan of $4,585,935. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 11,773,877 | |||
Dividends from affiliates | 75,650 | ||||
Income from securities lending | 10,967 | ||||
Foreign withholding tax | (2,833 | ) | |||
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Total Investment Income | 11,857,661 | ||||
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Expenses: | |||||
Management fees | 2,414,579 | ||||
Administration fees | 100,963 | ||||
Distribution fees — Class 2 | 1,116,326 | ||||
Custodian fees | 16,974 | ||||
Administrative and compliance services fees | 7,147 | ||||
Transfer agent fees | 5,959 | ||||
Trustee fees | 28,305 | ||||
Professional fees | 22,905 | ||||
Licensing fees | 110,292 | ||||
Shareholder reports | 15,111 | ||||
Other expenses | 11,916 | ||||
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Total expenses before reductions | 3,850,477 | ||||
Less Management fees contractually waived | (493,900 | ) | |||
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Net expenses | 3,356,577 | ||||
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Net Investment Income/(Loss) | 8,501,084 | ||||
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Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 44,081,946 | ||||
Net realized gains/(losses) on affiliated transactions | 153,129 | ||||
Net realized gains/(losses) on futures contracts | (787,685 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (198,282,269 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (2,609,877 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 18,766 | ||||
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Net realized and Change in net unrealized gains/losses on investments | (157,425,990 | ) | |||
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Change in Net Assets Resulting From Operations | $ | (148,924,906 | ) | ||
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See accompanying notes to the financial statements.
12
AZL Russell 1000 Value Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 8,501,084 | $ | 14,241,225 | ||||||
Net realized gains/(losses) on investments | 43,447,390 | 104,726,700 | ||||||||
Change in unrealized appreciation/depreciation on investments | (200,873,380 | ) | 107,385,792 | |||||||
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Change in net assets resulting from operations | (148,924,906 | ) | 226,353,717 | |||||||
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Distributions to Shareholders: | ||||||||||
Class 1 | — | (4,881,633 | ) | |||||||
Class 2 | — | (14,354,281 | ) | |||||||
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Change in net assets resulting from distributions to shareholders | — | (19,235,914 | ) | |||||||
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Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 14,542 | 526,725 | ||||||||
Proceeds from in-kind shares issued | — | 59,450,043 | ||||||||
Proceeds from dividends reinvested | — | 4,881,633 | ||||||||
Value of shares redeemed | (12,327,106 | ) | (24,412,101 | ) | ||||||
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Total Class 1 Shares | (12,312,564 | ) | 40,446,300 | |||||||
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Class 2 | ||||||||||
Proceeds from shares issued | 2,738,778 | 12,882,008 | ||||||||
Proceeds from in-kind shares issued | — | 265,078,553 | ||||||||
Proceeds from dividends reinvested | — | 14,354,271 | ||||||||
Value of shares redeemed | (111,054,959 | ) | (246,954,539 | ) | ||||||
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Total Class 2 Shares | (108,316,181 | ) | 45,360,293 | |||||||
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Change in net assets resulting from capital transactions | (120,628,745 | ) | 85,806,593 | |||||||
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Change in net assets | (269,553,651 | ) | 292,924,396 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,219,047,301 | 926,122,905 | ||||||||
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End of period | $ | 949,493,650 | $ | 1,219,047,301 | ||||||
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Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 1,397 | 50,094 | ||||||||
Shares from in-kind transactions | — | 5,794,012 | ||||||||
Dividends reinvested | — | 470,292 | ||||||||
Shares redeemed | (1,172,952 | ) | (2,360,216 | ) | ||||||
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Total Class 1 Shares | (1,171,555 | ) | 3,954,182 | |||||||
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Class 2 | ||||||||||
Shares issued | 183,590 | 863,525 | ||||||||
Shares from in-kind transactions | — | 18,696,734 | ||||||||
Dividends reinvested | — | 993,375 | ||||||||
Shares redeemed | (7,579,596 | ) | (17,752,163 | ) | ||||||
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Total Class 2 Shares | (7,396,006 | ) | 2,801,471 | |||||||
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Change in shares | (8,567,561 | ) | 6,755,653 | |||||||
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Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
13
AZL Russell 1000 Value Index Fund
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.98 | $ | 9.02 | $ | 9.75 | $ | 8.55 | $ | 10.65 | $ | 10.79 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | (a) | 0.16 | (a) | 0.18 | (a) | 0.21 | (a) | 0.24 | 0.27 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (1.52 | ) | 2.04 | (0.06 | ) | 1.94 | (1.02 | ) | 1.08 | |||||||||||||||||||||
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Total from Investment Activities | (1.43 | ) | 2.20 | 0.12 | 2.15 | (0.78 | ) | 1.35 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.20 | ) | (0.27 | ) | (0.30 | ) | (0.30 | ) | (0.10 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.04 | ) | (0.58 | ) | (0.65 | ) | (1.02 | ) | (1.39 | ) | |||||||||||||||||||
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Total Dividends | — | (0.24 | ) | (0.85 | ) | (0.95 | ) | (1.32 | ) | (1.49 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 9.55 | $ | 10.98 | $ | 9.02 | $ | 9.75 | $ | 8.55 | $ | 10.65 | ||||||||||||||||||
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Total Return(b) | (13.02 | )%(c) | 24.55 | % | 2.25 | % | 26.13 | % | (8.50 | )% | 13.38 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 181,590 | $ | 221,723 | $ | 146,474 | $ | 165,337 | $ | 148,796 | $ | 185,903 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.76 | % | 1.52 | % | 2.08 | % | 2.21 | % | 2.10 | % | 2.07 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.50 | % | 0.52 | % | 0.52 | % | 0.51 | % | 0.50 | % | 0.50 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.41 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.45 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 38 | %(g) | 27 | % | 15 | % | 22 | % | 12 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 15.28 | $ | 12.48 | $ | 13.13 | $ | 11.22 | $ | 13.56 | $ | 13.39 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.11 | (a) | 0.18 | (a) | 0.21 | (a) | 0.25 | (a) | 0.28 | 0.24 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.12 | ) | 2.83 | (0.04 | ) | 2.57 | (1.34 | ) | 1.42 | |||||||||||||||||||||
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Total from Investment Activities | (2.01 | ) | 3.01 | 0.17 | 2.82 | (1.06 | ) | 1.66 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.17 | ) | (0.24 | ) | (0.26 | ) | (0.26 | ) | (0.10 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.04 | ) | (0.58 | ) | (0.65 | ) | (1.02 | ) | (1.39 | ) | |||||||||||||||||||
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Total Dividends | — | (0.21 | ) | (0.82 | ) | (0.91 | ) | (1.28 | ) | (1.49 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 13.27 | $ | 15.28 | $ | 12.48 | $ | 13.13 | $ | 11.22 | $ | 13.56 | ||||||||||||||||||
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Total Return(b) | (13.15 | )%(c) | 24.25 | % | 2.01 | % | 25.86 | % | (8.72 | )% | 13.02 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 767,903 | $ | 997,324 | $ | 779,649 | $ | 787,403 | $ | 720,365 | $ | 893,400 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.50 | % | 1.27 | % | 1.83 | % | 1.96 | % | 1.85 | % | 1.81 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.75 | % | 0.77 | % | 0.77 | % | 0.76 | % | 0.75 | % | 0.75 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.66 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.70 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 11 | % | 38 | %(g) | 27 | % | 15 | % | 22 | % | 12 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
(g) | Excludes impact of in-kind transactions. |
See accompanying notes to the financial statements.
14
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance
15
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
Securities Lending
To generate additional income, the Fund may lend up to 331⁄3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,134 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $4,848,778 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $6.1 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 47,511 | Payable for variation margin on futures contracts* | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
16
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | (787,685 | ) | $ | 18,766 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL Russell 1000 Value Index Fund, Class 1 | 0.44 | % | 0.59 | % | ||||||
AZL Russell 1000 Value Index Fund, Class 2 | 0.44 | % | 0.84 | % |
* | The Manager waived, prior to any application of expense limit, the management fee to 0.35% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limits in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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.
At June 30, 2022, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 7,519,494 | $ | 356,282 | $ | (549,753 | ) | $ | 153,129 | $ | (2,609,877 | ) | $ | 4,869,275 | 7,995 | $ | 75,650 | $ | — | ||||||||||||||||||||||||||
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$ | 7,519,494 | $ | 356,282 | $ | (549,753 | ) | $ | 153,129 | $ | (2,609,877 | ) | $ | 4,869,275 | 7,995 | $ | 75,650 | $ | — | |||||||||||||||||||||||||||
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Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
17
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2022 (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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 943,725,161 | $ | — | $ | — | $ | 943,725,161 | ||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 4,848,778 | — | — | 4,848,778 | ||||||||||||||||
Unaffiliated Investment Company | 5,185,693 | — | — | 5,185,693 | ||||||||||||||||
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Total Investment Securities | 953,759,632 | — | — | 953,759,632 | ||||||||||||||||
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Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 47,511 | — | — | 47,511 | ||||||||||||||||
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Total Investments | $ | 953,807,143 | $ | — | $ | — | $ | 953,807,143 | ||||||||||||
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+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 116,148,735 | $ | 228,381,572 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Concentration Risk: The Fund may be susceptible to an increased risk of loss, including losses due to adverse events that affect the Fund’s investments more than the market as a whole, to the extent that the Fund’s investments are concentrated in the securities of a particular issuer or issuers, country, group of countries, region, market, industry, group of industries, sector or asset class.
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
18
AZL Russell 1000 Value Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
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.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $919,892,531. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 326,153,633 | ||
Unrealized (depreciation) | (22,108,995 | ) | ||
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Net unrealized appreciation/(depreciation) | $ | 304,044,638 | ||
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The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Russell 1000 Value Index Fund | $ | 19,235,914 | $ | — | $ | 19,235,914 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 Russell 1000 Value Index Fund | $ | 33,537,374 | $ | 83,388,838 | $ | — | $ | 304,044,638 | 420,970,850 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 50% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
20
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
21
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® S&P 500 Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL S&P 500 Index Fund
(Unaudited)
As a shareholder of the AZL S&P 500 Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 799.50 | $ | 0.98 | 0.22 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 798.40 | $ | 2.10 | 0.47 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL S&P 500 Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.70 | $ | 1.10 | 0.22 | % | ||||||||||||
AZL S&P 500 Index Fund, Class 2 | $ | 1,000.00 | $ | 1,022.46 | $ | 2.36 | 0.47 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Information Technology | 26.5 | % | |||
Health Care | 15.0 | ||||
Financials | 10.8 | ||||
Consumer Discretionary | 10.5 | ||||
Communication Services | 8.8 | ||||
Industrials | 7.9 | ||||
Consumer Staples | 6.9 | ||||
Energy | 4.3 | ||||
Utilities | 3.1 | ||||
Real Estate | 2.9 | ||||
Materials | 2.6 | ||||
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Total Common Stocks | 99.3 | ||||
Unaffiliated Investment Company | 0.6 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.1 | ||||
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Total Investment Securities | 100.0 | ||||
Net other assets (liabilities) | — | † | |||
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Net Assets | 100.0 | % | |||
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† | Represents less than 0.05%. |
1
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.3%): | ||||||||
Aerospace & Defense (1.7%): | ||||||||
43,241 | Boeing Co. (The)* | $ | 5,911,910 | |||||
17,999 | General Dynamics Corp. | 3,982,279 | ||||||
27,837 | Howmet Aerospace, Inc. | 875,474 | ||||||
2,885 | Huntington Ingalls Industries, Inc. | 628,411 | ||||||
15,099 | L3harris Technologies, Inc. | 3,649,428 | ||||||
18,414 | Lockheed Martin Corp. | 7,917,283 | ||||||
11,407 | Northrop Grumman Corp. | 5,459,048 | ||||||
115,202 | Raytheon Technologies Corp. | 11,072,064 | ||||||
17,072 | Textron, Inc. | 1,042,587 | ||||||
3,978 | TransDigm Group, Inc.* | 2,134,873 | ||||||
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42,673,357 | ||||||||
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Air Freight & Logistics (0.7%): | ||||||||
9,634 | C.H. Robinson Worldwide, Inc. | 976,599 | ||||||
12,548 | Expeditors International of Washington, Inc. | 1,222,928 | ||||||
18,539 | FedEx Corp. | 4,202,977 | ||||||
57,104 | United Parcel Service, Inc., Class B | 10,423,764 | ||||||
|
| |||||||
16,826,268 | ||||||||
|
| |||||||
Airlines (0.2%): | ||||||||
9,806 | Alaska Air Group, Inc.* | 392,730 | ||||||
54,592 | American Airlines Group, Inc.*^ | 692,226 | ||||||
49,974 | Delta Air Lines, Inc.* | 1,447,747 | ||||||
46,707 | Southwest Airlines Co.* | 1,687,057 | ||||||
26,380 | United Airlines Holdings, Inc.* | 934,380 | ||||||
|
| |||||||
5,154,140 | ||||||||
|
| |||||||
Auto Components (0.1%): | ||||||||
21,224 | Aptiv plc* | 1,890,422 | ||||||
19,833 | BorgWarner, Inc. | 661,827 | ||||||
|
| |||||||
2,552,249 | ||||||||
|
| |||||||
Automobiles (2.0%): | ||||||||
306,081 | Ford Motor Co. | 3,406,682 | ||||||
112,654 | General Motors Co.* | 3,577,891 | ||||||
65,248 | Tesla, Inc.* | 43,939,308 | ||||||
|
| |||||||
50,923,881 | ||||||||
|
| |||||||
Banks (3.7%): | ||||||||
550,765 | Bank of America Corp. | 17,145,314 | ||||||
150,988 | Citigroup, Inc. | 6,943,938 | ||||||
38,137 | Citizens Financial Group, Inc. | 1,361,110 | ||||||
10,826 | Comerica, Inc. | 794,412 | ||||||
53,945 | Fifth Third Bancorp | 1,812,552 | ||||||
13,850 | First Republic Bank | 1,997,170 | ||||||
110,539 | Huntington Bancshares, Inc. | 1,329,784 | ||||||
228,361 | JPMorgan Chase & Co. | 25,715,732 | ||||||
72,869 | KeyCorp | 1,255,533 | ||||||
14,042 | M&T Bank Corp. | 2,238,154 | ||||||
32,157 | PNC Financial Services Group, Inc. (The) | 5,073,410 | ||||||
72,182 | Regions Financial Corp. | 1,353,413 | ||||||
4,642 | Signature Bank | 831,893 | ||||||
4,631 | SVB Financial Group* | 1,829,199 | ||||||
103,179 | Truist Financial Corp. | 4,893,780 | ||||||
104,080 | U.S. Bancorp | 4,789,762 | ||||||
294,707 | Wells Fargo & Co. | 11,543,673 | ||||||
12,106 | Zions Bancorp | 616,195 | ||||||
|
| |||||||
91,525,024 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Beverages (1.9%): | ||||||||
14,194 | Brown-Forman Corp., Class B | $ | 995,851 | |||||
303,720 | Coca-Cola Co. (The) | 19,107,025 | ||||||
12,713 | Constellation Brands, Inc., Class C | 2,962,892 | ||||||
57,353 | Keurig Dr Pepper, Inc. | 2,029,723 | ||||||
15,378 | Molson Coors Brewing Co., Class B | 838,255 | ||||||
29,105 | Monster Beverage Corp.* | 2,698,033 | ||||||
107,645 | PepsiCo, Inc. | 17,940,116 | ||||||
|
| |||||||
46,571,895 | ||||||||
|
| |||||||
Biotechnology (2.2%): | ||||||||
137,556 | AbbVie, Inc. | 21,068,077 | ||||||
41,535 | Amgen, Inc. | 10,105,465 | ||||||
11,425 | Biogen, Inc.* | 2,330,014 | ||||||
97,438 | Gilead Sciences, Inc. | 6,022,643 | ||||||
14,682 | Incyte Corp.* | 1,115,392 | ||||||
26,714 | Moderna, Inc.* | 3,816,095 | ||||||
8,428 | Regeneron Pharmaceuticals, Inc.* | 4,982,044 | ||||||
19,949 | Vertex Pharmaceuticals, Inc.* | 5,621,429 | ||||||
|
| |||||||
55,061,159 | ||||||||
|
| |||||||
Building Products (0.4%): | ||||||||
11,083 | A. O. Smith Corp. | 606,018 | ||||||
6,778 | Allegion plc | 663,566 | ||||||
66,522 | Carrier Global Corp. | 2,372,175 | ||||||
9,712 | Fortune Brands Home & Security, Inc. | 581,555 | ||||||
54,558 | Johnson Controls International plc | 2,612,237 | ||||||
17,465 | Masco Corp. | 883,729 | ||||||
18,282 | Trane Technologies plc | 2,374,283 | ||||||
|
| |||||||
10,093,563 | ||||||||
|
| |||||||
Capital Markets (2.9%): | ||||||||
8,382 | Ameriprise Financial, Inc. | 1,992,234 | ||||||
57,773 | Bank of New York Mellon Corp. (The) | 2,409,712 | ||||||
11,095 | BlackRock, Inc., Class A+ | 6,757,299 | ||||||
8,359 | Cboe Global Markets, Inc. | 946,155 | ||||||
116,976 | Charles Schwab Corp. (The) | 7,390,544 | ||||||
27,762 | CME Group, Inc. | 5,682,881 | ||||||
3,120 | FactSet Research Systems, Inc. | 1,199,858 | ||||||
22,367 | Franklin Resources, Inc.^ | 521,375 | ||||||
26,743 | Goldman Sachs Group, Inc. (The) | 7,943,206 | ||||||
43,054 | Intercontinental Exchange, Inc. | 4,048,798 | ||||||
25,908 | Invesco, Ltd. | 417,896 | ||||||
2,754 | MarketAxess Holdings, Inc. | 705,051 | ||||||
12,477 | Moody’s Corp. | 3,393,370 | ||||||
108,808 | Morgan Stanley | 8,275,936 | ||||||
6,420 | MSCI, Inc. | 2,646,003 | ||||||
8,664 | Nasdaq, Inc. | 1,321,607 | ||||||
16,773 | Northern Trust Corp. | 1,618,259 | ||||||
15,115 | Raymond James Financial, Inc. | 1,351,432 | ||||||
26,988 | S&P Global, Inc. | 9,096,575 | ||||||
27,803 | State Street Corp. | 1,714,055 | ||||||
17,849 | T. Rowe Price Group, Inc. | 2,027,825 | ||||||
|
| |||||||
71,460,071 | ||||||||
|
| |||||||
Chemicals (1.8%): | ||||||||
17,051 | Air Products & Chemicals, Inc. | 4,100,424 | ||||||
9,053 | Albemarle Corp. | 1,891,896 | ||||||
8,091 | Celanese Corp. | 951,582 | ||||||
16,134 | CF Industries Holdings, Inc. | 1,383,168 |
See accompanying notes to the financial statements.
2
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Chemicals, continued | ||||||||
56,498 | Corteva, Inc. | $ | 3,058,802 | |||||
57,006 | Dow, Inc. | 2,942,080 | ||||||
39,184 | DuPont de Nemours, Inc. | 2,177,847 | ||||||
10,102 | Eastman Chemical Co. | 906,857 | ||||||
19,426 | Ecolab, Inc. | 2,986,942 | ||||||
9,400 | FMC Corp. | 1,005,894 | ||||||
19,629 | International Flavors & Fragrances, Inc. | 2,338,206 | ||||||
39,131 | Linde plc | 11,251,336 | ||||||
20,199 | Lyondellbasell Industries NV | 1,766,605 | ||||||
28,011 | Mosaic Co. (The) | 1,322,959 | ||||||
18,822 | PPG Industries, Inc. | 2,152,107 | ||||||
18,682 | Sherwin-Williams Co. (The) | 4,183,087 | ||||||
|
| |||||||
44,419,792 | ||||||||
|
| |||||||
Commercial Services & Supplies (0.5%): | ||||||||
6,763 | Cintas Corp. | 2,526,183 | ||||||
16,607 | Copart, Inc.* | 1,804,517 | ||||||
15,832 | Republic Services, Inc. | 2,071,934 | ||||||
17,773 | Rollins, Inc. | 620,633 | ||||||
29,712 | Waste Management, Inc. | 4,545,342 | ||||||
|
| |||||||
11,568,609 | ||||||||
|
| |||||||
Communications Equipment (0.8%): | ||||||||
17,950 | Arista Networks, Inc.* | 1,682,633 | ||||||
322,995 | Cisco Systems, Inc. | 13,772,507 | ||||||
4,606 | F5, Inc.* | 704,902 | ||||||
24,540 | Juniper Networks, Inc. | 699,390 | ||||||
12,980 | Motorola Solutions, Inc. | 2,720,608 | ||||||
|
| |||||||
19,580,040 | ||||||||
|
| |||||||
Construction & Engineering (0.1%): | ||||||||
11,259 | Quanta Services, Inc. | 1,411,203 | ||||||
|
| |||||||
Construction Materials (0.1%): | ||||||||
4,806 | Martin Marietta Materials, Inc. | 1,438,148 | ||||||
10,712 | Vulcan Materials Co. | 1,522,175 | ||||||
|
| |||||||
2,960,323 | ||||||||
|
| |||||||
Consumer Finance (0.5%): | ||||||||
47,427 | American Express Co. | 6,574,331 | ||||||
30,560 | Capital One Financial Corp. | 3,184,046 | ||||||
21,736 | Discover Financial Services | 2,055,791 | ||||||
39,614 | Synchrony Financial | 1,094,139 | ||||||
|
| |||||||
12,908,307 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
117,482 | Amcor plc | 1,460,301 | ||||||
6,348 | Avery Dennison Corp. | 1,027,551 | ||||||
25,173 | Ball Corp. | 1,731,147 | ||||||
28,817 | International Paper Co. | 1,205,415 | ||||||
7,374 | Packaging Corp. of America | 1,013,925 | ||||||
11,227 | Sealed Air Corp. | 648,023 | ||||||
19,064 | Westrock Co. | 759,510 | ||||||
|
| |||||||
7,845,872 | ||||||||
|
| |||||||
Distributors (0.1%): | ||||||||
10,690 | Genuine Parts Co. | 1,421,770 | ||||||
20,330 | LKQ Corp. | 998,000 | ||||||
3,115 | Pool Corp. | 1,094,081 | ||||||
|
| |||||||
3,513,851 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Diversified Financial Services (1.5%): | ||||||||
140,667 | Berkshire Hathaway, Inc., Class B* | $ | 38,404,904 | |||||
|
| |||||||
Diversified Telecommunication Services (1.2%): | ||||||||
557,663 | AT&T, Inc. | 11,688,616 | ||||||
75,116 | Lumen Technologies, Inc. | 819,516 | ||||||
326,641 | Verizon Communications, Inc. | 16,577,031 | ||||||
|
| |||||||
29,085,163 | ||||||||
|
| |||||||
Electric Utilities (2.0%): | ||||||||
19,907 | Alliant Energy Corp. | 1,166,749 | ||||||
40,118 | American Electric Power Co., Inc. | 3,848,921 | ||||||
25,173 | Constellation Energy Corp. | 1,441,406 | ||||||
60,331 | Duke Energy Corp. | 6,468,087 | ||||||
30,442 | Edison International | 1,925,152 | ||||||
15,840 | Entergy Corp. | 1,784,218 | ||||||
17,208 | Evergy, Inc. | 1,122,822 | ||||||
27,460 | Eversource Energy | 2,319,546 | ||||||
76,431 | Exelon Corp. | 3,463,853 | ||||||
44,059 | FirstEnergy Corp. | 1,691,425 | ||||||
152,556 | NextEra Energy, Inc. | 11,816,988 | ||||||
17,584 | NRG Energy, Inc. | 671,181 | ||||||
8,160 | Pinnacle West Capital Corp. | 596,659 | ||||||
55,372 | PPL Corp. | 1,502,242 | ||||||
82,865 | Southern Co. (The) | 5,909,103 | ||||||
42,818 | Xcel Energy, Inc. | 3,029,802 | ||||||
|
| |||||||
48,758,154 | ||||||||
|
| |||||||
Electrical Equipment (0.5%): | ||||||||
17,923 | AMETEK, Inc. | 1,969,559 | ||||||
31,361 | Eaton Corp. plc | 3,951,172 | ||||||
46,432 | Emerson Electric Co. | 3,693,201 | ||||||
5,135 | Generac Holdings, Inc.* | 1,081,328 | ||||||
8,821 | Rockwell Automation, Inc. | 1,758,114 | ||||||
|
| |||||||
12,453,374 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (0.6%): | ||||||||
46,438 | Amphenol Corp., Class A | 2,989,679 | ||||||
10,429 | CDW Corp. | 1,643,193 | ||||||
59,312 | Corning, Inc. | 1,868,921 | ||||||
14,266 | Keysight Technologies, Inc.* | 1,966,568 | ||||||
25,113 | TE Connectivity, Ltd. | 2,841,536 | ||||||
3,654 | Teledyne Technologies, Inc.* | 1,370,652 | ||||||
19,761 | Trimble, Inc.* | 1,150,683 | ||||||
4,024 | Zebra Technologies Corp., Class A* | 1,182,855 | ||||||
|
| |||||||
15,014,087 | ||||||||
|
| |||||||
Energy Equipment & Services (0.3%): | ||||||||
72,818 | Baker Hughes Co. | 2,102,255 | ||||||
68,803 | Halliburton Co. | 2,157,662 | ||||||
111,043 | Schlumberger, Ltd. | 3,970,898 | ||||||
|
| |||||||
8,230,815 | ||||||||
|
| |||||||
Entertainment (1.3%): | ||||||||
60,565 | Activision Blizzard, Inc. | 4,715,591 | ||||||
21,669 | Electronic Arts, Inc. | 2,636,034 | ||||||
10,709 | Live Nation Entertainment, Inc.* | 884,349 | ||||||
34,575 | Netflix, Inc.* | 6,046,130 | ||||||
12,364 | Take-Two Interactive Software, Inc.* | 1,514,961 | ||||||
141,661 | Walt Disney Co. (The)* | 13,372,798 | ||||||
173,590 | Warner Bros Discovery, Inc.* | 2,329,578 | ||||||
|
| |||||||
31,499,441 | ||||||||
|
|
See accompanying notes to the financial statements.
3
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts (2.8%): | ||||||||
11,822 | Alexandria Real Estate Equities, Inc. | $ | 1,714,545 | |||||
35,360 | American Tower Corp. | 9,037,662 | ||||||
10,930 | AvalonBay Communities, Inc. | 2,123,152 | ||||||
11,553 | Boston Properties, Inc. | 1,027,986 | ||||||
8,170 | Camden Property Trust | 1,098,702 | ||||||
33,629 | Crown Castle International Corp. | 5,662,451 | ||||||
22,257 | Digital Realty Trust, Inc. | 2,889,626 | ||||||
29,637 | Duke Realty Corp. | 1,628,553 | ||||||
7,120 | Equinix, Inc. | 4,677,982 | ||||||
26,369 | Equity Residential | 1,904,369 | ||||||
5,141 | Essex Property Trust, Inc. | 1,344,423 | ||||||
10,439 | Extra Space Storage, Inc. | 1,775,883 | ||||||
5,376 | Federal Realty Investment Trust | 514,698 | ||||||
159 | Gaming and Leisure Properties, Inc. | 7,292 | ||||||
41,647 | Healthpeak Properties, Inc. | 1,079,074 | ||||||
54,807 | Host Hotels & Resorts, Inc. | 859,374 | ||||||
22,713 | Iron Mountain, Inc. | 1,105,896 | ||||||
50,676 | Kimco Realty Corp. | 1,001,865 | ||||||
9,118 | Mid-America Apartment Communities, Inc. | 1,592,641 | ||||||
57,578 | Prologis, Inc. | 6,774,052 | ||||||
11,801 | Public Storage | 3,689,819 | ||||||
46,775 | Realty Income Corp. | 3,192,861 | ||||||
11,891 | Regency Centers Corp. | 705,255 | ||||||
8,237 | SBA Communications Corp. | 2,636,252 | ||||||
26,022 | Simon Property Group, Inc. | 2,470,008 | ||||||
22,171 | UDR, Inc. | 1,020,753 | ||||||
30,195 | Ventas, Inc. | 1,552,929 | ||||||
74,875 | VICI Properties, Inc. | 2,230,526 | ||||||
12,354 | Vornado Realty Trust | 353,201 | ||||||
35,297 | Welltower, Inc. | 2,906,708 | ||||||
56,845 | Weyerhaeuser Co. | 1,882,706 | ||||||
|
| |||||||
70,461,244 | ||||||||
|
| |||||||
Food & Staples Retailing (1.5%): | ||||||||
34,503 | Costco Wholesale Corp. | 16,536,598 | ||||||
50,408 | Kroger Co. (The) | 2,385,811 | ||||||
39,909 | Sysco Corp. | 3,380,691 | ||||||
54,859 | Walgreens Boots Alliance, Inc. | 2,079,156 | ||||||
109,157 | Walmart, Inc. | 13,271,308 | ||||||
|
| |||||||
37,653,564 | ||||||||
|
| |||||||
Food Products (1.1%): | ||||||||
43,657 | Archer-Daniels-Midland Co. | 3,387,783 | ||||||
16,520 | Campbell Soup Co. | 793,786 | ||||||
38,734 | Conagra Brands, Inc. | 1,326,252 | ||||||
46,303 | General Mills, Inc. | 3,493,561 | ||||||
11,321 | Hershey Co. (The) | 2,435,826 | ||||||
22,068 | Hormel Foods Corp. | 1,045,141 | ||||||
8,067 | JM Smucker Co. (The) | 1,032,657 | ||||||
19,298 | Kellogg Co. | 1,376,719 | ||||||
55,643 | Kraft Heinz Co. (The) | 2,122,224 | ||||||
11,908 | Lamb Weston Holdings, Inc. | 850,946 | ||||||
18,875 | McCormick & Co. | 1,571,344 | ||||||
106,967 | Mondelez International, Inc., Class A | 6,641,581 | ||||||
22,769 | Tyson Foods, Inc., Class A | 1,959,500 | ||||||
|
| |||||||
28,037,320 | ||||||||
|
| |||||||
Gas Utilities (0.0%†): | ||||||||
11,041 | Atmos Energy Corp. | 1,237,696 | ||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies (3.3%): | ||||||||
136,139 | Abbott Laboratories | $ | 14,791,502 | |||||
3,331 | ABIOMED, Inc.* | 824,456 | ||||||
5,768 | Align Technology, Inc.* | 1,365,113 | ||||||
39,787 | Baxter International, Inc. | 2,555,519 | ||||||
22,168 | Becton Dickinson & Co. | 5,465,077 | ||||||
111,428 | Boston Scientific Corp.* | 4,152,922 | ||||||
3,868 | Cooper Cos., Inc. (The) | 1,211,148 | ||||||
50,313 | Danaher Corp. | 12,755,352 | ||||||
16,949 | DENTSPLY Sirona, Inc. | 605,588 | ||||||
30,356 | Dexcom, Inc.* | 2,262,433 | ||||||
48,091 | Edwards Lifesciences Corp.* | 4,572,973 | ||||||
19,953 | Hologic, Inc.* | 1,382,743 | ||||||
6,447 | IDEXX Laboratories, Inc.* | 2,261,156 | ||||||
27,962 | Intuitive Surgical, Inc.* | 5,612,253 | ||||||
104,283 | Medtronic plc | 9,359,399 | ||||||
11,590 | ResMed, Inc. | 2,429,612 | ||||||
7,803 | STERIS plc | 1,608,588 | ||||||
26,108 | Stryker Corp. | 5,193,664 | ||||||
3,465 | Teleflex, Inc. | 851,870 | ||||||
5,916 | West Pharmaceutical Services, Inc. | 1,788,821 | ||||||
16,795 | Zimmer Biomet Holdings, Inc. | 1,764,483 | ||||||
|
| |||||||
82,814,672 | ||||||||
|
| |||||||
Health Care Providers & Services (3.5%): | ||||||||
12,091 | AmerisourceBergen Corp. | 1,710,635 | ||||||
21,526 | Cardinal Health, Inc. | 1,125,164 | ||||||
45,957 | Centene Corp.* | 3,888,422 | ||||||
24,669 | Cigna Corp. | 6,500,775 | ||||||
102,125 | CVS Health Corp. | 9,462,903 | ||||||
4,784 | DaVita, Inc.* | 382,529 | ||||||
18,664 | Elevance Health, Inc. | 9,006,873 | ||||||
17,690 | HCA Healthcare, Inc. | 2,972,981 | ||||||
10,783 | Henry Schein, Inc.* | 827,487 | ||||||
9,802 | Humana, Inc. | 4,588,022 | ||||||
7,054 | Laboratory Corp. of America Holdings | 1,653,176 | ||||||
11,302 | McKesson Corp. | 3,686,825 | ||||||
4,746 | Molina Healthcare, Inc.* | 1,327,029 | ||||||
8,850 | Quest Diagnostics, Inc. | 1,176,873 | ||||||
72,945 | UnitedHealth Group, Inc. | 37,466,740 | ||||||
5,147 | Universal Health Services, Inc., Class B | 518,354 | ||||||
|
| |||||||
86,294,788 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.8%): | ||||||||
3,145 | Booking Holdings, Inc.* | 5,500,573 | ||||||
15,488 | Caesars Entertainment, Inc.* | 593,190 | ||||||
64,958 | Carnival Corp., Class A*^ | 561,887 | ||||||
2,189 | Chipotle Mexican Grill, Inc.* | 2,861,592 | ||||||
9,899 | Darden Restaurants, Inc. | 1,119,775 | ||||||
2,803 | Domino’s Pizza, Inc. | 1,092,357 | ||||||
11,631 | Expedia Group, Inc.* | 1,102,968 | ||||||
21,755 | Hilton Worldwide Holdings, Inc. | 2,424,377 | ||||||
28,218 | Las Vegas Sands Corp.* | 947,843 | ||||||
21,585 | Marriott International, Inc., Class A | 2,935,776 | ||||||
57,501 | McDonald’s Corp. | 14,195,847 | ||||||
26,324 | MGM Resorts International | 762,080 | ||||||
31,090 | Norwegian Cruise Line Holdings, Ltd.* | 345,721 | ||||||
11,291 | Penn National Gaming, Inc.* | 343,472 | ||||||
17,687 | Royal Caribbean Cruises, Ltd.* | 617,453 |
See accompanying notes to the financial statements.
4
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
89,468 | Starbucks Corp. | $ | 6,834,460 | |||||
8,959 | Wynn Resorts, Ltd.* | 510,484 | ||||||
22,353 | Yum! Brands, Inc. | 2,537,289 | ||||||
|
| |||||||
45,287,144 | ||||||||
|
| |||||||
Household Durables (0.3%): | ||||||||
24,692 | DR Horton, Inc. | 1,634,364 | ||||||
11,813 | Garmin, Ltd. | 1,160,627 | ||||||
19,873 | Lennar Corp., Class A | 1,402,438 | ||||||
3,740 | Mohawk Industries, Inc.* | 464,097 | ||||||
27,332 | Newell Brands, Inc. | 520,401 | ||||||
239 | NVR, Inc.* | 956,989 | ||||||
19,005 | PulteGroup, Inc. | 753,168 | ||||||
4,058 | Whirlpool Corp. | 628,462 | ||||||
|
| |||||||
7,520,546 | ||||||||
|
| |||||||
Household Products (1.5%): | ||||||||
19,556 | Church & Dwight Co., Inc. | 1,812,059 | ||||||
9,274 | Clorox Co. (The) | 1,307,448 | ||||||
64,611 | Colgate-Palmolive Co. | 5,177,926 | ||||||
26,132 | Kimberly-Clark Corp. | 3,531,740 | ||||||
186,513 | Procter & Gamble Co. (The) | 26,818,704 | ||||||
|
| |||||||
38,647,877 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers (0.0%†): | ||||||||
49,796 | AES Corp. (The) | 1,046,214 | ||||||
|
| |||||||
Industrial Conglomerates (0.9%): | ||||||||
44,419 | 3M Co. | 5,748,263 | ||||||
85,537 | General Electric Co. | 5,446,141 | ||||||
52,928 | Honeywell International, Inc. | 9,199,415 | ||||||
8,246 | Roper Technologies, Inc. | 3,254,284 | ||||||
|
| |||||||
23,648,103 | ||||||||
|
| |||||||
Insurance (2.2%): | ||||||||
45,732 | Aflac, Inc. | 2,530,352 | ||||||
21,101 | Allstate Corp. (The) | 2,674,130 | ||||||
61,594 | American International Group, Inc. | 3,149,301 | ||||||
16,447 | Aon plc, Class A | 4,435,427 | ||||||
16,478 | Arthur J. Gallagher & Co. | 2,686,573 | ||||||
4,143 | Assurant, Inc. | 716,118 | ||||||
17,606 | Brown & Brown, Inc. | 1,027,134 | ||||||
32,944 | Chubb, Ltd. | 6,476,131 | ||||||
11,599 | Cincinnati Financial Corp. | 1,380,049 | ||||||
3,040 | Everest Re Group, Ltd. | 852,051 | ||||||
6,907 | Globe Life, Inc. | 673,225 | ||||||
24,955 | Hartford Financial Services Group, Inc. (The) | 1,632,806 | ||||||
12,289 | Lincoln National Corp. | 574,757 | ||||||
15,520 | Loews Corp. | 919,715 | ||||||
38,832 | Marsh & McLennan Cos., Inc. | 6,028,668 | ||||||
53,744 | MetLife, Inc. | 3,374,586 | ||||||
18,090 | Principal Financial Group, Inc. | 1,208,231 | ||||||
45,575 | Progressive Corp. (The) | 5,299,005 | ||||||
29,361 | Prudential Financial, Inc. | 2,809,260 | ||||||
18,723 | Travelers Cos., Inc. (The) | 3,166,621 | ||||||
8,668 | Willis Towers Watson plc | 1,710,976 | ||||||
16,283 | �� | WR Berkley Corp. | 1,111,478 | |||||
|
| |||||||
54,436,594 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Interactive Media & Services (5.2%): | ||||||||
23,366 | Alphabet, Inc., Class A* | $ | 50,920,589 | |||||
21,442 | Alphabet, Inc., Class C* | 46,903,303 | ||||||
22,124 | Match Group, Inc.* | 1,541,822 | ||||||
178,326 | Meta Platforms, Inc., Class A* | 28,755,067 | ||||||
59,308 | Twitter, Inc.* | 2,217,526 | ||||||
|
| |||||||
130,338,307 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (3.0%): | ||||||||
680,282 | Amazon.com, Inc.* | 72,252,751 | ||||||
43,529 | eBay, Inc. | 1,813,854 | ||||||
9,796 | Etsy, Inc.* | 717,165 | ||||||
|
| |||||||
74,783,770 | ||||||||
|
| |||||||
IT Services (4.3%): | ||||||||
49,175 | Accenture plc, Class A | 13,653,439 | ||||||
12,621 | Akamai Technologies, Inc.* | 1,152,676 | ||||||
32,398 | Automatic Data Processing, Inc. | 6,804,876 | ||||||
9,042 | Broadridge Financial Solutions, Inc. | 1,288,937 | ||||||
40,717 | Cognizant Technology Solutions Corp., Class A | 2,747,990 | ||||||
19,227 | DXC Technology Co.* | 582,770 | ||||||
4,575 | EPAM Systems, Inc.* | 1,348,619 | ||||||
47,348 | Fidelity National Information Services, Inc. | 4,340,391 | ||||||
45,233 | Fiserv, Inc.* | 4,024,380 | ||||||
5,871 | FleetCor Technologies, Inc.* | 1,233,556 | ||||||
6,099 | Gartner, Inc.* | 1,474,921 | ||||||
21,557 | Global Payments, Inc. | 2,385,066 | ||||||
70,091 | International Business Machines Corp. | 9,896,148 | ||||||
5,760 | Jack Henry & Associates, Inc. | 1,036,915 | ||||||
66,772 | Mastercard, Inc., Class A | 21,065,231 | ||||||
25,016 | Paychex, Inc. | 2,848,572 | ||||||
89,634 | PayPal Holdings, Inc.* | 6,260,039 | ||||||
7,524 | VeriSign, Inc.* | 1,258,991 | ||||||
127,958 | Visa, Inc., Class A | 25,193,651 | ||||||
|
| |||||||
108,597,168 | ||||||||
|
| |||||||
Leisure Products (0.0%†): | ||||||||
10,806 | Hasbro, Inc. | 884,795 | ||||||
|
| |||||||
Life Sciences Tools & Services (1.3%): | ||||||||
23,531 | Agilent Technologies, Inc. | 2,794,777 | ||||||
1,594 | Bio-Rad Laboratories, Inc., Class A* | 789,030 | ||||||
3,034 | Bio-Techne Corp. | 1,051,706 | ||||||
4,203 | Charles River Laboratories International, Inc.* | 899,316 | ||||||
12,135 | Illumina, Inc.* | 2,237,209 | ||||||
14,507 | IQVIA Holdings, Inc.* | 3,147,874 | ||||||
1,771 | Mettler-Toledo International, Inc.* | 2,034,472 | ||||||
9,956 | PerkinElmer, Inc. | 1,415,942 | ||||||
30,437 | Thermo Fisher Scientific, Inc. | 16,535,813 | ||||||
4,680 | Waters Corp.* | 1,548,986 | ||||||
|
| |||||||
32,455,125 | ||||||||
|
| |||||||
Machinery (1.5%): | ||||||||
41,471 | Caterpillar, Inc. | 7,413,356 | ||||||
10,891 | Cummins, Inc. | 2,107,735 | ||||||
21,733 | Deere & Co. | 6,508,381 | ||||||
10,899 | Dover Corp. | 1,322,267 | ||||||
28,747 | Fortive Corp. | 1,563,262 | ||||||
6,143 | IDEX Corp. | 1,115,753 | ||||||
21,901 | Illinois Tool Works, Inc. | 3,991,457 | ||||||
31,934 | Ingersoll-Rand, Inc. | 1,343,783 |
See accompanying notes to the financial statements.
5
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Machinery, continued | ||||||||
4,010 | Nordson Corp. | $ | 811,784 | |||||
32,794 | Otis Worldwide Corp. | 2,317,552 | ||||||
26,898 | PACCAR, Inc. | 2,214,781 | ||||||
9,945 | Parker-Hannifin Corp. | 2,446,967 | ||||||
12,489 | Pentair plc | 571,622 | ||||||
4,139 | Snap-On, Inc. | 815,507 | ||||||
11,738 | Stanley Black & Decker, Inc. | 1,230,847 | ||||||
13,708 | Westinghouse Air Brake Technologies Corp. | 1,125,153 | ||||||
14,298 | Xylem, Inc. | 1,117,818 | ||||||
|
| |||||||
38,018,025 | ||||||||
|
| |||||||
Media (0.9%): | ||||||||
9,005 | Charter Communications, Inc., Class A* | 4,219,113 | ||||||
347,596 | Comcast Corp., Class A | 13,639,667 | ||||||
20,778 | DISH Network Corp., Class A* | 372,549 | ||||||
23,080 | Fox Corp., Class A | 742,253 | ||||||
11,105 | Fox Corp., Class B | 329,818 | ||||||
31,245 | Interpublic Group of Cos., Inc. (The) | 860,175 | ||||||
27,741 | News Corp., Class A | 432,205 | ||||||
10,641 | News Corp., Class B | 169,085 | ||||||
16,247 | Omnicom Group, Inc. | 1,033,472 | ||||||
49,100 | ViacomCBS, Inc., Class B | 1,211,788 | ||||||
|
| |||||||
23,010,125 | ||||||||
|
| |||||||
Metals & Mining (0.4%): | ||||||||
112,255 | Freeport-McMoRan, Inc. | 3,284,581 | ||||||
62,065 | Newmont Corp. | 3,703,419 | ||||||
20,654 | Nucor Corp. | 2,156,484 | ||||||
|
| |||||||
9,144,484 | ||||||||
|
| |||||||
Multiline Retail (0.5%): | ||||||||
17,779 | Dollar General Corp. | 4,363,678 | ||||||
17,724 | Dollar Tree, Inc.* | 2,762,285 | ||||||
35,954 | Target Corp. | 5,077,784 | ||||||
|
| |||||||
12,203,747 | ||||||||
|
| |||||||
Multi-Utilities (1.0%): | ||||||||
19,931 | Ameren Corp. | 1,800,965 | ||||||
50,505 | CenterPoint Energy, Inc. | 1,493,938 | ||||||
22,446 | CMS Energy Corp. | 1,515,105 | ||||||
27,297 | Consolidated Edison, Inc. | 2,595,945 | ||||||
63,036 | Dominion Energy, Inc. | 5,030,903 | ||||||
15,489 | DTE Energy Co. | 1,963,231 | ||||||
32,465 | NiSource, Inc. | 957,393 | ||||||
38,301 | Public Service Enterprise Group, Inc. | 2,423,687 | ||||||
24,438 | Sempra Energy | 3,672,298 | ||||||
24,271 | WEC Energy Group, Inc. | 2,442,633 | ||||||
|
| |||||||
23,896,098 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (4.0%): | ||||||||
26,106 | APA Corp. | 911,099 | ||||||
152,768 | Chevron Corp. | 22,117,751 | ||||||
100,568 | ConocoPhillips | 9,032,012 | ||||||
63,100 | Coterra Energy, Inc. | 1,627,349 | ||||||
47,724 | Devon Energy Corp. | 2,630,070 | ||||||
12,972 | Diamondback Energy, Inc. | 1,571,558 | ||||||
45,788 | EOG Resources, Inc. | 5,056,827 | ||||||
327,533 | Exxon Mobil Corp. | 28,049,926 | ||||||
21,350 | Hess Corp. | 2,261,819 | ||||||
152,657 | Kinder Morgan, Inc. | 2,558,531 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Oil, Gas & Consumable Fuels, continued | ||||||||
55,024 | Marathon Oil Corp. | $ | 1,236,939 | |||||
42,063 | Marathon Petroleum Corp. | 3,457,999 | ||||||
69,404 | Occidental Petroleum Corp. | 4,086,508 | ||||||
34,929 | ONEOK, Inc. | 1,938,559 | ||||||
37,406 | Phillips 66 | 3,066,918 | ||||||
17,496 | Pioneer Natural Resources Co. | 3,903,008 | ||||||
31,871 | Valero Energy Corp. | 3,387,250 | ||||||
95,332 | Williams Cos., Inc. | 2,975,312 | ||||||
|
| |||||||
99,869,435 | ||||||||
|
| |||||||
Personal Products (0.2%): | ||||||||
17,929 | Estee Lauder Cos., Inc. (The), Class A | 4,565,978 | ||||||
|
| |||||||
Pharmaceuticals (4.8%): | ||||||||
165,539 | Bristol-Myers Squibb Co. | 12,746,503 | ||||||
14,358 | Catalent, Inc.* | 1,540,470 | ||||||
61,318 | Eli Lilly & Co. | 19,881,135 | ||||||
204,402 | Johnson & Johnson | 36,283,399 | ||||||
196,540 | Merck & Co., Inc. | 17,918,552 | ||||||
20,691 | Organon & Co. | 698,321 | ||||||
436,730 | Pfizer, Inc. | 22,897,754 | ||||||
98,332 | Viatris, Inc. | 1,029,536 | ||||||
36,592 | Zoetis, Inc. | 6,289,799 | ||||||
|
| |||||||
119,285,469 | ||||||||
|
| |||||||
Professional Services (0.3%): | ||||||||
9,455 | Equifax, Inc. | 1,728,185 | ||||||
10,036 | Jacobs Engineering Group, Inc. | 1,275,877 | ||||||
10,549 | Leidos Holdings, Inc. | 1,062,390 | ||||||
28,405 | Nielsen Holdings plc | 659,564 | ||||||
8,628 | Robert Half International, Inc. | 646,151 | ||||||
12,235 | Verisk Analytics, Inc. | 2,117,756 | ||||||
|
| |||||||
7,489,923 | ||||||||
|
| |||||||
Real Estate Management & Development (0.1%): | ||||||||
2,485,087 | BGP Holdings plc*(a) | — | ||||||
25,068 | CBRE Group, Inc., Class A* | 1,845,255 | ||||||
|
| |||||||
1,845,255 | ||||||||
|
| |||||||
Road & Rail (0.9%): | ||||||||
169,053 | CSX Corp. | 4,912,680 | ||||||
6,246 | J.B. Hunt Transport Services, Inc. | 983,558 | ||||||
18,499 | Norfolk Southern Corp. | 4,204,638 | ||||||
7,199 | Old Dominion Freight Line, Inc. | 1,844,960 | ||||||
48,830 | Union Pacific Corp. | 10,414,462 | ||||||
|
| |||||||
22,360,298 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (5.2%): | ||||||||
125,998 | Advanced Micro Devices, Inc.* | 9,635,067 | ||||||
40,670 | Analog Devices, Inc. | 5,941,480 | ||||||
68,746 | Applied Materials, Inc. | 6,254,511 | ||||||
31,745 | Broadcom, Inc. | 15,422,039 | ||||||
10,513 | Enphase Energy, Inc.* | 2,052,558 | ||||||
318,774 | Intel Corp. | 11,925,335 | ||||||
11,465 | KLA Corp. | 3,658,252 | ||||||
10,825 | Lam Research Corp. | 4,613,074 | ||||||
43,093 | Microchip Technology, Inc. | 2,502,842 | ||||||
86,325 | Micron Technology, Inc. | 4,772,046 | ||||||
3,381 | Monolithic Power Systems, Inc. | 1,298,439 | ||||||
194,986 | NVIDIA Corp. | 29,557,928 |
See accompanying notes to the financial statements.
6
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
20,401 | NXP Semiconductors NV | $ | 3,019,960 | |||||
33,784 | ON Semiconductor Corp.* | 1,699,673 | ||||||
8,768 | Qorvo, Inc.* | 826,998 | ||||||
87,082 | Qualcomm, Inc. | 11,123,855 | ||||||
12,216 | Skyworks Solutions, Inc. | 1,131,690 | ||||||
4,363 | SolarEdge Technologies, Inc.* | 1,194,066 | ||||||
12,504 | Teradyne, Inc. | 1,119,733 | ||||||
71,811 | Texas Instruments, Inc. | 11,033,760 | ||||||
|
| |||||||
128,783,306 | ||||||||
|
| |||||||
Software (8.8%): | ||||||||
36,702 | Adobe, Inc.* | 13,435,134 | ||||||
6,750 | ANSYS, Inc.* | 1,615,207 | ||||||
16,710 | Autodesk, Inc.* | 2,873,452 | ||||||
21,100 | Cadence Design Systems, Inc.* | 3,165,633 | ||||||
10,915 | Ceridian HCM Holding, Inc.* | 513,878 | ||||||
9,626 | Citrix Systems, Inc. | 935,358 | ||||||
51,045 | Fortinet, Inc.* | 2,888,126 | ||||||
22,033 | Intuit, Inc. | 8,492,400 | ||||||
581,510 | Microsoft Corp. | 149,349,213 | ||||||
46,425 | NortonLifeLock, Inc. | 1,019,493 | ||||||
122,311 | Oracle Corp. | 8,545,870 | ||||||
3,595 | Paycom Software, Inc.* | 1,007,031 | ||||||
8,131 | PTC, Inc.* | 864,651 | ||||||
77,249 | Salesforce, Inc.* | 12,749,175 | ||||||
15,640 | ServiceNow, Inc.* | 7,437,133 | ||||||
11,960 | Synopsys, Inc.* | 3,632,252 | ||||||
3,188 | Tyler Technologies, Inc.* | 1,059,946 | ||||||
|
| |||||||
219,583,952 | ||||||||
|
| |||||||
Specialty Retail (2.1%): | ||||||||
4,806 | Advance Auto Parts, Inc. | 831,871 | ||||||
1,543 | AutoZone, Inc.* | 3,316,092 | ||||||
17,946 | Bath & Body Works, Inc. | 483,106 | ||||||
15,743 | Best Buy Co., Inc. | 1,026,286 | ||||||
13,004 | CarMax, Inc.* | 1,176,602 | ||||||
80,346 | Home Depot, Inc. (The) | 22,036,498 | ||||||
51,403 | Lowe’s Cos., Inc. | 8,978,562 | ||||||
5,110 | O’Reilly Automotive, Inc.* | 3,228,294 | ||||||
27,636 | Ross Stores, Inc. | 1,940,876 | ||||||
91,261 | TJX Cos., Inc. (The) | 5,096,927 | ||||||
8,506 | Tractor Supply Co. | 1,648,888 | ||||||
4,061 | Ulta Beauty, Inc.* | 1,565,434 | ||||||
|
| |||||||
51,329,436 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (6.8%): | ||||||||
1,195,508 | Apple, Inc. | 163,449,854 | ||||||
102,323 | Hewlett Packard Enterprise Co. | 1,356,803 |
Shares or Principal Amount | Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals, continued | ||||||||
81,901 | HP, Inc. | $ | 2,684,715 | |||||
17,436 | NetApp, Inc. | 1,137,525 | ||||||
15,435 | Seagate Technology Holdings plc | 1,102,676 | ||||||
25,414 | Western Digital Corp.* | 1,139,309 | ||||||
|
| |||||||
170,870,882 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (0.5%): | ||||||||
98,620 | NIKE, Inc., Class B | 10,078,964 | ||||||
4,567 | PVH Corp. | 259,862 | ||||||
3,585 | Ralph Lauren Corp. | 321,395 | ||||||
18,776 | Tapestry, Inc. | 573,044 | ||||||
24,457 | VF Corp. | 1,080,266 | ||||||
|
| |||||||
12,313,531 | ||||||||
|
| |||||||
Tobacco (0.7%): | ||||||||
139,743 | Altria Group, Inc. | 5,837,065 | ||||||
120,526 | Philip Morris International, Inc. | 11,900,737 | ||||||
|
| |||||||
17,737,802 | ||||||||
|
| |||||||
Trading Companies & Distributors (0.2%): | ||||||||
44,858 | Fastenal Co. | 2,239,311 | ||||||
5,574 | United Rentals, Inc.* | 1,353,980 | ||||||
3,285 | W.W. Grainger, Inc. | 1,492,803 | ||||||
|
| |||||||
5,086,094 | ||||||||
|
| |||||||
Water Utilities (0.1%): | ||||||||
13,969 | American Water Works Co., Inc. | 2,078,168 | ||||||
|
| |||||||
Wireless Telecommunication Services (0.2%): | ||||||||
45,900 | T-Mobile US, Inc.* | 6,175,386 | ||||||
|
| |||||||
Total Common Stocks (Cost $1,166,235,291) | 2,480,287,863 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.1%): | ||||||||
1,756,647 | BlackRock Liquidity FedFund, Institutional Class, 0.19%(b)(c) | 1,756,647 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 1,756,647 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.6%): | ||||||||
Money Markets (0.6%): | ||||||||
15,439,145 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(c) | 15,439,145 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $15,439,145) | 15,439,145 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,183,431,083) — 100.0% | 2,497,483,655 | |||||||
Net other assets (liabilities) — 0.0%† | (490,634 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 2,496,993,021 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $1,669,479. |
+ | Affiliated Securities |
† | Represents less than 0.05%. |
(a) | Security was valued using unobservable inputs in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2022. 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, 2022. |
(c) | The rate represents the effective yield at June 30, 2022. |
Amounts shown as “—“ are either 0 or round to less than 1.
See accompanying notes to the financial statements.
7
AZL S&P 500 Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
S&P 500 Index E-Mini September Futures (U.S. Dollar) | 9/16/22 | 92 | $ | 17,431,700 | $ | 151,345 | ||||||||||
|
| |||||||||||||||
$ | 151,345 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
8
AZL S&P 500 Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investments in non-affiliates, at cost | $ | 1,179,895,390 | |||
Investments in affiliates, at cost | 3,535,693 | ||||
|
| ||||
Investments in non-affiliates, at value(a) | $ | 2,490,726,356 | |||
Investments in affiliates, at value | 6,757,299 | ||||
Cash | 8,623 | ||||
Deposit at broker for futures contracts collateral | 976,000 | ||||
Interest and dividends receivable | 1,945,513 | ||||
Foreign currency, at value (cost $116,703) | 108,825 | ||||
Reclaims receivable | 69,391 | ||||
Prepaid expenses | 9,154 | ||||
|
| ||||
Total Assets | 2,500,601,161 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 207,724 | ||||
Payable for collateral received on loaned securities | 1,756,647 | ||||
Payable for variation margin on futures contracts | 146,581 | ||||
Manager fees payable | 399,618 | ||||
Administration fees payable | 377,155 | ||||
Distribution fees payable | 514,943 | ||||
Custodian fees payable | 8,470 | ||||
Administrative and compliance services fees payable | 3,331 | ||||
Transfer agent fees payable | 2,478 | ||||
Trustee fees payable | 28,390 | ||||
Other accrued liabilities | 162,803 | ||||
|
| ||||
Total Liabilities | 3,608,140 | ||||
|
| ||||
Net Assets | $ | 2,496,993,021 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 735,065,242 | |||
Total distributable earnings | 1,761,927,779 | ||||
|
| ||||
Net Assets | $ | 2,496,993,021 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 73,559,782 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 3,734,440 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.70 | |||
�� |
|
| |||
Class 2 | |||||
Net Assets | $ | 2,423,433,239 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 124,387,191 | ||||
Net Asset Value (offering and redemption price per share) | $ | 19.48 | |||
|
|
(a) | Includes securities on loan of $1,669,479. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends from non-affiliates | $ | 22,264,284 | |||
Dividends from affiliates | 110,859 | ||||
Interest | 7 | ||||
Income from securities lending | 969 | ||||
Foreign tax reclaims received | 36,595 | ||||
|
| ||||
Total Investment Income | 22,412,714 | ||||
|
| ||||
Expenses: | |||||
Management fees | 2,457,288 | ||||
Administration fees | 245,154 | ||||
Distribution fees — Class 2 | 3,506,947 | ||||
Custodian fees | 33,426 | ||||
Administrative and compliance services fees | 18,556 | ||||
Transfer agent fees | 6,532 | ||||
Trustee fees | 73,439 | ||||
Professional fees | 59,189 | ||||
Licensing fees | 290,421 | ||||
Shareholder reports | 26,705 | ||||
Other expenses | 30,363 | ||||
|
| ||||
Total expenses | 6,748,020 | ||||
|
| ||||
Net Investment Income/(Loss) | 15,664,694 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 110,618,938 | ||||
Net realized gains/(losses) on affiliated transactions | 146,133 | ||||
Net realized gains/(losses) on futures contracts | (3,191,377 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (766,427,618 | ) | |||
Change in net unrealized appreciation/depreciation on affiliated transactions | (3,666,275 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | 35,457 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (662,484,742 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (646,820,048 | ) | ||
|
|
See accompanying notes to the financial statements.
9
AZL S&P 500 Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 15,664,694 | $ | 28,291,652 | ||||||
Net realized gains/(losses) on investments | 107,573,694 | 331,563,957 | ||||||||
Change in unrealized appreciation/depreciation on investments | (770,058,436 | ) | 415,669,129 | |||||||
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|
| |||||||
Change in net assets resulting from operations | (646,820,048 | ) | 775,524,738 | |||||||
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|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (6,066,971 | ) | |||||||
Class 2 | — | (202,617,986 | ) | |||||||
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| |||||||
Change in net assets resulting from distributions to shareholders | — | (208,684,957 | ) | |||||||
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| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 9,227 | 357,240 | ||||||||
Proceeds from dividends reinvested | — | 6,066,971 | ||||||||
Value of shares redeemed | (6,444,997 | ) | (10,698,137 | ) | ||||||
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|
| |||||||
Total Class 1 Shares | (6,435,770 | ) | (4,273,926 | ) | ||||||
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| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 5,623,286 | 432,554,811 | ||||||||
Proceeds from dividends reinvested | — | 202,617,985 | ||||||||
Value of shares redeemed | (188,412,074 | ) | (702,400,057 | ) | ||||||
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| |||||||
Total Class 2 Shares | (182,788,788 | ) | (67,227,261 | ) | ||||||
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|
| |||||||
Change in net assets resulting from capital transactions | (189,224,558 | ) | (71,501,187 | ) | ||||||
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| |||||||
Change in net assets | (836,044,606 | ) | 495,338,594 | |||||||
Net Assets: | ||||||||||
Beginning of period | 3,333,037,627 | 2,837,699,033 | ||||||||
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| |||||||
End of period | $ | 2,496,993,021 | $ | 3,333,037,627 | ||||||
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Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 450 | 15,874 | ||||||||
Dividends reinvested | — | 269,643 | ||||||||
Shares redeemed | (289,516 | ) | (465,681 | ) | ||||||
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| |||||||
Total Class 1 Shares | (289,066 | ) | (180,164 | ) | ||||||
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| |||||||
Class 2 | ||||||||||
Shares issued | 260,490 | 18,802,260 | ||||||||
Dividends reinvested | — | 9,090,084 | ||||||||
Shares redeemed | (8,402,760 | ) | (30,537,117 | ) | ||||||
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| |||||||
Total Class 2 Shares | (8,142,270 | ) | (2,644,773 | ) | ||||||
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| |||||||
Change in shares | (8,431,336 | ) | (2,824,937 | ) | ||||||
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Amounts shown as “—” are either $0 or rounds to less than $1.
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. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 24.64 | $ | 20.53 | $ | 18.39 | $ | 14.72 | $ | 16.25 | $ | 14.15 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.15 | (a) | 0.26 | (a) | 0.28 | (a) | 0.31 | (a) | 0.29 | (a) | 0.28 | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (5.09 | ) | 5.42 | 2.90 | 4.20 | (0.96 | ) | 2.71 | ||||||||||||||||||||||
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Total from Investment Activities | (4.94 | ) | 5.68 | 3.18 | 4.51 | (0.67 | ) | 2.99 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.29 | ) | (0.35 | ) | (0.31 | ) | (0.31 | ) | (0.17 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.28 | ) | (0.69 | ) | (0.53 | ) | (0.55 | ) | (0.72 | ) | |||||||||||||||||||
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Total Dividends | — | (1.57 | ) | (1.04 | ) | (0.84 | ) | (0.86 | ) | (0.89 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 19.70 | $ | 24.64 | $ | 20.53 | $ | 18.39 | $ | 14.72 | $ | 16.25 | ||||||||||||||||||
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Total Return(b) | (20.05 | )%(c) | 28.42 | % | 17.82 | % | 31.27 | % | (4.63 | )% | 21.60 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 73,560 | $ | 99,137 | $ | 86,300 | $ | 70,738 | $ | 62,599 | $ | 76,049 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.33 | % | 1.15 | % | 1.53 | % | 1.81 | % | 1.74 | % | 1.83 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.22 | % | 0.24 | % | 0.25 | % | 0.24 | % | 0.23 | % | 0.23 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.22 | % | 0.24 | % | 0.25 | % | 0.24 | % | 0.23 | % | 0.23 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 17 | % | 10 | % | 3 | % | 4 | % | 2 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 24.40 | $ | 20.35 | $ | 18.24 | $ | 14.61 | $ | 16.13 | $ | 14.06 | ||||||||||||||||||
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Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.12 | (a) | 0.20 | (a) | 0.24 | (a) | 0.26 | (a) | 0.25 | (a) | 0.24 | |||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (5.04 | ) | 5.37 | 2.86 | 4.17 | (0.95 | ) | 2.70 | ||||||||||||||||||||||
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| |||||||||||||||||||
Total from Investment Activities | (4.92 | ) | 5.57 | 3.10 | 4.43 | (0.70 | ) | 2.94 | ||||||||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.24 | ) | (0.30 | ) | (0.27 | ) | (0.27 | ) | (0.15 | ) | |||||||||||||||||||
Net Realized Gains | — | (1.28 | ) | (0.69 | ) | (0.53 | ) | (0.55 | ) | (0.72 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Total Dividends | — | (1.52 | ) | (0.99 | ) | (0.80 | ) | (0.82 | ) | (0.87 | ) | |||||||||||||||||||
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Net Asset Value, End of Period | $ | 19.48 | $ | 24.40 | $ | 20.35 | $ | 18.24 | $ | 14.61 | $ | 16.13 | ||||||||||||||||||
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Total Return(b) | (20.16 | )%(c) | 28.12 | % | 17.50 | % | 30.89 | % | (4.84 | )% | 21.36 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 2,423,433 | $ | 3,233,900 | $ | 2,751,399 | $ | 2,719,291 | $ | 2,370,547 | $ | 2,788,345 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.08 | % | 0.89 | % | 1.31 | % | 1.56 | % | 1.49 | % | 1.58 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.47 | % | 0.49 | % | 0.50 | % | 0.49 | % | 0.48 | % | 0.48 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.47 | % | 0.49 | % | 0.50 | % | 0.49 | % | 0.48 | % | 0.48 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 1 | % | 17 | % | 10 | % | 3 | % | 4 | % | 2 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
11
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance
12
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Products Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $96 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $1,756,647 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions under the Rule.
Derivative Instruments
All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.
Futures Contracts
During the period ended June 30, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $12.2 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 151,345 | Payable for variation margin on futures contracts* | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
13
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/Change in net unrealized appreciation/depreciation on futures contracts | $ | (3,191,377 | ) | $ | 35,457 |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, 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 with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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, 2022, there were no such waivers.
At June 30, 2022, the following investments are noted as Affiliated Securities in the Fund’s Schedule of Portfolio Investments.
Fair Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gains(Losses) | Change in Net Unrealized Appreciation/ Depreciation | Fair Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | Capital Gains Distributions | |||||||||||||||||||||||||||||||||||||
BlackRock Inc., Class A | $ | 10,740,434 | $ | — | $ | (462,993 | ) | $ | 146,133 | $ | (3,666,275 | ) | $ | 6,757,299 | 11,095 | $ | 110,859 | $ | — | ||||||||||||||||||||||||||
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$ | 10,740,434 | $ | — | $ | (462,993 | ) | $ | 146,133 | $ | (3,666,275 | ) | $ | 6,757,299 | 11,095 | $ | 110,859 | $ | — | |||||||||||||||||||||||||||
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Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
14
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2022 (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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 2,480,287,863 | $ | — | $ | — | # | $ | 2,480,287,863 | |||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 1,756,647 | — | — | 1,756,647 | ||||||||||||||||
Unaffiliated Investment Company | 15,439,145 | — | — | 15,439,145 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 2,497,483,655 | — | — | 2,497,483,655 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 151,345 | — | — | 151,345 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 2,497,635,000 | $ | — | $ | — | $ | 2,497,635,000 | ||||||||||||
|
|
|
|
|
|
|
|
+ | 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, 2022. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 30,353,531 | $ | 205,728,528 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
15
AZL S&P 500 Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $1,282,794,627. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 2,066,341,139 | ||
Unrealized (depreciation) | (16,267,945 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 2,050,073,194 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL S&P 500 Index Fund | $ | 37,011,304 | $ | 171,673,653 | $ | 208,684,957 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | $ | 31,980,442 | $ | 326,695,822 | $ | — | $ | 2,050,071,563 | $ | 2,408,747,827 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts and other miscellaneous differences. |
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 55% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
16
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
17
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
18
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® Small Cap Stock Index Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 18 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 19 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL Small Cap Stock Index Fund
(Unaudited)
As a shareholder of the AZL Small Cap Stock Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 808.50 | $ | 1.43 | 0.32 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 807.40 | $ | 2.55 | 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL Small Cap Stock Index Fund, Class 1 | $ | 1,000.00 | $ | 1,023.21 | $ | 1.61 | 0.32 | % | ||||||||||||
AZL Small Cap Stock Index Fund, Class 2 | $ | 1,000.00 | $ | 1,021.97 | $ | 2.86 | 0.57 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Financials | 18.1 | % | |||
Industrials | 15.9 | ||||
Information Technology | 13.4 | ||||
Health Care | 12.4 | ||||
Consumer Discretionary | 11.4 | ||||
Real Estate | 7.8 | ||||
Consumer Staples | 5.5 | ||||
Materials | 5.4 | ||||
Energy | 5.2 | ||||
Utilities | 2.3 | ||||
Communication Services | 2.1 | ||||
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| ||||
Total Common Stocks | 99.5 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 1.1 | ||||
Unaffiliated Investment Company | 0.4 | ||||
|
| ||||
Total Investment Securities | 101.0 | ||||
Net other assets (liabilities) | (1.0 | ) | |||
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Net Assets | 100.0 | % | |||
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1
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (99.5%): | ||||||||
Aerospace & Defense (1.2%): | ||||||||
24,801 | AAR Corp.* | $ | 1,037,674 | |||||
�� | 56,098 | Aerojet Rocketdyne Holdings, Inc.* | 2,277,579 | |||||
17,479 | AeroVironment, Inc.* | 1,436,774 | ||||||
21,741 | Moog, Inc., Class A | 1,726,018 | ||||||
3,705 | National Presto Industries, Inc. | 243,196 | ||||||
14,569 | Park Aerospace Corp., Class C | 185,900 | ||||||
48,862 | Triumph Group, Inc.* | 649,376 | ||||||
|
| |||||||
7,556,517 | ||||||||
|
| |||||||
Air Freight & Logistics (0.7%): | ||||||||
19,652 | Atlas Air Worldwide Holdings, Inc.* | 1,212,725 | ||||||
20,136 | Forward Air Corp. | 1,851,706 | ||||||
25,485 | Hub Group, Inc., Class A* | 1,807,906 | ||||||
|
| |||||||
4,872,337 | ||||||||
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| |||||||
Airlines (0.4%): | ||||||||
11,489 | Allegiant Travel Co.* | 1,299,291 | ||||||
38,466 | Hawaiian Holdings, Inc.* | 550,448 | ||||||
37,872 | SkyWest, Inc.* | 804,780 | ||||||
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| |||||||
2,654,519 | ||||||||
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| |||||||
Auto Components (1.4%): | ||||||||
86,330 | American Axle & Manufacturing Holdings, Inc.* | 650,065 | ||||||
21,216 | Dorman Products, Inc.* | 2,327,607 | ||||||
24,836 | Gentherm, Inc.* | 1,550,015 | ||||||
19,051 | LCI Industries | 2,131,426 | ||||||
14,628 | Motorcar Parts of America, Inc.* | 191,919 | ||||||
16,383 | Patrick Industries, Inc. | 849,295 | ||||||
14,237 | Standard Motor Products, Inc. | 640,523 | ||||||
12,373 | XPEL, Inc.* | 568,292 | ||||||
|
| |||||||
8,909,142 | ||||||||
|
| |||||||
Automobiles (0.2%): | ||||||||
24,569 | Winnebago Industries, Inc. | 1,193,071 | ||||||
|
| |||||||
Banks (9.8%): | ||||||||
14,206 | Allegiance Bancshares, Inc. | 536,419 | ||||||
49,448 | Ameris Bancorp | 1,986,821 | ||||||
39,725 | Banc of California, Inc. | 699,954 | ||||||
14,374 | BancFirst Corp. | 1,375,736 | ||||||
42,407 | Bancorp, Inc. (The)* | 827,785 | ||||||
61,309 | BankUnited, Inc. | 2,180,761 | ||||||
25,769 | Banner Corp. | 1,448,475 | ||||||
35,474 | Berkshire Hills Bancorp, Inc. | 878,691 | ||||||
58,070 | Brookline Bancorp, Inc. | 772,912 | ||||||
20,653 | Central Pacific Financial Corp. | 443,007 | ||||||
11,217 | City Holding Co. | 896,014 | ||||||
58,359 | Columbia Banking System, Inc. | 1,671,985 | ||||||
40,412 | Community Bank System, Inc. | 2,557,271 | ||||||
22,960 | Customers Bancorp, Inc.* | 778,344 | ||||||
99,394 | CVB Financial Corp. | 2,465,965 | ||||||
24,123 | Dime Community Bancshares, Inc. | 715,247 | ||||||
24,148 | Eagle Bancorp, Inc. | 1,144,857 | ||||||
26,556 | FB Financial Corp. | 1,041,526 | ||||||
148,059 | First BanCorp | 1,911,442 | ||||||
25,915 | First Bancorp/Southern Pines NC | 904,433 | ||||||
70,701 | First Commonwealth Financial Corp. | 948,807 | ||||||
71,380 | First Financial Bancorp | 1,384,772 | ||||||
95,997 | First Hawaiian, Inc. | 2,180,092 | ||||||
23,375 | Hanmi Financial Corp. | 524,535 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Banks, continued | ||||||||
26,760 | Heritage Financial Corp. | $ | 673,282 | |||||
37,266 | Hilltop Holdings, Inc. | 993,512 | ||||||
90,250 | Hope BanCorp, Inc. | 1,249,060 | ||||||
35,066 | Independent Bank Corp. | 2,785,292 | ||||||
27,253 | Independent Bank Group, Inc. | 1,850,751 | ||||||
19,000 | Lakeland Financial Corp. | 1,261,980 | ||||||
22,525 | National Bank Holdings Corp. | 862,032 | ||||||
32,103 | NBT Bancorp, Inc. | 1,206,752 | ||||||
36,433 | OFG Bancorp | 925,398 | ||||||
71,161 | Pacific Premier Bancorp, Inc. | 2,080,748 | ||||||
10,841 | Park National Corp. | 1,314,471 | ||||||
8,051 | Preferred Bank Los Angeles | 547,629 | ||||||
41,903 | Renasant Corp. | 1,207,225 | ||||||
29,505 | S&T Bancorp, Inc. | 809,322 | ||||||
45,905 | Seacoast Banking Corp of Florida | 1,516,701 | ||||||
36,627 | ServisFirst Bancshares, Inc. | 2,890,603 | ||||||
95,138 | Simmons First National Corp., Class A | 2,022,634 | ||||||
24,079 | Southside Bancshares, Inc. | 901,036 | ||||||
8,819 | Tompkins Financial Corp. | 635,850 | ||||||
17,728 | Triumph BanCorp, Inc.* | 1,109,064 | ||||||
46,074 | Trustmark Corp. | 1,344,900 | ||||||
78,684 | United Community Banks, Inc. | 2,375,470 | ||||||
40,416 | Veritex Holdings, Inc. | 1,182,572 | ||||||
20,153 | Westamerica BanCorp | 1,121,716 | ||||||
|
| |||||||
63,143,851 | ||||||||
|
| |||||||
Beverages (0.9%): | ||||||||
28,915 | Celsius Holdings, Inc.* | 1,886,993 | ||||||
3,450 | Coca-Cola Consolidated, Inc. | 1,945,455 | ||||||
9,486 | MGP Ingredients, Inc. | 949,454 | ||||||
17,650 | National Beverage Corp. | 863,791 | ||||||
|
| |||||||
5,645,693 | ||||||||
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| |||||||
Biotechnology (2.7%): | ||||||||
34,679 | Arcus Biosciences, Inc.* | 878,766 | ||||||
46,221 | Avid Bioservices, Inc.* | 705,333 | ||||||
31,751 | Cara Therapeutics, Inc.* | 289,887 | ||||||
49,247 | Coherus Biosciences, Inc.* | 356,548 | ||||||
63,663 | Cytokinetics, Inc.* | 2,501,319 | ||||||
85,361 | Dynavax Technologies Corp.*^ | 1,074,695 | ||||||
8,377 | Eagle Pharmaceuticals, Inc.* | 372,190 | ||||||
33,521 | Emergent BioSolutions, Inc.* | 1,040,492 | ||||||
13,590 | Enanta Pharmaceuticals, Inc.* | 642,399 | ||||||
115,319 | Ironwood Pharmaceuticals, Inc.* | 1,329,628 | ||||||
15,474 | iTeos Therapeutics, Inc.* | 318,764 | ||||||
12,674 | Ligand Pharmaceuticals, Inc.* | 1,130,774 | ||||||
60,248 | Myriad Genetics, Inc.* | 1,094,706 | ||||||
48,363 | Organogenesis Holdings, Inc.* | 236,012 | ||||||
28,220 | REGENXBIO, Inc.* | 697,034 | ||||||
27,808 | Uniqure NV* | 518,341 | ||||||
42,592 | Vanda Pharmaceuticals, Inc.* | 464,253 | ||||||
35,452 | Vericel Corp.* | 892,681 | ||||||
55,464 | Vir Biotechnology, Inc.* | 1,412,668 | ||||||
44,645 | Xencor, Inc.* | 1,221,934 | ||||||
|
| |||||||
17,178,424 | ||||||||
|
| |||||||
Building Products (1.9%): | ||||||||
31,384 | AAON, Inc. | 1,718,588 | ||||||
12,589 | American Woodmark Corp.* | 566,631 |
See accompanying notes to the financial statements.
2
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Building Products, continued | ||||||||
16,639 | Apogee Enterprises, Inc. | $ | 652,582 | |||||
24,582 | Gibraltar Industries, Inc.* | 952,553 | ||||||
35,969 | Griffon Corp. | 1,008,211 | ||||||
14,571 | Insteel Industries, Inc. | 490,606 | ||||||
45,324 | PGT Innovations, Inc.* | 754,191 | ||||||
25,027 | Quanex Building Products Corp. | 569,364 | ||||||
108,994 | Resideo Technologies, Inc.* | 2,116,663 | ||||||
46,936 | UFP Industries, Inc. | 3,198,219 | ||||||
|
| |||||||
12,027,608 | ||||||||
|
| |||||||
Capital Markets (0.9%): | ||||||||
12,068 | B Riley Financial, Inc. | 509,873 | ||||||
35,418 | Blucora, Inc.* | 653,816 | ||||||
29,713 | Brightsphere Investment Group, Inc. | 535,131 | ||||||
20,971 | Donnelley Financial Solutions, Inc.* | 614,241 | ||||||
10,603 | Piper Sandler Cos. | 1,201,956 | ||||||
12,972 | StoneX Group, Inc.* | 1,012,724 | ||||||
5,266 | Virtus Investment Partners, Inc. | 900,591 | ||||||
82,398 | WisdomTree Investments, Inc. | 417,758 | ||||||
|
| |||||||
5,846,090 | ||||||||
|
| |||||||
Chemicals (2.8%): | ||||||||
21,321 | AdvanSix, Inc. | 712,974 | ||||||
20,095 | American Vanguard Corp. | 449,123 | ||||||
24,075 | Balchem Corp. | 3,123,491 | ||||||
19,113 | Futurefuel Corp. | 139,143 | ||||||
40,459 | GCP Applied Technologies, Inc.* | 1,265,558 | ||||||
39,769 | H.B. Fuller Co. | 2,394,491 | ||||||
14,173 | Hawkins, Inc. | 510,653 | ||||||
18,684 | Innospec, Inc. | 1,789,740 | ||||||
15,849 | Koppers Holdings, Inc. | 358,821 | ||||||
121,246 | Livent Corp.* | 2,751,072 | ||||||
10,165 | Quaker Chemical Corp. | 1,519,871 | ||||||
48,369 | Rayonier Advanced Materials, Inc.* | 126,727 | ||||||
15,926 | Stepan Co. | 1,614,100 | ||||||
18,322 | Tredegar Corp. | 183,220 | ||||||
27,099 | Trinseo PLC | 1,042,228 | ||||||
|
| |||||||
17,981,212 | ||||||||
|
| |||||||
Commercial Services & Supplies (1.9%): | ||||||||
50,126 | ABM Industries, Inc. | 2,176,471 | ||||||
36,031 | Brady Corp., Class A | 1,702,104 | ||||||
32,357 | Deluxe Corp. | 701,176 | ||||||
55,498 | Healthcare Services Group, Inc. | 966,220 | ||||||
31,772 | HNI Corp. | 1,102,171 | ||||||
44,813 | Interface, Inc. | 561,955 | ||||||
91,103 | KAR Auction Services, Inc.* | 1,345,591 | ||||||
23,897 | Matthews International Corp., Class A | 685,127 | ||||||
101,264 | Pitney Bowes, Inc. | 366,576 | ||||||
11,380 | UniFirst Corp. | 1,959,408 | ||||||
15,614 | Viad Corp.* | 431,103 | ||||||
|
| |||||||
11,997,902 | ||||||||
|
| |||||||
Communications Equipment (1.6%): | ||||||||
36,918 | ADTRAN, Inc. | 647,172 | ||||||
27,030 | CalAmp Corp.* | 112,715 | ||||||
20,238 | Comtech Telecommunications Corp. | 183,559 | ||||||
26,336 | Digi International, Inc.* | 637,858 | ||||||
98,507 | Extreme Networks, Inc.* | 878,682 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Communications Equipment, continued | ||||||||
77,887 | Harmonic, Inc.* | $ | 675,280 | |||||
23,157 | InterDigital, Inc. | 1,407,946 | ||||||
21,568 | NETGEAR, Inc.* | 399,439 | ||||||
55,344 | NetScout Systems, Inc.* | 1,873,394 | ||||||
32,373 | Plantronics, Inc.* | 1,284,561 | ||||||
170,785 | Viavi Solutions, Inc.* | 2,259,486 | ||||||
|
| |||||||
10,360,092 | ||||||||
|
| |||||||
Construction & Engineering (1.1%): | ||||||||
36,222 | Arcosa, Inc. | 1,681,787 | ||||||
26,973 | Comfort Systems USA, Inc. | 2,242,805 | ||||||
34,005 | Granite Construction, Inc. | 990,906 | ||||||
12,743 | MYR Group, Inc.* | 1,123,041 | ||||||
8,965 | NV5 Global, Inc.* | 1,046,574 | ||||||
|
| |||||||
7,085,113 | ||||||||
|
| |||||||
Consumer Finance (0.8%): | ||||||||
18,185 | Encore Capital Group, Inc.* | 1,050,547 | ||||||
24,408 | Enova International, Inc.* | 703,439 | ||||||
40,117 | EZCORP, Inc., Class A* | 301,279 | ||||||
40,638 | Green Dot Corp., Class A* | 1,020,420 | ||||||
29,828 | PRA Group, Inc.* | 1,084,546 | ||||||
40,511 | PROG Holdings, Inc.* | 668,432 | ||||||
2,739 | World Acceptance Corp.* | 307,425 | ||||||
|
| |||||||
5,136,088 | ||||||||
|
| |||||||
Containers & Packaging (0.3%): | ||||||||
27,308 | Myers Industries, Inc. | 620,711 | ||||||
117,102 | O-I Glass, Inc.* | 1,639,428 | ||||||
|
| |||||||
2,260,139 | ||||||||
|
| |||||||
Diversified Consumer Services (0.5%): | ||||||||
33,841 | Adtalem Global Education, Inc.* | 1,217,261 | ||||||
13,338 | American Public Education, Inc.* | 215,542 | ||||||
52,275 | Perdoceo Education Corp.* | 615,799 | ||||||
17,197 | Strategic Education, Inc. | 1,213,764 | ||||||
41,035 | WW International, Inc.* | 262,214 | ||||||
|
| |||||||
3,524,580 | ||||||||
|
| |||||||
Diversified Telecommunication Services (0.4%): | ||||||||
8,144 | ATN International, Inc. | 382,035 | ||||||
32,129 | Cogent Communications Holdings, Inc. | 1,952,158 | ||||||
53,816 | Consolidated Communications Holdings, Inc.* | 376,712 | ||||||
|
| |||||||
2,710,905 | ||||||||
|
| |||||||
Electrical Equipment (0.4%): | ||||||||
18,506 | AZZ, Inc. | 755,415 | ||||||
14,788 | Encore Wire Corp. | 1,536,769 | ||||||
6,571 | Powell Industries, Inc. | 153,564 | ||||||
|
| |||||||
2,445,748 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.7%): | ||||||||
64,823 | Arlo Technologies, Inc.* | 406,440 | ||||||
21,940 | Badger Meter, Inc. | 1,774,726 | ||||||
26,646 | Benchmark Electronics, Inc. | 601,134 | ||||||
24,054 | CTS Corp. | 819,039 | ||||||
20,155 | ePlus, Inc.* | 1,070,634 | ||||||
27,575 | Fabrinet* | 2,236,332 | ||||||
13,689 | FARO Technologies, Inc.* | 422,032 | ||||||
26,292 | Insight Enterprises, Inc.* | 2,268,474 | ||||||
33,779 | Itron, Inc.* | 1,669,696 |
See accompanying notes to the financial statements.
3
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Electronic Equipment, Instruments & Components, continued | ||||||||
68,781 | Knowles Corp.* | $ | 1,191,975 | |||||
27,683 | Methode Electronics, Inc., Class A | 1,025,378 | ||||||
11,882 | OSI Systems, Inc.* | 1,015,198 | ||||||
8,281 | PC Connection, Inc. | 364,778 | ||||||
20,782 | Plexus Corp.* | 1,631,387 | ||||||
14,040 | Rogers Corp.* | 3,679,744 | ||||||
45,609 | Sanmina Corp.* | 1,857,654 | ||||||
18,915 | ScanSource, Inc.* | 589,013 | ||||||
75,720 | TTM Technologies, Inc.* | 946,500 | ||||||
|
| |||||||
23,570,134 | ||||||||
|
| |||||||
Energy Equipment & Services (2.0%): | ||||||||
102,046 | Archrock, Inc. | 843,920 | ||||||
17,434 | Bristow Group, Inc.* | 407,956 | ||||||
35,087 | Core Laboratories NV | 695,073 | ||||||
15,007 | DMC Global, Inc.* | 270,576 | ||||||
25,876 | Dril-Quip, Inc.* | 667,601 | ||||||
106,859 | Helix Energy Solutions Group, Inc.* | 331,263 | ||||||
78,925 | Helmerich & Payne, Inc. | 3,398,511 | ||||||
6,632 | Nabors Industries, Ltd.* | 888,025 | ||||||
75,606 | Oceaneering International, Inc.* | 807,472 | ||||||
45,794 | Oil States International, Inc.* | 248,204 | ||||||
162,144 | Patterson-UTI Energy, Inc. | 2,555,389 | ||||||
63,223 | Propetro Holding Corp.* | 632,230 | ||||||
52,775 | RPC, Inc.* | 364,675 | ||||||
57,027 | U.S. Silica Holdings, Inc.* | 651,248 | ||||||
|
| |||||||
12,762,143 | ||||||||
|
| |||||||
Entertainment (0.2%): | ||||||||
80,690 | Cinemark Holdings, Inc.* | 1,211,964 | ||||||
16,500 | Marcus Corp.* | 243,705 | ||||||
|
| |||||||
1,455,669 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (7.4%): | ||||||||
71,127 | Acadia Realty Trust | 1,111,004 | ||||||
56,351 | Agree Realty Corp. | 4,064,598 | ||||||
54,482 | Alexander & Baldwin, Inc. | 977,952 | ||||||
39,470 | American Assets Trust, Inc. | 1,172,259 | ||||||
51,775 | Armada Hoffler Properties, Inc. | 664,791 | ||||||
128,472 | Brandywine Realty Trust | 1,238,470 | ||||||
73,031 | CareTrust REIT, Inc. | 1,346,692 | ||||||
11,312 | Centerspace | 922,494 | ||||||
36,585 | Chatham Lodging Trust* | 382,313 | ||||||
17,655 | Community Healthcare Trust, Inc. | 639,288 | ||||||
90,385 | CoreCivic, Inc.* | 1,004,177 | ||||||
158,064 | DiamondRock Hospitality Co.* | 1,297,705 | ||||||
179,149 | Diversified Healthcare Trust | 326,051 | ||||||
68,050 | Easterly Government Properties, Inc. | 1,295,672 | ||||||
98,313 | Essential Properties Realty Trust, Inc. | 2,112,746 | ||||||
60,241 | Four Corners Property Trust, Inc. | 1,601,808 | ||||||
69,592 | Franklin Street Properties Corp. | 290,199 | ||||||
91,992 | GEO Group, Inc. (The)* | 607,147 | ||||||
29,894 | Getty Realty Corp. | 792,191 | ||||||
77,680 | Global Net Lease, Inc. | 1,099,949 | ||||||
25,460 | Hersha Hospitality Trust* | 249,763 | ||||||
49,629 | Industrial Logistics Properties Trust | 698,776 | ||||||
20,967 | Innovative Industrial Properties, Inc. | 2,303,644 | ||||||
62,104 | iStar, Inc. | 851,446 | ||||||
29,612 | LTC Properties, Inc. | 1,136,805 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Equity Real Estate Investment Trusts, continued | ||||||||
214,244 | LXP Industrial Trust | $ | 2,300,981 | |||||
17,165 | NexPoint Residential Trust, Inc. | 1,072,984 | ||||||
35,926 | Office Properties Income Trust | 716,724 | ||||||
42,448 | Orion Office REIT, Inc. | 465,230 | ||||||
91,075 | Retail Opportunity Investments Corp. | 1,437,163 | ||||||
64,381 | Rpt Realty | 632,865 | ||||||
10,949 | Safehold, Inc. | 387,266 | ||||||
9,693 | Saul Centers, Inc. | 456,637 | ||||||
125,121 | Service Properties Trust | 654,383 | ||||||
135,694 | SITE Centers Corp. | 1,827,798 | ||||||
81,802 | Summit Hotel Properties, Inc.* | 594,701 | ||||||
78,255 | Tanger Factory Outlet Centers, Inc. | 1,112,786 | ||||||
177,738 | Uniti Group, Inc. | 1,674,292 | ||||||
9,611 | Universal Health Realty Income Trust | 511,401 | ||||||
82,743 | Urban Edge Properties | 1,258,521 | ||||||
22,609 | Urstadt Biddle Properties, Inc., Class A | 366,266 | ||||||
60,049 | Veris Residential, Inc.* | 795,049 | ||||||
64,246 | Washington Real Estate | 1,369,082 | ||||||
35,569 | Whitestone REIT | 382,367 | ||||||
85,721 | Xenia Hotels & Resorts, Inc.* | 1,245,526 | ||||||
|
| |||||||
47,449,962 | ||||||||
|
| |||||||
Food & Staples Retailing (0.9%): | ||||||||
18,052 | PriceSmart, Inc. | 1,293,065 | ||||||
27,469 | SpartanNash Co. | 828,740 | ||||||
22,978 | The Andersons, Inc. | 758,044 | ||||||
24,805 | The Chefs’ Warehouse, Inc.* | 964,667 | ||||||
43,676 | United Natural Foods, Inc.* | 1,720,834 | ||||||
|
| |||||||
5,565,350 | ||||||||
|
| |||||||
Food Products (2.0%): | ||||||||
51,637 | B&G Foods, Inc.^ | 1,227,928 | ||||||
13,349 | Calavo Growers, Inc. | 556,920 | ||||||
28,191 | Cal-Maine Foods, Inc. | 1,392,917 | ||||||
25,092 | Fresh Del Monte Produce, Inc. | 740,967 | ||||||
103,662 | Hostess Brands, Inc.* | 2,198,671 | ||||||
11,275 | J & J Snack Foods Corp. | 1,574,667 | ||||||
6,693 | John B Sanfilippo & Son, Inc. | 485,176 | ||||||
4,562 | Seneca Foods Corp., Class A* | 253,373 | ||||||
66,210 | Simply Good Foods Co. (The)* | 2,500,752 | ||||||
13,347 | Tootsie Roll Industries, Inc.^ | 471,816 | ||||||
41,993 | TreeHouse Foods, Inc.* | 1,756,147 | ||||||
|
| |||||||
13,159,334 | ||||||||
|
| |||||||
Gas Utilities (1.0%): | ||||||||
13,287 | Chesapeake Utilities Corp. | 1,721,331 | ||||||
25,679 | Northwest Natural Holding Co. | 1,363,555 | ||||||
91,758 | South Jersey Industries, Inc. | 3,132,618 | ||||||
|
| |||||||
6,217,504 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (3.4%): | ||||||||
29,070 | AngioDynamics, Inc.* | 562,505 | ||||||
10,865 | Anika Therapeutics, Inc.* | 242,507 | ||||||
30,305 | Artivion, Inc.* | 572,158 | ||||||
35,475 | Avanos Medical, Inc.* | 969,887 | ||||||
23,360 | BioLife Solutions, Inc.* | 322,602 | ||||||
31,101 | Cardiovascular Systems, Inc.* | 446,610 | ||||||
22,233 | CONMED Corp. | 2,129,032 | ||||||
12,316 | Cutera, Inc.* | 461,850 |
See accompanying notes to the financial statements.
4
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Health Care Equipment & Supplies, continued | ||||||||
42,694 | Embecta Corp.* | $ | 1,081,012 | |||||
35,775 | Glaukos Corp.* | 1,624,901 | ||||||
8,049 | Heska Corp.* | 760,711 | ||||||
15,614 | Inogen, Inc.* | 377,547 | ||||||
24,814 | Integer Holdings Corp.* | 1,753,357 | ||||||
51,376 | Lantheus Holdings, Inc.* | 3,392,357 | ||||||
14,571 | LeMaitre Vascular, Inc. | 663,709 | ||||||
32,850 | Meridian Bioscience, Inc.* | 999,297 | ||||||
38,240 | Merit Medical Systems, Inc.* | 2,075,285 | ||||||
3,980 | Mesa Laboratories, Inc. | 811,681 | ||||||
25,733 | Natus Medical, Inc.* | 843,270 | ||||||
55,295 | OraSure Technologies, Inc.* | 149,849 | ||||||
14,548 | Orthofix Medical, Inc.* | 342,460 | ||||||
10,621 | Surmodics, Inc.* | 395,420 | ||||||
29,673 | Varex Imaging Corp.* | 634,705 | ||||||
15,509 | Zimvie, Inc.* | 248,299 | ||||||
17,031 | Zynex, Inc. | 135,907 | ||||||
|
| |||||||
21,996,918 | ||||||||
|
| |||||||
Health Care Providers & Services (3.3%): | ||||||||
12,047 | Addus HomeCare Corp.* | 1,003,274 | ||||||
33,521 | AMN Healthcare Services, Inc.* | 3,677,589 | ||||||
28,683 | Apollo Medical Holdings, Inc.* | 1,106,877 | ||||||
91,485 | Community Health Systems, Inc.* | 343,069 | ||||||
7,001 | CorVel Corp.* | 1,031,037 | ||||||
78,688 | Covetrus, Inc.* | 1,632,776 | ||||||
26,596 | Cross Country Healthcare, Inc.* | 553,995 | ||||||
39,507 | Ensign Group, Inc. (The) | 2,902,579 | ||||||
14,691 | Fulgent Genetics, Inc.* | 801,100 | ||||||
28,417 | Hanger, Inc.* | 406,932 | ||||||
11,039 | Joint Corp. (The)* | 169,007 | ||||||
65,036 | MEDNAX, Inc.* | 1,366,406 | ||||||
9,298 | ModivCare, Inc.* | 785,681 | ||||||
57,442 | Owens & Minor, Inc. | 1,806,551 | ||||||
35,482 | RadNet, Inc.* | 613,129 | ||||||
77,357 | Select Medical Holdings Corp. | 1,827,172 | ||||||
20,235 | The Pennant Group, Inc.* | 259,210 | ||||||
9,738 | U.S. Physical Therapy, Inc. | 1,063,390 | ||||||
|
| |||||||
21,349,774 | ||||||||
|
| |||||||
Health Care Technology (1.2%): | ||||||||
86,971 | Allscripts Healthcare Solutions, Inc.* | 1,289,780 | ||||||
11,338 | Computer Programs & Systems, Inc.* | 362,476 | ||||||
18,226 | HealthStream, Inc.* | 395,686 | ||||||
42,758 | NextGen Healthcare, Inc.* | 745,700 | ||||||
33,131 | Omnicell, Inc.* | 3,768,651 | ||||||
13,669 | OptimizeRx Corp.* | 374,394 | ||||||
11,815 | Simulations Plus, Inc. | 582,834 | ||||||
|
| |||||||
7,519,521 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.4%): | ||||||||
17,570 | BJ’s Restaurants, Inc.* | 380,918 | ||||||
60,509 | Bloomin’ Brands, Inc. | 1,005,659 | ||||||
32,864 | Brinker International, Inc.* | 723,994 | ||||||
36,633 | Cheesecake Factory, Inc. (The) | 967,844 | ||||||
14,196 | Chuy’s Holdings, Inc.* | 282,784 | ||||||
29,350 | Dave & Buster’s Entertainment, Inc.* | 962,093 | ||||||
12,557 | Dine Brands Global, Inc. | 817,209 | ||||||
15,124 | El Pollo Loco Holdings, Inc.* | 148,820 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
15,480 | Golden Entertainment, Inc.* | $ | 612,234 | |||||
15,927 | Jack in the Box, Inc. | 892,868 | ||||||
9,834 | Monarch Casino & Resort, Inc.* | 576,961 | ||||||
23,468 | Ruth’s Hospitality Group, Inc. | 381,590 | ||||||
29,566 | Shake Shack, Inc., Class A* | 1,167,266 | ||||||
|
| |||||||
8,920,240 | ||||||||
|
| |||||||
Household Durables (2.3%): | ||||||||
6,429 | Cavco Industries, Inc.* | 1,260,020 | ||||||
21,719 | Century Communities, Inc. | 976,703 | ||||||
16,993 | Ethan Allen Interiors, Inc. | 343,428 | ||||||
17,349 | Installed Building Products, Inc. | 1,442,743 | ||||||
20,285 | iRobot Corp.*^ | 745,474 | ||||||
32,400 | La-Z-Boy, Inc. | 768,204 | ||||||
15,612 | LGI Homes, Inc.* | 1,356,683 | ||||||
21,206 | M/I Homes, Inc.* | 841,030 | ||||||
42,827 | MDC Holdings, Inc. | 1,383,740 | ||||||
27,507 | Meritage Homes Corp.* | 1,994,257 | ||||||
95,867 | Sonos, Inc.* | 1,729,441 | ||||||
77,541 | Tri Pointe Homes, Inc.* | 1,308,117 | ||||||
34,366 | Tupperware Brands Corp.* | 217,880 | ||||||
9,468 | Universal Electronics, Inc.* | 242,097 | ||||||
|
| |||||||
14,609,817 | ||||||||
|
| |||||||
Household Products (0.5%): | ||||||||
7,308 | Central Garden & Pet Co.* | 310,005 | ||||||
29,617 | Central Garden & Pet Co., Class A* | 1,184,976 | ||||||
10,240 | WD-40 Co. | 2,061,927 | ||||||
|
| |||||||
3,556,908 | ||||||||
|
| |||||||
Insurance (2.7%): | ||||||||
33,763 | AMBAC Financial Group, Inc.* | 383,210 | ||||||
57,902 | American Equity Investment Life Holding Co. | 2,117,476 | ||||||
14,609 | Amerisafe, Inc. | 759,814 | ||||||
48,046 | Assured Guaranty, Ltd. | 2,680,486 | ||||||
16,947 | eHealth, Inc.* | 158,116 | ||||||
20,793 | Employers Holdings, Inc. | 871,019 | ||||||
372,031 | Genworth Financial, Inc., Class A* | 1,313,269 | ||||||
5,917 | HCI Group, Inc.^ | 400,936 | ||||||
31,057 | Horace Mann Educators Corp. | 1,191,968 | ||||||
28,136 | James River Group Holdings | 697,210 | ||||||
17,932 | Palomar Holdings, Inc.* | 1,154,821 | ||||||
40,515 | ProAssurance Corp. | 957,369 | ||||||
10,498 | Safety Insurance Group, Inc. | 1,019,356 | ||||||
90,175 | Selectquote, Inc.* | 223,634 | ||||||
64,854 | SiriusPoint, Ltd.* | 351,509 | ||||||
20,252 | Stewart Information Services Corp. | 1,007,537 | ||||||
26,178 | Trupanion, Inc.* | 1,577,486 | ||||||
16,199 | United Fire Group, Inc. | 554,492 | ||||||
21,395 | Universal Insurance Holdings, Inc. | 278,777 | ||||||
|
| |||||||
17,698,485 | ||||||||
|
| |||||||
Interactive Media & Services (0.3%): | ||||||||
48,967 | Cars.com, Inc.* | 461,759 | ||||||
37,044 | QuinStreet, Inc.* | 372,663 | ||||||
49,930 | Yelp, Inc.* | 1,386,556 | ||||||
|
| |||||||
2,220,978 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (0.2%): | ||||||||
20,295 | Liquidity Services, Inc.* | 272,765 |
See accompanying notes to the financial statements.
5
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Internet & Direct Marketing Retail, continued | ||||||||
15,468 | PetMed Express, Inc. | $ | 307,813 | |||||
17,385 | Shutterstock, Inc. | 996,334 | ||||||
|
| |||||||
1,576,912 | ||||||||
|
| |||||||
IT Services (1.8%): | ||||||||
23,321 | CSG Systems International, Inc. | 1,391,797 | ||||||
44,514 | Evertec, Inc. | 1,641,676 | ||||||
24,952 | Exlservice Holdings, Inc.* | 3,676,178 | ||||||
51,106 | LiveRamp Holdings, Inc.* | 1,319,046 | ||||||
25,973 | Perficient, Inc.* | 2,381,465 | ||||||
13,917 | TTEC Holdings, Inc. | 944,825 | ||||||
50,795 | Unisys Corp.* | 611,064 | ||||||
|
| |||||||
11,966,051 | ||||||||
|
| |||||||
Leisure Products (0.7%): | ||||||||
64,019 | Academy Sports & Outdoors, Inc. | 2,275,236 | ||||||
13,314 | Sturm, Ruger & Co., Inc. | 847,436 | ||||||
42,048 | Vista Outdoor, Inc.* | 1,173,139 | ||||||
|
| |||||||
4,295,811 | ||||||||
|
| |||||||
Life Sciences Tools & Services (0.1%): | ||||||||
92,891 | Neogenomics, Inc.* | 757,062 | ||||||
|
| |||||||
Machinery (4.7%): | ||||||||
7,336 | Alamo Group, Inc. | 854,130 | ||||||
23,613 | Albany International Corp., Class A | 1,860,468 | ||||||
17,209 | Astec Industries, Inc. | 701,783 | ||||||
34,882 | Barnes Group, Inc. | 1,086,226 | ||||||
15,518 | CIRCOR International, Inc.* | 254,340 | ||||||
45,589 | Enerpac Tool Group Corp. | 867,103 | ||||||
15,671 | EnPro Industries, Inc. | 1,283,925 | ||||||
19,378 | ESCO Technologies, Inc. | 1,324,874 | ||||||
45,436 | Federal Signal Corp. | 1,617,522 | ||||||
29,162 | Franklin Electric Co., Inc. | 2,136,408 | ||||||
59,171 | Harsco Corp.* | 420,706 | ||||||
53,757 | Hillenbrand, Inc. | 2,201,887 | ||||||
23,826 | John Bean Technologies Corp. | 2,630,867 | ||||||
8,229 | Lindsay Corp. | 1,092,976 | ||||||
53,054 | Meritor, Inc.* | 1,927,452 | ||||||
42,655 | Mueller Industries, Inc. | 2,273,085 | ||||||
20,611 | Proto Labs, Inc.* | 986,030 | ||||||
34,102 | SPX Corp.* | 1,801,950 | ||||||
9,048 | Standex International Corp. | 767,089 | ||||||
13,996 | Tennant Co. | 829,263 | ||||||
24,653 | The Greenbrier Cos., Inc. | 887,261 | ||||||
38,337 | Titan International, Inc.* | 578,889 | ||||||
52,478 | Trinity Industries, Inc. | 1,271,017 | ||||||
37,171 | Wabash National Corp. | 504,782 | ||||||
|
| |||||||
30,160,033 | ||||||||
|
| |||||||
Marine (0.3%): | ||||||||
30,390 | Matson, Inc. | 2,214,823 | ||||||
|
| |||||||
Media (0.6%): | ||||||||
21,994 | AMC Networks, Inc., Class A* | 640,465 | ||||||
43,101 | E.W. Scripps Co. (The), Class A* | 537,470 | ||||||
109,556 | Gannett Co, Inc.* | 317,712 | ||||||
14,035 | Loyalty Ventures, Inc.* | 50,105 | ||||||
22,978 | Scholastic Corp. | 826,519 | ||||||
19,936 | TechTarget, Inc.* | 1,310,194 | ||||||
13,039 | Thryv Holdings, Inc.* | 291,943 | �� | |||||
|
| |||||||
3,974,408 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Metals & Mining (1.7%): | ||||||||
93,052 | Allegheny Technologies, Inc.* | $ | 2,113,211 | |||||
79,298 | Arconic Corp.* | 2,224,309 | ||||||
36,191 | Carpenter Technology Corp. | 1,010,091 | ||||||
37,942 | Century Aluminum Co.* | 279,633 | ||||||
25,737 | Compass Minerals International, Inc. | 910,832 | ||||||
9,497 | Haynes International, Inc. | 311,217 | ||||||
12,049 | Kaiser Aluminum Corp. | 952,955 | ||||||
15,375 | Materion Corp. | 1,133,599 | ||||||
7,195 | Olympic Steel, Inc. | 185,271 | ||||||
62,504 | SunCoke Energy, Inc. | 425,652 | ||||||
30,945 | TimkenSteel Corp.* | 578,981 | ||||||
38,807 | Warrior Met Coal, Inc. | 1,187,882 | ||||||
|
| |||||||
11,313,633 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (1.3%): | ||||||||
99,066 | Apollo Commercial Real Estate Finance, Inc. | 1,034,249 | ||||||
77,338 | Armour Residential REIT, Inc.^ | 544,459 | ||||||
42,376 | Ellington Financial, Inc.^ | 621,656 | ||||||
62,736 | Franklin BSP Realty Trust, Inc.^ | 845,681 | ||||||
39,812 | Granite Point Mortgage Trust, Inc. | 381,001 | ||||||
24,240 | Invesco Mortgage Capital, Inc.^ | 355,843 | ||||||
37,175 | KKR Real Estate Finance Trust, Inc. | 648,704 | ||||||
285,789 | New York Mortgage Trust, Inc. | 788,778 | ||||||
68,930 | Pennymac Mortgage Investment Trust | 953,302 | ||||||
50,439 | Ready Capital Corp. | 601,233 | ||||||
88,049 | Redwood Trust, Inc. | 678,858 | ||||||
257,974 | Two Harbors Investment Corp. | 1,284,710 | ||||||
|
| |||||||
8,738,474 | ||||||||
|
| |||||||
Multiline Retail (0.1%): | ||||||||
21,407 | Big Lots, Inc.^ | 448,905 | ||||||
|
| |||||||
Multi-Utilities (0.5%): | ||||||||
53,816 | Avista Corp. | 2,341,534 | ||||||
12,003 | Unitil Corp. | 704,816 | ||||||
|
| |||||||
3,046,350 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (3.2%): | ||||||||
35,608 | Callon Petroleum Co.* | 1,395,834 | ||||||
54,139 | Civitas Resources, Inc. | 2,830,928 | ||||||
24,164 | CONSOL Energy, Inc.* | 1,193,218 | ||||||
21,277 | Dorian LPG, Ltd. | 323,410 | ||||||
35,512 | Green Plains, Inc.* | 964,861 | ||||||
10,857 | Laredo Petroleum, Inc.* | 748,482 | ||||||
34,251 | PAR Pacific Holdings, Inc.* | 533,973 | ||||||
71,554 | PBF Energy, Inc., Class A* | 2,076,497 | ||||||
15,977 | Ranger Oil Corp.* | 525,164 | ||||||
3,905 | REX American Resources Corp.* | 331,144 | ||||||
91,351 | SM Energy Co. | 3,123,291 | ||||||
836,701 | Southwestern Energy Co.* | 5,229,381 | ||||||
31,455 | Talos Energy, Inc.* | 486,609 | ||||||
47,237 | World Fuel Services Corp. | 966,469 | ||||||
|
| |||||||
20,729,261 | ||||||||
|
| |||||||
Paper & Forest Products (0.5%): | ||||||||
12,893 | Clearwater Paper Corp.* | 433,592 | ||||||
34,238 | Glatfelter Corp. | 235,557 | ||||||
30,857 | Mercer International, Inc. | 405,770 | ||||||
12,610 | Neenah, Inc. | 430,505 | ||||||
23,645 | Schweitzer-Mauduit International, Inc. | 593,962 |
See accompanying notes to the financial statements.
6
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Paper & Forest Products, continued | ||||||||
26,453 | Sylvamo Corp. | $ | 864,484 | |||||
|
| |||||||
2,963,870 | ||||||||
|
| |||||||
Personal Products (0.9%): | ||||||||
39,581 | Edgewell Personal Care Co. | 1,366,336 | ||||||
36,332 | elf Beauty, Inc.* | 1,114,666 | ||||||
13,472 | Inter Parfums, Inc. | 984,264 | ||||||
8,631 | Medifast, Inc. | 1,557,982 | ||||||
8,630 | Usana Health Sciences, Inc.* | 624,467 | ||||||
|
| |||||||
5,647,715 | ||||||||
|
| |||||||
Pharmaceuticals (1.7%): | ||||||||
28,068 | Amphastar Pharmaceuticals, Inc.* | 976,486 | ||||||
9,759 | ANI Pharmaceuticals, Inc.* | 289,550 | ||||||
25,467 | Collegium Pharmaceutical, Inc.* | 451,275 | ||||||
72,223 | Corcept Therapeutics, Inc.* | 1,717,463 | ||||||
17,311 | Harmony Biosciences Holdings, Inc.* | 844,257 | ||||||
47,529 | Innoviva, Inc.* | 701,528 | ||||||
139,882 | Nektar Therapeutics* | 531,552 | ||||||
33,917 | Pacira BioSciences, Inc.* | 1,977,361 | ||||||
15,110 | Phibro Animal Health Corp., Class A | 289,054 | ||||||
37,690 | Prestige Consumer Healthcare, Inc.* | 2,216,172 | ||||||
40,325 | Supernus Pharmaceuticals, Inc.* | 1,166,199 | ||||||
|
| |||||||
11,160,897 | ||||||||
|
| |||||||
Professional Services (1.6%): | ||||||||
38,846 | Exponent, Inc. | 3,553,243 | ||||||
8,207 | Forrester Research, Inc.* | 392,623 | ||||||
15,100 | Heidrick & Struggles International, Inc. | 488,636 | ||||||
25,907 | Kelly Services, Inc., Class A | 513,736 | ||||||
40,406 | Korn Ferry | 2,344,356 | ||||||
20,649 | ManTech International Corp., Class A | 1,970,947 | ||||||
23,811 | Resources Connection, Inc. | 485,030 | ||||||
24,941 | TrueBlue, Inc.* | 446,444 | ||||||
|
| |||||||
10,195,015 | ||||||||
|
| |||||||
Real Estate Management & Development (0.5%): | ||||||||
50,356 | Douglas Elliman, Inc. | 241,205 | ||||||
18,366 | Marcus & Millichap, Inc. | 679,359 | ||||||
14,194 | RE/MAX Holdings, Inc., Class A | 348,037 | ||||||
88,742 | Realogy Holdings Corp.* | 872,334 | ||||||
24,854 | The St Joe Co. | 983,224 | ||||||
|
| |||||||
3,124,159 | ||||||||
|
| |||||||
Road & Rail (0.4%): | ||||||||
18,354 | ArcBest Corp. | 1,291,571 | ||||||
34,777 | Heartland Express, Inc. | 483,748 | ||||||
44,228 | Marten Transport, Ltd. | 743,915 | ||||||
|
| |||||||
2,519,234 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (3.5%): | ||||||||
28,155 | Advanced Energy Industries, Inc. | 2,054,752 | ||||||
16,198 | Alpha & Omega Semiconductor, Ltd.* | 540,041 | ||||||
24,752 | Axcelis Technologies, Inc.* | 1,357,400 | ||||||
17,346 | CEVA, Inc.* | 582,132 | ||||||
36,457 | Cohu, Inc.* | 1,011,682 | ||||||
34,088 | Diodes, Inc.* | 2,201,062 | ||||||
58,518 | FormFactor, Inc.* | 2,266,402 | ||||||
21,386 | Ichor Holdings, Ltd.* | 555,608 | ||||||
44,325 | Kulicke & Soffa Industries, Inc. | 1,897,553 | ||||||
53,503 | MaxLinear, Inc., Class A* | 1,818,032 |
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Semiconductors & Semiconductor Equipment, continued | ||||||||
37,149 | Onto Innovation, Inc.* | $ | 2,590,771 | |||||
22,162 | PDF Solutions, Inc.* | 476,705 | ||||||
46,521 | Photronics, Inc.* | 906,229 | ||||||
82,634 | Rambus, Inc.* | 1,775,805 | ||||||
35,439 | SMART Global Holdings, Inc.* | 580,136 | ||||||
34,068 | Ultra Clean Holdings, Inc.* | 1,014,204 | ||||||
38,464 | Veeco Instruments, Inc.* | 746,202 | ||||||
|
| |||||||
22,374,716 | ||||||||
|
| |||||||
Software (2.6%): | ||||||||
88,703 | 8x8, Inc.* | 456,820 | ||||||
43,766 | A10 Networks, Inc. | 629,355 | ||||||
14,644 | Agilysys, Inc.* | 692,222 | ||||||
34,542 | Alarm.com Holdings, Inc.* | 2,136,768 | ||||||
29,611 | Cerence, Inc.* | 747,086 | ||||||
12,075 | Consensus Cloud Solutions, Inc.* | 527,436 | ||||||
66,142 | Digital Turbine, Inc.* | 1,155,501 | ||||||
17,846 | Ebix, Inc.^ | 301,597 | ||||||
51,675 | LivePerson, Inc.* | 730,684 | ||||||
26,661 | OneSpan, Inc.* | 317,266 | ||||||
32,808 | Progress Software Corp. | 1,486,202 | ||||||
27,057 | SPS Commerce, Inc.* | 3,058,794 | ||||||
189,258 | Vonage Holdings Corp.* | 3,565,621 | ||||||
77,923 | Xperi Holding Corp. | 1,124,429 | ||||||
|
| |||||||
16,929,781 | ||||||||
|
| |||||||
Specialty Retail (3.7%): | ||||||||
23,020 | Aaron’s Co., Inc. (The) | 334,941 | ||||||
37,792 | Abercrombie & Fitch Co., Class A* | 639,441 | ||||||
4,490 | America’s Car-Mart, Inc.* | 451,694 | ||||||
16,590 | Asbury Automotive Group, Inc.* | 2,809,351 | ||||||
59,854 | Bed Bath & Beyond, Inc.*^ | 297,474 | ||||||
22,291 | Boot Barn Holdings, Inc.* | 1,536,073 | ||||||
28,648 | Caleres, Inc. | 751,724 | ||||||
13,126 | Cato Corp., Class A | 152,393 | ||||||
90,863 | Chico’s FAS, Inc.* | 451,589 | ||||||
11,590 | Conn’s, Inc.* | 92,952 | ||||||
45,486 | Designer Brands, Inc., Class A | 594,047 | ||||||
9,674 | Genesco, Inc.* | 482,829 | ||||||
12,441 | Group 1 Automotive, Inc. | 2,112,482 | ||||||
26,882 | Guess?, Inc. | 458,338 | ||||||
10,404 | Haverty Furniture Cos., Inc. | 241,165 | ||||||
9,141 | Hibbett, Inc. | 399,553 | ||||||
21,684 | LL Flooring Holdings, Inc.* | 203,179 | ||||||
16,422 | MarineMax, Inc.* | 593,163 | ||||||
25,381 | Monro, Inc. | 1,088,337 | ||||||
62,821 | National Vision Holdings, Inc.* | 1,727,577 | ||||||
32,822 | ODP Corp. (The)* | 992,537 | ||||||
40,344 | Rent-A-Center, Inc. | 784,691 | ||||||
80,209 | Sally Beauty Holdings, Inc.* | 956,091 | ||||||
12,821 | Shoe Carnival, Inc. | 277,062 | ||||||
35,525 | Signet Jewelers, Ltd. | 1,899,166 | ||||||
16,665 | Sleep Number Corp.* | 515,782 | ||||||
14,652 | Sonic Automotive, Inc., Class A | 536,703 | ||||||
22,151 | The Buckle, Inc. | 613,361 | ||||||
9,649 | The Children’s Place, Inc.* | 375,539 | ||||||
48,045 | Urban Outfitters, Inc.* | 896,520 | ||||||
12,384 | Zumiez, Inc.* | 321,984 | ||||||
|
| |||||||
23,587,738 | ||||||||
|
|
See accompanying notes to the financial statements.
7
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Technology Hardware, Storage & Peripherals (0.2%): | ||||||||
97,021 | 3D Systems Corp.* | $ | 941,104 | |||||
24,692 | Corsair Gaming, Inc.* | 324,206 | ||||||
58,689 | Diebold Nixdorf, Inc.* | 133,224 | ||||||
|
| |||||||
1,398,534 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods (1.0%): | ||||||||
36,584 | Fossil Group, Inc.* | 189,139 | ||||||
32,326 | G-III Apparel Group, Ltd.* | 653,955 | ||||||
34,857 | Kontoor Brands, Inc. | 1,163,178 | ||||||
12,073 | Movado Group, Inc. | 373,418 | ||||||
11,517 | Oxford Industries, Inc. | 1,022,019 | ||||||
56,276 | Steven Madden, Ltd. | 1,812,650 | ||||||
9,570 | Unifi, Inc.* | 134,554 | ||||||
60,519 | Wolverine World Wide, Inc. | 1,220,063 | ||||||
|
| |||||||
6,568,976 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance (2.5%): | ||||||||
40,252 | Axos Financial, Inc.* | 1,443,034 | ||||||
97,645 | Capitol Federal Financial, Inc. | 896,381 | ||||||
39,914 | Flagstar Bancorp, Inc. | 1,414,951 | ||||||
14,019 | HomeStreet, Inc. | 486,039 | ||||||
8,230 | LendingTree, Inc.* | 360,639 | ||||||
22,012 | Meta Financial Group, Inc. | 851,204 | ||||||
55,401 | Mr Cooper Group, Inc.* | 2,035,433 | ||||||
65,299 | NMI Holdings, Inc., Class A* | 1,087,228 | ||||||
32,938 | Northfield Bancorp, Inc. | 429,182 | ||||||
94,984 | Northwest Bancshares, Inc. | 1,215,795 | ||||||
56,461 | Provident Financial Services, Inc. | 1,256,822 | ||||||
14,390 | TrustCo Bank Corp. NY | 443,788 | ||||||
22,848 | Walker & Dunlop, Inc. | 2,201,176 | ||||||
47,420 | WSFS Financial Corp. | 1,901,068 | ||||||
|
| |||||||
16,022,740 | ||||||||
|
| |||||||
Tobacco (0.3%): | ||||||||
18,446 | Universal Corp. | 1,115,983 | ||||||
99,316 | Vector Group, Ltd. | 1,042,818 | ||||||
|
| |||||||
2,158,801 | ||||||||
|
|
Shares or Principal | Value | |||||||
Common Stocks, continued | ||||||||
Trading Companies & Distributors (1.4%): | ||||||||
28,818 | Applied Industrial Technologies, Inc. | $ | 2,771,427 | |||||
29,570 | Boise Cascade Co. | 1,759,119 | ||||||
12,857 | DXP Enterprises, Inc.* | 393,810 | ||||||
32,264 | GMS, Inc.* | 1,435,748 | ||||||
21,151 | Kaman Corp., Class A | 660,969 | ||||||
82,989 | NOW, Inc.* | 811,633 | ||||||
10,508 | Veritiv Corp.* | 1,140,643 | ||||||
|
| |||||||
8,973,349 | ||||||||
|
| |||||||
Water Utilities (0.9%): | ||||||||
27,703 | American States Water Co. | 2,258,071 | ||||||
39,785 | California Water Service Group | 2,210,057 | ||||||
13,334 | Middlesex Water Co. | 1,169,125 | ||||||
|
| |||||||
5,637,253 | ||||||||
|
| |||||||
Wireless Telecommunication Services (0.4%): | ||||||||
50,858 | Gogo, Inc.* | 823,391 | ||||||
37,777 | Shenandoah Telecommunications Co. | 838,649 | ||||||
73,960 | Telephone & Data Systems, Inc. | 1,167,829 | ||||||
|
| |||||||
2,829,869 | ||||||||
|
| |||||||
Total Common Stocks (Cost $526,975,751) | 641,896,138 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (1.1%): | ||||||||
6,940,698 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(a)(b) | 6,940,698 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on Loan | 6,940,698 | ||||||
|
| |||||||
Unaffiliated Investment Company (0.4%): | ||||||||
Money Markets (0.4%): | ||||||||
2,393,993 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(b) | 2,393,993 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $2,393,993) | 2,393,993 | |||||||
|
| |||||||
Total Investment Securities (Cost $536,310,442) — 101.0% | 651,230,829 | |||||||
Net other assets (liabilities) — (1.0)% | (6,570,125 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 644,660,704 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
REIT—Real Estate Investment Trust
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $6,748,972. |
(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, 2022. |
(b) | The rate represents the effective yield at June 30, 2022. |
See accompanying notes to the financial statements.
8
AZL Small Cap Stock Index Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Futures Contracts
At June 30, 2022, the Fund’s open futures contracts were as follows:
Long Futures
Description | Expiration Date | Number of Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||||||||||
Russell 2000 Mini Index September Futures (U.S. Dollar) | 9/16/22 | 38 | $ | 3,245,200 | $ | 52,976 | ||||||||||
|
| |||||||||||||||
$ | 52,976 | |||||||||||||||
|
|
See accompanying notes to the financial statements.
9
AZL Small Cap Stock Index Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 536,310,442 | |||
|
| ||||
Investment securities, at value(a) | $ | 651,230,829 | |||
Deposit at broker for futures contracts collateral | 211,600 | ||||
Interest and dividends receivable | 755,543 | ||||
Receivable for capital shares issued | 205 | ||||
Prepaid expenses | 2,408 | ||||
|
| ||||
Total Assets | 652,200,585 | ||||
|
| ||||
Liabilities: | |||||
Payable for capital shares redeemed | 149,173 | ||||
Payable for collateral received on loaned securities | 6,940,698 | ||||
Payable for variation margin on futures contracts | 25,704 | ||||
Manager fees payable | 143,949 | ||||
Administration fees payable | 93,630 | ||||
Distribution fees payable | 130,831 | ||||
Custodian fees payable | 2,960 | ||||
Administrative and compliance services fees payable | 877 | ||||
Transfer agent fees payable | 2,277 | ||||
Trustee fees payable | 7,519 | ||||
Other accrued liabilities | 42,263 | ||||
|
| ||||
Total Liabilities | 7,539,881 | ||||
|
| ||||
Net Assets | $ | 644,660,704 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 398,529,685 | |||
Total distributable earnings | 246,131,019 | ||||
|
| ||||
Net Assets | $ | 644,660,704 | |||
|
| ||||
Class 1 | |||||
Net Assets | $ | 35,448,992 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 3,730,693 | ||||
Net Asset Value (offering and redemption price per share) | $ | 9.50 | |||
|
| ||||
Class 2 | |||||
Net Assets | $ | 609,211,712 | |||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 44,977,267 | ||||
Net Asset Value (offering and redemption price per share) | $ | 13.54 | |||
|
|
(a) | Includes securities on loan of $6,748,972. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Dividends | $ | 5,480,444 | |||
Interest | 46 | ||||
Income from securities lending | 18,384 | ||||
Foreign withholding tax | (5,821 | ) | |||
|
| ||||
Total Investment Income | 5,493,053 | ||||
|
| ||||
Expenses: | |||||
Management fees | 979,739 | ||||
Administration fees | 73,031 | ||||
Distribution fees — Class 2 | 891,431 | ||||
Custodian fees | 11,188 | ||||
Administrative and compliance services fees | 4,670 | ||||
Transfer agent fees | 5,647 | ||||
Trustee fees | 18,486 | ||||
Professional fees | 14,875 | ||||
Licensing fees | 73,617 | ||||
Shareholder reports | 12,758 | ||||
Other expenses | 7,993 | ||||
|
| ||||
Total expenses | 2,093,435 | ||||
|
| ||||
Net Investment Income/(Loss) | 3,399,618 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 30,126,623 | ||||
Net realized gains/(losses) on futures contracts | (828,770 | ) | |||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (193,217,908 | ) | |||
Change in net unrealized appreciation/depreciation on futures contracts | (64,045 | ) | |||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (163,984,100 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (160,584,482 | ) | ||
|
|
See accompanying notes to the financial statements.
10
AZL Small Cap Stock Index Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 3,399,618 | $ | 6,317,869 | ||||||
Net realized gains/(losses) on investments | 29,297,853 | 112,472,960 | ||||||||
Change in unrealized appreciation/depreciation on investments | (193,281,953 | ) | 79,486,283 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (160,584,482 | ) | 198,277,112 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Class 1 | — | (2,166,192 | ) | |||||||
Class 2 | — | (26,155,914 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (28,322,106 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Class 1 | ||||||||||
Proceeds from shares issued | 370 | 86,410 | ||||||||
Proceeds from dividends reinvested | — | 2,166,192 | ||||||||
Value of shares redeemed | (2,119,116 | ) | (7,568,265 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (2,118,746 | ) | (5,315,663 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Proceeds from shares issued | 1,258,202 | 61,823,244 | ||||||||
Proceeds from dividends reinvested | — | 26,155,914 | ||||||||
Value of shares redeemed | (65,509,166 | ) | (195,522,153 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (64,250,964 | ) | (107,542,995 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (66,369,710 | ) | (112,858,658 | ) | ||||||
|
|
|
| |||||||
Change in net assets | (226,954,192 | ) | 57,096,348 | |||||||
Net Assets: | ||||||||||
Beginning of period | 871,614,896 | 814,518,548 | ||||||||
|
|
|
| |||||||
End of period | $ | 644,660,704 | $ | 871,614,896 | ||||||
|
|
|
| |||||||
Share Transactions: | ||||||||||
Class 1 | ||||||||||
Shares issued | 40 | 7,506 | ||||||||
Dividends reinvested | — | 192,550 | ||||||||
Shares redeemed | (199,320 | ) | (660,924 | ) | ||||||
|
|
|
| |||||||
Total Class 1 Shares | (199,280 | ) | (460,868 | ) | ||||||
|
|
|
| |||||||
Class 2 | ||||||||||
Shares issued | 86,182 | 3,695,251 | ||||||||
Dividends reinvested | — | 1,627,624 | ||||||||
Shares redeemed | (4,332,596 | ) | (12,276,692 | ) | ||||||
|
|
|
| |||||||
Total Class 2 Shares | (4,246,414 | ) | (6,953,817 | ) | ||||||
|
|
|
| |||||||
Change in shares | (4,445,694 | ) | (7,414,685 | ) | ||||||
|
|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
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. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Class 1 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 11.75 | $ | 9.76 | $ | 9.65 | $ | 9.26 | $ | 11.68 | $ | 11.38 | ||||||||||||||||||
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|
|
|
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|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.06 | (a) | 0.11 | (a) | 0.09 | (a) | 0.12 | (a) | 0.16 | 0.16 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (2.31 | ) | 2.44 | 0.80 | 1.78 | (0.93 | ) | 1.24 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (2.25 | ) | 2.55 | 0.89 | 1.90 | (0.77 | ) | 1.40 | ||||||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.14 | ) | (0.17 | ) | (0.17 | ) | (0.18 | ) | (0.08 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.42 | ) | (0.61 | ) | (1.34 | ) | (1.47 | ) | (1.02 | ) | |||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.56 | ) | (0.78 | ) | (1.51 | ) | (1.65 | ) | (1.10 | ) | |||||||||||||||||||
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|
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 9.50 | $ | 11.75 | $ | 9.76 | $ | 9.65 | $ | 9.26 | $ | 11.68 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Return(b) | (19.15 | )%(c) | 26.37 | % | 10.98 | % | 22.42 | % | (8.59 | )% | 12.94 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 35,449 | $ | 46,174 | $ | 42,848 | $ | 44,098 | $ | 41,285 | $ | 53,319 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 1.15 | % | 0.95 | % | 1.11 | % | 1.21 | % | 1.17 | % | 1.21 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.32 | % | 0.33 | % | 0.34 | % | 0.33 | % | 0.33 | % | 0.32 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.32 | % | 0.33 | % | 0.34 | % | 0.33 | % | 0.33 | % | 0.32 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 6 | % | 20 | % | 21 | % | 14 | % | 19 | % | 16 | % | ||||||||||||||||||
Class 2 | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 16.77 | $ | 13.74 | $ | 13.23 | $ | 12.17 | $ | 14.88 | $ | 14.23 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.07 | (a) | 0.12 | (a) | 0.10 | (a) | 0.13 | (a) | 0.15 | 0.15 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.30 | ) | 3.44 | 1.15 | 2.40 | (1.25 | ) | 1.59 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from Investment Activities | (3.23 | ) | 3.56 | 1.25 | 2.53 | (1.10 | ) | 1.74 | ||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.11 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | (0.07 | ) | |||||||||||||||||||
Net Realized Gains | — | (0.42 | ) | (0.61 | ) | (1.34 | ) | (1.47 | ) | (1.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Dividends | — | (0.53 | ) | (0.74 | ) | (1.47 | ) | (1.61 | ) | (1.09 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 13.54 | $ | 16.77 | $ | 13.74 | $ | 13.23 | $ | 12.17 | $ | 14.88 | ||||||||||||||||||
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|
|
|
|
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|
|
|
|
| |||||||||||||||||||
Total Return(b) | (19.26 | )%(c) | 26.04 | % | 10.71 | % | 22.19 | % | (8.93 | )% | 12.75 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 609,212 | $ | 825,440 | $ | 771,671 | $ | 803,521 | $ | 713,258 | $ | 869,770 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.89 | % | 0.71 | % | 0.86 | % | 0.96 | % | 0.93 | % | 0.96 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 0.57 | % | 0.58 | % | 0.59 | % | 0.58 | % | 0.58 | % | 0.57 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.57 | % | 0.58 | % | 0.59 | % | 0.58 | % | 0.58 | % | 0.57 | % | ||||||||||||||||||
Portfolio Turnover Rate(f) | 6 | % | 20 | % | 21 | % | 14 | % | 19 | % | 16 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
(f) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. Not annualized for periods less than one year. |
See accompanying notes to the financial statements.
12
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust. Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
13
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Class Allocation
The investment income, expenses (other than class specific expenses charged to a class), realized and unrealized gains and losses on investments of the Fund are allocated to each class of shares based upon relative net assets on the date income is earned or expenses and realized and unrealized gains and losses are incurred. All share classes have equal voting rights, except that voting with respect to matters that affect a single class is limited to shares of that class.
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 on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,810 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $6,940,698 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price. During the period ended June 30, 2022, the Fund did not engage in any Rule 17a-7 transactions.
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, 2022, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”), if any, 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 value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. For the period ended June 30, 2022, the monthly average notional amount for long contracts was $5.3 million. There was no short contract activity during the period. 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 values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Futures Contracts | Receivable for variation margin on futures contracts* | $ | 52,976 | Payable for variation margin on futures contracts* | $ | — |
* | For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities as variation margin on futures contracts. |
14
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Futures Contracts | Net realized gains/(losses) on futures contracts/ Change in net unrealized appreciation/depreciation on futures contracts | $ | (828,770 | ) | $ | (64,045 | ) |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023.
For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate | Annual Expense Limit | |||||||||
AZL Small Cap Stock Index Fund, Class 1 | 0.26 | % | 0.46 | % | ||||||
AZL Small Cap Stock Index Fund, Class 2 | 0.26 | % | 0.71 | % |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit 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, 2022, there were no such waivers.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the average daily net assets attributable of Class 2 shares, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
15
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
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, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 641,896,138 | $ | — | $ | — | $ | 641,896,138 | ||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 6,940,698 | — | — | 6,940,698 | ||||||||||||||||
Unaffiliated Investment Company | 2,393,993 | — | — | 2,393,993 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 651,230,829 | — | — | 651,230,829 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Futures Contracts | 52,976 | — | — | 52,976 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 651,283,805 | $ | — | $ | — | $ | 651,283,805 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally presented in the financial statements at variation margin. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 43,175,413 | $ | 103,449,989 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
16
AZL Small Cap Stock Index Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
7. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other preexisting political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $593,009,200. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 323,034,668 | ||
Unrealized (depreciation) | (33,825,021 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 289,209,647 | ||
|
|
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL Small Cap Stock Index Fund | $ | 10,191,642 | $ | 18,130,464 | $ | 28,322,106 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | |||||||||||||||||||||
AZL Small Cap Stock Index Fund | $ | 22,126,406 | $ | 95,379,448 | $ | — | $ | 289,209,647 | $ | 406,715,501 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, mark-to-market of futures contracts, investments in real estate investment trusts and other miscellaneous differences. |
10. 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, 2022, the Fund had an individual shareholder account which is affiliated with the Manager representing ownership in excess of 50% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
17
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
18
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
19
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
AZL® T. Rowe Price Capital Appreciation Fund
Semi-Annual Report
June 30, 2022
(Unaudited)
Expense Examples and Portfolio Composition Page 1 |
Schedule of Portfolio Investments Page 2 |
Statement of Assets and Liabilities Page 10 |
Page 10 |
Statements of Changes in Net Assets Page 11 |
Page 12 |
Notes to the Financial Statements Page 13 |
Page 20 |
Statement Regarding the Trust’s Liquidity Risk Management Program Page 21 |
This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.
AZL T. Rowe Price Capital Appreciation Fund
(Unaudited)
As a shareholder of the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount or 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 854.10 | $ | 4.55 | 0.99 | % |
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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid During Period 1/1/22 - 6/30/22* | Annualized Expense Ratio During Period 1/1/22 - 6/30/22 | |||||||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | 0.99 | % |
* | Expenses are equal to the average account value multiplied by the Fund’s annualized expense ratio multiplied by 181/365 (the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year). |
Portfolio Composition
(Unaudited)
Investments | Percent of Net Assets | ||||
Common Stocks | 67.0 | % | |||
Bank Loans | 15.1 | ||||
U.S. Treasury Obligations | 8.1 | ||||
Corporate Bonds | 7.1 | ||||
Unaffiliated Investment Company | 1.0 | ||||
Preferred Stocks | 0.7 | ||||
Asset Backed Securities | 0.3 | ||||
Short-Term Security Held as Collateral for Securities on Loan | 0.2 | ||||
Convertible Bonds | 0.2 | ||||
Yankee Debt Obligations | 0.2 | ||||
|
| ||||
Total Investment Securities | 99.9 | ||||
Net other assets (liabilities) | 0.1 | ||||
|
| ||||
Net Assets | 100.0 | % | |||
|
|
1
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Shares | Value | |||||||
Common Stocks (67.0%): | ||||||||
Banks (2.6%): | ||||||||
183,863 | PNC Financial Services Group, Inc. (The) | $ | 29,008,065 | |||||
|
| |||||||
Beverages (0.7%): | ||||||||
227,384 | Keurig Dr Pepper, Inc. | 8,047,120 | ||||||
|
| |||||||
Capital Markets (3.6%): | ||||||||
177,355 | Intercontinental Exchange, Inc. | 16,678,464 | ||||||
26,608 | MSCI, Inc. | 10,966,487 | ||||||
38,933 | S&P Global, Inc. | 13,122,757 | ||||||
|
| |||||||
40,767,708 | ||||||||
|
| |||||||
Chemicals (0.3%): | ||||||||
10,020 | Linde plc | 2,881,051 | ||||||
|
| |||||||
Commercial Services & Supplies (1.6%): | ||||||||
665,128 | Aurora Innovation, Inc.*^ | 1,270,394 | ||||||
130,262 | Waste Connections, Inc. | 16,147,278 | ||||||
|
| |||||||
17,417,672 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components (3.0%): | ||||||||
232,252 | TE Connectivity, Ltd. | 26,279,314 | ||||||
18,038 | Teledyne Technologies, Inc.* | 6,766,234 | ||||||
|
| |||||||
33,045,548 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (6.4%): | ||||||||
132,177 | Alcon, Inc. | 9,234,582 | ||||||
3,229 | Baxter International, Inc. | 207,399 | ||||||
90,054 | Becton Dickinson & Co.# | 22,201,013 | ||||||
2,634 | Cooper Cos., Inc. (The) | 824,758 | ||||||
118,541 | Danaher Corp. | 30,052,514 | ||||||
1,560 | Embecta Corp.*# | 39,499 | ||||||
16,800 | Hologic, Inc.* | 1,164,240 | ||||||
29,320 | Teleflex, Inc. | 7,208,322 | ||||||
|
| |||||||
70,932,327 | ||||||||
|
| |||||||
Health Care Providers & Services (2.4%): | ||||||||
10,140 | Humana, Inc. | 4,746,230 | ||||||
42,344 | UnitedHealth Group, Inc. | 21,749,149 | ||||||
|
| |||||||
26,495,379 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (3.9%): | ||||||||
92,900 | Starbucks Corp.# | 7,096,631 | ||||||
317,789 | Yum! Brands, Inc.# | 36,072,229 | ||||||
|
| |||||||
43,168,860 | ||||||||
|
| |||||||
Industrial Conglomerates (4.5%): | ||||||||
535,890 | General Electric Co.# | 34,120,116 | ||||||
39,823 | Roper Technologies, Inc. | 15,716,147 | ||||||
|
| |||||||
49,836,263 | ||||||||
|
| |||||||
Insurance (1.3%): | ||||||||
94,870 | Marsh & McLennan Cos., Inc. | 14,728,567 | ||||||
|
| |||||||
Interactive Media & Services (3.3%): | ||||||||
6,203 | Alphabet, Inc., Class A*# | 13,517,950 | ||||||
8,277 | Alphabet, Inc., Class C* | 18,105,524 | ||||||
33,086 | Meta Platforms, Inc., Class A* | 5,335,117 | ||||||
|
| |||||||
36,958,591 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail (3.4%): | ||||||||
361,266 | Amazon.com, Inc.*# | 38,370,062 | ||||||
|
| |||||||
IT Services (1.2%): | ||||||||
16,700 | Mastercard, Inc., Class A | 5,268,516 | ||||||
42,700 | Visa, Inc., Class A | 8,407,203 | ||||||
|
| |||||||
13,675,719 | ||||||||
|
|
Shares | Value | |||||||
Common Stocks, continued | ||||||||
Life Sciences Tools & Services (5.7%): | ||||||||
177,153 | Avantor, Inc.* | $ | 5,509,458 | |||||
181,033 | PerkinElmer, Inc. | 25,746,513 | ||||||
60,363 | Thermo Fisher Scientific, Inc. | 32,794,011 | ||||||
|
| |||||||
64,049,982 | ||||||||
|
| |||||||
Machinery (3.7%): | ||||||||
445,847 | Fortive Corp. | 24,245,160 | ||||||
406,601 | Ingersoll-Rand, Inc. | 17,109,770 | ||||||
|
| |||||||
41,354,930 | ||||||||
|
| |||||||
Multi-Utilities (1.4%): | ||||||||
98,836 | Ameren Corp. | 8,930,821 | ||||||
76,126 | CMS Energy Corp. | 5,138,505 | ||||||
21,300 | Public Service Enterprise Group, Inc.# | 1,347,864 | ||||||
|
| |||||||
15,417,190 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels (0.5%): | ||||||||
20,300 | EOG Resources, Inc. | 2,241,932 | ||||||
15,500 | Pioneer Natural Resources Co. | 3,457,740 | ||||||
|
| |||||||
5,699,672 | ||||||||
|
| |||||||
Pharmaceuticals (0.6%): | ||||||||
67,493 | Catalent, Inc.* | 7,241,324 | ||||||
|
| |||||||
Professional Services (1.5%): | ||||||||
6,646 | Equifax, Inc. | 1,214,756 | ||||||
190,929 | TransUnion | 15,272,411 | ||||||
|
| |||||||
16,487,167 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment (4.2%): | ||||||||
72,200 | NVIDIA Corp. | 10,944,799 | ||||||
112,556 | NXP Semiconductors NV | 16,661,665 | ||||||
127,251 | Texas Instruments, Inc. | 19,552,116 | ||||||
|
| |||||||
47,158,580 | ||||||||
|
| |||||||
Software (8.3%): | ||||||||
303,066 | Microsoft Corp. | 77,836,441 | ||||||
86,352 | Salesforce, Inc.* | 14,251,534 | ||||||
|
| |||||||
92,087,975 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (2.9%): | ||||||||
237,665 | Apple, Inc. | 32,493,559 | ||||||
|
| |||||||
Total Common Stocks (Cost $734,726,858) | 747,323,311 | |||||||
|
| |||||||
Preferred Stocks (0.7%): | ||||||||
Capital Markets (0.0%†): | ||||||||
3,600 | Charles Schwab Corp. (The), Series D, 23.85%, 11/14/19 | 89,820 | ||||||
|
| |||||||
Electric Utilities (0.2%): | ||||||||
76,841 | SCE Trust IV, Series J, 13.56%, 12/31/49 | 1,544,504 | ||||||
|
| |||||||
Multi-Utilities (0.5%): | ||||||||
94,422 | CMS Energy Corp., 7.68%, 10/15/78 | 2,201,921 | ||||||
119,475 | CMS Energy Corp., 7.51%, 3/1/79 | 2,845,895 | ||||||
26,061 | NiSource, Inc., Series B, 2.99%, 11/21/19^ | 680,192 | ||||||
|
| |||||||
5,728,008 | ||||||||
|
| |||||||
Total Preferred Stocks (Cost $8,009,975) | 7,362,332 | |||||||
|
|
See accompanying notes to the financial statements.
2
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Asset Backed Securities (0.3%): | ||||||||
$ | 630,488 | Domino’s Pizza Master Issuer LLC, Class A2, Series 2019-1A, 3.67%, 10/25/49, Callable 10/25/26 @ 100(a) | $ | 570,386 | ||||
1,413,270 | Domino’s Pizza Master Issuer LLC, Class A23, Series 2018-1A, 4.12%, 7/25/47, Callable 7/25/24 @ 100(a) | 1,355,456 | ||||||
1,341,350 | Domino’s Pizza Master Issuer LLC, Class A2I, Series 2018-1A, 4.12%, 7/25/48, Callable 10/25/22 @ 100(a) | 1,309,757 | ||||||
|
| |||||||
Total Asset Backed Securities (Cost $3,371,060) | 3,235,599 | |||||||
|
| |||||||
Convertible Bonds (0.2%): | ||||||||
Interactive Media & Services (0.1%): | ||||||||
1,020,000 | Snap, Inc., 7.44%, 5/1/27 | 720,975 | ||||||
|
| |||||||
IT Services (0.0%†): | ||||||||
680,000 | Shopify, Inc., 0.13%, 11/1/25 | 569,022 | ||||||
|
| |||||||
Media (0.1%): | ||||||||
1,144,000 | Spotify USA, Inc., 6.54%, 3/15/26 | 904,526 | ||||||
|
| |||||||
Total Convertible Bonds (Cost $2,542,645) | 2,194,523 | |||||||
|
| |||||||
Bank Loans (15.1%): | ||||||||
Airlines (0.7%): | ||||||||
5,405,000 | Formula One Management Limited Facility B3, 0.00% (LIBOR+0bps ), 2/1/24 | 5,259,065 | ||||||
2,290,716 | SkyMiles IP, Ltd. (Delta Air Lines, Inc.) Initial Term Ln, 0.04% (LIBOR+375bps ), 9/16/27 | 2,274,246 | ||||||
|
| |||||||
7,533,311 | ||||||||
|
| |||||||
Building Products (0.3%): | ||||||||
1,295,532 | Filtration Group Corporation 2021 Incremental Term Ln, 0.04% (LIBOR+350bps ), 10/19/28, Callable 8/5/22 @ 100 | 1,208,084 | ||||||
965,643 | Filtration Group Corporation Initial Dollar Term Ln, 0.03% (LIBOR+300bps ), 3/29/25, Callable 8/5/22 @ 100 | 912,707 | ||||||
1,522,298 | Filtration Group Corporation Initial Euro Term Ln, 0.00% (EURLIBOR+350bps ), 3/29/25(b) | 1,451,509 | ||||||
|
| |||||||
3,572,300 | ||||||||
|
| |||||||
Capital Markets (0.9%): | ||||||||
10,713,150 | Medline Borrower LP Initial Dollar Term Ln, 0.03% (LIBOR+325bps ), 10/21/28, Callable 8/5/22 @ 100 | 9,918,020 | ||||||
533,250 | Woof Holdings, Inc. Initial First Lien Term Ln, 0.04% (LIBOR+375bps ), 12/16/27, Callable 8/5/22 @ 100 | 497,256 | ||||||
|
| |||||||
10,415,276 | ||||||||
|
| |||||||
Chemicals (1.0%): | ||||||||
7,358,932 | USI, Inc. 2017 New Term Ln, 0.03% (LIBOR+300bps ), 5/16/24 | 7,041,614 | ||||||
4,491,435 | USI, Inc. 2021 New Term Ln, 0.03% (LIBOR+325bps ), 12/2/26, Callable 8/5/22 @ 100 | 4,143,349 | ||||||
|
| |||||||
11,184,963 | ||||||||
|
| |||||||
Consumer Discretionary Services (0.2%): | ||||||||
1,987,999 | IRB Holding Corp., 0.00%, 12/15/27 | 1,862,098 | ||||||
|
| |||||||
Diversified Consumer Services (0.8%): | ||||||||
5,261,812 | Ascend Learning LLC 2021 First Lien Term Ln, 0.04% (LIBOR+350bps ), 11/18/28, Callable 8/5/22 @ 100 | 4,847,445 |
Principal Amount | Value | |||||||
Bank Loans, continued | ||||||||
Diversified Consumer Services, continued | ||||||||
$ | 755,000 | Ascend Learning LLC Term Ln 2L, 0.06% (LIBOR+0bps ), 11/18/29, Callable 8/5/22 @ 102 | $ | 690,825 | ||||
3,509,023 | Loire UK Midco 3 Limited Facility B Ln, 0.03% (LIBOR+325bps ), 1/24/27 | 3,295,569 | ||||||
|
| |||||||
8,833,839 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
724,525 | Acrisure LLC 2021-1 Term Ln, 0.04% (LIBOR+375bps ), 2/15/27 | 676,525 | ||||||
|
| |||||||
Electric Utilities (0.9%): | ||||||||
3,532,873 | Alliant Holdings Intermediate LLC 2018 Initial Term Ln, 0.03% (LIBOR+325bps ), 5/10/25, Callable 8/5/22 @ 100 | 3,318,392 | ||||||
1,594,153 | Alliant Holdings Intermediate LLC 2019 Term Ln, 0.03% (LIBOR+325bps ), 5/10/25, Callable 8/5/22 @ 100 | 1,504,195 | ||||||
5,113,328 | Alliant Holdings Intermediate LLC TLB-4 Term Ln, 0.04% (LIBOR+350bps ), 11/6/27, Callable 8/5/22 @ 100 | 4,743,890 | ||||||
|
| |||||||
9,566,477 | ||||||||
|
| |||||||
Health Care (0.1%): | ||||||||
234,530 | EyeCare Partners LLC Amndmnt 1 Term Ln, 0.00% (LIBOR+375bps ), 10/14/28 | 215,573 | ||||||
272,922 | EyeCare Partners LLC Initial First Lien Term Ln, 0.04% (LIBOR+375bps ), 2/20/27, Callable 8/5/22 @ 100 | 251,770 | ||||||
347,355 | Pathway Vet Alliance LLC 2021 Replacement First Lien Term Ln, 0.04% (LIBOR+375bps ), 3/31/27, Callable 8/5/22 @ 100 | 321,738 | ||||||
115,000 | Petvet Care Centers LLC, 0.06%, 2/15/26, Callable 8/5/22 @ 102(b) | 111,910 | ||||||
|
| |||||||
900,991 | ||||||||
|
| |||||||
Health Care Equipment & Supplies (0.0%†): | ||||||||
426,775 | Pacific Dental Services LLC Term Ln, 0.00% (LIBOR+325bps ), 4/20/28 | 404,369 | ||||||
|
| |||||||
Health Care Providers & Services (0.9%): | ||||||||
3,735,431 | ADMI Corp. Term Ln, 0.04% (LIBOR+350bps ), 12/23/27 | 3,414,819 | ||||||
1,634,434 | ADMI Corp. Term Ln, 0.03% (LIBOR+337.5bps ), 12/23/27, Callable 8/5/22 @ 100 | 1,485,880 | ||||||
470,250 | Heartland Dental LLC 2021 Incremental Term Ln, 0.04% (LIBOR+400bps ), 4/30/25, Callable 8/5/22 @ 100 | 438,979 | ||||||
5,079,022 | Heartland Dental LLC Initial Term Ln, 0.04% (LIBOR+350bps ), 4/30/25, Callable 8/5/22 @ 100 | 4,704,444 | ||||||
|
| |||||||
10,044,122 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (0.4%): | ||||||||
51,722 | Cedar Fair LP Term B Ln, 0.02% (LIBOR+175bps ), 4/13/24, Callable 8/5/22 @ 100 | 50,407 | ||||||
460,756 | Four Seasons Holdings Inc. 2013 First Lien Term Ln, 0.02% (LIBOR+200bps ), 11/30/23, Callable 8/5/22 @ 100 | 454,997 | ||||||
1,860,752 | IRB Holding Corp. 2020 Replacement Term B Ln, 0.03% (LIBOR+275bps ), 2/5/25, Callable 8/5/22 @ 100 | 1,760,737 |
See accompanying notes to the financial statements.
3
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Bank Loans, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 604,972 | Life Time, Inc. 2021 Refin Term Ln, 0.05% (LIBOR+475bps ), 12/22/24 | $ | 595,897 | ||||
1,349,104 | SeaWorld Parks & Entertainment, Inc. Term B Ln, 0.00% (PRIME+0bps ), 8/25/28, Callable 8/5/22 @ 100 | 1,264,448 | ||||||
|
| |||||||
4,126,486 | ||||||||
|
| |||||||
Insurance (3.2%): | ||||||||
4,615,884 | HIG Finance 2 Limited 2021 Dollar Refin Term Ln, 0.03% (LIBOR+325bps ), 11/12/27, Callable 8/5/22 @ 100 | 4,347,286 | ||||||
12,717,078 | HUB International, Ltd. B-3 Incremental Term Ln, 0.03% (LIBOR+325bps ), 4/25/25 | 12,036,460 | ||||||
19,786,446 | HUB International, Ltd. Initial Term Ln, 0.03% (LIBOR+275bps ), 4/25/25 | 18,696,213 | ||||||
1,131,958 | Ryan Specialty Group LLC Initial Term Loan, 0.03% (PRIME+200bps ), 9/1/27 | 1,086,679 | ||||||
|
| |||||||
36,166,638 | ||||||||
|
| |||||||
IT Services (0.0%†): | ||||||||
200,000 | CoreLogic, Inc. Initial Term Ln First Lien, 0.07% (LIBOR+650bps ), 4/13/29 | 144,000 | ||||||
|
| |||||||
Life Sciences Tools & Services (0.3%): | ||||||||
115,188 | Avantor Funding, Inc. Initial B-4 Dollar Term Ln, 0.02% (LIBOR+200bps ), 11/24/24 | 114,372 | ||||||
3,640,428 | Sunshine Luxembourg VII S.a r.l. Facility B3, 0.00% (LIBOR+300bps ), 10/1/26 | 3,360,880 | ||||||
|
| |||||||
3,475,252 | ||||||||
|
| |||||||
Machinery (0.4%): | ||||||||
4,423,070 | TK Elevator Midco GmbH Facility B1, 0.04% (LIBOR+350bps ), 7/30/27 | 4,132,828 | ||||||
535,000 | Welbilt, Inc. 2018 Term B Ln, 0.03% (LIBOR+250bps ), 10/23/25 | 525,862 | ||||||
|
| |||||||
4,658,690 | ||||||||
|
| |||||||
Materials (0.1%): | ||||||||
712,727 | Arches Buyer, Inc., 0.03%, 12/6/27, Callable 8/5/22 @ 100 | 648,582 | ||||||
|
| |||||||
Professional Services (0.4%): | ||||||||
2,632,860 | Camelot U.S. Acquisition 1 Co. Amndmnt 2 Incremental Term Ln, 0.03% (LIBOR+300bps ), 10/31/26 | 2,477,074 | ||||||
3,051,938 | CoreLogic, Inc. Iniitial Term Ln Second Lien, 0.04% (LIBOR+0bps ), 4/14/28, Callable 8/5/22 @ 100 | 2,530,056 | ||||||
|
| |||||||
5,007,130 | ||||||||
|
| |||||||
Software (2.9%): | ||||||||
317,354 | Applied Systems, Inc. 2021 Second Lien Term Ln, 0.06% (LIBOR+550bps ), 9/19/25, Callable 8/5/22 @ 100 | 304,758 | ||||||
3,750,108 | Applied Systems, Inc. First Lien Term Ln, 0.03% (LIBOR+300bps ), 9/19/24, Callable 8/5/22 @ 100 | 3,590,728 | ||||||
648,860 | Azalea TopCo, Inc. 2021 First Lien Term Ln, 0.04% (LIBOR+375bps ), 7/25/26, Callable 8/5/22 @ 100 | 614,795 | ||||||
4,257,251 | Azalea TopCo, Inc. Initial First Lien Tern Ln, 0.04% (LIBOR+350bps ), 7/23/26, Callable 8/5/22 @ 100 | 3,976,272 | ||||||
477,600 | Polaris Newco LLC Dollar First Lien Term Ln, 0.04% (LIBOR+400bps ), 6/4/28, Callable 8/5/22 @ 100 | 440,075 |
Principal Amount | Value | |||||||
Bank Loans, continued | ||||||||
Software, continued | ||||||||
$ | 496,437 | Project Boost Purchaser LLC 2021 Tranche 2 Term Ln, 0.04% (LIBOR+350bps ), 5/30/26, Callable 8/5/22 @ 100 | $ | 460,137 | ||||
5,281,118 | RealPage, Inc. Initial First Lien Term Ln, 0.03% (LIBOR+325bps ), 2/18/28, Callable 8/5/22 @ 100 | 4,869,614 | ||||||
200,000 | RealPage, Inc. Initial Second Lien Term Ln, 0.07% (LIBOR+650bps ), 4/22/29 | 189,666 | ||||||
868,438 | Sophia LP First Lien Term Ln B, 0.03% (LIBOR+350bps ), 10/7/27, Callable 8/5/22 @ 100 | 808,194 | ||||||
885,000 | UKG, Inc. 2021 Incremental Second Lien Term Ln, 0.05% (LIBOR+525bps ), 5/3/27 | 814,200 | ||||||
16,774,262 | UKG, Inc. 2021-2 Incremental First Lien Term Ln, 0.03% (LIBOR+325bps ), 5/3/26 | 15,673,535 | ||||||
491,113 | Ultimate Software Group, Inc., Initial First Lien Term Ln, 0.04% (LIBOR+375bps ), 5/3/26, Callable 8/5/22 @ 100 | 462,937 | ||||||
|
| |||||||
32,204,911 | ||||||||
|
| |||||||
Software & Tech Services (0.5%): | ||||||||
5,100,000 | athenahealth TL B, 0.04%, 1/27/29 | 4,682,463 | ||||||
400,000 | Press Ganey TL B 1L Bankdebt, 0.00%, 7/25/26, Callable 8/5/22 @ 101 | 372,500 | ||||||
274,313 | Storable, Inc., 0.04%, 4/16/28, Callable 8/5/22 @ 100 | 256,940 | ||||||
|
| |||||||
5,311,903 | ||||||||
|
| |||||||
Sovereign Bond (0.5%): | ||||||||
5,710,000 | Mileage Plus Holdings LLC Initial Term Loan, 0.05% (LIBOR+525bps ), 6/25/27 | 5,630,060 | ||||||
|
| |||||||
Specialty Retail (0.3%): | ||||||||
1,422,395 | PetVet Care Centers LLC 2018 First Lien Term Ln, 0.03% (LIBOR+325bps ), 2/14/25, Callable 8/5/22 @ 100 | 1,331,120 | ||||||
2,168,045 | PetVet Care Centers LLC 2021 First Lien Replacement Term Ln, 0.04% (LIBOR+350bps ), 2/15/25, Callable 8/5/22 @ 100 | 2,039,762 | ||||||
358,762 | PetVet Care Centers LLC Initial First Lien Term Ln, 0.03% (LIBOR+275bps ), 2/14/25, Callable 8/5/22 @ 100 | 333,426 | ||||||
|
| |||||||
3,704,308 | ||||||||
|
| |||||||
Tech Hardware & Semiconductors (0.2%): | ||||||||
2,062,138 | Entegris, Inc., 0.00%, 3/2/29 | 1,989,963 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals (0.0%†): | ||||||||
603,849 | Eagle Broadband Investments LLC Initial Term Ln, 0.03% (LIBOR+300bps ), 11/12/27, Callable 8/5/22 @ 100 | 567,618 | ||||||
|
| |||||||
Total Bank Loans (Cost $178,897,476) | 168,629,812 | |||||||
|
| |||||||
Corporate Bonds (7.1%): | ||||||||
Aerospace & Defense (0.1%): | ||||||||
515,000 | Howmet Aerospace, Inc., 3.00%, 1/15/29, Callable 11/15/28 @ 100 | 426,163 | ||||||
250,000 | TransDigm UK Holdings PLC, 6.88%, 5/15/26, Callable 8/8/22 @ 103.44 | 233,750 | ||||||
275,000 | TransDigm, Inc., 6.25%, 3/15/26, Callable 8/8/22 @ 103.13(a) | 264,687 |
See accompanying notes to the financial statements.
4
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Aerospace & Defense, continued | ||||||||
$ | 160,000 | TransDigm, Inc., 6.38%, 6/15/26, Callable 8/8/22 @ 101.59 | $ | 150,400 | ||||
275,000 | TransDigm, Inc., 5.50%, 11/15/27, Callable 11/15/22 @ 102.75 | 232,719 | ||||||
|
| |||||||
1,307,719 | ||||||||
|
| |||||||
Airlines (0.4%): | ||||||||
1,807,375 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.50%, 10/20/25(a) | 1,755,368 | ||||||
1,150,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd., 4.75%, 10/20/28(a) | 1,086,607 | ||||||
1,250,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets, Ltd., 6.50%, 6/20/27, Callable 6/30/23 @ 103.25(a) | 1,228,125 | ||||||
155,359 | U.S. Airways Pass Through Trust, Series 2010-1A, 6.25%, 10/22/24 | 154,582 | ||||||
|
| |||||||
4,224,682 | ||||||||
|
| |||||||
Auto Components (0.2%): | ||||||||
467,000 | Clarios Global LP, 6.75%, 5/15/25, Callable 8/8/22 @ 103.38(a) | 456,493 | ||||||
643,000 | Clarios Global LP / Clarios US Finance Co., 6.25%, 5/15/26, Callable 8/8/22 @ 103.13(a) | 617,280 | ||||||
1,735,000 | Clarios Global LP / Clarios US Finance Co., 8.50%, 5/15/27, Callable 8/8/22 @ 104.25(a) | 1,652,587 | ||||||
|
| |||||||
2,726,360 | ||||||||
|
| |||||||
Building Products (0.0%†): | ||||||||
280,000 | Lennox International, Inc., 3.00%, 11/15/23, Callable 9/15/23 @ 100 | 277,133 | ||||||
|
| |||||||
Capital Markets (0.1%): | ||||||||
260,000 | MSCI, Inc., 4.00%, 11/15/29, Callable 11/15/24 @ 102(a) | 230,100 | ||||||
600,000 | MSCI, Inc., 3.63%, 9/1/30, Callable 3/1/25 @ 101.81(a) | 501,000 | ||||||
10,000 | MSCI, Inc., 3.88%, 2/15/31, Callable 6/1/25 @ 101.94(a) | 8,550 | ||||||
90,000 | MSCI, Inc., 3.63%, 11/1/31, Callable 11/1/26 @ 101.81(a) | 74,025 | ||||||
40,000 | MSCI, Inc., 3.25%, 8/15/33, Callable 8/15/27 @ 101.63(a) | 31,800 | ||||||
452,000 | State Street Corp., Series F, 5.43% (US0003M+360 bps), Callable 9/15/22 @ 100 | 440,700 | ||||||
|
| |||||||
1,286,175 | ||||||||
|
| |||||||
Consumer Discretionary Services (0.4%): | ||||||||
1,806,000 | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.38%, 4/15/27, Callable 8/8/22 @ 102.69 | 1,684,095 | ||||||
920,000 | Cedar Fair LP /Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.50%, 5/1/25, Callable 8/8/22 @ 102.75(a) | 892,400 | ||||||
1,635,000 | Six Flags Theme Parks, Inc., 7.00%, 7/1/25, Callable 8/8/22 @ 103.5(a) | 1,651,350 | ||||||
|
| |||||||
4,227,845 | ||||||||
|
| |||||||
Diversified Financial Services (0.1%): | ||||||||
1,750,000 | Acrisure LLC / Acrisure Finance, Inc., 7.00%, 11/15/25, Callable 8/8/22 @ 101.75(a) | 1,575,000 | ||||||
|
|
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Electric Utilities (0.1%): | ||||||||
$ | 650,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27, Callable 10/15/22 @ 103.38(a) | $ | 572,000 | ||||
385,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 4.25%, 10/15/27, Callable 10/15/23 @ 102.13(a) | 333,025 | ||||||
562,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 5.88%, 11/1/29, Callable 11/1/24 @ 102.94^(a) | 465,055 | ||||||
|
| |||||||
1,370,080 | ||||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
625,000 | Sensata Technologies BV, 4.00%, 4/15/29, Callable 4/15/24 @ 102(a) | 529,687 | ||||||
245,000 | Sensata Technologies, Inc., 3.75%, 2/15/31, Callable 2/15/26 @ 101.88(a) | 196,000 | ||||||
|
| |||||||
725,687 | ||||||||
|
| |||||||
Entertainment (0.0%†): | ||||||||
100,000 | Live Nation Entertainment, Inc., 4.88%, 11/1/24, Callable 8/8/22 @ 101.22(a) | 95,250 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (0.1%): | ||||||||
725,000 | SBA Communications Corp., 3.88%, 2/15/27, Callable 2/15/23 @ 101.94 | 660,656 | ||||||
255,000 | SBA Communications Corp., 3.13%, 2/1/29, Callable 2/1/24 @ 101.56 | 208,463 | ||||||
|
| |||||||
869,119 | ||||||||
|
| |||||||
Health Care (0.0%†): | ||||||||
215,000 | Avantor Funding, Inc., 3.88%, 11/1/29, Callable 11/1/24 @ 101.94(a) | 187,588 | ||||||
|
| |||||||
Health Care Equipment & Supplies (0.1%): | ||||||||
220,000 | Hologic, Inc., 3.25%, 2/15/29, Callable 9/28/23 @ 101.63(a) | 188,100 | ||||||
745,000 | Teleflex, Inc., 4.63%, 11/15/27, Callable 11/15/22 @ 102.31 | 694,713 | ||||||
130,000 | Teleflex, Inc., 4.25%, 6/1/28, Callable 6/1/23 @ 102.13(a) | 117,000 | ||||||
|
| |||||||
999,813 | ||||||||
|
| |||||||
Health Care Providers & Services (0.3%): | ||||||||
1,775,000 | Hadrian Merger Sub, Inc., 8.50%, 5/1/26, Callable 8/8/22 @ 102.13(a) | 1,664,062 | ||||||
1,156,000 | Surgery Center Holdings, Inc., 10.00%, 4/15/27, Callable 8/8/22 @ 105(a) | 1,122,765 | ||||||
|
| |||||||
2,786,827 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure (1.8%): | ||||||||
1,758,000 | Cedar Fair LP, 5.25%, 7/15/29, Callable 7/15/24 @ 102.63^ | 1,551,435 | ||||||
1,430,000 | Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op, 6.50%, 10/1/28, Callable 10/1/23 @ 103.25 | 1,362,075 | ||||||
100,000 | Hilton Domestic Operating Co., Inc., 5.38%, 5/1/25, Callable 7/18/22 @ 102.69(a) | 98,500 | ||||||
105,000 | Hilton Domestic Operating Co., Inc., 4.00%, 5/1/31, Callable 5/1/26 @ 102(a) | 86,625 | ||||||
205,000 | Hilton Domestic Operating Co., Inc., 3.63%, 2/15/32, Callable 8/15/26 @ 101.81(a) | 162,975 |
See accompanying notes to the financial statements.
5
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Hotels, Restaurants & Leisure, continued | ||||||||
$ | 50,000 | Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp., 4.88%, 4/1/27, Callable 7/22/22 @ 102.44 | $ | 47,000 | ||||
3,738,000 | KFC Holding Co. /Pizza Hut Holdings LLC /Taco Bell of America LLC, 4.75%, 6/1/27, Callable 8/8/22 @ 102.38(a) | 3,593,152 | ||||||
1,273,000 | Life Time, Inc., 5.75%, 1/15/26, Callable 1/15/23 @ 102.88(a) | 1,142,518 | ||||||
304,000 | Marriott International, Inc., 3.13%, 6/15/26, Callable 3/15/26 @ 100 | 290,204 | ||||||
4,419,000 | Six Flags Entertainment Corp., 4.88%, 7/31/24, Callable 8/8/22 @ 100(a) | 4,192,526 | ||||||
2,690,000 | Six Flags Entertainment Corp., 5.50%, 4/15/27, Callable 8/8/22 @ 102.75^(a) | 2,407,550 | ||||||
656,000 | Yum! Brands, Inc., 3.88%, 11/1/23, Callable 8/1/23 @ 100 | 651,080 | ||||||
370,000 | Yum! Brands, Inc., 4.75%, 1/15/30, Callable 10/15/29 @ 100(a) | 334,850 | ||||||
477,000 | Yum! Brands, Inc., 3.63%, 3/15/31, Callable 12/15/30 @ 100 | 401,873 | ||||||
664,000 | Yum! Brands, Inc., 4.63%, 1/31/32, Callable 10/1/26 @ 102.31 | 584,320 | ||||||
940,000 | Yum! Brands, Inc., 5.38%, 4/1/32, Callable 4/1/27 @ 102.69 | 864,800 | ||||||
1,042,000 | Yum! Brands, Inc., 6.88%, 11/15/37 | 1,068,050 | ||||||
1,889,000 | Yum! Brands, Inc., 5.35%, 11/1/43, Callable 5/1/43 @ 100 | 1,577,315 | ||||||
|
| |||||||
20,416,848 | ||||||||
|
| |||||||
Industrial Conglomerates (0.3%): | ||||||||
3,422,000 | General Electric Co., Series D, 5.16% (US0003M+333 bps), Callable 9/15/22 @ 100 | 2,995,503 | ||||||
|
| |||||||
Insurance (0.9%): | ||||||||
510,000 | AmWINS Group, Inc., 4.88%, 6/30/29, Callable 6/30/24 @ 102.44(a) | 418,200 | ||||||
6,965,000 | HUB International, Ltd., 7.00%, 5/1/26, Callable 7/18/22 @ 101.75(a) | 6,529,688 | ||||||
460,000 | HUB International, Ltd., 5.63%, 12/1/29, Callable 12/1/24 @ 102.81^(a) | 381,800 | ||||||
80,000 | Ryan Specialty Group LLC, 4.38%, 2/1/30, Callable 2/1/25 @ 102.19(a) | 69,500 | ||||||
3,025,000 | USI, Inc., 6.88%, 5/1/25, Callable 8/8/22 @ 100(a) | 2,907,781 | ||||||
|
| |||||||
10,306,969 | ||||||||
|
| |||||||
Interactive Media & Services (0.0%†): | ||||||||
420,000 | Twitter, Inc., 5.00%, 3/1/30, Callable 12/1/29 @ 100(a) | 398,475 | ||||||
|
| |||||||
IT Services (0.1%): | ||||||||
5,000 | Arches Buyer, Inc., 4.25%, 6/1/28, Callable 12/1/23 @ 102.13(a) | 4,038 | ||||||
265,000 | Black Knight InfoServ LLC, 3.63%, 9/1/28, Callable 9/1/23 @ 101.81(a) | 229,225 | ||||||
200,000 | Booz Allen Hamilton, Inc., 3.88%, 9/1/28, Callable 9/1/23 @ 101.94(a) | 177,000 | ||||||
180,000 | Gartner, Inc., 4.50%, 7/1/28, Callable 7/1/23 @ 102.25(a) | 163,350 |
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
IT Services, continued | ||||||||
$ | 255,000 | Gartner, Inc., 3.63%, 6/15/29, Callable 6/15/24 @ 101.81(a) | $ | 219,300 | ||||
310,000 | Gartner, Inc., 3.75%, 10/1/30, Callable 10/1/25 @ 101.88(a) | 263,887 | ||||||
35,000 | Twilio, Inc., 3.63%, 3/15/29, Callable 3/15/24 @ 101.81 | 29,444 | ||||||
|
| |||||||
1,086,244 | ||||||||
|
| |||||||
Leisure Products (0.1%): | ||||||||
1,230,000 | Photo Holdings Merger Sub, Inc., 8.50%, 10/1/26, Callable 10/1/22 @ 104.25(a) | 928,650 | ||||||
|
| |||||||
Life Sciences Tools & Services (0.2%): | ||||||||
1,693,000 | Avantor Funding, Inc., 4.63%, 7/15/28, Callable 7/15/23 @ 102.31(a) | 1,549,095 | ||||||
350,000 | IQVIA, Inc., 5.00%, 5/15/27, Callable 8/8/22 @ 102.5(a) | 332,500 | ||||||
|
| |||||||
1,881,595 | ||||||||
|
| |||||||
Media (1.3%): | ||||||||
350,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.50%, 5/1/26, Callable 8/8/22 @ 101.83(a) | 340,375 | ||||||
6,494,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.13%, 5/1/27, Callable 8/8/22 @ 102.56(a) | 6,128,712 | ||||||
6,136,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 5.00%, 2/1/28, Callable 8/1/22 @ 102.5(a) | 5,645,120 | ||||||
700,000 | Lamar Media Corp., 3.75%, 2/15/28, Callable 2/15/23 @ 101.88 | 616,000 | ||||||
120,000 | Lamar Media Corp., 3.63%, 1/15/31, Callable 1/15/26 @ 101.81 | 98,100 | ||||||
1,755,000 | Sirius XM Radio, Inc., 5.00%, 8/1/27, Callable 8/8/22 @ 102.5(a) | 1,623,375 | ||||||
|
| |||||||
14,451,682 | ||||||||
|
| |||||||
Multi-Utilities (0.1%): | ||||||||
1,705,000 | NiSource, Inc., 5.65% (H15T5Y+284 bps), Callable 6/15/23 @ 100 | 1,539,852 | ||||||
|
| |||||||
Pharmaceuticals (0.1%): | ||||||||
120,000 | Catalent Pharma Solutions, Inc., 5.00%, 7/15/27, Callable 8/8/22 @ 102.5(a) | 112,950 | ||||||
601,000 | Catalent Pharma Solutions, Inc., 3.13%, 2/15/29, Callable 2/15/24 @ 101.56(a) | 493,571 | ||||||
320,000 | Catalent Pharma Solutions, Inc., 3.50%, 4/1/30, Callable 4/1/25 @ 101.75(a) | 262,400 | ||||||
|
| |||||||
868,921 | ||||||||
|
| |||||||
Professional Services (0.1%): | ||||||||
275,000 | CoreLogic, Inc., 4.50%, 5/1/28, Callable 5/1/24 @ 102.25(a) | 214,156 | ||||||
405,000 | Korn Ferry, 4.63%, 12/15/27, Callable 12/15/22 @ 102.31(a) | 362,475 | ||||||
|
| |||||||
576,631 | ||||||||
|
| |||||||
Real Estate Management & Development (0.0%†): | ||||||||
275,000 | TK Elevator US Newco, Inc., 5.25%, 7/15/27, Callable 7/15/23 @ 102.63(a) | 243,375 | ||||||
|
| |||||||
Software (0.1%): | ||||||||
566,000 | Clarivate Science Holdings Corp., 3.88%, 7/1/28, Callable 6/30/24 @ 101.94(a) | 473,318 |
See accompanying notes to the financial statements.
6
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
Corporate Bonds, continued | ||||||||
Software, continued | ||||||||
$ | 220,000 | Clarivate Science Holdings Corp., 4.88%, 7/1/29, Callable 6/30/24 @ 102.44(a) | $ | 178,750 | ||||
|
| |||||||
652,068 | ||||||||
|
| |||||||
Software & Tech Services (0.0%†): | ||||||||
367,400 | Sophia, LP, 0.00%, 10/7/27, Callable 8/5/22 @ 101 | 356,378 | ||||||
|
| |||||||
Telecommunications (0.0%†): | ||||||||
75,000 | T-Mobile USA, Inc., 3.38%, 4/15/29, Callable 4/15/24 @ 101.69(a) | 65,469 | ||||||
|
| |||||||
Total Corporate Bonds (Cost $85,934,104) | 79,427,938 | |||||||
|
| |||||||
Yankee Debt Obligations (0.2%): | ||||||||
Diversified Telecommunication Services (0.1%): | ||||||||
1,325,000 | Altice France Holding SA, 10.50%, 5/15/27, Callable 7/18/22 @ 105.25(a) | 1,109,688 | ||||||
|
| |||||||
Electrical Equipment (0.1%): | ||||||||
260,000 | Sensata Technologies BV, 5.63%, 11/1/24(a) | 256,750 | ||||||
565,000 | Sensata Technologies BV, 5.00%, 10/1/25(a) | 540,281 | ||||||
|
| |||||||
797,031 | ||||||||
|
| |||||||
Total Yankee Debt Obligations (Cost $2,220,106) | 1,906,719 | |||||||
|
| |||||||
U.S. Treasury Obligations (8.1%): | ||||||||
U.S. Treasury Notes (8.1%) | ||||||||
29,347,500 | 1.50%, 1/31/27 | 27,439,912 |
Principal Amount | Value | |||||||
U.S. Treasury Obligations, continued | ||||||||
U.S. Treasury Notes, continued | ||||||||
$ | 44,545,500 | 1.88%, 2/28/27 | $ | 42,353,026 | ||||
21,473,200 | 2.50%, 3/31/27 | 20,983,343 | ||||||
|
| |||||||
90,776,281 | ||||||||
|
| |||||||
Total U.S. Treasury Obligations (Cost $93,675,584) | 90,776,281 | |||||||
|
| |||||||
Short-Term Security Held as Collateral for Securities on Loan (0.2%): | ||||||||
2,665,383 | BlackRock Liquidity FedFund, Institutional Class , 0.19%(c)(d) | 2,665,383 | ||||||
|
| |||||||
| Total Short-Term Security Held as Collateral for Securities on | 2,665,383 | ||||||
|
| |||||||
Shares | Value | |||||||
Unaffiliated Investment Company (1.0%): | ||||||||
Money Markets (1.0%): | ||||||||
10,626,003 | Dreyfus Treasury Securities Cash Management Fund, Institutional Shares, 0.97%(d) | 10,626,003 | ||||||
|
| |||||||
Total Unaffiliated Investment Company (Cost $10,626,003) | 10,626,003 | |||||||
|
| |||||||
Total Investment Securities (Cost $1,122,669,194) — 99.9% | 1,114,147,901 | |||||||
Net other assets (liabilities) — 0.1% | 1,313,618 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,115,461,519 | ||||||
|
|
Percentages indicated are based on net assets as of June 30, 2022.
H15T5Y—5 Year Treasury Constant Maturity Rate
LIBOR—London Interbank Offered Rate
US0003M—3 Month US Dollar LIBOR
* | Non-income producing security. |
^ | This security or a partial position of this security was on loan as of June 30, 2022. The total value of securities on loan as of June 30, 2022 was $2,545,407. |
† | Represents less than 0.05%. |
# | All or a portion of these investments are held as collateral for the written options. As of June 30, 2022, the total value of securities held as collateral for written options is $8,557,080. |
(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, 2022, these securities represent 0.14% 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, 2022. |
(d) | The rate represents the effective yield at June 30, 2022. |
At June 30, 2022, the Fund’s over-the-counter options written were as follows:
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 3200.00 USD | 1/20/23 | 3 | $ | 9,600 | $ | (5,494 | ) | ||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 3300.00 USD | 1/20/23 | 3 | 9,900 | (4,301 | ) | ||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 3400.00 USD | 1/20/23 | 3 | 10,200 | (3,357 | ) | ||||||||||||||||||
Alphabet, Inc. | Goldman Sachs | Call | 3500.00 USD | 1/20/23 | 4 | 14,000 | (3,480 | ) | ||||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 175.00 USD | 1/20/23 | 220 | 38,500 | (16,796 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 180.00 USD | 1/20/23 | 60 | 10,800 | (3,662 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 185.00 USD | 1/20/23 | 40 | 7,400 | (1,949 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 190.00 USD | 1/20/23 | 40 | 7,600 | (1,555 | ) | ||||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 190.00 USD | 1/20/23 | 80 | 15,200 | (3,110 | ) | ||||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 195.00 USD | 1/20/23 | 80 | 15,600 | (2,480 | ) | ||||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 200.00 USD | 1/20/23 | 80 | 16,000 | (1,976 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 200.00 USD | 1/20/23 | 40 | 8,000 | (988 | ) |
See accompanying notes to the financial statements.
7
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 205.00 USD | 1/20/23 | 80 | 16,400 | (1,575 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 205.00 USD | 1/20/23 | 40 | $ | 8,200 | $ | (787 | ) | ||||||||||||||||
Amazon.com Inc. | Wells Fargo | Call | 210.00 USD | 1/20/23 | 80 | 16,800 | (1,254 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 210.00 USD | 1/20/23 | 40 | 8,400 | (627 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 215.00 USD | 1/20/23 | 40 | 8,600 | (499 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 220.00 USD | 1/20/23 | 40 | 8,800 | (398 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 225.00 USD | 1/20/23 | 40 | 9,000 | (317 | ) | ||||||||||||||||||
Amazon.com Inc. | Goldman Sachs | Call | 225.00 USD | 1/20/23 | 20 | 4,500 | (158 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 230.00 USD | 1/20/23 | 40 | 9,200 | (252 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 235.00 USD | 1/20/23 | 40 | 9,400 | (201 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 240.00 USD | 1/20/23 | 40 | 9,600 | (160 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 245.00 USD | 1/20/23 | 40 | 9,800 | (128 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 250.00 USD | 1/20/23 | 40 | 10,000 | (102 | ) | ||||||||||||||||||
Amazon.com Inc. | Citigroup | Call | 255.00 USD | 1/20/23 | 40 | 10,200 | (82 | ) | ||||||||||||||||||
Apple, Inc. | JPMorgan Chase | Call | 170.00 USD | 1/20/23 | 128 | 21,760 | (44,822 | ) | ||||||||||||||||||
Apple, Inc. | JPMorgan Chase | Call | 175.00 USD | 1/20/23 | 128 | 22,400 | (35,076 | ) | ||||||||||||||||||
Apple, Inc. | JPMorgan Chase | Call | 180.00 USD | 1/20/23 | 128 | 23,040 | (27,343 | ) | ||||||||||||||||||
Becton Dickinson And Co. | Goldman Sachs | Call | 260.00 USD | 1/20/23 | 26 | 6,760 | (36,947 | ) | ||||||||||||||||||
Becton Dickinson And Co. | Goldman Sachs | Call | 280.00 USD | 1/20/23 | 26 | 7,280 | (20,105 | ) | ||||||||||||||||||
Becton Dickinson And Co. | Goldman Sachs | Call | 290.00 USD | 1/20/23 | 26 | 7,540 | (14,610 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 345.00 USD | 9/16/22 | 19 | 6,555 | (41 | ) | ||||||||||||||||||
Facebook, Inc. | JPMorgan Chase | Call | 360.00 USD | 9/16/22 | 19 | 6,840 | (24 | ) | ||||||||||||||||||
General Electric Co. | Wells Fargo | Call | 85.00 USD | 1/20/23 | 181 | 15,385 | (27,259 | ) | ||||||||||||||||||
General Electric Co. | Wells Fargo | Call | 90.00 USD | 1/20/23 | 181 | 16,290 | (17,662 | ) | ||||||||||||||||||
General Electric Co. | Wells Fargo | Call | 95.00 USD | 1/20/23 | 181 | 17,195 | (11,444 | ) | ||||||||||||||||||
General Electric Co. | Wells Fargo | Call | 110.00 USD | 1/20/23 | 251 | 27,610 | (4,152 | ) | ||||||||||||||||||
Hologic, Inc. | Citigroup | Call | 85.00 USD | 1/20/23 | 84 | 7,140 | (12,815 | ) | ||||||||||||||||||
Hologic, Inc. | Citigroup | Call | 90.00 USD | 1/20/23 | 84 | 7,560 | (8,303 | ) | ||||||||||||||||||
Humana, Inc. | Citigroup | Call | 520.00 USD | 1/20/23 | 13 | 6,760 | (28,947 | ) | ||||||||||||||||||
Humana, Inc. | Citigroup | Call | 530.00 USD | 1/20/23 | 13 | 6,890 | (24,995 | ) | ||||||||||||||||||
Humana, Inc. | Citigroup | Call | 540.00 USD | 1/20/23 | 13 | 7,020 | (21,592 | ) | ||||||||||||||||||
Keurig Dr Pepper, Inc. | Citigroup | Call | 40.00 USD | 1/20/23 | 184 | 7,360 | (14,406 | ) | ||||||||||||||||||
Keurig Dr Pepper, Inc. | Citigroup | Call | 42.00 USD | 1/20/23 | 184 | 7,728 | (7,868 | ) | ||||||||||||||||||
Microsoft Corp. | Susquehanna Ireland Limited | Call | 320.00 USD | 1/20/23 | 65 | 20,800 | (31,499 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 320.00 USD | 1/20/23 | 115 | 36,800 | (55,729 | ) | ||||||||||||||||||
Microsoft Corp. | Susquehanna Ireland Limited | Call | 330.00 USD | 1/20/23 | 65 | 21,450 | (23,149 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 330.00 USD | 1/20/23 | 61 | 20,130 | (21,725 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 330.00 USD | 1/20/23 | 35 | 11,550 | (12,465 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 335.00 USD | 1/20/23 | 35 | 11,725 | (10,656 | ) | ||||||||||||||||||
Microsoft Corp. | Susquehanna Ireland Limited | Call | 340.00 USD | 1/20/23 | 65 | 22,100 | (16,894 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 340.00 USD | 1/20/23 | 35 | 11,900 | (9,097 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 340.00 USD | 1/20/23 | 126 | 42,840 | (32,748 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 345.00 USD | 1/20/23 | 35 | 12,075 | (7,760 | ) | ||||||||||||||||||
Microsoft Corp. | Credit Suisse First Boston | Call | 350.00 USD | 1/20/23 | 35 | 12,250 | (6,620 | ) | ||||||||||||||||||
Microsoft Corp. | Susquehanna Ireland Limited | Call | 350.00 USD | 1/20/23 | 65 | 22,750 | (12,294 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 350.00 USD | 1/20/23 | 126 | 44,100 | (23,832 | ) | ||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 350.00 USD | 1/20/23 | 64 | 22,400 | (12,105 | ) | ||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 355.00 USD | 1/20/23 | 64 | 22,720 | (10,332 | ) | ||||||||||||||||||
Microsoft Corp. | JPMorgan Chase | Call | 360.00 USD | 1/20/23 | 64 | 23,040 | (8,824 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 360.00 USD | 1/20/23 | 65 | 23,400 | (8,961 | ) | ||||||||||||||||||
Microsoft Corp. | Citigroup | Call | 365.00 USD | 1/20/23 | 44 | 16,060 | (5,183 | ) | ||||||||||||||||||
PNC Financial Services Group, Inc. (The) | JPMorgan Chase | Call | 190.00 USD | 1/20/23 | 49 | 9,310 | (17,513 | ) | ||||||||||||||||||
PNC Financial Services Group, Inc. (The) | JPMorgan Chase | Call | 195.00 USD | 1/20/23 | 49 | 9,555 | (14,055 | ) | ||||||||||||||||||
PNC Financial Services Group, Inc. (The) | JPMorgan Chase | Call | 200.00 USD | 1/20/23 | 49 | 9,800 | (11,306 | ) | ||||||||||||||||||
PNC Financial Services Group, Inc. (The) | Citigroup | Call | 220.00 USD | 1/20/23 | 88 | 19,360 | (8,954 | ) | ||||||||||||||||||
PNC Financial Services Group, Inc. (The) | Citigroup | Call | 230.00 USD | 1/20/23 | 88 | 20,240 | (6,195 | ) | ||||||||||||||||||
Public Service Enterprise Group, Inc. | Bank of America | Call | 65.00 USD | 7/15/22 | 71 | 4,615 | (3,260 | ) | ||||||||||||||||||
Public Service Enterprise Group, Inc. | Bank of America | Call | 70.00 USD | 7/15/22 | 71 | 4,970 | (101 | ) | ||||||||||||||||||
Public Service Enterprise Group, Inc. | Bank of America | Call | 75.00 USD | 7/15/22 | 71 | 5,325 | (7 | ) |
See accompanying notes to the financial statements.
8
AZL T. Rowe Price Capital Appreciation Fund
Schedule of Portfolio Investments
June 30, 2022 (Unaudited)
Description | Counterparty | Put/ Call | Strike Price | Expiration Date | Contracts | Notional Amount(a) | Fair Value | |||||||||||||||||||
Starbucks Corp. | Goldman Sachs | Call | 97.50 USD | 1/20/23 | 144 | $ | 14,040 | $ | (21,577 | ) | ||||||||||||||||
Starbucks Corp. | Goldman Sachs | Call | 100.00 USD | 1/20/23 | 144 | 14,400 | (17,445 | ) | ||||||||||||||||||
Starbucks Corp. | Goldman Sachs | Call | 105.00 USD | 1/20/23 | 144 | 15,120 | (11,462 | ) | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | Citigroup | Call | 640.00 USD | 1/20/23 | 25 | 16,000 | (41,208 | ) | ||||||||||||||||||
UnitedHealth Group, Inc. | Citigroup | Call | 540.00 USD | 1/20/23 | 47 | 25,380 | (153,703 | ) | ||||||||||||||||||
UnitedHealth Group, Inc. | Citigroup | Call | 560.00 USD | 1/20/23 | 26 | 14,560 | (64,213 | ) | ||||||||||||||||||
UnitedHealth Group, Inc. | Citigroup | Call | 580.00 USD | 1/20/23 | 26 | 15,080 | (47,544 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Wells Fargo | Call | 145.00 USD | 1/20/23 | 55 | 7,975 | (8,181 | ) | ||||||||||||||||||
Yum! Brands, Inc. | Wells Fargo | Call | 150.00 USD | 1/20/23 | 55 | 8,250 | (6,537 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total (Premiums $5,219,099) |
| $ | (1,157,233 | ) | ||||||||||||||||||||||
|
|
(a) | Notional amount is expressed as the number of contracts multiplied by the strike price of the underlying asset. |
Balances Reported in the Statement of Assets and Liabilities for Options Written
Value | ||
Options Written | $(1,157,233) |
See accompanying notes to the financial statements.
9
AZL T. Rowe Price Capital Appreciation Fund
Statement of Assets and Liabilities
June 30, 2022
(Unaudited)
Assets: | |||||
Investment securities, at cost | $ | 1,122,669,194 | |||
|
| ||||
Investment securities, at value(a) | $ | 1,114,147,901 | |||
Cash | 539,829 | ||||
Interest and dividends receivable | 6,666,316 | ||||
Foreign currency, at value (cost $56,696) | 54,545 | ||||
Receivable for capital shares issued | 24,676 | ||||
Receivable for investments sold | 13,331,630 | ||||
Reclaims receivable | 12,360 | ||||
Prepaid expenses | 3,689 | ||||
|
| ||||
Total Assets | 1,134,780,946 | ||||
|
| ||||
Liabilities: | |||||
Payable for investments purchased | 14,050,743 | ||||
Payable for capital shares redeemed | 346,067 | ||||
Written Options (Premiums received $5,219,099) | 1,157,233 | ||||
Payable for collateral received on loaned securities | 2,665,383 | ||||
Manager fees payable | 661,592 | ||||
Administration fees payable | 153,283 | ||||
Distribution fees payable | 236,284 | ||||
Custodian fees payable | 5,373 | ||||
Administrative and compliance services fees payable | 1,361 | ||||
Transfer agent fees payable | 1,122 | ||||
Trustee fees payable | 11,615 | ||||
Other accrued liabilities | 29,371 | ||||
|
| ||||
Total Liabilities | 19,319,427 | ||||
|
| ||||
Net Assets | $ | 1,115,461,519 | |||
|
| ||||
Net Assets Consist of: | |||||
Paid in capital | $ | 839,278,704 | |||
Total distributable earnings | 276,182,815 | ||||
|
| ||||
Net Assets | $ | 1,115,461,519 | |||
|
| ||||
Shares of beneficial interest (unlimited number of shares authorized, no par value) | 59,518,936 | ||||
Net Asset Value (offering and redemption price per share) | $ | 18.74 | |||
|
|
(a) | Includes securities on loan of $2,545,407. |
For the Six Months Ended June 30, 2022
(Unaudited)
Investment Income: | |||||
Interest | $ | 7,409,322 | |||
Dividends | 4,353,138 | ||||
Income from securities lending | 13,242 | ||||
Foreign withholding tax | (26,525 | ) | |||
|
| ||||
Total Investment Income | 11,749,177 | ||||
|
| ||||
Expenses: | |||||
Management fees | 4,739,027 | ||||
Administration fees | 115,988 | ||||
Distribution fees | 1,579,675 | ||||
Custodian fees | 20,805 | ||||
Administrative and compliance services fees | 7,286 | ||||
Transfer agent fees | 2,867 | ||||
Trustee fees | 28,761 | ||||
Professional fees | 23,246 | ||||
Shareholder reports | 15,893 | ||||
Other expenses | 12,242 | ||||
|
| ||||
Total expenses before reductions | 6,545,790 | ||||
Less Management fees contractually waived | (315,944 | ) | |||
|
| ||||
Net Expenses | 6,229,846 | ||||
|
| ||||
Net Investment Income/(Loss) | 5,519,331 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments: | |||||
Net realized gains/(losses) on securities and foreign currencies | 107,373,322 | ||||
Net realized gains/(losses) on written options contracts | 3,408,941 | ||||
Change in net unrealized appreciation/depreciation on securities and foreign currencies | (334,349,934 | ) | |||
Change in net unrealized appreciation/depreciation on written options contracts | 18,666,287 | ||||
|
| ||||
Net realized and Change in net unrealized gains/losses on investments | (204,901,384 | ) | |||
|
| ||||
Change in Net Assets Resulting From Operations | $ | (199,382,053 | ) | ||
|
|
See accompanying notes to the financial statements.
10
AZL T. Rowe Price Capital Appreciation Fund
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2022 | For the Year Ended December 31, 2021 | |||||||||
(Unaudited) | ||||||||||
Change In Net Assets: | ||||||||||
Operations: | ||||||||||
Net investment income/(loss) | $ | 5,519,331 | $ | 9,835,075 | ||||||
Net realized gains/(losses) on investments | 110,782,263 | 168,205,277 | ||||||||
Change in unrealized appreciation/depreciation on investments | (315,683,647 | ) | 54,954,011 | |||||||
|
|
|
| |||||||
Change in net assets resulting from operations | (199,382,053 | ) | 232,994,363 | |||||||
|
|
|
| |||||||
Distributions to Shareholders: | ||||||||||
Distributions | — | (169,653,015 | ) | |||||||
|
|
|
| |||||||
Change in net assets resulting from distributions to shareholders | — | (169,653,015 | ) | |||||||
|
|
|
| |||||||
Capital Transactions: | ||||||||||
Proceeds from shares issued | 4,606,565 | 15,884,100 | ||||||||
Proceeds from dividends reinvested | — | 169,653,015 | ||||||||
Value of shares redeemed | (113,516,514 | ) | (161,378,519 | ) | ||||||
|
|
|
| |||||||
Change in net assets resulting from capital transactions | (108,909,949 | ) | 24,158,596 | |||||||
|
|
|
| |||||||
Change in net assets | (308,292,002 | ) | 87,499,944 | |||||||
Net Assets: | ||||||||||
Beginning of period | 1,423,753,521 | 1,336,253,577 | ||||||||
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|
|
| |||||||
End of period | $ | 1,115,461,519 | $ | 1,423,753,521 | ||||||
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| |||||||
Share Transactions: | ||||||||||
Shares issued | 223,452 | 710,118 | ||||||||
Dividends reinvested | — | 8,097,996 | ||||||||
Shares redeemed | (5,597,630 | ) | (7,118,225 | ) | ||||||
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|
|
| |||||||
Change in shares | (5,374,178 | ) | 1,689,889 | |||||||
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|
|
|
Amounts shown as “—” are either $0 or rounds to less than $1.
See accompanying notes to the financial statements.
11
AZL T. Rowe Price Capital Appreciation Fund
Financial Highlights
(Selected data for a share of beneficial interest outstanding throughout the periods indicated. Does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.)
Six Months Ended June 30, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2020 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 21.94 | $ | 21.14 | $ | 19.66 | $ | 16.93 | $ | 18.03 | $ | 16.48 | ||||||||||||||||||
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| |||||||||||||||||||
Investment Activities: | ||||||||||||||||||||||||||||||
Net Investment Income/(Loss) | 0.09 | (a) | 0.16 | (a) | 0.19 | (a) | 0.26 | (a) | 0.41 | 0.17 | ||||||||||||||||||||
Net Realized and Unrealized Gains/(Losses) on Investments | (3.29 | ) | 3.54 | 3.10 | 3.79 | (0.31 | ) | 2.28 | ||||||||||||||||||||||
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|
|
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|
|
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|
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| |||||||||||||||||||
Total from Investment Activities | (3.20 | ) | 3.70 | 3.29 | 4.05 | 0.10 | 2.45 | |||||||||||||||||||||||
|
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| |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net Investment Income | — | (0.23 | ) | (0.29 | ) | (0.42 | ) | (0.17 | ) | (0.24 | ) | |||||||||||||||||||
Net Realized Gains | — | (2.67 | ) | (1.52 | ) | (0.90 | ) | (1.03 | ) | (0.66 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Total Dividends | — | (2.90 | ) | (1.81 | ) | (1.32 | ) | (1.20 | ) | (0.90 | ) | |||||||||||||||||||
|
|
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|
|
|
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|
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|
|
| |||||||||||||||||||
Net Asset Value, End of Period | $ | 18.74 | $ | 21.94 | $ | 21.14 | $ | 19.66 | $ | 16.93 | $ | 18.03 | ||||||||||||||||||
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| |||||||||||||||||||
Total Return(b) | (14.59 | )%(c) | 18.12 | % | 17.48 | % | 24.38 | % | 0.38 | % | 15.04 | % | ||||||||||||||||||
Ratios to Average Net Assets/Supplemental Data: | ||||||||||||||||||||||||||||||
Net Assets, End of Period (000’s) | $ | 1,115,462 | $ | 1,423,754 | $ | 1,336,254 | $ | 1,271,510 | $ | 1,079,607 | $ | 1,146,974 | ||||||||||||||||||
Net Investment Income/(Loss)(d) | 0.87 | % | 0.70 | % | 0.97 | % | 1.36 | % | 2.25 | % | 0.97 | % | ||||||||||||||||||
Expenses Before Reductions(d)(e) | 1.04 | % | 1.05 | % | 1.06 | % | 1.05 | % | 1.05 | % | 1.05 | % | ||||||||||||||||||
Expenses Net of Reductions(d) | 0.99 | % | 1.00 | % | 1.01 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||||||||
Portfolio Turnover Rate | 47 | %(c) | 49 | % | 87 | % | 45 | % | 70 | % | 65 | % |
(a) | Calculated using the average shares method. |
(b) | The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower. |
(c) | Not annualized for periods less than one year. |
(d) | Annualized for periods less than one year. |
(e) | Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated. |
See accompanying notes to the financial statements.
12
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (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 an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company, and follows the investment company accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” The Trust consists of 20 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 19 are presented in separate reports. The Fund is a diversified series of the Trust.
The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies. Currently, the Fund only offers its shares to separate accounts of Allianz Life Insurance Company of North America and Allianz Life Insurance Company of New York, affiliates of the Trust and the Manager, as defined below.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.
Investment Transactions and Investment Income
Investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.
Real Estate Investment Trusts
The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. A REIT may focus on particular types of projects, such as apartment complexes or shopping centers, or on particular geographic regions, or both. An investment in a REIT may be subject to certain risks similar to those associated with direct ownership of real estate, including: declines in the value of real estate; risks related to general and local economic conditions, overbuilding and competition; increases in property taxes and operating expenses; and variations in rental income.
Foreign Currency Translation and Withholding Taxes
The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies.
Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Fund accrues such taxes, as applicable, based on its current interpretation of tax rules in the foreign markets in which it invests.
Distributions to Shareholders
Distributions to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of distributions from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and differing treatment on certain investments) do not require reclassification. Distributions to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.
Expense Allocation
Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products Trust,
13
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust, Allianz Variable Insurance Products Fund of Funds Trust and AIM ETF Products Trust.
This report does not reflect fees or expenses associated with the separate accounts that invest in the Fund or in any variable annuity contracts or variable life insurance policy for which the Fund serves as an investment vehicle.
Bank Loans
The Fund may invest in bank loans, which generally have interest rates which are reset periodically by reference to a base lending rate plus a premium. These base rates are primarily the London-Interbank Offered Rate and, secondarily, the prime rate offered by one or more major U.S. banks and the certificate of deposit rate or other base lending rates used by commercial lenders. Bank loans often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays cannot be predicted with accuracy. Therefore, the anticipated or actual maturity may be considerably earlier than the stated maturity shown in the Schedule of Portfolio of Investments. All or a portion of any bank loans may be unfunded. The portfolio is obligated to fund any commitments at the borrower’s discretion. Therefore, the portfolio must have funds sufficient to cover its contractual obligation.
Securities Lending
To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned on 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, 2022 are presented on the Fund’s Schedule of Portfolio Investments.
Cash collateral received in connection with securities lending is invested on behalf of the Fund in the BlackRock Liquidity FedFund, Institutional Class, a money market fund which invests in short-term investments that have a remaining maturity of 397 days or less in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the securities lending agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $1,254 during the period ended June 30, 2022. These fees have been netted against “Income from securities lending” on the Statement of Operations. The Fund had securities lending transactions of $2,665,383 accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of June 30, 2022. At June 30, 2022, there were no master netting provisions in the securities lending agreement.
Affiliated Securities Transactions
Pursuant to Rule 17a-7 under the 1940 Act, the Fund may engage in securities transactions with affiliated investment companies and advisory accounts managed by the Manager and Subadviser. Any such purchase or sale transaction must be effected without a brokerage commission or other remuneration, except for customary transfer fees. The transaction must be effected at the current market price, which is either the security’s last sale price on an exchange or, if there are no transactions in the security that day, at the average of the highest bid and lowest asked price.
During the period ended June 30, 2022, the Fund participated in the following cross-trade transactions:
Purchases | Sales | Realized Gains/ (Losses) | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 560,402 | $ | — | $ | — |
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, 2022, 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 when purchasing options. Premiums paid for purchasing options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.
Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the
14
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
current value. As of June 30, 2022, securities valued at $8,557,080 have been segregated as collateral as reported on the Fund’s Schedule of Portfolio Investments. For the period ended June 30, 2020, the monthly average notional amount for written options contracts was $1.1 million. Realized gains and losses are reported as “Net realized gains/(losses) on written options contracts” on the Statement of Operations.
Summary of Derivative Instruments
The following is a summary of the values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2022:
Asset Derivatives | Liability Derivatives | |||||||||||
Primary Risk Exposure | Statement of Assets and Liabilities Location | Total Value | Statement of Assets and Liabilities Location | Total Value | ||||||||
Equity Risk | ||||||||||||
Options Contracts | $ | — | Written Options contracts | $ | 1,157,233 |
The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2022:
Primary Risk Exposure | Location of Gains/(Losses) on Derivatives Recognized | Realized Gains/(Losses) on Derivatives Recognized | Change in Net Unrealized Appreciation/Depreciation on Derivatives Recognized | |||||||
Equity Risk | ||||||||||
Options Contracts | Net Realized gains/(losses) on written options contracts/ Change in net unrealized appreciation/depreciation on written options contracts | $ | 3,408,941 | $ | 18,666,287 |
The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to transact net amounts in accordance with the master netting agreements at June 30, 2022. 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, 2022.
As of June 30, 2022, the Fund’s derivative assets and liabilities by type were as follows:
Assets | Liabilities | |||||||||
Derivative Financial Instruments: | ||||||||||
Written option contracts | $ | — | $ | 1,157,233 | ||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | — | 1,157,233 | ||||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
|
|
|
| |||||||
Total assets and liabilities subject to a MNA | $ | — | $ | 1,157,233 | ||||||
|
|
|
|
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 received by the Fund as of June 30, 2022:
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 | $ | 3,368 | $ | — | $ | (3,368 | ) | $ | — | $ | — | ||||||||||||||
Citigroup | 534,434 | — | — | — | 534,434 | ||||||||||||||||||||
Credit Suisse First Boston | 102,327 | — | — | — | 102,327 | ||||||||||||||||||||
Goldman Sachs | 149,401 | — | (149,401 | ) | — | — | |||||||||||||||||||
JPMorgan Chase | 181,441 | — | — | — | 181,441 | ||||||||||||||||||||
Susquehanna | 83,836 | — | — | — | 83,836 | ||||||||||||||||||||
Wells Fargo | 102,426 | — | (102,426 | ) | — | — | |||||||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 1,157,233 | $ | — | $ | (255,195 | ) | $ | — | $ | 902,038 | ||||||||||||||
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|
|
* | The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities. |
3. Fees and Transactions with Affiliates and Other Parties
The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to an amended and restated subadvisory agreement, effective November 15, 2013, with T. Rowe Price Associates, Inc. (“T. Rowe Price”), T. Rowe Price provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Management fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The
15
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, acquired fund fees and expenses, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2023. For the period ended June 30, 2022, the annual rate due to the Manager and the annual expense limit were as follows:
Annual Rate* | Annual Expense Limit | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | 0.75 | % | 1.20 | % |
* | The Manager waived, prior to any application of expense limit, 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 (i.e., discontinue the waiver) at any time after April 30, 2023. |
Any amounts contractually waived or reimbursed by the Manager with respect to the annual expense limit in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the period are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2022, there were no remaining contractual reimbursements subject to repayment by the Fund in subsequent years.
Management fees which the Manager waived prior to any application of expense limit are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.
Pursuant to separate agreements between the Trust and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements, the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the SEC. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”
Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator and fund accountant, and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a Trust-wide asset-based fee, which is based on the following schedule: 0.05% of daily average net assets on the first $4 billion, 0.04% of daily average net assets on the next $2 billion, 0.02% of daily average net assets on the next $2 billion and 0.01% of daily average net assets over $8 billion. The overall Trust-wide fees are accrued daily and paid monthly and are subject to a minimum annual fee. The Administrator is entitled to an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”
FIS Investor Services LLC (“FIS”) serves as the Fund’s transfer agent. Under the Transfer Agent Agreement, the Trust pays FIS a fee for its services and reimburses FIS for all of their reasonable out-of-pocket expenses incurred in providing these services.
The Bank of New York Mellon (“BNY Mellon” or the “Custodian”) serves as the Trust’s custodian and securities lending agent. For these services as custodian, the Funds pay BNY Mellon a fee based on a percentage of assets held on behalf of the Funds, plus certain out-of-pocket charges.
Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund. ALFS receives an annual 12b-1 fee in the maximum amount of 0.25% of the Fund’s average daily net assets, plus a Trust-wide annual fee of $42,500 paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.
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.
4. Investment Valuation Summary
The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical assets |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.
Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (the “Board” or “Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. The independent third party pricing service may also use systematic valuations models or provide evaluated bid or mean prices. These valuations are considered as Level 2 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.
Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied.
Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short-term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
16
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.
In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.
The following is a summary of the valuation inputs used as of June 30, 2022 in valuing the Fund’s investments based upon the three levels defined above:
Investment Securities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Common Stocks+ | $ | 738,088,729 | $ | 9,234,582 | $ | — | $ | 747,323,311 | ||||||||||||
Preferred Stocks+ | 7,362,332 | — | — | 7,362,332 | ||||||||||||||||
Asset Backed Securities | — | 3,235,599 | — | 3,235,599 | ||||||||||||||||
Convertible Bonds+ | — | 2,194,523 | — | 2,194,523 | ||||||||||||||||
Bank Loans | — | 168,629,812 | — | 168,629,812 | ||||||||||||||||
Corporate Bonds+ | — | 79,427,938 | — | 79,427,938 | ||||||||||||||||
Yankee Debt Obligations+ | — | 1,906,719 | — | 1,906,719 | ||||||||||||||||
U.S. Treasury Obligations | — | 90,776,281 | — | 90,776,281 | ||||||||||||||||
Short-Term Security Held as Collateral for Securities on Loan | 2,665,383 | — | — | 2,665,383 | ||||||||||||||||
Unaffiliated Investment Company | 10,626,003 | — | — | 10,626,003 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Securities | 758,742,447 | 355,405,454 | — | 1,114,147,901 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Other Financial Instruments:* | ||||||||||||||||||||
Written Options | — | (1,157,233 | ) | — | (1,157,233 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investments | $ | 758,742,447 | $ | 354,248,221 | $ | — | $ | 1,112,990,668 | ||||||||||||
|
|
|
|
|
|
|
|
+ | For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments. |
* | Other Financial Instruments would include any derivative instruments, such as written options. |
5. Security Purchases and Sales
For the period ended June 30, 2022, 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 | $ | 565,970,150 | $ | 568,464,409 |
For the period ended June 30, 2022, purchases and sales of long-term U.S. government securities were as follows:
Purchases | Sales | |||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 110,115,367 | $ | 15,615,309 |
6. Investment Risks
The risks below are presented in an order intended to facilitate readability. Their order does not imply that the realization of one risk is more likely to occur more frequently than another risk, nor does it imply that the realization of one risk is likely to have a greater adverse impact than another risk.
Bank Loan Risk: There are a number of risks associated with an investment in bank loans including credit risk, interest rate risk, liquidity risk and prepayment risk. Lack of an active trading market, restrictions on resale, irregular trading activity, wide bid/ask spreads and extended trade settlement periods may impair the Fund’s ability to sell bank loans within its desired time frame or at an acceptable price and its ability to accurately value existing and prospective investments. Extended trade settlement periods may result in cash not being immediately available to the Fund. As a result, the Fund may have to sell other investments or engage in borrowing transactions to raise cash to meet its obligations. The risk of holding bank loans is also directly tied to the risk of insolvency or bankruptcy of the issuing banks. These risks could cause the Fund to lose income or principal on a particular investment, which in turn could affect the Fund’s returns. The value of bank loans can be affected by and sensitive to changes in government regulation and to economic downturns in the United States and abroad. Bank loans generally are floating rate loans, which are subject to interest rate risk as the interest paid on the floating rate loans adjusts periodically based on changes in widely accepted reference rates.
Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default.
17
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
Foreign Securities Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.
Interest Rate Risk: Debt securities held by the Fund may decline in value due to rising interest rates. The price of a bond is also affected by its maturity. Bonds with longer maturities generally have greater sensitivity to changes in interest rates.
London Interbank Offering Rate (“LIBOR”) Risk: Certain investments held by the Fund may pay or receive interest at floating rates based on LIBOR. The United Kingdom Financial Conduct Authority has announced that it will stop compelling banks to submit rates for many LIBOR settings after December 31, 2021, and for certain other commonly-used U.S. dollar LIBOR settings after June 30, 2023. The transition away from LIBOR could result in increased volatility and uncertainty in markets tied to LIBOR. The elimination of LIBOR may adversely affect the market for, or value of, specific securities or payments linked to LIBOR rates, the availability or terms of borrowing or refinancing, or the effectiveness of hedging strategies. To the extent that the Fund’s investments have maturities which extend beyond 2023, the applicable interest rates might be subject to change if there is a transition from the LIBOR reference rate. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor or SOFR) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
Market Risk: The market price of securities owned by the Fund may go up or down, sometimes rapidly and unpredictably. Securities may decline in value due to factors affecting securities markets generally or particular industries represented in the securities markets. The value of a security may decline due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates, or adverse investor sentiment, as well as natural disasters, and outbreaks of infectious illnesses or other widespread public health issues.
Mortgage-Related and Other Asset-Backed Securities 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, investments in mortgage-related securities may cause the fund to 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 the Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If the 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. The 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. Coronavirus (COVID-19) Pandemic
The current outbreak of the novel strain of coronavirus, COVID-19, has resulted in instances of market closures and dislocations, extreme volatility, liquidity constraints and increased trading costs. Efforts to contain the spread of COVID-19 have resulted in travel restrictions, closed international borders, disruptions of healthcare systems, business operations and supply chains, layoffs, lower consumer demand, defaults and other significant economic impacts, all of which have disrupted global economic activity across many industries and may exacerbate other pre-existing political, social and economic risks, locally or globally. The ongoing effects of COVID-19 are unpredictable and may result in significant and prolonged effects on the Fund’s performance.
8. Recent Regulatory Pronouncements
The SEC adopted Rule 18f-4 and Rule 2a-5 under the 1940 Act. Rule 18f-4 governs the use of derivatives by registered investment companies, and Rule 2a-5 governs fair value determinations. The Fund, as applicable, will comply with both rules by their compliance dates of August 19, 2022 and September 8, 2022 for Rule 18f-4 and Rule 2a-5, respectively. Management believes these rules will not have a significant impact on the Fund’s operations and will not impact the Fund’s beginning net assets, current period results from operations, or any prior period information presented in the financial statements.
9. Federal Tax Information
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to make distributions of net investment income and net realized gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provisions for federal income taxes are required in the financial statements.
Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.
Cost of securities, including derivatives and short positions as applicable, for federal income tax purposes at December 31, 2021 was $1,138,308,924. The gross unrealized appreciation/(depreciation) on a tax basis was as follows:
Unrealized appreciation | $ | 329,076,020 | ||
Unrealized (depreciation) | (22,077,762 | ) | ||
|
| |||
Net unrealized appreciation/(depreciation) | $ | 306,998,258 | ||
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|
18
AZL T. Rowe Price Capital Appreciation Fund
Notes to the Financial Statements
June 30, 2022 (Unaudited)
The tax character of dividends paid to shareholders during the year ended December 31, 2021 was as follows:
Ordinary Income | Net Long-Term | Total Distributions(a) | |||||||||||||
AZL T. Rowe Price Capital Appreciation Fund | $ | 157,670,065 | $ | 11,982,950 | $ | 169,653,015 |
(a) | Total distributions paid may differ from the Statements of Changes in Net Assets because dividends were recognized when actually paid for tax purposes. |
At December 31, 2021, 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 | $ | 156,731,925 | $ | 14,850,309 | $ | — | $ | 306,998,258 | $ | 478,580,492 |
(a) | The difference between book-basis and tax-basis unrealized appreciation/depreciation was attributable primarily to tax deferral of losses on wash sales, foreign currency gains or losses, mark-to-market of passive foreign investment companies, return of capital from underlying investments, straddles and other miscellaneous differences. |
10. 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, 2022, the Fund had multiple shareholder accounts which are affiliated with the Manager representing ownership in excess of 95% of the Fund. Investment activities of these shareholders could have a material impact to the Fund.
11. Subsequent Events
Management of the Fund has evaluated the need for additional disclosures or adjustments resulting from events through the date the financial statements were issued. Based on this evaluation, there were no subsequent events to report that would have material impact on the Fund’s financial statements.
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 Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.
The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-PORT. Schedules of Portfolio Holdings for the Fund are available without charge on the Commission’s website at http://www.sec.gov, or may be obtained by calling 800-624-0197.
20
Statement Regarding the Trust’s Liquidity Risk Management Program (Unaudited)
Each series (each such series a “Fund” and, together, the “Funds”) of the Allianz Variable Insurance Products Trust, but not the AZL Government Money Market Fund, and of the Allianz Variable Insurance Products Fund of Funds Trust (each a “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) limitation of illiquid investments; and (v) redemptions in-kind.
The Board of Trustees of each Fund (together, the “Board”) approved the designation of the individual officers of the Trust who serve as the administrators of the Program (the “Program Administrators”). The Program Administrators oversee the implementation of the Program, including the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.
At a meeting of the Board held on February 22, 2022, the Program Administrators provided their annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation for the annual period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). This Report included an overview of the operation of the Program, including liquidity events relevant to the Funds, if any, during the Reporting Period and conclusions with respect to the adequacy of the policies and procedures of the Program and the effectiveness of Program implementation. The Report also included a summary of the annual assessment of each Fund’s liquidity risk, which took into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:
1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;
2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and
3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources.
Based on the information considered, the Report concluded that each Fund continues to have an investment strategy that is appropriate for an open-end fund, and that each Fund is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. There were no material liquidity matters impacting the Funds identified in the Report and the Report concluded that the Program operated effectively during the Reporting Period, including during periods of market volatility and net redemptions.
In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program, and generally incorporate analysis from a third-party data vendor. The Report reviewed the classification methodology as provided in the Program and noted there were no material issues with respect to liquidity classifications during the Reporting Period.
Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments. During the Reporting Period, no Fund breached the 15% limit on illiquid investments.
During the Reporting Period, each Fund maintained a designated HLIM. The Report stated that the Program Administrators reviewed each Fund’s HLIM as provided in the Program and concluded that each Fund’s applicable HLIM operated as intended during the Reporting Period. During the Reporting Period, no Fund fell below its designated HLIM. The Report also noted that the Program Administrators determined that each Fund primarily holds assets which are highly liquid investments and that, therefore, none of the Funds are required to maintain an HLIM pursuant to the Liquidity Rule or the Program. Consequently, the Program Administrators determined to remove the HLIM for all Funds. This determination is subject to review by the Program Administrators at least annually.
The Funds that engage in or reserve the right to redeem in kind have adopted policies and procedures regarding in-kind redemptions as required by the Liquidity Rule.
On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period. The Report noted that there were no material changes to the Program during the Reporting Period, and none were recommended by the Program Administrators in connection with the Report, other than the removal of the HLIM for each Fund as noted above.
21
The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC. | ||
These Funds are not FDIC Insured. | SARRPT0622 08/22 |
Item 2. Code of Ethics.
Not applicable __ only for annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable __ only for annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable __ only for annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Schedule of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable __ only for annual reports. | |
(a)(2) | Certifications pursuant to Rule 30a-2(a) are furnished herewith. | |
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) | Certifications pursuant to Rule 30a-2(b) are furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Allianz Variable Insurance Products Trust
By (Signature and Title) | /s/ Brian Muench | |
Brian Muench, Principal Executive Officer |
Date September 1, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian Muench | |
Brian Muench, Principal Executive Officer |
Date September 1, 2022
By (Signature and Title) | /s/ Bashir C. Asad | |
Bashir C. Asad, Principal Financial Officer & Principal Accounting Officer |
Date September 1, 2022