N-CSRS 1 d935210dncsrs.htm ALLIANZ VARIABLE INSURANCE PRODUCTS TRUST Allianz Variable Insurance Products Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-09491

 

 

Allianz Variable Insurance Products Trust

(Exact name of registrant as specified in charter)

 

 

 

        5701 Golden Hills Drive, Minneapolis, MN       55416-1297
        (Address of principal executive offices)       (Zip code)

 

 

Citi Fund Services Ohio, Inc., 3435 Stelzer Road, Columbus, OH 43219-8000

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 877-833-7113

Date of fiscal year end: December 31

Date of reporting period: June 30, 2015

 

 

 


Item 1. Reports to Stockholders.


AZL® BlackRock Capital Appreciation Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 12

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL BlackRock Capital Appreciation Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL BlackRock Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL BlackRock Capital Appreciation Fund

       $ 1,000.00          $ 1,058.50          $ 5.10            1.00 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL BlackRock Capital Appreciation Fund

       $ 1,000.00          $ 1,019.84          $ 5.01            1.00 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      36.5 %

Health Care

      23.8  

Consumer Discretionary

      21.1  

Financials

      7.6  

Industrials

      4.1  

Energy

      3.1  

Consumer Staples

      2.6  

Materials

      0.9  
   

 

 

 

Total Common Stocks

      99.7  

Securities Held as Collateral for Securities on Loan

      14.3  

Money Market

      0.5  
   

 

 

 

Total Investment Securities

      114.5  

Net other assets (liabilities)

      (14.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL BlackRock Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (99.7%):

  

 

Airlines (1.6%):

  

  65,136       Delta Air Lines, Inc.    $ 2,675,787  
  99,554       Spirit Airlines, Inc.*^      6,182,303  
     

 

 

 
        8,858,090  
     

 

 

 

 

Auto Components (0.9%):

  

  60,092       Delphi Automotive plc      5,113,228  
     

 

 

 

 

Banks (1.9%):

  

  156,326       JPMorgan Chase & Co.^      10,592,650  
     

 

 

 

 

Beverages (1.5%):

  

  72,399       Constellation Brands, Inc., Class A      8,399,732  
     

 

 

 

 

Biotechnology (6.7%):

  

  108,806       United Therapeutics Corp.*^      18,926,803  
  149,724       Vertex Pharmaceuticals, Inc.*      18,487,920  
     

 

 

 
        37,414,723  
     

 

 

 

 

Chemicals (0.9%):

  

  44,597       Ecolab, Inc.^      5,042,583  
     

 

 

 

 

Consumer Finance (1.2%):

  

  121,010       Discover Financial Services      6,972,596  
     

 

 

 

 

Diversified Financial Services (3.5%):

  

  82,745       Berkshire Hathaway, Inc., Class B*      11,262,422  
  77,977       Moody’s Corp.      8,418,397  
     

 

 

 
        19,680,819  
     

 

 

 

 

Food & Staples Retailing (1.1%):

  

  56,649       CVS Health Corp.      5,941,347  
     

 

 

 

 

Health Care Providers & Services (4.7%):

  

  55,133       Humana, Inc.      10,545,840  
  129,499       UnitedHealth Group, Inc.      15,798,878  
     

 

 

 
        26,344,718  
     

 

 

 

 

Internet & Catalog Retail (8.7%):

  

  144,638       Alibaba Group Holding, Ltd., ADR*^      11,899,368  
  19,619       Amazon.com, Inc.*      8,516,412  
  21,304       Netflix, Inc.*      13,995,450  
  167,492       TripAdvisor, Inc.*^      14,595,252  
     

 

 

 
        49,006,482  
     

 

 

 

 

Internet Software & Services (15.2%):

  

  37,388       Baidu, Inc., ADR*      7,443,203  
  324,044       Facebook, Inc., Class A*      27,791,635  
  47,797       Google, Inc., Class A*      25,812,292  
  37,569       LinkedIn Corp., Class A*      7,762,882  
  494,100       Tencent Holdings, Ltd.^      9,838,144  
  175,449       Yahoo!, Inc.*      6,893,391  
     

 

 

 
        85,541,547  
     

 

 

 

 

IT Services (7.4%):

  

  44,365       Alliance Data Systems Corp.*^      12,951,918  
  81,521       MasterCard, Inc., Class A      7,620,583  
  313,510       Visa, Inc., Class A      21,052,197  
     

 

 

 
        41,624,698  
     

 

 

 

 

Media (5.9%):

  

  259,601       Liberty Global plc, Class A*      14,036,626  
  350,639       Twenty-First Century Fox, Inc.      11,411,546  
  67,006       Walt Disney Co. (The)^      7,648,065  
     

 

 

 
        33,096,237  
     

 

 

 

Shares or

Principal
Amount

           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail (2.7%):

  

  197,623       Dollar General Corp.    $ 15,363,212  
     

 

 

 

 

Oil, Gas & Consumable Fuels (3.1%):

  

  87,259       Concho Resources, Inc.*^      9,935,309  
  841,419       Palantir Technologies, Inc.*(a)      7,244,618  
     

 

 

 
        17,179,927  
     

 

 

 

 

Pharmaceuticals (12.4%):

  

  392,625       AbbVie, Inc.      26,380,474  
  38,543       Allergan plc*      11,696,259  
  50,845       Mallinckrodt plc*      5,985,473  
  80,913       Perrigo Co. plc      14,955,150  
  49,112       Valeant Pharmaceuticals International, Inc.*      10,910,230  
     

 

 

 
        69,927,586  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.0%):

  

  68,782       Crown Castle International Corp.      5,523,195  
     

 

 

 

 

Road & Rail (2.5%):

  

  144,269       Union Pacific Corp.      13,758,935  
     

 

 

 

 

Software (6.8%):

  

  75,068       Mobileye NV*^      3,991,366  
  259,456       Oracle Corp.^      10,456,077  
  240,968       Salesforce.com, Inc.*      16,778,602  
  51,484       Splunk, Inc.*^      3,584,316  
  41,426       Workday, Inc., Class A*^      3,164,532  
     

 

 

 
        37,974,893  
     

 

 

 

 

Specialty Retail (2.8%):

  

  90,056       Home Depot, Inc. (The)      10,007,923  
  55,741       Restoration Hardware Holdings, Inc.*^      5,441,994  
     

 

 

 
        15,449,917  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (5.0%):

  

  225,744       Apple, Inc.      28,313,941  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (2.2%):

  

  76,575       Lululemon Athletica, Inc.*^      5,000,348  
  67,356       Nike, Inc., Class B      7,275,795  
     

 

 

 
        12,276,143  
     

 

 

 

 

Total Common Stocks (Cost $456,742,481)

     559,397,199  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (14.3%):

  

$ 80,140,297       Allianz Variable Insurance Products Securities Lending Collateral Trust(b)      80,140,297  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $80,140,297)

     80,140,297  
     

 

 

 

 

Unaffiliated Investment Company (0.5%):

  

  2,679,801       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c)      2,679,801  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $2,679,801)

     2,679,801  
     

 

 

 

 

Total Investment Securities (Cost $539,562,579)(d) —114.5%

     642,217,297  

 

Net other assets (liabilities) — (14.5)%

     (81,386,390
     

 

 

 

 

Net Assets — 100.0%

   $ 560,830,907  
     

 

 

 
 

 

Continued

 

2


AZL BlackRock Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $79,451,205.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 1.29% 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, 2015.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Canada

    2.5

Cayman Islands

    1.2

China

    3.4

Ireland (Republic of)

    2.3

Israel

    0.6

United Kingdom

    0.8

United States

    89.2
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

3


AZL BlackRock Capital Appreciation Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 539,562,579  
    

 

 

 

Investment securities, at value*

     $ 642,217,297  

Interest and dividends receivable

       100,978  

Foreign currency, at value (cost $94)

       94  

Receivable for capital shares issued

       4,286  

Receivable for investments sold

       1,121,593  

Reclaims receivable

       326  

Prepaid expenses

       853  
    

 

 

 

Total Assets

       643,445,427  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       1,743,800  

Payable for capital shares redeemed

       230,100  

Payable for collateral received on loaned securities

       80,140,297  

Manager fees payable

       331,200  

Administration fees payable

       13,976  

Distribution fees payable

       118,285  

Custodian fees payable

       8,376  

Administrative and compliance services fees payable

       544  

Trustee fees payable

       3,664  

Other accrued liabilities

       24,278  
    

 

 

 

Total Liabilities

       82,614,520  
    

 

 

 

Net Assets

     $ 560,830,907  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 312,636,101  

Accumulated net investment income/(loss)

       (907,916 )

Accumulated net realized gains/(losses) from investment transactions

       146,448,071  

Net unrealized appreciation/(depreciation) on investments

       102,654,651  
    

 

 

 

Net Assets

     $ 560,830,907  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       28,445,544  

Net Asset Value (offering and redemption price per share)

     $ 19.72  
    

 

 

 

 

* Includes securities on loan of $79,451,205.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 1,911,747  

Income from securities lending

       78,450  

Foreign withholding tax

       (3,022 )
    

 

 

 

Total Investment Income

       1,987,175  
    

 

 

 

Expenses:

    

Manager fees

       2,313,411  

Administration fees

       74,869  

Distribution fees

       722,940  

Custodian fees

       15,892  

Administrative and compliance services fees

       3,743  

Trustee fees

       14,968  

Professional fees

       16,248  

Shareholder reports

       16,005  

Other expenses

       6,189  
    

 

 

 

Total expenses before reductions

       3,184,265  

Less expenses voluntarily waived/reimbursed by the Manager

       (289,174 )
    

 

 

 

Net expenses

       2,895,091  
    

 

 

 

Net Investment Income/(Loss)

       (907,916 )
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       32,752,058  

Change in net unrealized appreciation/depreciation on investments

       1,833,397  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       34,585,455  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 33,677,539  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL BlackRock Capital Appreciation Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ (907,916 )      $ (2,079,421 )

Net realized gains/(losses) on investment transactions

       32,752,058          116,923,544  

Change in unrealized appreciation/depreciation on investments

       1,833,397          (67,502,717 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       33,677,539          47,341,406  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net realized gains

                (59,367,203 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (59,367,203 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       7,813,296          15,715,895  

Proceeds from dividends reinvested

                59,367,203  

Value of shares redeemed

       (72,805,763 )        (182,044,463 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (64,992,467 )        (106,961,365 )
    

 

 

      

 

 

 

Change in net assets

       (31,314,928 )        (118,987,162 )

Net Assets:

         

Beginning of period

       592,145,835          711,132,997  
    

 

 

      

 

 

 

End of period

     $ 560,830,907        $ 592,145,835  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ (907,916 )      $  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       401,700          850,880  

Dividends reinvested

                3,348,404  

Shares redeemed

       (3,743,998 )        (9,905,890 )
    

 

 

      

 

 

 

Change in shares

       (3,342,298 )        (5,706,606 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL BlackRock Capital Appreciation Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 18.63       $ 18.97       $ 14.29       $ 12.57       $ 13.83       $ 11.73  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       (0.03 )       (0.07 )       (0.03 )       0.09         0.01         (0.01 )

Net Realized and Unrealized Gains/(Losses) on Investments

       1.12         1.70         4.80         1.64         (1.27 )       2.24  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       1.09         1.63         4.77         1.73         (1.26 )       2.23  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

                       (0.09 )       (0.01 )               (0.01 )

Net Realized Gains

               (1.97 )                               (0.12 )

Return of Capital

                                               *
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (1.97 )       (0.09 )       (0.01 )               (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 19.72       $ 18.63       $ 18.97       $ 14.29       $ 12.57       $ 13.83  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       5.85 %(b)       9.11 %       33.44 %       13.73 %       (9.11 )%       19.20 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 560,831       $ 592,146       $ 711,133       $ 557,823       $ 477,619       $ 562,801  

Net Investment Income/(Loss)(c)

       (0.31 )%       (0.34 )%       (0.22 )%       0.62 %       0.05 %       (0.06 )%

Expenses Before Reductions(c) (d)

       1.10 %       1.10 %       1.11 %       1.11 %       1.13 %       1.13 %

Expenses Net of Reductions(c)

       1.00 %       1.00 %       1.00 %       1.01 %       1.02 %       1.00 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.00 %       1.00 %       1.01 %       1.01 %       1.02 %       1.00 %

Portfolio Turnover Rate(f)

       32 %(b)       101 %       161 %       62 %       81 %       80 %(g)

 

* Represents less than $0.005.

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

(f) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

(g) Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after a fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 81%.

 

See accompanying notes to the financial statements.

 

6


AZL BlackRock Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL BlackRock Capital Appreciation Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL BlackRock Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $93.4 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $7,748 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Capital Management, Inc. (“BlackRock Capital”), BlackRock Capital provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL BlackRock Capital Appreciation Fund

         0.80 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

8


AZL BlackRock Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $3,141 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Common Stocks

                           

Internet Software & Services

       $ 75,703,403          $ 9,838,144          $          $ 85,541,547  

Oil, Gas & Consumable Fuels

         9,935,309                       7,244,618            17,179,927  

All Other Common Stocks+

         456,675,725                                  456,675,725  

Securities Held as Collateral for Securities on Loan

                    80,140,297                       80,140,297  

Unaffiliated Investment Company

         2,679,801                                  2,679,801  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 544,994,238          $ 89,978,441          $ 7,244,618          $ 642,217,297  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL BlackRock Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant level 3 instruments at the end of the period.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL BlackRock Capital Appreciation Fund

       $ 181,548,661          $ 246,361,258  

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, 2015 are identified below.

AZL BlackRock Capital Appreciation Fund

 

Security      Acquisition
Date(a)
     Acquisition
Cost
     Shares or
Principal
Amount
     Fair
Value
     Percentage of
Net Assets

Palantir Technologies, Inc.

         2/7/14            5,157,898            841,419            7,244,618            1.29 %

 

(a) Acquisition date represents the initial purchase date of the security.

7. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

8. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $541,020,704. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 104,404,283  

Unrealized depreciation

    (3,207,690
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 101,196,593   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL BlackRock Capital Appreciation Fund

       $          $ 59,367,203          $ 59,367,203  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

 

10


AZL BlackRock Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/
(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL BlackRock Capital Appreciation Fund

       $ 6,968,622          $ 108,868,405          $          $ 98,680,240          $ 214,517,267  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

11


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

12


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® BlackRock Global Allocation Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 23

Statement of Operations

Page 23

Statements of Changes in Net Assets

Page 24

Financial Highlights

Page 25

Notes to the Financial Statements

Page 26

Other Information

Page 37

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL BlackRock Global Allocation Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL BlackRock Global Allocation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL BlackRock Global Allocation Fund

       $ 1,000.00          $ 1,027.60          $ 5.58            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL BlackRock Global Allocation Fund

       $ 1,000.00          $ 1,019.29          $ 5.56            1.11 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Common Stocks

      55.2 %

U.S. Treasury Obligations

      21.2  

Foreign Bonds

      9.3  

Securities Held as Collateral for Securities on Loan

      5.5  

Yankee Dollars

      3.8  

Corporate Bonds

      3.3  

Convertible Bond

      2.0  

Preferred Stocks

      1.8  

Floating Rate Loans

      1.4  

Exchange Traded Funds

      0.8  

Purchased Options

      0.7  

Convertible Preferred Stocks

      0.5  

U.S. Government Agency Mortgages

      0.4  

Private Placements

      0.3  

Money Market

      0.1  

Purchased Swaptions

      ^

Warrant

      ^

Right

      ^
   

 

 

 

Total Investment Securities

      106.3  

Net other assets (liabilities)

      (6 .3 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%
Investments   Percent of Net Assets

United States

      64.0 %

Japan

      11.8  

United Kingdom

      5.3  

Mexico

      4.0  

France

      2.3  

Italy

      1.6  

Switzerland

      1.5  

Canada

      1.5  

Netherlands

      1.5  

Brazil

      1.2  

All other countries

      11.6  
   

 

 

 

Total Investment Securities

      106.3  

Net other assets (liabilities)

      (6.3 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 
 

 

1


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (55.2%):

  

 

Aerospace & Defense (1.0%):

  

  989       Boeing Co. (The)    $ 137,194   
  748       Dassault Aviation SA      958,086   
  25,636       European Aeronautic Defence & Space Co. NV      1,660,692   
  1,444       General Dynamics Corp.      204,600   
  1,519       Northrop Grumman Corp.      240,959   
  7,624       Precision Castparts Corp.      1,523,809   
  1,550       Raytheon Co.      148,304   
  34,415       Safran SA      2,330,023   
  14,482       United Technologies Corp.      1,606,489   
     

 

 

 
        8,810,156   
     

 

 

 

 

Air Freight & Logistics (0.7%):

  

  12,373       Deutsche Post AG      361,412   
  18,957       FedEx Corp.      3,230,272   
  24,838       United Parcel Service, Inc., Class B      2,407,051   
     

 

 

 
        5,998,735   
     

 

 

 

 

Airlines (0.5%):

  

  63,700       Japan Airlines Co., Ltd.      2,220,474   
  33,303       United Continental Holdings, Inc.*      1,765,392   
     

 

 

 
        3,985,866   
     

 

 

 

 

Auto Components (1.2%):

  

  22,200       Aisin Sieki Co., Ltd.      943,468   
  14,307       BorgWarner, Inc.      813,210   
  43,600       Bridgestone Corp.      1,611,782   
  136,683       Cheng Shin Rubber Industry Co., Ltd.      302,843   
  12,661       Delphi Automotive plc      1,077,324   
  46,600       Denso Corp.      2,319,486   
  2,100       Exedy Corp.      52,414   
  25,900       Futaba Industrial Co., Ltd.^      125,843   
  1,046       Goodyear Tire & Rubber Co.      31,537   
  2,082       Hyundai Wia Corp.      191,986   
  11,300       Koito Manufacturing Co., Ltd.      440,457   
  2,098       Lear Corp.      235,521   
  3,400       Stanley Electric Co., Ltd.      71,006   
  43,700       Sumitomo Electric Industries, Ltd.      677,001   
  39,300       Toyota Industries Corp.      2,239,422   
     

 

 

 
        11,133,300   
     

 

 

 

 

Automobiles (1.6%):

  

  5,485       Bayerische Motoren Werke AG (BMW)^      600,024   
  108,000       Dongfeng Motor Corp., Series H      144,218   
  132,517       Ford Motor Co.      1,989,080   
  102,600       Fuji Heavy Industries, Ltd.      3,769,045   
  32,900       Honda Motor Co., Ltd.      1,063,710   
  6,693       Hyundai Motor Co.      814,905   
  61,100       Isuzu Motors, Ltd.      801,848   
  9,302       Maruti Suzuki India, Ltd.      587,658   
  4,138       Renault SA      432,103   
  38,000       Suzuki Motor Corp.      1,282,805   
  29,900       Toyota Motor Corp.      1,999,993   
  270       Volkswagen AG^      62,453   

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Automobiles, continued

  

  168,770       Yulon Motor Co., Ltd.    $ 195,138   
     

 

 

 
        13,742,980   
     

 

 

 

 

Banks (4.6%):

  

  2,195       Australia & New Zealand Banking Group, Ltd.      54,380   
  4,959       Banco Bilbao Vizcaya Argentaria SA      48,775   
  3,699       Banco Popolare SC*      60,774   
  11,204       Banco Santander SA      78,203   
  276,551       Bank of America Corp.      4,706,897   
  518       Bank of Montreal      30,699   
  963       Bank of Nova Scotia      49,715   
  24,000       Bank of Yokohama, Ltd. (The)      147,072   
  152,125       Barclays plc      622,010   
  788       BB&T Corp.      31,764   
  14,218       BNP Paribas SA      857,135   
  21,000       Chiba Bank, Ltd. (The)      159,969   
  57,362       Citigroup, Inc.      3,168,677   
  3,089       Citizens Financial Group, Inc.      84,361   
  1,280       Commonwealth Bank of Australia      83,427   
  3,984       Fifth Third Bancorp      82,947   
  320,206       HSBC Holdings plc      2,866,262   
  64,212       ING Groep NV      1,064,610   
  379,055       Intesa Sanpaolo SpA      1,372,499   
  82,032       JPMorgan Chase & Co.      5,558,487   
  346,286       Lloyds Banking Group plc      464,776   
  257,200       Mitsubishi UFJ Financial Group, Inc.      1,840,729   
  294,400       Mizuho Financial Group, Inc.      634,900   
  1,883       National Australia Bank, Ltd.      48,040   
  2,529       Nordea Bank AB      31,506   
  95,807       Regions Financial Corp.      992,561   
  1,145       Royal Bank of Canada      70,031   
  14,000       Shizuoka Bank, Ltd. (The)      146,154   
  16,766       Societe Generale      782,110   
  22,145       Standard Chartered plc      354,191   
  37,600       Sumitomo Mitsui Financial Group, Inc.      1,670,940   
  9,633       SunTrust Banks, Inc.      414,412   
  24,105       Svenska Handelsbanken AB, A Shares      351,521   
  28,070       Toronto-Dominion Bank (The)      1,192,212   
  32,198       U.S. Bancorp      1,397,393   
  8,706       UBI Banca — Unione di Banche Italiane SCPA      69,745   
  60,802       UniCredit SpA      407,868   
  79,040       Wells Fargo & Co.      4,445,210   
  2,450       Westpac Banking Corp.      60,735   
     

 

 

 
        36,503,697   
     

 

 

 

 

Beverages (1.0%):

  

  561       Anheuser-Busch InBev NV      67,511   
  12,900       Asahi Breweries, Ltd.      410,056   
  65,255       Coca-Cola Co. (The)      2,559,953   
  1,881       Constellation Brands, Inc., Class A      218,234   
  1,778       Diageo plc      51,529   
  8,527       Diageo plc, ADR      989,473   
 

 

Continued

 

2


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Beverages, continued

  

  23,800       Kirin Holdings Co., Ltd.    $ 327,637   
  8,639       Molson Coors Brewing Co., Class B      603,089   
  1,450       PepsiCo, Inc.      135,343   
  55,890       SABMiller plc      2,897,060   
  6,600       Suntory Beverage & Food, Ltd.      265,386   
     

 

 

 
        8,525,271   
     

 

 

 

 

Biotechnology (1.1%):

  

  5,911       Alexion Pharmaceuticals, Inc.*      1,068,531   
  1,325       Alkermes plc*      85,250   
  278       Alkermes plc*      17,887   
  13,677       Amgen, Inc.      2,099,694   
  4,640       Biogen Idec, Inc.*      1,874,283   
  7,852       Celgene Corp.*      908,751   
  9,417       Gilead Sciences, Inc.      1,102,542   
  508       Invitae Corp.*^      7,559   
  63,198       Mesoblast, Ltd.*^      182,334   
  1,107       Puma Biotechnology, Inc.*^      129,242   
  1,199       Receptos, Inc.*      227,870   
  717       Regeneron Pharmaceuticals, Inc.*      365,763   
  3,084       Tesaro, Inc.*^      181,308   
  7,803       Vertex Pharmaceuticals, Inc.*      963,514   
     

 

 

 
        9,214,528   
     

 

 

 

 

Building Products (0.2%):

  

  15,110       Compagnie de Saint-Gobain SA      679,907   
  13,400       Daikin Industries, Ltd.      963,701   
     

 

 

 
        1,643,608   
     

 

 

 

 

Capital Markets (1.0%):

  

  1,250       Ameriprise Financial, Inc.      156,163   
  21,314       Bank of New York Mellon Corp. (The)      894,549   
  9,056       BHF Kleinwort Benson Group SA*^      44,290   
  27,332       Charles Schwab Corp. (The)      892,390   
  18,911       Credit Suisse Group AG      519,765   
  28,680       Deutsche Bank AG, Registered Shares      861,264   
  5,401       Goldman Sachs Group, Inc. (The)      1,127,675   
  30,008       Morgan Stanley      1,164,009   
  61,600       Nomura Holdings, Inc.      415,245   
  457       State Street Corp.      35,189   
  78,595       UBS Group AG      1,666,908   
     

 

 

 
        7,777,447   
     

 

 

 

 

Chemicals (2.1%):

  

  2,326       Air Liquide SA      293,850   
  1,797       Air Products & Chemicals, Inc.      245,884   
  19,723       AkzoNobel NV      1,440,903   
  6,217       Arkema, Inc.      447,897   
  82,000       Asahi Kasei Corp.      671,802   
  8,472       BASF SE      744,402   
  2,730       CF Industries Holdings, Inc.      175,484   
  10,471       Dow Chemical Co. (The)      535,801   
  8,465       E.I. du Pont de Nemours & Co.      541,337   
  2,523       Ecolab, Inc.      285,276   

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  

  14,489       FMC Corp.    $ 761,396   
  34,100       Hitachi Chemical Co., Ltd.      614,499   
  37,800       JSR Corp.      666,983   
  9,572       Koninklijke DSM NV      556,381   
  37,100       Kuraray Co., Ltd.      453,523   
  2,200       Linde AG      416,517   
  7,201       LyondellBasell Industries NV, Class A      745,448   
  6,228       Monsanto Co.      663,843   
  25,900       Nitto Denko Corp.      2,127,196   
  9,349       Potash Corp. of Saskatchewan, Inc.      289,573   
  3,493       PPG Industries, Inc.      400,717   
  2,722       Praxair, Inc.      325,415   
  29,600       Shin-Etsu Chemical Co., Ltd.      1,836,207   
  4,923       Syngenta AG, Registered Shares      2,017,881   
  271,000       Ube Industries, Ltd.      511,161   
     

 

 

 
        17,769,376   
     

 

 

 

 

Commercial Services & Supplies (0.2%):

  

  2,086       Cintas Corp.      176,455   
  1,800       SECOM Co., Ltd.      116,775   
  4,600       Sohgo Security Services Co., Ltd.      180,964   
  39,958       Tyco International plc      1,537,584   
     

 

 

 
        2,011,778   
     

 

 

 

 

Communications Equipment (0.7%):

  

  21,138       Alcatel-Lucent*      77,149   
  93,463       Cisco Systems, Inc.      2,566,493   
  19,288       El Towers SpA      1,162,177   
  1,891       Harris Corp.      145,437   
  3,000       Hitachi Kokusai Electric, Inc.      45,594   
  28,158       QUALCOMM, Inc.      1,763,536   
  6,982       Telefonaktiebolaget LM Ericsson, B Shares      72,311   
     

 

 

 
        5,832,697   
     

 

 

 

 

Construction & Engineering (0.2%):

  

  5,000       Chiyoda Corp.      44,262   
  1,900       ComSys Holdings Corp.      28,277   
  19,000       JGC Corp.      358,632   
  7,000       Kinden Corp.      93,119   
  3,000       Maeda Road Construction Co., Ltd.      55,349   
  1,000       Nippo Corp.      17,125   
  86,000       Okumura Corp.      438,925   
  300       Sho-Bond Holdings Co., Ltd.      12,516   
  101,000       Toda Corp.^      463,141   
     

 

 

 
        1,511,346   
     

 

 

 

 

Consumer Finance (0.2%):

  

  974       American Express Co.      75,699   
  11,364       Capital One Financial Corp.      999,691   
  5,508       Discover Financial Services      317,371   
     

 

 

 
        1,392,761   
     

 

 

 

 

Containers & Packaging (0.1%):

  

  7,508       Crown Holdings, Inc.*      397,248   
  8,562       Sealed Air Corp.      439,916   
     

 

 

 
        837,164   
     

 

 

 
 

 

Continued

 

3


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Distributors (0.0%):

  

  3,000       Canon Marketing Japan, Inc.    $ 51,002   
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  900       Benesse Holdings, Inc.      22,521   
     

 

 

 

 

Diversified Financial Services (0.4%):

  

  18,652       Berkshire Hathaway, Inc., Class B*      2,538,723   
  7,777       CME Group, Inc.      723,728   
  123       IntercontinentalExchange Group, Inc.      27,504   
  297       McGraw-Hill Cos., Inc. (The)      29,834   
     

 

 

 
        3,319,789   
     

 

 

 

 

Diversified Telecommunication Services (1.1%):

  

  66,015       AT&T, Inc.^      2,344,853   
  114,563       BT Group plc      811,218   
  42,017       Deutsche Telekom AG, Registered Shares      723,241   
  20,867       France Telecom SA      322,831   
  22,200       Nippon Telegraph & Telephone Corp.      803,556   
  234,000       Singapore Telecommunications, Ltd.      727,718   
  23,018       TDC A/S      168,629   
  32,883       Telecom Italia SpA^      33,474   
  135,227       Telecom Italia SpA*      171,511   
  139,100       Telekom Malaysia Berhad      241,070   
  8,438       Verizon Communications, Inc.      392,778   
  68,018       Verizon Communications, Inc.      3,170,319   
     

 

 

 
        9,911,198   
     

 

 

 

 

Electric Utilities (0.6%):

  

  18,019       American Electric Power Co., Inc.      954,466   
  52,000       Chubu Electric Power Co., Inc.      774,878   
  134,308       Enel SpA      607,150   
  8,700       Kansai Electric Power Co., Inc. (The)*      96,176   
  25,300       Kyushu Electric Power Co., Inc.*      292,989   
  11,296       NextEra Energy, Inc.      1,107,347   
  9,034       PPL Corp.      266,232   
  15,200       Tokyo Electric Power Co., Inc. (The)*      82,787   
     

 

 

 
        4,182,025   
     

 

 

 

 

Electrical Equipment (0.9%):

  

  27,774       Eaton Corp. plc      1,874,467   
  19,042       Emerson Electric Co.      1,055,498   
  83,000       GS Yuasa Corp.^      326,968   
  3,200       Mabuchi Motor Co., Ltd.      202,224   
  120,000       Mitsubishi Electric Corp.      1,547,105   
  11,107       Rockwell Automation, Inc.^      1,384,377   
  9,159       Schneider Electric SA      631,619   
     

 

 

 
        7,022,258   
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.4%):

  

  4,131       Corning, Inc.      81,505   
  4,800       Hitachi High-Technologies Corp.      135,809   
  179,000       Hitachi, Ltd.      1,179,178   
  30,000       Hon Hai Precision Industry Co., Ltd.      93,587   
  500       Keyence Corp.      269,615   
  15,600       Kyocera Corp.      810,705   
  2,500       Murata Manufacturing Co., Ltd.      435,935   

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components, continued

  

  6,600       Omron Corp.    $ 286,693   
  1,312       TE Connectivity, Ltd.      84,362   
     

 

 

 
        3,377,389   
     

 

 

 

 

Energy Equipment & Services (0.7%):

  

  1,497       Baker Hughes, Inc.      92,365   
  1,384       Cameron International Corp.*      72,480   
  95,700       Dropbox, Inc.*(a)      1,589,577   
  2,931       Halliburton Co.      126,238   
  1,698       Helmerich & Payne, Inc.^      119,573   
  24,594       Ocean Rig UDW, Inc.^      126,167   
  30,845       Oceaneering International, Inc.      1,437,069   
  149,440       SBM Offshore NV*^      1,772,628   
  4,451       Schlumberger, Ltd.      383,632   
     

 

 

 
        5,719,729   
     

 

 

 

 

Food & Staples Retailing (0.5%):

  

  423       Costco Wholesale Corp.      57,130   
  3,168       CVS Health Corp.      332,260   
  10,700       FamilyMart Co., Ltd.      491,573   
  3,754       Kroger Co. (The)      272,203   
  10,588       Sysco Corp.^      382,227   
  2,091       The Fresh Market, Inc.*^      67,205   
  843       Walgreens Boots Alliance, Inc.      71,183   
  29,006       Wal-Mart Stores, Inc.      2,057,395   
  786       Wesfarmers, Ltd.      23,557   
     

 

 

 
        3,754,733   
     

 

 

 

 

Food Products (0.5%):

  

  6,000       Ajinomoto Co., Inc.      129,886   
  4,760       Archer-Daniels-Midland Co.      229,526   
  9,102       Boulder Brands, Inc.*^      63,168   
  45,987       Cosan, Ltd., A Shares      283,279   
  392       Danone SA      25,322   
  584       General Mills, Inc.      32,540   
  569       Kraft Foods Group, Inc.      48,445   
  1,625       Mondelez International, Inc., Class A      66,853   
  49,679       Nestle SA, Registered Shares      3,592,034   
  27,712       SLC Agricola SA      153,351   
  1,959       Unilever NV      81,865   
     

 

 

 
        4,706,269   
     

 

 

 

 

Gas Utilities (0.2%):

  

  298,000       Tokyo Gas Co., Ltd.      1,581,309   
     

 

 

 

 

Health Care Equipment & Supplies (0.3%):

  

  13,162       Abbott Laboratories      645,992   
  5,479       Baxter International, Inc.      383,146   
  2,008       Becton, Dickinson & Co.      284,433   
  14,100       HOYA Corp.      564,694   
  7,384       Medtronic plc      547,154   
  1,091       Stryker Corp.      104,267   
     

 

 

 
        2,529,686   
     

 

 

 

 

Health Care Providers & Services (2.3%):

  

  5,793       Acadia Healthcare Co., Inc.*^      453,766   
 

 

Continued

 

4


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  15,284       Aetna, Inc.    $ 1,948,099   
  36,197       Al Noor Hospitals Group plc      536,781   
  1,846       AmerisourceBergen Corp.      196,304   
  2,431       Anthem, Inc.      399,024   
  946,900       Bangkok Dusit Medical Services Public Co., Ltd., Class F      551,143   
  68,200       Bumrungrad Hospital Public Co., Ltd.      378,049   
  3,502       Cardinal Health, Inc.      292,942   
  955       CIGNA Corp.      154,710   
  1,320       Express Scripts Holding Co.*^      117,401   
  21,641       HCA Holdings, Inc.*      1,963,272   
  379,670       Healthscope, Ltd.      791,764   
  14,198       Humana, Inc.      2,715,793   
  565,600       IHH Healthcare Berhad*      848,893   
  26,627       Integrated Diagnostics Holdings plc*      155,768   
  81,339       Life Healthcare Group Holdings Pte, Ltd.      249,998   
  6,829       McKesson, Inc.      1,535,227   
  1,300       Medipal Holdings Corp.      21,159   
  61,358       NMC Health plc      766,275   
  382,799       PT Siloam International Hospital Tbk      413,183   
  96,700       Raffles Medical Group, Ltd.      330,470   
  10,900       Ship Healthcare Holdings, Inc.^      225,222   
  250,258       Spire Healthcare Group plc      1,310,948   
  1,400       Teladoc, Inc.*      26,600   
  20,385       Tenet Healthcare Corp.*      1,179,884   
  3,503       UnitedHealth Group, Inc.      427,366   
     

 

 

 
        17,990,041   
     

 

 

 

 

Health Care Technology (0.2%):

  

  5,100       Evolent Health, Inc., Class A*^      99,450   
  5,500       HTG Molecular Diagnostics, Inc.*      61,325   
  48,724       Veeva Systems, Inc., Class A*^      1,365,734   
     

 

 

 
        1,526,509   
     

 

 

 

 

Hotels, Restaurants & Leisure (0.3%):

  

  7,047       Las Vegas Sands Corp.^      370,461   
  19,068       McDonald’s Corp.      1,812,794   
  12,361       SeaWorld Entertainment, Inc.^      227,937   
  1,889       Wyndham Worldwide Corp.      154,728   
     

 

 

 
        2,565,920   
     

 

 

 

 

Household Durables (0.3%):

  

  4,300       Alpine Electronics, Inc.      82,855   
  31,698       Cyrela Brazil Realty SA Empreendimentos e Participacoes      101,370   
  164,000       Haier Electronics Group Co., Ltd.*      439,640   
  1,906       MRV Engenharia e Participacoes SA      4,783   
  54,300       Nikon Corp.^      627,720   
  7,300       Rinnai Corp.      577,760   
  13,700       Sony Corp.*      388,816   
  2,268       Whirlpool Corp.      392,477   
     

 

 

 
        2,615,421   
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Household Products (0.9%):

  

  15,976       Colgate-Palmolive Co.    $ 1,044,990   
  9,247       Kimberly-Clark Corp.      979,905   
  67,751       Procter & Gamble Co. (The)      5,300,838   
  453       Reckitt Benckiser Group plc      39,109   
     

 

 

 
        7,364,842   
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.4%):

  

  41,264       AES Corp. (The)      547,161   
  43,683       Calpine Corp.*      785,858   
  7,700       Electric Power Development Co., Ltd.      271,816   
  11,345       NextEra Energy Partners LP^(a)      449,489   
  32,794       NRG Energy, Inc.      750,327   
  5,590       NRG Yield, Inc., Class A^      122,924   
  5,590       NRG Yield, Inc., Class A^      122,365   
  1,128       Talen Energy Corp.*^      19,356   
  9,032       TerraForm Power, Inc.      343,035   
  6,976       TerraForm Power, Inc., Class A      264,948   
     

 

 

 
        3,677,279   
     

 

 

 

 

Industrial Conglomerates (0.7%):

  

  1,009       3M Co.      155,689   
  149,219       Beijing Enterprises Holdings, Ltd.      1,117,549   
  8,096       Danaher Corp.      692,937   
  92,684       General Electric Co.      2,462,613   
  198,000       Keppel Corp., Ltd.      1,207,032   
  21,926       Koninklijke Philips Electronics NV      559,543   
     

 

 

 
        6,195,363   
     

 

 

 

 

Insurance (1.8%):

  

  1,430       ACE, Ltd.      145,402   
  493       AFLAC, Inc.      30,665   
  136,200       AIA Group, Ltd.      890,227   
  14,662       Allstate Corp. (The)      951,124   
  27,674       American International Group, Inc.      1,710,806   
  312       Aon plc      31,100   
  47,148       AXA SA      1,187,995   
  3,088       Axis Capital Holdings, Ltd.      164,807   
  8       Berkshire Hathaway, Inc., Class A*      1,638,799   
  1,227       Chubb Corp. (The)      116,737   
  3,301       CNA Financial Corp.      126,131   
  122,908       Legal & General Group plc      480,179   
  5,161       Lincoln National Corp.      305,634   
  1,488       Manulife Financial Corp.      27,656   
  17,282       Marsh & McLennan Cos., Inc.      979,889   
  16,843       MetLife, Inc.      943,040   
  12,800       MS&AD Insurance Group Holdings, Inc.      398,505   
  11,400       NKSJ Holdings, Inc.      418,065   
  6,876       Prudential Financial, Inc.      601,788   
  55,182       Prudential plc      1,331,358   
  1,725       Reinsurance Group of America, Inc.      163,651   
  30,100       Sony Financial Holdings, Inc.      527,299   
  24,400       Tokio Marine Holdings, Inc.      1,011,886   
  363       Travelers Cos., Inc. (The)      35,088   
 

 

Continued

 

5


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  15,932       XL Group plc    $ 592,670   
  1,425       Zurich Insurance Group AG      434,477   
     

 

 

 
        15,244,978   
     

 

 

 

 

Internet & Catalog Retail (0.1%):

  

  9,903       Alibaba Group Holding, Ltd., ADR*^      814,719   
  200       Askul Corp.      6,283   
  1,817       Expedia, Inc.      198,689   
     

 

 

 
        1,019,691   
     

 

 

 

 

Internet Software & Services (2.4%):

  

  18,200       DeNA Co., Ltd.      357,679   
  32,443       eBay, Inc.*      1,954,366   
  22,302       Facebook, Inc., Class A*      1,912,731   
  11,300       GoDaddy, Inc., Class A*^      318,547   
  4,920       Google, Inc., Class A*      2,656,997   
  8,839       Google, Inc., Class C*      4,600,787   
  74,000       Gree, Inc.^      432,215   
  11,346       SINA Corp.*      607,748   
  75,653       Twitter, Inc.*      2,740,152   
  68,532       Uber Technologies, Inc.*(a)      2,742,836   
  2,508       VeriSign, Inc.*^      154,794   
  75,300       Yahoo! Japan Corp.      303,621   
  2,841       Yahoo!, Inc.*      111,623   
     

 

 

 
        18,894,096   
     

 

 

 

 

IT Services (0.9%):

  

  3,745       Accenture plc, Class A      362,441   
  523       Alliance Data Systems Corp.*      152,685   
  3,091       Amdocs, Ltd.      168,738   
  8,597       Atos Origin SA      643,109   
  1,553       Automatic Data Processing, Inc.      124,597   
  1,963       Cognizant Technology Solutions Corp., Class A*      119,920   
  2,890       Computer Sciences Corp.      189,700   
  3,045       Fidelity National Information Services, Inc.      188,181   
  4,296       International Business Machines Corp.      698,787   
  18,213       MasterCard, Inc., Class A      1,702,551   
  400       NS Solutions Corp.      13,339   
  800       SCSK Corp.      24,381   
  41,376       Visa, Inc., Class A^      2,778,398   
  33,140       Worldline SA*      680,238   
     

 

 

 
        7,847,065   
     

 

 

 

 

Leisure Products (0.1%):

  

  6,200       Namco Bandai Holdings, Inc.      119,741   
  32,400       Sega Sammy Holdings, Inc.      423,434   
  8,500       Yamaha Corp.      171,388   
     

 

 

 
        714,563   
     

 

 

 

 

Life Sciences Tools & Services (0.3%):

  

  11,725       Agilent Technologies, Inc.      452,351   
  14,275       Thermo Fisher Scientific, Inc.      1,852,324   
     

 

 

 
        2,304,675   
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Machinery (1.1%):

  

  4,015       CNH Industrial NV    $ 37,259   
  29,901       Colfax Corp.*^      1,379,932   
  822       Cummins India, Ltd.      11,542   
  1,915       Dover Corp.      134,395   
  3,700       Fanuc, Ltd.      755,432   
  164,090       Haitian International Holdings, Ltd.      383,369   
  110,000       IHI Corp.      512,791   
  22,700       Komatsu, Ltd.      454,958   
  31,000       Kubota Corp.      491,396   
  172,000       Mitsubishi Heavy Industries, Ltd.      1,045,743   
  8,100       Nabtesco Corp.      202,197   
  11,668       PACCAR, Inc.^      744,535   
  1,106       Parker Hannifin Corp.^      128,661   
  1,100       SMC Corp.      330,965   
  12,252       Stanley Black & Decker, Inc.      1,289,400   
  3,500       THK Co., Ltd.      75,585   
  6,438       WABCO Holdings, Inc.*      796,509   
     

 

 

 
        8,774,669   
     

 

 

 

 

Media (0.8%):

  

  12,603       DISH Network Corp., Class A*      853,349   
  18,716       Liberty Broadband Corp., Class C*      957,511   
  7,085       Liberty Broadband Corp., Class A*^      361,122   
  46,252       Liberty Media Corp., Class C*      1,660,447   
  20,570       Liberty Media Corp.*      741,343   
  107,568       RAI Way SpA      515,629   
  817       RTL Group      73,973   
  2,900       TV Asahi Holdings Corp.^      48,693   
  57,542       Zon Multimedia Servicos de Telecommunicacoes e Multimedia SGPS SA      459,737   
     

 

 

 
        5,671,804   
     

 

 

 

 

Metals & Mining (2.2%):

  

  201,652       Antofagasta plc      2,182,564   
  64,441       Barrick Gold Corp., ADR      686,941   
  54,205       Constellium NV*      641,245   
  90,068       Eldorado Gold Corp.      373,600   
  227,585       First Quantum Minerals, Ltd.      2,976,028   
  164,264       Freeport-McMoRan Copper & Gold, Inc.      3,058,595   
  115,936       Gerdau SA, ADR      279,406   
  72,522       Glencore International plc      291,082   
  77,742       Goldcorp, Inc.      1,259,420   
  197,000       Nippon Steel Corp.      510,236   
  216,347       Platinum Group Metals, Ltd.*      86,539   
  353,956       Platinum Group Metals, Ltd.*      138,884   
  64,183       Rio Tinto plc      2,639,356   
  67,172       Southern Copper Corp.^      1,975,529   
  57,952       Tahoe Resources, Inc.      702,589   
  400       Yamato Kogyo Co., Ltd.      9,326   
     

 

 

 
        17,811,340   
     

 

 

 

 

Multiline Retail (0.1%):

  

  2,175       Kohl’s Corp.^      136,177   
 

 

Continued

 

6


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail, continued

  

  2,073       Macy’s, Inc.    $ 139,865   
  2,600       Ryohin Keikaku Co., Ltd.      503,886   
     

 

 

 
        779,928   
     

 

 

 

 

Multi-Utilities (0.5%):

  

  23,712       CenterPoint Energy, Inc.      451,239   
  14,877       Dominion Resources, Inc.      994,825   
  32,816       Engie Group      608,045   
  60,315       National Grid plc      775,490   
  11,858       Sempra Energy      1,173,231   
     

 

 

 
        4,002,830   
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.5%):

  

  60,614       Anadarko Petroleum Corp.      4,731,530   
  115,052       Athabasca Oil Corp.*      187,945   
  8,531       BG Group plc      141,938   
  45,714       BP plc      301,620   
  60,794       Cameco Corp.      868,138   
  9,537       Chevron Corp.      920,034   
  61,288       Coal India, Ltd.      404,923   
  4,259       ConocoPhillips      261,545   
  62,135       CONSOL Energy, Inc.^      1,350,815   
  9,419       Diamondback Energy, Inc.*      710,004   
  7,698       Eclipse Resources Corp.*^      40,491   
  2,093       Enbridge, Inc.      97,896   
  6,243       ENI SpA      110,725   
  1,896       EOG Resources, Inc.      165,995   
  4,852       EQT Corp.      394,662   
  14,567       Exxon Mobil Corp.      1,211,974   
  3,849       Gulfport Energy Corp.*      154,922   
  149,700       INPEX Corp.      1,702,791   
  55,800       JX Holdings, Inc.      241,515   
  27,615       KazMunaiGas Exploration Production JSC, Registered Shares, GDR      273,796   
  5,878       Kinder Morgan, Inc.      225,656   
  5,547       Lookout, Inc.*(b)      64,702   
  76,892       Lundin Petroleum AB*^      1,317,316   
  37,352       Marathon Petroleum Corp.      1,953,883   
  2,683       Occidental Petroleum Corp.      208,657   
  155,805       Oil & Natural Gas Corp., Ltd.      756,998   
  282,736       Ophir Energy plc*      501,809   
  116,157       Palantir Technologies, Inc.*(a)      1,000,112   
  71,761       Petroleo Brasileiro SA, ADR*      649,438   
  26,077       Phillips 66      2,100,763   
  10,243       Pioneer Natural Resources Co.^      1,420,602   
  30,490       Reliance Industries, Ltd.      478,294   
  19,901       Royal Dutch Shell plc, A Shares      566,708   
  6,147       Royal Dutch Shell plc, B Shares      174,783   
  23,922       Royal Dutch Shell plc, ADR      1,363,793   
  9,865       Royal Dutch Shell plc, A Shares      277,301   
  150,841       Statoil ASA      2,694,047   
  15,358       Stone Energy Corp.*^      193,357   
  3,654       Suncor Energy, Inc.      100,655   

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

  4,475       Suncor Energy, Inc.    $ 123,152   
  25,750       Total SA      1,252,764   
  29,273       Total SA, ADR^      1,439,354   
  47,701       TransCanada Corp.      1,938,904   
  5,366       Valero Energy Corp.      335,912   
  2,326       Williams Cos., Inc. (The)*      133,489   
     

 

 

 
        35,545,708   
     

 

 

 

 

Paper & Forest Products (0.0%):

  

  3,070       International Paper Co.      146,101   
     

 

 

 

 

Personal Products (0.0%):

  

  167       L’Oreal SA      29,769   
     

 

 

 

 

Pharmaceuticals (4.3%):

  

  45,530       AbbVie, Inc.      3,059,160   
  9,580       Allergan plc*      2,907,147   
  31,800       Astellas Pharma, Inc.      453,180   
  5,583       AstraZeneca plc, ADR      355,693   
  35,593       AstraZeneca plc      2,262,825   
  11,820       Bayer AG      1,653,728   
  24,345       Bristol-Myers Squibb Co.      1,619,916   
  35,900       Catalent, Inc.*      1,052,947   
  4,800       Eisai Co., Ltd.      321,545   
  6,744       Eli Lilly & Co.      563,057   
  9,388       GlaxoSmithKline plc      195,389   
  5,657       Horizon Pharma plc*^      196,524   
  10,025       Johnson & Johnson Co.      977,037   
  11,821       Merck & Co., Inc.      672,970   
  20,115       Mylan NV*      1,365,004   
  22,226       Novartis AG, Registered Shares      2,195,912   
  5,201       Novo Nordisk A/S, B Shares      285,294   
  13,000       Otsuka Holdings Co., Ltd.      413,288   
  3,808       Perrigo Co. plc      703,833   
  63,857       Pfizer, Inc.      2,141,125   
  5,531       Roche Holding AG      1,553,263   
  23,107       Sanofi-Aventis SA      2,279,373   
  2,300       Sawai Pharmaceutical Co., Ltd.      134,669   
  19,120       Shire plc      1,536,675   
  284,000       Sino Biopharmaceutical, Ltd.      327,839   
  2,100       Takeda Pharmacuetical Co., Ltd.      101,354   
  51,244       Teva Pharmaceutical Industries, Ltd., ADR      3,028,520   
  2,440       Valeant Pharmaceuticals International, Inc.*      542,046   
     

 

 

 
        32,899,313   
     

 

 

 

 

Professional Services (0.0%):

  

  2,650       Qualicorp SA      16,702   
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.7%):

  

  10,016       American Capital Agency Corp.      183,994   
  461       American Tower Corp.      43,007   
  10,999       Crown Castle International Corp.      883,220   
  397       Equity Residential Property Trust      27,857   
  440,828       Fibra UNO Amdinistracion SA      1,048,549   
  381       Health Care REIT, Inc.      25,005   
  17,379       ProLogis, Inc.      644,761   
 

 

Continued

 

7


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

  159       Public Storage, Inc.    $ 29,315   
  6,258       Simon Property Group, Inc.      1,082,759   
  90,001       TF Administradora Industrial S de RL de CV      176,105   
  2,204       Unibail-Rodamco SE      559,188   
     

 

 

 
        4,703,760   
     

 

 

 

 

Real Estate Management & Development (1.7%):

  

  76,373       BR Malls Participacoes SA      361,200   
  641,300       CapitaLand, Ltd.      1,665,037   
  204,000       China Overseas Land & Investment, Ltd.      719,122   
  196,000       China Resources Land, Ltd.      631,136   
  40,000       Daikyo, Inc.      64,363   
  4,900       Daito Trust Construction Co., Ltd.      506,649   
  64,900       Dalian Wanda Commercial Properties Co., Ltd., H Shares      519,221   
  32,475       Deutsche Annington Immobilien SE      915,344   
  771,100       Global Logistic Properties, Ltd.      1,446,203   
  42,000       Mitsubishi Estate Co., Ltd.      902,408   
  138,666       Sun Hung Kai Properties, Ltd.      2,245,549   
  67,467       The St. Joe Co.*^      1,047,763   
  258,000       Wharf Holdings, Ltd. (The)      1,716,042   
     

 

 

 
        12,740,037   
     

 

 

 

 

Road & Rail (0.9%):

  

  7,319       Canadian National Railway Co.      422,672   
  192,325       CAR, Inc.*      405,769   
  20,740       CSX Corp.      677,161   
  26,000       East Japan Railway Co.      2,337,711   
  3,875       J.B. Hunt Transport Services, Inc.      318,099   
  6,890       Kansas City Southern      628,368   
  36,000       Nippon Express Co., Ltd.      176,948   
  9,500       Seino Holdings Co., Ltd.      106,311   
  18,893       Union Pacific Corp.      1,801,825   
     

 

 

 
        6,874,864   
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.7%):

  

  3,926       Applied Materials, Inc.      75,458   
  814       Avago Technologies, Ltd.      108,205   
  1,759       Broadcom Corp., Class A      90,571   
  19,189       Intel Corp.      583,633   
  5,757       KLA-Tencor Corp.      323,601   
  22,813       Micron Technology, Inc.*      429,797   
  21,000       ROHM Co., Ltd.      1,404,110   
  519       Samsung Electronics Co., Ltd.      589,708   
  13,619       SK Hynix, Inc.      517,746   
  25,700       SUMCO Corp.      321,666   
  212,000       Taiwan Semiconductor Manufacturing Co., Ltd.      955,322   
  6,551       Texas Instruments, Inc.      337,442   
     

 

 

 
        5,737,259   
     

 

 

 

 

Software (1.9%):

  

  68,905       Activision Blizzard, Inc.      1,668,190   
  3,849       Adobe Systems, Inc.*      311,807   

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Software, continued

  

  2,045       Check Point Software Technologies, Ltd.*    $ 162,680   
  2,923       Electronic Arts, Inc.*      194,380   
  90,700       Gungho Online Enetertainment, Inc.^      352,698   
  2,695       Intuit, Inc.      271,575   
  42,551       King Digital Entertainment plc^      606,352   
  56,587       Microsoft Corp.      2,498,317   
  68,360       Mobileye NV*^      3,634,701   
  9,100       Nexon Co., Ltd.      125,105   
  7,900       Nintendo Co., Ltd.      1,319,185   
  20,493       Nuance Communications, Inc.*      358,832   
  60,614       Oracle Corp.      2,442,744   
  1,891       Salesforce.com, Inc.*      131,670   
  6,726       SAP AG      468,607   
  6,100       Trend Micro, Inc.      210,028   
  33,610       UbiSoft Entertainment SA*      599,834   
     

 

 

 
        15,356,705   
     

 

 

 

 

Specialty Retail (0.3%):

  

  2,600       Autobacs Seven Co., Ltd.^      43,460   
  1,316       Home Depot, Inc. (The)      146,247   
  2,044       Lowe’s Cos., Inc.      136,887   
  22,500       Sanrio Co., Ltd.^      610,756   
  900       Shimamura Co., Ltd.      94,382   
  4,501       Tiffany & Co.      413,192   
  156,400       Yamada Denki Co., Ltd.^      625,300   
  222,760       Zhongsheng Group Holdings, Ltd.^      154,969   
     

 

 

 
        2,225,193   
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.7%):

  

  26,632       Apple, Inc.      3,340,318   
  6,559       EMC Corp.      173,092   
  24,197       Hewlett-Packard Co.      726,152   
  231,000       NEC Corp.      699,742   
  1,630       Samsung SDI Co., Ltd.      161,981   
  2,372       SanDisk Corp.      138,098   
  2,543       Seagate Technology plc^      120,793   
  1,685       Western Digital Corp.      132,138   
     

 

 

 
        5,492,314   
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.1%):

  

  20,028       Coach, Inc.^      693,169   
     

 

 

 

 

Tobacco (0.4%):

  

  1,911       Altria Group, Inc.      93,467   
  1,310       British American Tobacco plc      70,392   
  677       Imperial Tobacco Group plc      32,679   
  12,400       Japan Tobacco, Inc.      441,348   
  25,847       Philip Morris International, Inc.      2,072,154   
  100       Reynolds American, Inc.      7,450   
     

 

 

 
        2,717,490   
     

 

 

 

 

Trading Companies & Distributors (0.7%):

  

  74,600       Mitsubishi Corp.      1,638,402   
  156,400       Mitsui & Co., Ltd.      2,121,259   
  74,200       Sumitomo Corp.      861,873   
 

 

Continued

 

8


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Trading Companies & Distributors, continued

  

  12,600       Toyota Tsushu Corp.    $ 337,958   
  31,900       Univar, Inc.*      830,357   
     

 

 

 
        5,789,849   
     

 

 

 

 

Transportation Infrastructure (0.1%):

  

  615,711       Delta Topco, Ltd.(a)      352,802   
  6,000       Kamigumi Co., Ltd.      56,231   
     

 

 

 
        409,033   
     

 

 

 

 

Water Utilities (0.1%):

  

  14,420       American Water Works Co., Inc.      701,245   
     

 

 

 

 

Wireless Telecommunication Services (0.7%):

  

  369,574       America Movil SAB de C.V., Series L      395,085   
  29,881       America Movil SAB de C.V., Series L, ADR      636,764   
  310,000       Axiata Group Berhad      526,143   
  79,563       Cellnex Telecom SAU*      1,345,857   
  105,029       Far EasTone Telecommunications Co., Ltd.      253,872   
  34,700       KDDI Corp.      834,633   
  11,500       NTT DoCoMo, Inc.      220,068   
  22,106       Vodafone Group plc, ADR      805,764   
  155,032       Vodafone Group plc      565,238   
     

 

 

 
        5,583,424   
     

 

 

 

 

Total Common Stocks (Cost $413,589,744)

     445,531,567   
     

 

 

 

 

Preferred Stocks (1.8%):

  

 

Automobiles (0.2%):

  

  8,360       Volkswagen AG, Preferred Shares^      1,937,734   
     

 

 

 

 

Banks (0.9%):

  

  26,482       Citigroup Capital XIII, Series A, Preferred Shares^      687,472   
  176,000       Deutsche Bank Capital Funding Trust VII, Preferred Shares^(c)      176,880   
  35,500       GMAC Capital Trust I, Series 2, Preferred Shares      922,289   
  15,683       HSBC Holdings plc, Series 2, Preferred Shares      406,033   
  38,941       Itau Unibanco Holding SA, Preferred Shares      429,101   
  21,833       RBS Capital Fund Trust V, Series E, Preferred Shares^      529,014   
  27,501       RBS Capital Funding Trust VII, Series G, Preferred Shares^      671,849   
  14,719       Royal Bank of Scotland Group plc, Series T, Preferred Shares, ADR^      373,421   
  12,375       Royal Bank of Scotland Group plc, Series M, Preferred Shares, ADR      308,261   
  9,710       Royal Bank of Scotland Group plc, Series Q, Preferred Shares, ADR^      245,663   
  7,409       U.S. Bancorp, Series G, Preferred Shares^      197,302   
  14,159       U.S. Bancorp, Series F, Preferred Shares^      399,567   
  576,000       USB Capital IX, Preferred Shares      475,488   
     

 

 

 
        5,822,340   
     

 

 

 

 

Diversified Financial Services (0.0%):

  

  37,073       Fannie Mae, Series S, Preferred Shares      139,024   
     

 

 

 

Shares

           Fair Value  

 

Preferred Stocks, continued

  

 

Food & Staples Retailing (0.0%):

  

  11,174       Companhia Brasileira de Destribuicao Grupo Pao de Acucar, Series A, Preferred Shares    $ 263,909   
     

 

 

 

 

Health care providers & services (0.1%):

  

  19,062       Anthem, Inc., Preferred Shares      972,162   
     

 

 

 

 

Health Care Providers & Services (0.1%):

  

  143,925       Grand Rounds, Inc., Preferred Shares*(a)      404,329   
  31,073       Invitae Corp.,, Series F, Preferred Shares(a)      439,247   
     

 

 

 
        843,576   
     

 

 

 

 

Machinery (0.0%):

  

  2,123       Stanley Black & Decker, Inc., Preferred Shares^      256,437   
     

 

 

 

 

Multi-Utilities (0.0%):

  

  7,500       Dominion Resources, Inc., Preferred Shares      350,250   
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

  63,925       Lookout, Inc.,, Preferred Shares*(a)      745,647   
     

 

 

 

 

Pharmaceuticals (0.0%):

  

  15       Allergan plc, Series A, Preferred Shares      15,639   
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.2%):

  

  3,376       American Tower Corp., Series A, Preferred Shares      340,343   
  13,044       Health Care REIT, Inc., Series 2, Preferred Shares      779,379   
     

 

 

 
        1,119,722   
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  15,600       Forestar Group, Inc., Preferred Shares      290,519   
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.2%):

  

  2,209       Samsung Electronics Co., Ltd., Preferred Shares      1,963,804   
     

 

 

 

 

Total Preferred Stocks (Cost $14,757,660)

     14,720,763   
     

 

 

 

 

Warrant (0.0%):

  

 

Paper & Forest Products (0.0%):

  

  157,250       TFS Corp., Ltd.*(c)      63,927   
     

 

 

 

 

Total Warrant (Cost $—)

     63,927   
     

 

 

 

 

Convertible Preferred Stocks (0.5%):

  

 

Aerospace & Defense (0.0%):

  

  5,063       United Technologies Corp., 0.52%      290,110   
     

 

 

 

 

Banks (0.0%):

  

  272       Wells Fargo & Co., Series L, Class A, 0.03%      319,600   
     

 

 

 

 

Financial Services (0.1%):

  

  118,467       Domo, Inc., Series E*(a)      998,866   
     

 

 

 

 

Metals & Mining (0.0%):

  

  11,422       Cliffs Natural Resources, Inc., Series A, 5.30%      50,828   
     

 

 

 

 

Pharmaceuticals (0.3%):

  

  1,366       Actavis plc, Series A      1,424,164   
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.1%):

  

  8,784       Crown Castle International Corp., Series A      906,509   
     

 

 

 

 

Total Convertible Preferred Stocks (Cost $4,104,556)

     3,990,077   
     

 

 

 
 

 

Continued

 

9


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Private Placements (0.3%):

  

 

Communications Equipment (0.3%):

  

  2,451,000       AliphCom, Inc.(a)    $ 2,451,000   
     

 

 

 

 

Total Private Placements (Cost $2,451,000)

     2,451,000   
     

 

 

 

 

Right (0.0%):

  

 

Real Estate Management & Development (0.0%):

  

  16,002       Deutsche Annington Immobilien SE*      24,450   
     

 

 

 

 

Total Right (Cost $—)

     24,450   
     

 

 

 

 

Convertible Bonds (2.0%):

  

 

Automobiles (0.1%):

  

$ 800,000       Volkswagen International Finance NV, 5.50%, 11/9/15+(c)      1,102,486   
     

 

 

 

 

Biotechnology (0.3%):

  

  178,000       BioMarin Pharmaceutical, Inc., 0.75%, 10/15/18      274,342   
  175,000       BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20      278,688   
  290,000       Gilead Sciences, Inc., Series D, 1.63%, 5/1/16      1,495,312   
     

 

 

 
        2,048,342   
     

 

 

 

 

Diversified Telecommunication Services (0.0%):

  

  100,000       Telecom Italia SpA, Series TIT, 6.13%, 11/15/16+(c)      162,134   
     

 

 

 

 

Energy Equipment & Services (0.0%):

  

  191,000       Suzlon Energy, Ltd., Series SUEL, 3.25%, 7/16/19(c) (d)      265,729   
     

 

 

 

 

Food & Staples Retailing (0.1%):

  

  600,000       Olam International, Ltd., 6.00%, 10/15/16(c)      614,250   
     

 

 

 

 

Food Products (0.0%):

  

  400,000       REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14(a)(e)      20,000   
     

 

 

 

 

Health Care Providers & Services (0.0%):

  

  72,000       Brookdale Senior Living, Inc., 2.75%, 6/15/18      93,915   
     

 

 

 

 

Internet Software & Services (0.1%):

  

  430,000       SINA Corp., 1.00%, 12/1/18, Callable 12/1/16 @ 100      409,306   
  375,000       Twitter, Inc., 1.00%, 9/15/21^(c)      328,359   
     

 

 

 
        737,665   
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.3%):

  

  886,000       Cobalt International Energy, Inc., 2.63%, 12/1/19      653,979   
  1,111,000       Cobalt International Energy, Inc., 3.13%, 5/15/24^      806,169   
  1,123,330       Dana Gas Sukuk, Ltd., 7.00%, 10/31/17(c)      904,281   
     

 

 

 
        2,364,429   
     

 

 

 

 

Pharmaceuticals (0.2%):

  

  333,000       Mylan, Inc., 3.75%, 9/15/15      1,692,263   
     

 

 

 

 

Real Estate Management & Development (0.4%):

  

  750,000       CapitaLand, Ltd., 2.10%, 11/15/16, Callable 0 @ 100+(c)      556,303   
Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Convertible Bonds, continued

  

 

Real Estate Management & Development, continued

  

$ 1,500,000       CapitaLand, Ltd., Series CAPL, 2.95%, 6/20/22, Callable 6/20/17 @ 100+    $ 1,121,351   
  500,000       CapitaLand, Ltd., 1.95%, 10/17/23, Callable 10/17/18 @ 100+(c)      386,094   
  250,000       CapitaLand, Ltd., 1.95%, 10/17/23, Callable 10/17/18 @ 100+(c)      193,047   
  406,000       Forest City Enterprises, Inc., 4.25%, 8/15/18      476,289   
     

 

 

 
        2,733,084   
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.0%):

  

  246,000       Intel Corp., 3.25%, 8/1/39      374,228   
     

 

 

 

 

Software (0.1%):

  

  346,000       Take-Two Interactive Software, Inc., 1.75%, 12/1/16      514,243   
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.1%):

  

  401,000       SanDisk Corp., 1.50%, 8/15/17      518,544   
  401,000       SanDisk Corp., 0.50%, 10/15/20^      388,719   
     

 

 

 
        907,263   
     

 

 

 

 

Wireless Telecommunication Services (0.3%):

  

  500,000       Telecom Italia Finance SA, Registered Shares, 6.13%, 11/15/16+(c)      810,667   
  300,000       Telefonica SA, Series TIT, 6.00%, 7/24/17+(c)      404,219   
  900,000       Telefonica SA, Series TEF, 4.90%, 9/25/17+      1,091,016   
     

 

 

 
        2,305,902   
     

 

 

 

 

Total Convertible Bonds (Cost $14,769,654)

     15,935,933   
     

 

 

 

 

Floating Rate Loans (1.4%):

  

 

Biotechnology (0.2%):

  

  1,281,782       Grifols Worldwide Operations USA, 3.18%, 3/3/21(d)      1,280,321   
     

 

 

 

 

Construction & Engineering (0.1%):

  

  304,147       Autobahn Tank & Rast Holding GmbH, 3.33%, 12/10/18(d)      338,505   
  122,640       Autobahn Tank & Rast Holding GmbH, 3.52%, 12/10/19(d)      136,160   
     

 

 

 
        474,665   
     

 

 

 

 

Energy Equipment & Services (0.1%):

  

  373,948       Drillships Financing Holdings, Inc., 6.00%, 3/31/21(d)      304,143   
  442,236       Drillships Ocean Ventures, Inc., 5.50%, 7/9/21(d)      375,348   
  405,533       Fieldwood Energy LLC, 8.38%, 9/20/20(d)      309,726   
  1,293,150       Seadrill, Ltd., 4.00%, 2/21/21(d)      973,911   
     

 

 

 
        1,963,128   
     

 

 

 

 

Financial Services (0.2%):

  

  665,000       ENDO Luxembourg Finance Co., 0.00%, 6/30/16(d)      664,169   
  605,000       ENDO Luxembourg Finance Co., 0.00%, 6/30/22(d)      606,137   
     

 

 

 
        1,270,306   
     

 

 

 
 

 

Continued

 

10


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Floating Rate Loans, continued

  

 

Hotels, Restaurants & Leisure (0.2%):

  

$ 1,659,434       Hilton Worldwide Finance LLC, 3.50%, 10/25/20(d)    $ 1,659,700   
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):

  

  605,000       Calpine Corp., 0.00%, 6/15/22(d)      599,101   
     

 

 

 

 

Investment Services (0.1%):

  

  1,048,000       Promontoria Blue Holding 2 BV, 0.00%, 4/17/20(d)      1,168,209   
     

 

 

 

 

Media (0.2%):

  

  292,000       AP One Channel Center Owner LP, Series 4814, 5.00%, 7/15/19(b)(d)      292,000   
  389,246       Univision Communications, Inc., 4.00%, 3/1/20(d)      385,770   
  716,265       Univision Communications, Inc., 4.00%, 3/1/20(d)      709,868   
     

 

 

 
        1,387,638   
     

 

 

 

 

Metals-Processing & Fabrication (0.0%):

  

  350,000       Novelis, Inc., 0.00%, 6/15/22(d)      348,086   
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

  103,544       Sheridan Production Partners, 4.25%, 12/2/20(b)(d)      91,118   
  744,179       Sheridan Production Partners, 4.25%, 12/2/20(b)(d)      654,877   
  38,726       Sheridan Production Partners, 4.25%, 12/2/20(b)(d)      34,079   
     

 

 

 
        780,074   
     

 

 

 

 

Pharmaceuticals (0.0%):

  

  188,199       Mallinckrodt International Finance SA, 3.25%, 2/24/21(d)      187,205   
     

 

 

 

 

Trading Companies & Distributors (0.1%):

  

  585,000       Univar USA, Inc., 0.00%, 6/30/22(d)      584,087   
     

 

 

 

 

Total Floating Rate Loans (Cost $12,372,764)

     11,702,520   
     

 

 

 

 

Corporate Bonds (3.3%):

  

 

Air Freight & Logistics (0.1%):

  

  1,216,000       Global Logistic Properties, Ltd., 3.88%, 6/4/25(c)      1,190,192   
     

 

 

 

 

Automobiles (0.1%):

  

  620,000       General Motors Financial Co., Inc., 3.50%, 7/10/19^      633,124   
     

 

 

 

 

Banks (0.7%):

  

  307,000       Bank of America Corp., 1.35%, 3/22/18, MTN(d)      309,794   
  385,000       Bank of America Corp., 2.60%, 1/15/19      389,193   
  1,165,000       Citigroup, Inc., 1.80%, 2/5/18      1,162,192   
  410,000       HSBC USA, Inc., 1.63%, 1/16/18      408,879   
  323,000       JPMorgan Chase & Co., 4.35%, 8/15/21      345,736   
  1,565,000       JPMorgan Chase & Co., Series X, 6.10%, 10/29/49, Callable 10/1/24 @ 100(d)      1,570,479   
  778,000       JPMorgan Chase & Co., Series Q, 5.15%, 12/29/49, Callable 5/1/23 @ 100, Perpetual Bond^(d)      740,345   
     

 

 

 
        4,926,618   
     

 

 

 
Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Capital Markets (0.5%):

  

$ 773,000       Ford Motor Credit Co. LLC, 1.72%, 12/6/17    $ 768,986   
  408,000       Ford Motor Credit Co. LLC, 2.38%, 1/16/18      411,793   
  395,000       Ford Motor Credit Co. LLC, 5.00%, 5/15/18      424,660   
  662,000       Goldman Sachs Group, Inc. (The), Series L, 5.70%, 12/29/49, Callable 5/10/19 @ 100(d)      664,383   
  695,000       Goldman Sachs Group, Inc. (The), Series M, 5.37%, 12/31/49, Callable 5/10/20 @ 100(d)      685,270   
  361,000       Merrill Lynch & Co., 6.88%, 4/25/18, MTN      407,815   
  268,000       Morgan Stanley, Series G, 7.30%, 5/13/19      315,296   
  489,000       Morgan Stanley, Series H, 5.45%, 7/29/49, Callable 7/15/19 @ 100(d)      485,333   
     

 

 

 
        4,163,536   
     

 

 

 

 

Communications Equipment (0.2%):

  

  110,000       Hughes Satellite Systems Corp., 7.63%, 6/15/21      121,022   
  1,350,000       QUALCOMM, Inc., 3.00%, 5/20/22      1,340,850   
     

 

 

 
        1,461,872   
     

 

 

 

 

Consumer Finance (0.2%):

  

  578,000       Ally Financial, Inc., 2.75%, 1/30/17      575,398   
  431,000       Ally Financial, Inc., 3.50%, 1/27/19^      427,768   
  430,000       American Express Co., Series C, 4.90%, 12/29/49, Callable 3/15/20 @ 100(d)      416,584   
  292,000       Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100      294,222   
     

 

 

 
        1,713,972   
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  255,000       Hyundai Capital America, 2.00%, 3/19/18(c)      255,091   
     

 

 

 

 

Diversified Financial Services (0.4%):

  

  558,000       Bank of America Corp., 2.00%, 1/11/18, MTN      559,829   
  298,000       Citigroup, Inc., Series A, 5.95%, 12/29/49, Callable 1/30/23 @ 100(d)      293,530   
  799,000       Citigroup, Inc., Series O, 5.87%, 12/29/49, Callable 3/27/20 @ 100^(d)      800,757   
  307,000       General Electric Capital Corp., Series A, 5.55%, 5/4/20, MTN      350,071   
  600,000       General Electric Capital Corp., Series B, 6.25%, 12/29/49, Callable 12/15/22 @ 100(d)      656,250   
  460,000       General Electric Capital Corp., 6.38%, 11/15/67, Callable 11/15/17 @ 100(d)      494,500   
     

 

 

 
        3,154,937   
     

 

 

 

 

Energy Equipment & Services (0.1%):

  

  562,000       Pemex Project FDG Master TR, 5.75%, 3/1/18      611,360   
     

 

 

 

 

Health Care Equipment & Supplies (0.1%):

  

  870,000       Medtronic, Inc., 3.15%, 3/15/22(c)      873,898   
     

 

 

 

 

IT Services (0.0%):

  

  130,000       SunGard Data Systems, Inc., 7.38%, 11/15/18, Callable 8/10/15 @ 103.69      134,615   
     

 

 

 
 

 

Continued

 

11


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Media (0.1%):

  

$ 245,000       Cablevision Systems Corp., 5.88%, 9/15/22^    $ 237,650   
  200,000       NBCUniversal Enterprise, Inc., 5.25%, 12/31/99, Callable 3/19/21 @ 100(c)      212,750   
     

 

 

 
        450,400   
     

 

 

 

 

Metals & Mining (0.0%):

  

  100,000       Glencore Funding LLC, 2.13%, 4/16/18(c)      99,248   
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

  399,000       Chesapeake Energy Corp., 3.53%, 4/15/19, Callable 8/10/15 @ 101(d)      365,085   
  270,000       Sabine Pass Liquefaction LLC, 5.63%, 4/15/23, Callable 1/15/23 @ 100      269,071   
     

 

 

 
        634,156   
     

 

 

 

 

Pharmaceuticals (0.3%):

  

  834,000       AbbVie, Inc., 2.50%, 5/14/20, Callable 4/14/20 @ 100      825,444   
  475,000       Forest Laboratories, Inc., 4.38%, 2/1/19(c)      502,715   
  331,000       Forest Laboratories, Inc., 5.00%, 12/15/21, Callable 9/16/21 @ 100(c)      359,179   
  513,000       Mylan, Inc., 2.55%, 3/28/19      508,539   
     

 

 

 
        2,195,877   
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.0%):

  

  162,000       American Tower Corp., 3.40%, 2/15/19^      165,778   
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.0%):

  

  263,000       Xerox Corp., 6.35%, 5/15/18^      293,099   
     

 

 

 

 

Thrifts & Mortgage Finance (0.0%):

  

  365,000       Capital One Bank USA NA, Series BNKT, 2.15%, 11/21/18, Callable 10/21/18 @ 100      364,571   
     

 

 

 

 

Transportation Infrastructure (0.1%):

  

  567,978       Delta Topco, Ltd., 10.00%, 11/24/60(a)      568,375   
     

 

 

 

 

Wireless Telecommunication Services (0.3%):

  

  1,070,000       AT&T, Inc., 2.38%, 11/27/18      1,079,366   
  1,620,000       AT&T, Inc., 3.00%, 6/30/22, Callable 4/30/22 @ 100      1,564,213   
     

 

 

 
        2,643,579   
     

 

 

 

 

Total Corporate Bonds (Cost $26,576,132)

     26,534,298   
     

 

 

 

 

Foreign Bonds (9.3%):

  

 

Banks (0.2%):

  

  610,000       Lloyds TSB Bank plc, Series E, 13.00%, 1/29/49, Callable 1/21/29 @ 100+(d)      1,659,799   
     

 

 

 

 

Metals & Mining (0.0%):

  

  270,000       Constellium NV, 7.00%, 1/15/23, Callable 1/15/18 @ 105.25+(c)      301,722   
     

 

 

 

 

Sovereign Bonds (9.1%):

  

  6,080,000       Brazil Nota do Tesouro Nacional, Series NTNF, 1.32%, 1/1/17+(f)(g)      1,858,520   
  6,593,000       Brazil Nota do Tesouro Nacional, Series NTNF, 1.83%, 1/1/21+(f)(g)      1,908,129   
  1,005,000       Buoni del Tesoro Poliennali, 2.50%, 12/1/24+      1,142,436   
Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 5,219,000       Buoni del Tesoro Poliennali, 1.50%, 6/1/25+    $ 5,407,805   
  159,750,000       Government of Japan, Series 350, 0.10%, 3/15/17+      1,307,705   
  3,688,000       Government of Poland, 5.75%, 10/25/21+      1,137,487   
  24,694,000,000       Indonesia Government, Series FR69, 7.88%, 4/15/19+      1,836,322   
  2,862,000,000       Indonesia Government, Series FR70, 8.38%, 3/15/24+      214,792   
  160,000,000       Japan Treasury Discount Bill, Series 505, 0.00%, 7/10/15+(f)      1,307,485   
  160,000,000       Japan Treasury Discount Bill, Series 524, 0.00%, 7/13/15+(f)      1,307,507   
  200,000,000       Japan Treasury Discount Bill, Series 529, 0.00%, 8/3/15+(f)      1,634,383   
  200,000,000       Japan Treasury Discount Bill, Series 511, 0.00%, 8/10/15+(f)      1,634,383   
  300,000,000       Japan Treasury Discount Bill, Series 535, 0.00%, 8/31/15+(f)      2,451,574   
  290,000,000       Japan Treasury Discount Bill, Series 523, 0.00%, 10/13/15+(f)      2,369,857   
  240,000,000       Japan Treasury Discount Bill, Series 531, 0.00%, 11/10/15+      1,961,265   
  310,000,000       Japan Treasury Discount Bill, Series 537, 0.00%, 12/10/15+(f)      2,533,308   
  40,096,700       Mexican Bonos Desarr, 8.00%, 12/7/23+(d) (h)      2,883,199   
  96,881,800       Mexican Bonos Desarr, Series M 20, 10.00%, 12/5/24+(d) (h)      7,893,779   
  327,876,600       Mexican Cetes, Series BI, 0.00%, 7/9/15+(h)      2,085,114   
  279,878,000       Mexican Cetes, Series BI, 0.00%, 7/23/15+(h)      1,777,554   
  318,460,000       Mexican Cetes, Series B, 0.00%, 8/6/15+(h)      2,020,164   
  280,025,800       Mexican Cetes, Series BI, 0.00%, 8/20/15+(h)      1,774,038   
  119,620,300       Mexican Cetes, Series BI, 0.00%, 9/3/15+(h)      756,761   
  319,970,500       Mexican Cetes, Series BI, 0.00%, 9/17/15+(h)      2,022,253   
  324,651,200       Mexican Cetes, Series BI, 0.00%, 10/1/15+(h)      2,049,377   
  242,289,600       Mexican Cetes, Series BI, 0.00%, 10/15/15+(h)      1,527,507   
  162,147,200       Mexican Cetes, Series BI, 0.00%, 10/29/15+(h)      1,020,539   
  353,690,400       Mexican Cetes, Series BI, 0.00%, 11/12/15+(h)      2,224,069   
  81,068,000       Mexican Cetes, Series BI, 0.00%, 11/26/15+(h)      508,893   
  8,026,000       Nota do Tesouro Nacional, Series NTNF, 1.46%, 1/1/25+(f)(g)      2,234,611   
  7,478,000       Poland Government Bond, Series 1020, 5.25%, 10/25/20+      2,233,212   
 

 

Continued

 

12


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 6,241,633       United Kingdom Treasury, 2.25%, 9/7/23+(c)    $ 10,035,013   
     

 

 

 
        73,059,041   
     

 

 

 

 

Total Foreign Bonds (Cost $79,587,440)

     75,020,562   
     

 

 

 

 

Yankee Dollars (3.8%):

  

 

Banks (1.3%):

  

  450,000       Banco Santander Chile SA, 2.15%, 6/7/18(c)(d)      456,750   
  1,222,000       BNP Paribas SA, 2.40%, 12/12/18      1,236,267   
  2,490,000       Credit Suisse AG, Series 0004, 7.88%, 1/15/16(c)      2,476,578   
  253,000       Export-Import Bank of Korea, 2.88%, 9/17/18      260,304   
  811,000       Export-Import Bank of Korea, 2.63%, 12/30/20      806,622   
  1,275,000       HSBC Holdings plc, 6.38%, 12/29/49, Callable 9/17/24 @ 100(d)      1,278,188   
  325,000       ING Groep NV, 6.00%, 12/31/49, Callable 4/16/20 @ 100^(d)      320,734   
  221,000       Intesa Sanpaolo SpA, 3.88%, 1/16/18      228,146   
  1,065,000       Intesa Sanpaolo SpA, 3.88%, 1/15/19      1,095,706   
  835,000       Itau Unibanco Holding SA, 2.85%, 5/26/18(c)      828,320   
  200,000       Lloyds Bank plc, 2.30%, 11/27/18      202,114   
  250,000       Rabobank Nederland, 3.95%, 11/9/22      249,967   
  455,000       Standard Chartered plc, 6.50%, 12/31/49, Callable 4/2/20 @ 100^(c)(d)      458,053   
  321,000       State Bank of India, 3.62%, 4/17/19(c)      327,999   
  460,000       Sumitomo Mitsui Banking Corp., 2.45%, 1/10/19      465,006   
  366,000       UBS AG Stamford CT, 2.38%, 8/14/19      365,971   
     

 

 

 
        11,056,725   
     

 

 

 

 

Capital Markets (0.1%):

  

  475,000       Deutsche Bank AG, 1.88%, 2/13/18      473,547   
     

 

 

 

 

Diversified Financial Services (0.1%):

  

  400,000       CSG Guernsey I, Ltd., Registered Shares, 7.87%, 2/24/41, Callable 8/24/16 @ 100(c) (d)      418,221   
  400,000       Odebrecht Finance, Ltd., 4.38%, 4/25/25^(c)      305,880   
     

 

 

 
        724,101   
     

 

 

 

 

Diversified Telecommunication Services (0.1%):

  

  529,000       Intelsat Jackson Holdings SA, 7.50%, 4/1/21, Callable 4/1/16 @ 103.75      523,049   
     

 

 

 

 

Electric Utilities (0.0%):

  

  85,000       Empresa Distribuidora Y Comercializadora Norte SA, 9.75%, 10/25/22, Callable 10/25/18 @ 104.88(c)      71,698   
     

 

 

 

 

Government (0.0%):

  

  178,000       Provincia de Buenos Aires, 10.88%, 1/26/21(c)      178,890   
     

 

 

 
Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Industrial Conglomerates (0.1%):

  

$ 400,000       Hutchison Whampoa International 11, Ltd., 3.50%, 1/13/17(c)    $ 412,240   
     

 

 

 

 

Internet & Catalog Retail (0.2%):

  

  670,000       Alibaba Group Holding, Ltd., 3.13%, 11/28/21, Callable 9/28/21 @ 100(c)      661,734   
  313,000       Alibaba Group Holding, Ltd., 3.60%, 11/28/24, Callable 8/28/24 @ 100(c)      301,803   
     

 

 

 
        963,537   
     

 

 

 

 

Media (0.0%):

  

  200,000       Unitymedia Hessen, 5.50%, 1/15/23, Callable 1/15/18 @ 103(c)      203,875   
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.6%):

  

  1,102,000       Petrobras Global Finance BV, 2.42%, 1/15/19(d)      1,018,799   
  140,000       Petrobras Global Finance BV, 6.25%, 3/17/24      135,166   
  229,000       Petrobras International Finance Co., 5.38%, 1/27/21      220,252   
  750,000       Petroleos Mexicanos, 3.50%, 7/23/20^(c)      758,235   
  802,000       Petronas Capital, Ltd., 3.50%, 3/18/25(c)      793,415   
  469,000       YPF SA, 8.88%, 12/19/18(c)      498,313   
  1,615,000       YPF Sociedad Anonima, 8.50%, 7/28/25(c)      1,598,849   
     

 

 

 
        5,023,029   
     

 

 

 

 

Paper & Forest Products (0.1%):

  

  989,000       TFS Corp., Ltd., 11.00%, 7/15/18, Callable 7/15/15 @ 108(c)      1,013,725   
     

 

 

 

 

Pharmaceuticals (0.0%):

  

  675,000       Actavis Funding SCS, 3.00%, 3/12/20, Callable 2/12/20 @ 100      676,531   
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.0%):

  

  316,000       Trust F/1401, 5.25%, 12/15/24^(c)      328,640   
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  200,000       Sun Hung Kai Properties, Ltd., Series E, 4.50%, 2/14/22(c)      212,426   
     

 

 

 

 

Road & Rail (0.1%):

  

  495,000       Inversiones Alsacia SA, 0.00%, 8/18/18(a)(i)        
  530,056       Inversiones Alsacia SA, 8.00%, 12/31/18, Callable 7/27/15 @ 100(c)      312,733   
  435,000       Viterra, Inc., 5.95%, 8/1/20(c)      478,235   
     

 

 

 
        790,968   
     

 

 

 

 

Sovereign Bonds (1.0%):

  

  388,000       City of Buenos Aires Agrentina, 8.95%, 2/19/21(c)      395,760   
  516,000       Federal Republic of Brazil, 6.00%, 1/17/17      550,830   
  243,000       Federal Republic of Brazil, 4.88%, 1/22/21      253,935   
  347,947       Republic of Argentina, Series X, 1.37%, 4/17/17(f)      339,596   
  1,437,451       Republic of Argentina, -0.49%, 5/7/24(f)      1,388,577   
  781,000       Republic of Colombia, 7.38%, 1/27/17      849,728   
 

 

Continued

 

13


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Sovereign Bonds, continued

  

$ 860,000       Republic of Hungary, 4.13%, 2/19/18    $ 895,045   
  480,000       Republic of Indonesia, 6.88%, 1/17/18(c)      537,230   
  1,542,000       Republic of Turkey, 6.75%, 4/3/18      1,700,416   
     

 

 

 
        6,911,117   
     

 

 

 

 

Wireless Telecommunication Services (0.1%):

  

  200,000       Colombia Telecomm SA ESP, 5.38%, 9/27/22, Callable 9/27/17 @ 102.69(c)      198,250   
  572,000       Telecom Italia SpA, 5.30%, 5/30/24(c)      569,853   
     

 

 

 
        768,103   
     

 

 

 

 


Total Yankee Dollars (Cost $30,564,160)


     30,332,201   
     

 

 

 

 

U.S. Government Agency Mortgage (0.4%):

  

  2,837,000       Federal National Mortgage Association, 3.00%, 7/25/43      2,826,417   
     

 

 

 

 

Total U.S. Government Agency Mortgage (Cost $2,860,051)

     2,826,417   
     

 

 

 

 

U.S. Treasury Obligations (21.2%):

  

 

U.S. Treasury Bills (17.8%)

  

  20,000,000       0.03%, 7/9/15(f)      20,000,060   
  2,500,000       0.04%, 7/16/15(f)      2,499,980   
  5,000,000       0.06%, 7/23/15(f)      4,999,985   
  9,000,000       0.03%, 7/30/15(f)      8,999,856   
  8,000,000       0.02%, 8/13/15(f)      8,000,000   
  30,500,000       0.02%, 8/20/15(f)      30,499,787   
  11,500,000       0.03%, 8/27/15(f)      11,500,092   
  21,500,000       0.02%, 9/3/15(f)      21,500,000   
  6,000,000       0.03%, 9/10/15(f)      6,000,180   
  2,000,000       0.01%, 9/17/15(f)      2,000,000   
  1,000,000       0.02%, 10/8/15(f)      999,966   
  3,000,000       0.02%, 10/15/15(f)      2,999,823   
  1,000,000       0.02%, 10/22/15(f)      999,945   
  1,000,000       0.03%, 10/29/15(f)      999,958   
  12,025,000       0.05%, 11/5/15(f)      12,024,146   
  5,000,000       0.04%, 11/12/15(f)      4,999,395   
  3,500,000       0.06%, 11/19/15(f)      3,499,622   
     

 

 

 
        142,522,795   
     

 

 

 
Shares,
Contracts,
Notional
Amount or
Principal
Amount
           Fair Value  

 

U.S. Treasury Notes (3.5%)

  

$ 1,940,000       0.25%, 7/31/15(j)    $ 1,940,151   
  510,000       0.25%, 10/31/15      510,425   
  8,927,900       1.38%, 3/31/20      8,840,014   
  3,230,500       1.75%, 3/31/22      3,171,947   
  9,314,500       2.25%, 11/15/24      9,257,737   
  2,424,200       2.00%, 2/15/25      2,355,261   
  2,436,000       2.13%, 5/15/25      2,391,848   
     

 

 

 
        28,467,383   
     

 

 

 

 

U.S. Treasury Inflation Index Notes (0.0%)

  

  319,600       0.25%, 1/15/25      313,144   
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $171,627,098)

     171,303,322   
     

 

 

 

 

Purchased Swaptions (0.0%):

  

 

Total Purchased Swaptions (Cost $1,086,805)

     419,908   
     

 

 

 

 

Purchased Options (0.7%):

  

 

Total Purchased Options (Cost $8,172,956)

     8,558,049   
     

 

 

 

 

Exchange Traded Funds (0.8%):

  

  4,667       ETFS Platinum Trust(j)      486,301   
  5,528       ETFS Physical Palladium Shares(j)      360,149   
  112,395       iShares Gold Trust(j)      1,274,559   
  35,751       SPDR Gold Trust(j)      4,017,341   
     

 

 

 

 

Total Exchange Traded Fund (Cost $7,389,836)

     6,138,350   
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (5.5%):

  

  44,463,097       Allianz Variable Insurance Products Securities Lending Collateral Trust(k)      44,463,097   
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $44,463,097)

     44,463,097   
     

 

 

 

 

Unaffiliated Investment Company (0.1%):

  

  1,194,539       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(f)      1,194,539   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $1,194,539)

     1,194,539   
     

 

 

 

 

Total Investment Securities (Cost $835,567,492)(l) — 106.3%

     861,210,980   

 

Net other assets (liabilities) — (6.3)%

     (53,881,889
     

 

 

 

 

Net Assets — 100.0%

   $ 807,329,091   
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

GDR—Global Depositary Receipt

JPY—Notional amount stated is in Japanese Yen.

MTN—Medium Term Note

SPDR—Standard & Poor’s Depository Receipts

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $39,189,464.

 

+ The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 1.46% of the net assets of the fund.

 

(b) The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.14% of the net assets of the Fund.

 

Continued

 

14


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

(c) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(d) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(e) Defaulted bond.

 

(f) The rate represents the effective yield at June 30, 2015.

 

(g) Principal amount is stated in 1,000 Brazilian Real Units.

 

(h) Principal amount is stated in 100 Mexican Peso Units.

 

(i) Escrow security due to bankruptcy.

 

(j) All or a portion of these securities are held by the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”).

 

(k) 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, 2015.

 

(l) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Argentina

     0.6

Australia

     0.2

Belgium

     %NM 

Bermuda

     0.1

Brazil

     1.2

Canada

     1.4

Cayman Islands

     0.3

Chile

     0.1

China

     0.3

Colombia

     0.1

Cyprus

     %NM 

Denmark

     0.1

European Community

     0.3

France

     2.1

Germany

     1.1

Guernsey

    

Hong Kong

     0.9

Hungary

     0.1

India

     0.3

Indonesia

     0.3

Ireland (Republic of)

     0.7

Israel

     0.8

Italy

     1.5
Country    Percentage  

Japan

     11.0

Jersey

     0.2

Kazakhstan

     %NM 

Korea, Republic Of

     0.3

Luxembourg

     0.2

Malaysia

     0.3

Mexico

     3.7

Netherlands

     1.4

Norway

     0.3

Poland

     0.4

Portugal

     0.1

Republic of Korea (South)

     0.2

Singapore

     0.9

South Africa

     %NM 

Spain

     0.4

Sweden

     0.2

Switzerland

     1.5

Taiwan

     0.2

Thailand

     0.1

Turkey

     0.2

United Arab Emirates

     0.2

United Kingdom

     5.1

United States

     60.6
  

 

 

 
     100.0
  

 

 

 
 

 

NM Not meaningful, amount is less than 0.05%.

Securities Sold Short (-0.0%):

 

Security Description    Coupon
Rate
    Maturity
Date
     Par
Amount
     Proceeds
Received
     Fair
Value
     Unrealized
Appreciation/
Deprecation
 

Brookdale Senior Living, Inc.

     2.75     6/15/18       $ (72,000    $ (97,888    $ (93,915    $ 3,973   
          

 

 

    

 

 

    

 

 

 
           $ (97,888    $ (93,915    $ 3,973   
          

 

 

    

 

 

    

 

 

 

 

Continued

 

15


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Securities Sold Short (-0.0%):

 

Security Description    Proceeds
Received
     Fair
Value
     Unrealized
Appreciation/
Deprecation
 

Gentex Corp.

   $ (281,546    $ (255,840    $ 25,706   

Mead Johnson Nutrition Co.

     (68,430      (62,071      6,359   
  

 

 

    

 

 

    

 

 

 
     $(349,976)         $(317,911)       $ 32,065   
  

 

 

    

 

 

    

 

 

 

Futures Contracts

Cash of $2,954,580 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

E-Mini MSCI Emerging Markets Index September Futures (U.S. Dollar)

     Short         9/18/15         (42    $ (2,014,740    $ 20,432   

Russell 2000 Mini Index September Futures (U.S. Dollar)

     Short         9/18/15         (27      (3,376,080      19,016   

S&P 500 Index E-mini September Futures (U.S. Dollar)

     Short         9/18/15         (426      (43,758,720      751,877   

CAC 40 10 Euro September Futures (Euro)

     Short         7/17/15         (3      (160,066      (463

Tokyo Price Index September Futures (Japanese Yen)

     Long         9/10/15         10         1,332,434         (21,023

FTSE 100 Index September Futures (British Pounds)

     Long         9/18/15         1         102,020         (2,095

ASX SPI 200 Index September Futures (Australian Dollar)

     Long         9/17/15         1         104,081         (2,455

EURO STOXX 50 Index September Futures (Euro)

     Long         9/18/15         206         7,890,046         (327,065

YEN NIKKEI 225 Index September Futures (Japanese Yen)

     Long         9/10/15         9         743,197         (13,773

German Stock Index September Futures (Euro)

     Long         9/18/15         18         5,518,532         (68,108

S&P/Toronto Stock Exchange 60 Index September Futures (Canadian Dollar)

     Long         9/17/15         1         135,154         (1,477

NASDAQ 100 E-Mini September Futures (U.S. Dollar)

     Long         9/18/15         4         351,220         (4,937
              

 

 

 

Total

               $ 349,929   
              

 

 

 

Option Contracts

Over-the-counter options purchased as of June 30, 2015 were as follows:

 

Description    Counterparty    Put/
Call
  

Strike Price

     Expiration
Date
     Contracts      Fair
Value
 

Abbott Laboratories

   Citibank    Call      USD         49.00         01/15/16         39,100       $ 108,591   

Activision Blizzard, Inc.

   Deutsche Bank    Call      USD         19.00         01/15/16         40,927         233,712   

Bank of America Corp.

   Goldman Sachs    Call      USD         16.50         01/15/16         109,500         162,901   

Bank of New York Mellon Corp. (The)

   Deutsche Bank    Call      USD         46.00         05/20/16         59,789         92,001   

Baxter International, Inc.

   Goldman Sachs    Call      USD         72.75         03/18/16         15,855         36,801   

Citigroup, Inc.

   Goldman Sachs    Call      USD         50.50         01/15/16         50,800         345,309   

Delta Air Lines, Inc.

   Morgan Stanley    Call      USD         43.00         09/18/15         3,671         6,717   

Euro Stoxx 50 Index

   Goldman Sachs    Call      EUR         3500.00         03/16/18         424         153,823   

Euro Stoxx 50 Index

   Morgan Stanley    Call      EUR         3450.00         03/20/17         495         161,767   

Euro Stoxx 50 Index

   UBS Warburg    Call      EUR         3600.00         06/15/18         206         65,344   

Euro Stoxx 50 Index

   Citigroup Global Markets    Call      EUR         3500.00         06/16/17         462         135,905   

Euro Stoxx 50 Index

   Bank of America    Call      EUR         3600.00         09/15/17         477         132,301   

Euro Stoxx 50 Index

   Deutsche Bank    Call      EUR         3426.55         09/21/18         225         92,781   

Euro Stoxx 50 Index

   Barclays Bank    Call      EUR         3500.00         12/15/17         488         166,899   

Euro Stoxx 50 Index

   Goldman Sachs    Call      EUR         3293.01         12/16/16         1,161         452,202   

Euro Stoxx 50 Index

   JPMorgan Chase    Call      EUR         3675.00         12/18/15         1,214         135,328   

Euro Stoxx 600 Index

   Bank of America    Call      EUR         404.13         09/18/15         5,410         44,245   

General Electric Co.

   Deutsche Bank    Call      USD         28.50         01/15/16         79,276         37,818   

Gilead Sciences, Inc.

   Citigroup Global Markets    Call      USD         95.00         01/15/16         7,700         184,790   

GLDR Gold Shares(a)

   JPMorgan Chase    Call      USD         120.00         09/18/15         16,400         12,006   

Goldman Sachs Group, Inc.

   Deutsche Bank    Call      USD         220.00         01/15/16         5,500         44,051   

 

Continued

 

16


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Description    Counterparty    Put/
Call
  

Strike Price

     Expiration
Date
     Contracts      Fair
Value
 

Goldman Sachs Group, Inc.

   Deutsche Bank    Call      USD         220.00         05/20/16         14,300       $ 172,480   

International Business Machines Corp.

   Deutsche Bank    Call      USD         182.00         01/15/16         7,500         17,261   

International Business Machines Corp.

   Barclays Bank    Call      USD         182.00         01/15/16         7,500         17,261   

Johnson & Johnson

   Goldman Sachs    Call      USD         103.00         04/15/16         79,556         229,062   

Johnson & Johnson

   Deutsche Bank    Call      USD         110.00         07/17/15         76,700         302   

JPMorgan Chase & Co.

   Goldman Sachs    Call      USD         59.00         01/15/16         39,100         376,881   

KeyCorp

   Deutsche Bank    Call      USD         15.75         05/20/16         79,719         79,087   

Merck & Co., Inc.

   Goldman Sachs    Call      USD         59.00         01/15/16         78,450         159,532   

MetLife, Inc.

   Goldman Sachs    Call      USD         57.50         01/15/16         60,533         161,226   

Morgan Stanley

   Deutsche Bank    Call      USD         40.75         05/20/16         59,789         154,689   

MS Japan Custom Index

   Morgan Stanley    Call      JPY         131.28         12/11/15         1,352,770         272,469   

MS Japan Custom Index

   Morgan Stanley    Call      JPY         139.99         12/11/15         349,532         51,325   

Nikkei 225

   Goldman Sachs    Call      JPY         21968.28         03/09/18         16,713         215,590   

Pfizer, Inc.

   Citigroup Global Markets    Call      USD         33.00         01/15/16         151,300         265,752   

Prudential Financial, Inc.

   Citigroup Global Markets    Call      USD         90.00         01/15/16         46,970         226,730   

S&P 500 Index

   Credit Suisse First Boston    Call      USD         2350.00         08/21/15         8,427         1,199   

Stoxx Europe 600 Index

   Credit Suisse First Boston    Call      EUR         355.61         03/17/17         4,134         209,885   

Stoxx Europe 600 Index

   JPMorgan Chase    Call      EUR         372.06         09/15/17         3,057         124,920   

Stoxx Europe 600 Index

   JPMorgan Chase    Call      EUR         348.12         09/16/16         4,376         226,018   

Stoxx Europe 600 Index

   Credit Suisse First Boston    Call      EUR         400.00         12/16/16         8,646         204,415   

SunTrust Banks, Inc.

   Deutsche Bank    Call      USD         45.50         05/20/16         59,800         129,501   

Taiwan Stock Exchange

   Citibank    Call      TWD         9000.77         09/21/16         6,700         117,122   

Taiwan Stock Exchange Weighted Index

   Citigroup Global Markets    Call      TWD         9483.14         09/21/16         6,239         73,121   

Taiwan Stock Exchange Weighted Index

   Goldman Sachs    Call      TWD         9677.00         12/21/16         6,300         74,952   

Teva Pharmaceutical Industries, Ltd.

   Deutsche Bank    Call      USD         63.50         05/20/16         15,900         51,423   

Tokyo Stock Exchange Index

   Citigroup Global Markets    Call      JPY         1675.00         06/10/16         254,440         172,184   

Tokyo Stock Exchange Price Index

   Citibank    Call      JPY         1585.00         03/11/16         393,100         369,953   

Tokyo Stock Exchange Price Index

   Morgan Stanley    Call      JPY         1675.00         06/10/16         135,033         91,379   

Tokyo Stock Exchange Price Index

   Bank of America    Call      JPY         1525.00         12/11/15         263,891         298,063   

Tokyo Stock Exchange Tokyo Price

   BNP Paribas    Call      JPY         1600.00         09/11/15         126,888         73,318   

Tokyo Stock Exchange Tokyo Price

   Bank of America    Call      JPY         1615.00         09/11/15         196,900         99,274   

Tokyo Stock Exchange Tokyo Price

   UBS Warburg    Call      JPY         1675.00         09/11/15         138,500         37,073   

Tokyo Stock Exchange Tokyo Price

   Citibank    Call      JPY         1585.00         12/11/15         278,384         224,904   

Wells Fargo & Co.

   Goldman Sachs    Call      USD         60.00         01/15/16         18,400         23,297   

Wells Fargo & Co.

   Deutsche Bank    Call      USD         59.00         05/20/16         59,789         144,486   

Ibovespa Brasil Sao Paulo Index

   Bank of America    Put      BRL         47604.37         08/12/15         132         8,644   

Russell 2000 Index

   Bank of America    Put      USD         1215.00         08/21/15         3,301         73,366   

Russell 2000 Index

   UBS Warburg    Put      USD         1250.00         08/21/15         3,538         119,931   

Russell 2000 Index

   Morgan Stanley    Put      USD         1270.00         09/18/15         1,757         92,204   

S&P 500 Index

   Credit Suisse First Boston    Put      USD         2100.00         08/31/15         1,060         75,478   

S&P 500 Index

   Credit Suisse First Boston    Put      USD         2050.00         09/18/15         1,988         114,651   

SPX Put Option

   Morgan Stanley    Put      USD         2065.00         07/17/15         3,987         118,276   
                    

 

 

 

Total

                     $ 8,553,976   
                    

 

 

 

Over-the-counter options written as of June 30, 2015 were as follows:

 

Description    Counterparty    Put/
Call
   Strike
Price
     Expiration
Date
     Contracts      Fair
Value
 

Abbott Laboratories

   Citigroup Global Markets    Call      USD         55.00         01/15/16         39,100       $ (33,677

Activision Blizzard, Inc.

   Deutsche Bank    Call      USD         24.00         01/15/16         40,927         (85,505

Bank of America Corp.

   Goldman Sachs    Call      USD         19.00         01/15/16         109,500         (49,686

Bank of New York Mellon Corp. (The)

   Deutsche Bank    Call      USD         51.25         05/20/16         59,789         (35,465

Baxter International, Inc.

   Goldman Sachs    Call      USD         82.00         03/18/16         15,855         (6,231

Citigroup, Inc.

   Goldman Sachs    Call      USD         57.50         01/15/16         50,800         (135,965

Delta Air Lines, Inc.

   Morgan Stanley    Call      USD         50.00         09/18/15         3,671         (1,336

eBay, Inc.

   Citigroup Global Markets    Call      USD         60.00         08/21/15         13,400         (32,191

General Electric Co.

   Deutsche Bank    Call      USD         32.00         01/15/16         79,276         (6,597

 

Continued

 

17


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Description    Counterparty    Put/
Call
   Strike
Price
     Expiration
Date
     Contracts      Fair Value  

Goldman Sachs Group, Inc.

   Deutsche Bank    Call      USD         245.00         05/20/16         14,300       $ (68,724

Ibovespa Brasil Sao Paulo Index

   Bank of America    Call      BRL         55416.37         08/12/15         132         (40,212

Johnson & Johnson

   Goldman Sachs    Call      USD         113.00         04/15/16         79,556         (73,704

JPMorgan Chase & Co.

   Goldman Sachs    Call      USD         66.00         01/15/16         39,100         (178,668

KeyCorp

   Deutsche Bank    Call      USD         17.90         05/20/16         79,719         (32,711

Merck & Co., Inc.

   Goldman Sachs    Call      USD         65.00         01/15/16         78,450         (47,936

MetLife, Inc.

   Goldman Sachs    Call      USD         67.50         01/15/16         60,533         (28,164

Mobileye NV

   Citigroup Global Markets    Call      USD         55.00         08/21/15         7,983         (18,812

Mobileye NV

   Citigroup Global Markets    Call      USD         60.00         08/21/15         3,192         (3,261

Morgan Stanley

   Deutsche Bank    Call      USD         46.00         05/20/16         59,789         (62,924

Pfizer, Inc.

   Citigroup Global Markets    Call      USD         37.50         01/15/16         151,300         (51,189

Prudential Financial, Inc.

   Citigroup Global Markets    Call      USD         105.00         01/15/16         46,970         (43,037

Russell 2000 Index

   Bank of America    Call      USD         1315.00         08/21/15         3,301         (22,247

Russell 2000 Index

   UBS Warburg    Call      USD         1350.00         08/21/15         3,538         (6,640

Russell 2000 Index

   Morgan Stanley    Call      USD         1360.00         09/18/15         1,757         (6,372

S&P 500 Index

   Credit Suisse First Boston    Call      USD         2185.00         09/18/15         1,988         (14,128

SunTrust Banks, Inc.

   Deutsche Bank    Call      USD         51.75         05/20/16         59,800         (46,915

Tenet Healthcare Corp.

   Goldman Sachs    Call      USD         49.00         08/21/15         9,341         (79,916

Teva Pharmaceutical Industries, Ltd.

   Deutsche Bank    Call      USD         73.00         05/20/16         15,900         (16,198

Tiffany & Co.

   Goldman Sachs    Call      USD         97.50         08/21/15         4,501         (4,406

Tokyo Stock Exchange Tokyo Price

   UBS Warburg    Call      JPY         1825.00         09/11/15         138,500         (4,229

Tokyo Stock Exchange Tokyo Price

   Citibank    Call      JPY         1800.00         12/11/15         278,384         (43,931

United Continental Holdings, Inc.

   Citigroup Global Markets    Call      USD         60.00         01/15/16         7,117         (23,442

Valeant Pharmaceuticals International, Inc.

   Barclays Bank    Call      USD         240.00         01/15/16         1,200         (20,839

Wells Fargo & Co.

   Deutsche Bank    Call      USD         66.00         05/20/16         59,789         (48,035

Delta Air Lines, Inc.

   Morgan Stanley    Put      USD         39.00         09/18/15         3,671         (6,449

Euro Stoxx 50 Index

   Deutsche Bank    Put      EUR         2586.07         09/21/18         225         (57,721

Euro Stoxx 600 Index

   Bank of America    Put      EUR         368.48         09/18/15         5,410         (69,386

Goodyear Tire & Rubber Co.

   Morgan Stanley    Put      USD         28.00         10/16/15         19         (1,914

MS Japan Custom Index

   Morgan Stanley    Put      JPY         128.68         12/11/15         1,352,770         (33,209

MS Japan Custom Index

   Morgan Stanley    Put      JPY         137.22         12/11/15         349,532         (13,587

Nikkei 225

   Goldman Sachs    Put      JPY         17974.04         03/09/18         16,713         (228,113

Russell 2000 Index

   Bank of America    Put      USD         1115.00         08/21/15         3,301         (21,375

Russell 2000 Index

   UBS Warburg    Put      USD         1200.00         08/21/15         3,538         (61,737

Russell 2000 Index

   Morgan Stanley    Put      USD         1170.00         09/18/15         1,757         (35,478

S&P 500 Index

   Credit Suisse First Boston    Put      USD         1900.00         08/31/15         1,060         (19,070

S&P 500 Index

   Credit Suisse First Boston    Put      USD         1900.00         09/18/15         1,988         (46,188

Taiwan Stock Exchange

   Citibank    Put      TWD         8100.70         09/21/16         6,700         (69,756

Taiwan Stock Exchange Weighted Index

   Citigroup Global Markets    Put      TWD         8691.29         09/21/16         6,239         (111,782

Taiwan Stock Exchange Weighted Index

   Goldman Sachs    Put      TWD         8868.97         12/21/16         6,300         (146,522

Teva Pharmaceutical Industries, Ltd.

   Deutsche Bank    Put      USD         55.00         05/20/16         15,900         (55,262

Tokyo Stock Exchange Price Index

   Citigroup Global Markets    Put      JPY         1435.00         03/11/16         393,100         (111,341

Tokyo Stock Exchange Price Index

   Morgan Stanley    Put      JPY         1450.00         06/10/16         135,033         (56,500

Tokyo Stock Exchange Price Index

   Citigroup Global Markets    Put      JPY         1475.00         06/10/16         127,220         (60,441

Tokyo Stock Exchange Price Index

   Bank of America    Put      JPY         1425.00         12/11/15         263,891         (45,013

Tokyo Stock Exchange Tokyo Price

   Bank of America    Put      JPY         1435.00         09/11/15         196,900         (12,576

Tokyo Stock Exchange Tokyo Price

   Citibank    Put      JPY         1400.00         12/11/15         278,384         (39,680

Tokyo Stock Price Index

   Citigroup Global Markets    Put      JPY         1500.00         06/10/16         127,220         (68,521
                    

 

 

 

Total

                     $ (2,744,914
                    

 

 

 

Exchange-traded options purchased as of June 30, 2015 were as follows:

 

Description    Put/
Call
  

Strike Price

     Expiration
Date
     Contracts      Fair
Value
 

Apple, Inc.

   Call    USD      135.00         08/21/15         12       $ 1,554   

Goodyear Tire & Rubber Co.

   Call    USD      31.00         10/16/15         19         2,519   
                 

 

 

 

Total

                  $ 4,073   
                 

 

 

 

 

Continued

 

18


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Exchange-traded options written as of June 30, 2015 were as follows:

 

Description    Put/
Call
   Strike Price      Expiration
Date
     Contracts      Fair
Value
 

Aetna, Inc.

   Call    USD      130.00         10/16/15         8       $ (5,860

Apple, Inc.

   Call    USD      150.00         08/21/15         12         (156

Diageo plc

   Call    USD      125.00         10/16/15         14         (2,485

Diageo plc

   Call    USD      125.00         10/16/15         23         (4,083

DISH Network Corp.

   Call    USD      80.00         09/18/15         16         (960

Philip Morris International, Inc.

   Call    USD      85.00         12/18/15         49         (7,497

Apple, Inc.

   Put    USD      120.00         08/21/15         12         (3,084

Molson Coors Brewing Co.

   Put    USD      65.00         01/15/16         24         (8,400
                 

 

 

 

Total

                  $ (32,525
                 

 

 

 

Over-the-counter interest rate swaptions purchased as of June 30, 2015 were as follows:

 

Description    Counterparty    Put/
Call
   Exercise
Rate
     Expiration
Date
     Notional
Amount
     Market
Value
 

5-Year Interest Rate, Pay 6-Month USD LIBOR

   Deutsche Bank    Call      USD         1.50         06/30/15         4,001       $   

5-Year Interest Rate, Pay 6-Month USD LIBOR

   Deutsche Bank    Call      USD         1.53         08/12/15         6,427         67,498   

5-Year Interest Rate, Pay 6-Month USD LIBOR

   Goldman Sachs    Call      USD         1.90         09/18/15         4,051         322,115   

10-Year Interest Rate, Pay 6-Month JPY LIBOR

   Goldman Sachs    Put      JPY         1.35         01/25/16         30,000         9,205   

10-Year Interest Rate, Pay 6-Month JPY LIBOR

   Goldman Sachs    Put      JPY         1.35         01/25/16         13,882         4,260   

10-Year Interest Rate, Pay 6-Month JPY LIBOR

   Deutsche Bank    Put      JPY         1.25         08/01/16         1,937,701         11,012   

5-Year Interest Rate, Pay 6-Month JPY LIBOR

   Deutsche Bank    Put      JPY         1.07         04/04/18         1,006,980         5,818   
                    

 

 

 

Total

                     $ 419,908   
                    

 

 

 

Over-the-counter interest rate swaptions written as of June 30, 2015 were as follows:

 

Description    Counterparty    Put/
Call
   Exercise
Rate
     Expiration
Date
     Notional
Amount
     Market
Value
 

5-Year Interest Rate, Pay 6-Month USD LIBOR

   Goldman Sachs    Call      USD         1.65         09/14/15         4,051       $ (120,734
                    

 

 

 

Total

                     $ (120,734
                    

 

 

 

Forward Currency Contracts

At June 30, 2015, the Fund’s open forward currency contracts were as follows:

 

Type of Contract    Counterparty    Delivery
Date
   Contract
Amount
(Local
Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Short Contracts:

                 

Australian Dollar

   Morgan Stanley    7/31/15      651,000       $ 498,373       $ 501,244       $ (2,871

Australian Dollar

   Credit Suisse First Boston    8/14/15      531,960         409,077         409,287         (210

Brazilian Real

   BNP Paribas    7/13/15      5,170,687         1,678,903         1,655,581         23,322   

Brazilian Real

   Deutsche Bank    7/13/15      3,946,520         1,280,267         1,263,620         16,647   

Brazilian Real

   Morgan Stanley    7/13/15      4,683,262         1,524,450         1,499,515         24,935   

British Pound

   Deutsche Bank    7/16/15      551,000         844,683         865,516         (20,833

British Pound

   BNP Paribas    7/30/15      1,306,000         2,039,090         2,051,266         (12,176

Canadian Dollar

   BNP Paribas    7/10/15      986,654         805,409         789,974         15,435   

Chilean Peso

   Morgan Stanley    8/24/15      458,662,190         763,000         714,070         48,930   

Chilean Peso

   UBS Warburg    8/26/15      460,660,910         766,000         717,049         48,951   

Chilean Peso

   JPMorgan Chase    9/15/15      468,006,000         770,000         727,112         42,888   

Chinese Renminbi

   Morgan Stanley    8/7/15      5,027,277         787,000         808,550         (21,550

Chinese Renminbi

   JPMorgan Chase    8/28/15      7,413,000         1,189,563         1,190,770         (1,207

European Euro

   Deutsche Bank    7/9/15      718,000         814,348         800,453         13,895   

Indonesian Rupiah

   Credit Suisse First Boston    7/31/15      10,524,385,000         787,871         784,530         3,341   

Japanese Yen

   Deutsche Bank    7/2/15      475,268,000         3,969,100         3,883,860         85,240   

 

Continued

 

19


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract
Amount
(Local
Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Japanese Yen

   JPMorgan Chase    7/2/15      475,699,641       $ 3,972,025       $ 3,887,389       $ 84,636   

Japanese Yen

   BNP Paribas    7/9/15      480,324,000         4,037,643         3,925,641         112,002   

Japanese Yen

   UBS Warburg    7/9/15      97,884,000         822,409         799,996         22,413   

Japanese Yen

   Credit Suisse First Boston    7/10/15      174,640,128         1,448,995         1,427,335         21,660   

Japanese Yen

   Credit Suisse First Boston    7/10/15      160,000,000         1,347,936         1,307,681         40,255   

Japanese Yen

   Deutsche Bank    7/10/15      174,802,944         1,450,936         1,428,666         22,270   

Japanese Yen

   Deutsche Bank    7/13/15      160,000,000         1,331,901         1,307,732         24,169   

Japanese Yen

   BNP Paribas    7/31/15      177,308,000         1,427,566         1,449,534         (21,968

Japanese Yen

   JPMorgan Chase    8/3/15      200,000,000         1,684,636         1,635,101         49,535   

Japanese Yen

   Credit Suisse First Boston    8/6/15      50,265,000         406,093         410,955         (4,862

Japanese Yen

   Morgan Stanley    8/6/15      294,654,000         2,377,555         2,409,024         (31,469

Japanese Yen

   BNP Paribas    8/7/15      208,543,000         1,677,503         1,705,019         (27,516

Japanese Yen

   HSBC Bank    8/7/15      164,623,000         1,329,370         1,345,935         (16,565

Japanese Yen

   JPMorgan Chase    8/7/15      321,676,000         2,599,465         2,629,979         (30,514

Japanese Yen

   Deutsche Bank    8/10/15      200,000,000         1,687,763         1,635,226         52,537   

Japanese Yen

   Credit Suisse First Boston    8/13/15      160,393,000         1,293,492         1,311,438         (17,946

Japanese Yen

   JPMorgan Chase    8/13/15      384,964,000         3,103,935         3,147,620         (43,685

Japanese Yen

   Morgan Stanley    8/14/15      417,714,000         3,367,833         3,415,435         (47,602

Japanese Yen

   Morgan Stanley    8/31/15      300,000,000         2,416,471         2,453,449         (36,978

Japanese Yen

   JPMorgan Chase    10/13/15      290,000,000         2,416,908         2,373,783         43,125   

Japanese Yen

   BNP Paribas    11/10/15      240,000,000         2,004,611         1,965,749         38,862   

Japanese Yen

   Credit Suisse First Boston    12/10/15      310,000,000         2,530,530         2,540,808         (10,278

Korean Won

   Morgan Stanley    9/11/15      2,204,875,000         1,963,904         1,976,278         (12,374

Korean Won

   Credit Suisse First Boston    10/27/15      1,746,403,000         1,626,074         1,565,308         60,766   

Korean Won

   Deutsche Bank    10/27/15      2,122,389,000         1,971,564         1,902,306         69,258   

Mexican Peso

   UBS Warburg    7/9/15      32,787,660         2,232,914         2,084,995         147,919   

Mexican Peso

   Credit Suisse First Boston    7/23/15      15,844,030         1,070,275         1,006,505         63,770   

Mexican Peso

   Deutsche Bank    7/23/15      12,143,770         803,399         771,443         31,956   

Mexican Peso

   Credit Suisse First Boston    8/6/15      31,846,000         2,134,093         2,021,011         113,082   

Mexican Peso

   Credit Suisse First Boston    8/7/15      23,182,000         1,488,096         1,471,073         17,023   

Mexican Peso

   BNP Paribas    8/13/15      11,672,000         751,795         740,364         11,431   

Mexican Peso

   Deutsche Bank    8/13/15      11,672,000         751,795         740,364         11,431   

Mexican Peso

   BNP Paribas    8/20/15      12,141,100         802,097         769,740         32,357   

Mexican Peso

   Deutsche Bank    8/20/15      15,861,480         1,038,497         1,005,610         32,887   

Mexican Peso

   BNP Paribas    9/3/15      11,962,030         755,465         757,650         (2,185

Mexican Peso

   Morgan Stanley    9/17/15      31,997,050         2,078,829         2,024,713         54,116   

Mexican Peso

   Deutsche Bank    10/1/15      16,400,000         1,063,844         1,036,760         27,084   

Mexican Peso

   JPMorgan Chase    10/1/15      16,065,120         1,052,933         1,015,590         37,343   

Mexican Peso

   Deutsche Bank    10/15/15      24,228,960         1,555,382         1,530,101         25,281   

Mexican Peso

   Credit Suisse First Boston    10/29/15      16,214,820         1,022,501         1,022,934         (433

Mexican Peso

   Deutsche Bank    11/12/15      35,369,040         2,293,563         2,228,993         64,570   

Mexican Peso

   Credit Suisse First Boston    11/27/15      8,106,800         510,093         510,331         (238

Singapore Dollar

   Morgan Stanley    8/6/15      1,108,000         825,904         822,491         3,413   

Swiss Franc

   BNP Paribas    7/31/15      1,981,000         2,139,632         2,122,114         17,518   
           

 

 

    

 

 

    

 

 

 
            $ 93,595,359       $ 92,302,566       $ 1,292,793   
           

 

 

    

 

 

    

 

 

 

Long Contracts:

                 

Brazilian Real

   Deutsche Bank    7/13/15      2,518,000       $ 805,167       $ 806,228       $ 1,061   

Canadian Dollar

   BNP Paribas    7/10/15      986,654         800,543         789,974         (10,569

 

Continued

 

20


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Chilean Peso

   Morgan Stanley    8/24/15      458,662,190       $ 759,525       $ 714,070       $ (45,455

Chilean Peso

   UBS Warburg    8/26/15      460,660,910         737,779         717,049         (20,730

Chilean Peso

   JPMorgan Chase    9/15/15      468,006,000         749,197         727,112         (22,085

European Euro

   Deutsche Bank    7/9/15      718,000         797,834         800,453         2,619   

European Euro

   Credit Suisse First Boston    7/17/15      1,846,000         2,059,822         2,058,210         (1,612

European Euro

   Deutsche Bank    8/20/15      1,834,000         2,054,465         2,045,809         (8,656

European Euro

   Credit Suisse First Boston    8/21/15      2,171,200         2,430,496         2,421,987         (8,509

European Euro

   JPMorgan Chase    8/21/15      1,497,800         1,678,268         1,670,805         (7,463

European Euro

   Deutsche Bank    8/27/15      1,287,539         1,435,867         1,436,383         516   

Indian Rupee

   Credit Suisse First Boston    8/5/15      48,714,560         752,000         759,531         7,531   

Indian Rupee

   Credit Suisse First Boston    12/18/15      89,750,618         1,371,076         1,362,630         (8,446

Japanese Yen

   BNP Paribas    7/2/15      254,260,000         2,045,321         2,077,797         32,476   

Japanese Yen

   Deutsche Bank    7/2/15      352,780,198         2,875,908         2,882,898         6,990   

Japanese Yen

   JPMorgan Chase    7/2/15      221,439,641         1,794,508         1,809,591         15,083   

Japanese Yen

   BNP Paribas    7/9/15      255,181,000         2,041,456         2,085,569         44,113   

Japanese Yen

   UBS Warburg    7/9/15      97,884,000         818,189         799,996         (18,193
           

 

 

    

 

 

    

 

 

 
            $ 26,007,421       $ 25,966,092       $ (41,329
           

 

 

    

 

 

    

 

 

 

Centrally Cleared Credit Default Swap Agreements—Buy Protection(b)

At June 30, 2015, the Fund’s open centrally cleared credit default swap agreements were as follows:

 

Underlying Instrument    Clearing Agent    Expiration
Date
   Implied
Credit
Spread at
June 30,
2015
(%)(c)
     Notional
Amount
($)(d)
     Fixed
Rate
(%)
     Value
($)
     Premiums
Paid/
(Received)
($)
     Unrealized
Appreciation/
(Depreciation)
($)
 

CDX North America High Yield Index Swap Agreement with JPMorgan Chase Bank, N.A., Series 24

   JPMorgan Chase    6/20/20      3.56         663,806         5.00         (41,824      (45,514      3,690   
                 

 

 

    

 

 

    

 

 

 
                    (41,824    $ (45,514      3,690   
                 

 

 

    

 

 

    

 

 

 

Centrally Cleared Credit Default Swap Agreements—Sell Protection(b)

At June 30, 2015, the Fund’s open centrally cleared credit default swap agreements were as follows:

 

Underlying Instrument    Clearing Agent    Expiration
Date
   Implied
Credit
Spread at
June 30,
2015
(%)(c)
     Notional
Amount
($)(d)
     Fixed
Rate
(%)
     Value
($)
     Premiums
Paid/
(Received)
($)
     Unrealized
Appreciation/
(Depreciation)
($)
 

CDX North America Investment Grade Index Swap Agreement with JPMorgan Chase Bank, N.A., Series 24

   JPMorgan Chase    6/20/20      3.54         200,000         1.00         2,828         3,910         (1,082

iTraxx Europe Crossover Swap Agreement with JPMorgan Chase Bank, N.A., Series 23

   JPMorgan Chase    6/20/20      3.31         1,186,469         5.00         100,271         129,125         (28,854
                 

 

 

    

 

 

    

 

 

 
                    103,099         133,035         (29,936
                 

 

 

    

 

 

    

 

 

 

 

Continued

 

21


AZL BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Over-the-Counter Interest Rate Swap Agreements

At June 30, 2015, the Fund’s open over-the-counter interest rate swap agreements were as follows:

 

Pay/ Receive
Floating Rate
   Floating Rate Index    Fixed
Rate (%)
   Expiration
Date
     Counterparty      Notional
Amount
(Local)
     Value
($)
     Unrealized
Appreciation/
(Depreciation)
($)
 

Pay

   3-Month U.S. Dollar LIBOR BBA    1 .230      3/15/17         Bank of America         1,597,500         JPY         18,608         18,608   

Pay

   3-Month U.S. Dollar LIBOR BBA    2 .057      3/17/20         Deutsche Bank         2,463,000         PLN         (8,183      (8,183

Pay

   3-Month U.S. Dollar LIBOR BBA    2 .050      3/19/20         Deutsche Bank         821,000         PLN         (2,828      (2,828
                    

 

 

    

 

 

 
                       7,597         7,597   
                    

 

 

    

 

 

 

Centrally Cleared Interest Rate Swap Agreements

At June 30, 2015, the Fund’s open centrally cleared interest rate swap agreements were as follows:

 

Pay/ Receive
Floating Rate
   Floating Rate Index    Fixed
Rate
(%)
   Expiration
Date
     Clearing Agent      Notional
Amount
(Local)
     Premiums
Paid/
Received
($)
     Value
($)
     Unrealized
Appreciation/
(Depreciation)
($)
 

Pay

   3-Month U.S. Dollar LIBOR BBA    1.029      3/11/17         JPMorgan Chase         20,300,000         USD         212         (148,271      (148,483

Pay

   3-Month U.S. Dollar LIBOR BBA    1.081      4/7/17         JPMorgan Chase         39,600,000         USD         429         (269,752      (270,181

Pay

   3-Month U.S. Dollar LIBOR BBA    3.475      2/5/20         JPMorgan Chase         1,187,843         NZD         12         10,046         10,034   

Pay

   3-Month U.S. Dollar LIBOR BBA    3.590      2/9/20         JPMorgan Chase         2,032,000         NZD         21         24,970         24,949   

Pay

   3-Month U.S. Dollar LIBOR BBA    3.600      2/9/20         JPMorgan Chase         2,383,000         NZD                 30,033         30,033   

Pay

   3-Month U.S. Dollar LIBOR BBA    1.878      3/11/20         JPMorgan Chase         8,260,000         USD         114         111,215         111,101   

Pay

   3-Month U.S. Dollar LIBOR BBA    2.888      6/12/20         JPMorgan Chase         963,198         AUD         11         5,198         5,187   

Pay

   3-Month U.S. Dollar LIBOR BBA    2.220      4/7/25         JPMorgan Chase         8,590,000         USD         145         (127,138      (127,283

Pay

   3-Month U.S. Dollar LIBOR BBA    3.123      6/5/25         JPMorgan Chase         8,120,000         USD         121         (34,662      (34,783
                       

 

 

    

 

 

 
                          (398,361      (399,426
                       

 

 

    

 

 

 

Total Return Swaps at June 30, 2015

 

Counterparty    Receive/Pay
Total Return
   Expiration
Date
   Notional
Amount
(Local)
     Unrealized
Appreciation/
(Depreciation)
 

BNP Paribas SA

   EURO Stoxx 50 Index Dividends December Futures    12/21/18      179,040         USD       $ (3,360

BNP Paribas SA

   EURO Stoxx 50 Index Dividends December Futures    12/15/17      357,346         USD         (6,116

BNP Paribas SA

   EURO Stoxx 50 Index Dividends December Futures    12/15/17      365,440         USD         (2,880

BNP Paribas SA

   EURO Stoxx 50 Index Dividends December Futures    12/21/18      363,120         USD         (11,760

BNP Paribas SA

   EURO Stoxx 50 Index Dividends December Futures    12/21/18      192,100         USD         (5,440

BNP Paribas SA

   NIKKEI 225 Dividend Index E-Mini March Futures    3/31/16      26,350,000         JPY         55,079   

BNP Paribas SA

   NIKKEI 225 Dividend Index E-Mini March Futures    3/31/16      26,800,000         JPY         51,401   

BNP Paribas SA

   NIKKEI 225 Dividend Index E-Mini March Futures    3/31/17      25,515,000         JPY         78,916   

BNP Paribas SA

   NIKKEI 225 Dividend Index E-Mini March Futures    3/31/17      27,850,000         JPY         91,771   

Credit Suisse First Boston

   PT Siloam International Hospitals Tbk    2/11/16      175,702         USD         19,070   
              

 

 

 
               $ 266,681   
              

 

 

 

 

(a) All or a portion of these securities are held by the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”).

 

(b) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a seller of credit protection will either (i) pay to the buyer of protection an amount equal to the par value of the defaulted reference entity and take delivery of the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. Alternatively, the Fund as a buyer of credit protection will either (i) receive from the seller of protection an amount equal to the par value of the defaulted reference entity and deliver the reference entity to the seller or (ii) receive a net amount of equal to the par value of the defaulted reference entity less its recovery value.

 

(c) Implied credit spread, represented in absolute terms, utilized in determining the market value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include upfront or daily payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.

 

(d) The notional amount represents the maximum potential amount the Fund could be required to make as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement.

 

See accompanying notes to the financial statements.

 

22


AZL BlackRock Global Allocation Fund

 

Consolidated Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 835,567,492  
    

 

 

 

Investment securities, at value*

     $ 861,210,980  

Cash

       196,528  

Segregated cash for collateral

       3,931,385  

Deposits with brokers for securities sold short

       338,064  

Interest and dividends receivable

       1,905,106  

Foreign currency, at value (cost $334,874)

       336,215  

Unrealized appreciation on forward currency contracts

       1,766,642  

Unrealized appreciation on swap agreements

       314,845  

Receivable for capital shares issued

       537,511  

Receivable for investments sold

       4,756,463  

Reclaims receivable

       177,404  

Receivable for variation margin on swaps

       12,134  

Receivable for variation margin on futures contracts

       964,734  

Prepaid expenses

       13,460  
    

 

 

 

Total Assets

       876,461,471  
    

 

 

 

Liabilities:

    

Cash received as collateral for derivatives

       5,880,000  

Written options (Proceeds received $3,358,988)

       2,898,173  

Unrealized depreciation on forward currency contracts

       515,178  

Unrealized depreciation on swap agreements

       40,567  

Payable for collateral received on loaned securities

       44,463,097  

Payable for investments purchased

       13,781,148  

Securities sold short (Proceeds received $447,864)

       411,826  

Dividend payable on securities sold short

       1,159  

Payable for variation margin on futures contracts

       274,084  

Payable for variation margin on swaps

       15,895  

Manager fees payable

       502,464  

Administration fees payable

       46,040  

Distribution fees payable

       167,488  

Custodian fees payable

       103,715  

Administrative and compliance services fees payable

       1,009  

Trustee fees payable

       6,405  

Other accrued liabilities

       24,132  
    

 

 

 

Total Liabilities

       69,132,380  
    

 

 

 

Net Assets

     $ 807,329,091  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 712,341,079  

Accumulated net investment income/(loss)

       17,568,226  

Accumulated net realized gains/(losses) from investment transactions

       49,908,070  

Net unrealized appreciation/(depreciation) on investments

       27,511,716  
    

 

 

 

Net Assets

     $ 807,329,091  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       65,755,439  

Net Asset Value (offering and redemption price per share)

     $ 12.28  
    

 

 

 

 

* Includes securities on loan of $39,189,464.

Consolidated Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 5,553,055  

Interest

       3,376,867  

Income from securities lending

       151,997  

Foreign withholding tax

       (333,923 )
    

 

 

 

Total Investment Income

       8,747,996  
    

 

 

 

Expenses:

    

Manager fees

       2,975,782  

Administration fees

       185,596  

Distribution fees

       991,928  

Custodian fees

       169,208  

Administrative and compliance services fees

       5,199  

Trustee fees

       20,968  

Professional fees

       20,529  

Shareholder reports

       4,860  

Broker fees and charges on short sales

       870  

Dividends on securities sold short

       14,015  

Other expenses

       8,829  
    

 

 

 

Net expenses

       4,397,784  
    

 

 

 

Net Investment Income/(Loss)

       4,350,212  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains (losses) on securities transactions

       6,870,189  

Net realized gains (losses) on futures contracts

       200,079  

Net realized gains (losses) on options contracts

       1,193,046  

Net realized gains (losses) on swap agreements

       927,323  

Net realized gains (losses) on forward currency contracts

       6,657,181  

Change in net unrealized appreciation/depreciation on investments

       (120,843 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       15,726,975  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 20,077,187  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

23


Consolidated Statements of Changes in Net Assets

 

     AZL BlackRock Global Allocation Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change in Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 4,350,212        $ 8,314,781  

Net realized gains/(losses) on investment transactions

       15,847,818          39,803,587  

Change in unrealized appreciation/depreciation on investments

       (120,843 )        (34,975,914 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       20,077,187          13,142,454  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (4,674,726 )

From net realized gains

                (15,060,387 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (19,735,113 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       23,533,392          125,520,079  

Proceeds from dividends reinvested

                19,735,113  

Value of shares redeemed

       (14,024,870 )        (7,607,923 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       9,508,522          137,647,269  
    

 

 

      

 

 

 

Change in net assets

       29,585,709          131,054,610  

Net Assets:

         

Beginning of period

       777,743,382          646,688,772  
    

 

 

      

 

 

 

End of period

     $ 807,329,091        $ 777,743,382  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 17,568,226        $ 13,218,014  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       1,907,151          10,340,877  

Dividends reinvested

                1,622,953  

Shares redeemed

       (1,142,551 )        (629,704 )
    

 

 

      

 

 

 

Change in shares

       764,600          11,334,126  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

24


AZL BlackRock Global Allocation Fund

Consolidated Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  January 10, 2012
to
December 31,
2012 (a)
     (Unaudited)            

Net Asset Value, Beginning of Period

     $ 11.97       $ 12.05       $ 10.58       $ 10.00  
    

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                

Net Investment Income/(Loss)

       0.06         0.12         0.07         0.13  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.25         0.12         1.42         0.58  
    

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.31         0.24         1.49         0.71  
    

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                

Net Investment Income

               (0.08 )       (b)       (0.13 )

Realized Gains

               (0.24 )       (0.02 )        
    

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.32 )       (0.02 )       (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 12.28       $ 11.97       $ 12.05       $ 10.58  
    

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       2.59 %(d)       1.95 %       14.11 %       7.13 %(d)

Ratios to Average Net Assets/Supplemental Data:

                

Net Assets, End of Period (000’s)

     $ 807,329       $ 777,743       $ 646,689       $ 309,063  

Net Investment Income/(Loss)(e)

       1.10 %       1.14 %       0.72 %       1.09 %

Expenses Before Reductions(e) (f)

       1.11 %       1.11 %       1.14 %       1.15 %

Expenses Net of Reductions(e)

       1.11 %       1.11 %       1.14 %       1.14 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(e) (g)

       1.11 %       1.11 %       1.14 %       1.15 %

Portfolio Turnover Rate

       81 %(d)       74 %       50 %       74 %(d)

 

(a) Period from commencement of operations.

 

(b) Less than $0.005.

 

(c) The return includes reinvested dividends and fund level expenses, but excludes insurance contract charges. If these charges were included, the returns would have been lower.

 

(d) Not annualized.

 

(e) Annualized for periods less than one year.

 

(f) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(g) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, which is used to pay certain Fund Expenses.

 

See accompanying notes to the financial statements.

 

25


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL BlackRock Global Allocation Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Consolidation of Subsidiaries

The Fund’s primary vehicle for gaining exposure to the commodities markets is through investment in the AZL Cayman Global Allocation Fund, Ltd. (the “Subsidiary”), a wholly-owned and controlled subsidiary of the Fund formed in the Cayman Islands, which invests primarily in commodity-related instruments.

As of June 30, 2015, the Fund’s aggregate investment in the Subsidiary was $8,085,114, representing 1.00% of the Fund’s net assets. The Fund’s operations have been consolidated with the operations of the Subsidiary.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Floating Rate Loans

The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are floating, not fixed and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.

 

26


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Consolidated Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $44.2 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $15,061 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Consolidated Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Consolidated Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts 

During the period ended June 30, 2015, the Fund entered into forward currency contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $119.6 million as of June 30, 2015. The monthly average amount for these contracts was $116.5 million for the period ended June 30, 2015.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to gain exposure to, or economically hedge against changes in the value of equity securities. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Consolidated Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $65.5 million as of June 30, 2015. The monthly average notional amount for these contracts was $37.3 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Consolidated Statement of Operations.

 

27


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015, the Fund purchased and wrote call and put options to increase or decrease its exposure to underlying instruments (including equity risk, interest rate risk and/or foreign currency exchange rate risk) and/or, in the case of options written, to generate gains from options premiums.

Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Consolidated Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.

Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.

Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Consolidated Statement of Operations.

The Fund had the following transactions in purchased call and put options during the period ended June 30, 2015:

 

        Number of
Contracts
     Notional
Amount(a)
     Cost

Options outstanding at December 31, 2014

         4,549,398            3,664,669          $ 8,743,630  

Options purchased

         4,072,761            80,132            9,895,322  

Options exercised

         (129,653 )                     (666,949 )

Options expired

         (459,105 )          (259,476 )          (2,820,152 )

Options closed

         (3,169,190 )          (482,283 )          (5,892,090 )
      

 

 

        

 

 

        

 

 

 

Options outstanding at June 30, 2015

         4,864,211            3,003,042          $ 9,259,761  
      

 

 

        

 

 

        

 

 

 

The Fund had the following transactions in written call and put options during the period ended June 30, 2015:

 

        Number of
Contracts
     Notional
Amount(a)
     Premiums
Received

Options outstanding at December 31, 2014

         (4,751,478 )          (3,100 )        $ (3,023,316 )

Options written

         (4,311,707 )          (14,003 )          (4,000,964 )

Options exercised

         172,962                       406,336  

Options expired

         169,283                       495,157  

Options closed

         3,805,453            13,052            2,763,799  
      

 

 

        

 

 

        

 

 

 

Options outstanding at June 30, 2015

         (4,915,487 )          (4,051 )        $ (3,358,988 )
      

 

 

        

 

 

        

 

 

 

 

(a) Includes swaptions and currency options, as applicable.

Swap Agreements

The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be indentified as collateral in accordance with the terms of the swap agreements to provide assets of value and recourse in the event of default or bankruptcy by the counterparty.

Swaps are marked to market daily using pricing sources approved by the Trustees and the change in value, if any, is recorded as unrealized gain or loss. For OTC swaps, payments received or made at the beginning of the measurement period are recorded as realized gain or loss upon termination or maturity of the OTC swap. A liquidation payment received or made at the termination of the OTC swap is recorded as a realized gain or loss. Net periodic payments received or paid by the Fund are included as part of realized gains (losses). Upon entering a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or assets determined to be liquid (the amount is subject to the clearing organization that clears the trade). Daily changes in valuation of centrally cleared swaps, if any, are recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps.

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.

 

28


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Consolidated Schedule of Portfolio Investments. The Fund is party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, through the Subsidiary, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.

Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of June 30, 2015, 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 gross notional amount of interest rate swaps outstanding was $91.9 million as of June 30, 2015. The monthly average gross notional amount for interest rate swaps was $147.2 million for the period ended June 30, 2015.

Total return swap agreements involve commitments to pay interest in exchange for a market-linked return, both based on notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. The gross notional amount of total return swaps outstanding was $2.5 million as of June 30, 2015. The monthly average gross notional amount for total return swaps was $1.5 million to the period ended June 30, 2015.

Credit default swap agreements may have as reference obligations one or more securities that are not currently held by the Fund. The protection “buyer” in a credit default contract is generally obligated to pay the protection “seller” an upfront, periodic, or daily stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. If a credit event occurs, the seller generally must pay the buyer the “par value” (full notional value) of the swap in exchange for an equal face amount of deliverable obligations of the reference entity described in the swap, or the seller may be required to deliver the related net cash amount, if the swap is cash settled. A Fund may be either the buyer or seller in the transaction. If the Fund is a buyer and no credit event occurs, the Fund may recover nothing if the swap is held through its termination date. However, if a credit event occurs, the buyer generally may elect to receive the full notional value of the swap in exchange for an equal face amount of deliverable obligations of the reference entity whose value may have significantly decreased. As a seller, a Fund generally receives an upfront payment or a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.

Credit default swap agreements involve greater risks than if a Fund had invested in the reference obligation directly since, in addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk. A Fund will enter into credit default swap agreements only with counterparties that meet certain standards of creditworthiness. A buyer generally also will lose its investment and recover nothing should no credit event occur and the swap is held to its termination date. If a credit event were to occur, the value of any deliverable obligation received by the seller, coupled with the upfront, periodic, or daily payments previously received, may be less than the full notional value it pays to the buyer, resulting in a loss of value to the seller. The Fund’s obligations under a credit default swap agreement will be accrued daily (offset against any amounts owing to the Fund). In connection with credit default swaps in which a Fund is the buyer, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into certain offsetting positions, with a value at least equal to the Fund’s exposure (any accrued but unpaid net amounts owed by the Fund to any counterparty), on a marked-to-market basis. In connection with credit default swaps in which a Fund is the seller, the Fund will segregate or “earmark” cash or assets determined to be liquid, or enter into offsetting positions, with a value at least equal to the full notional amount of the swap (minus any amounts owed to the Fund). Such segregation or “earmarking” will ensure that the Fund has assets available to satisfy its obligations with respect to the transaction and will limit any potential leveraging of the Fund’s portfolio. Such segregation or “earmarking” will not limit the Fund’s exposure to loss. As of June 30, 2015, the Fund entered into OTC and centrally cleared credit default swaps to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The gross notional amount of OTC and centrally cleared credit default swaps outstanding was $1.9 million as of June 30, 2015. The monthly average gross notional amount for credit default swaps was $2.7 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Consolidated Statement of
Assets and Liabilities Location
  Total Fair
Value
    Consolidated Statement of
Assets and Liabilities Location
  Total Fair
Value
 

Equity Risk Exposure

       
Futures Contracts   Receivable for variation margin on futures contracts*   $ 791,325      Payable for variation margin on futures contracts*   $ 441,396   
Option Contracts   Investment securities, at value (purchased options)     8,558,049      Written options     2,777,439   
Total Return Swap Agreements   Unrealized appreciation on swap agreements     296,237      Unrealized depreciation on swap agreements     29,556   

Credit Risk Exposure

       
Credit Default Swap Agreements   Unrealized appreciation on swap agreements     3,690      Unrealized depreciation on swap agreements     29,936   

 

29


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Consolidated Statement of
Assets and Liabilities Location
  Total Fair
Value
    Consolidated Statement of
Assets and Liabilities Location
  Total Fair
Value
 

Interest Rate Risk

       
Interest Rate Swap Agreements   Unrealized appreciation on swap agreements   $ 199,912      Unrealized depreciation on swap agreements   $ 591,741   
Swaption Contracts   Investment securities, at value (purchased options)     419,908      Written options     120,734   

Foreign Exchange Rate Risk Exposure

     
Forward Currency Contracts   Unrealized appreciation on forward currency contracts     1,766,642      Unrealized depreciation on forward currency contracts     515,178   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities as Variation margin on futures contracts.

The following is a summary of the effect of derivative instruments on the Consolidated Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

    Realized Gain (Loss) on Derivatives
Recognized as a Result from Operations
  Net Change in Unrealized
Appreciation (Depreciation)
on Derivatives  Recognized
as a Result from Operations
     Net Realized
Gains (Losses) on
Futures Contracts
  Net Realized
Gains (Losses) on
Swap Agreements
  Net Realized
Gains (Losses) on
Option Contracts
  Net Realized
Gains (Losses) on
Forward Currency Contracts
  Change in Net Unrealized
Appreciation/Depreciation
on Investments

Equity Risk Exposure

    $ 200,079       $       $ 1,038,504       $       $ 543,685  

Credit Risk Exposure

              31,280                         (300,533 )

Interest Rate Risk Exposure

              896,043         154,542                 (1,128,583 )

Foreign Exchange Rate Risk Exposure

                              6,657,181         (2,145,338 )

Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.

The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Consolidated Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2015. For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to master netting arrangements in the Consolidated Statement of Assets and Liabilities. This table also summarizes the fair values of derivative instruments on the Fund’s Consolidated Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015.

As of June 30, 2015, the Fund’s derivative assets and liabilities by type are as follows:

 

        Assets      Liabilities

Derivative Financial Instruments:

             

Futures contracts

       $ 16,179          $ 274,084  

Forward currency contracts

         1,766,642            515,178  

Option contracts*

         8,977,957            2,898,173  

Swap agreements

         326,979            56,462  
      

 

 

        

 

 

 

Total derivative assets and liabilities in the Consolidated Statement of Assets and Liabilities

         11,087,757            3,743,897  

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

         (32,386 )          (322,504 )
      

 

 

        

 

 

 

Total assets and liabilities subject to a MNA

       $ 11,055,371          $ 3,421,393  
      

 

 

        

 

 

 

 

* Includes option contracts purchased at value as reported in the Consolidated Statement of Assets and Liabilities.

 

30


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of June 30, 2015:

 

Counterparty    Derivative Assets
Subject to a MNA
by Counterparty
   Derivatives
Available for Offset
   Non-cash Collateral
Received*
   Cash Collateral
Received*
   Net Amount of
Derivative Assets

Bank of America

     $ 674,501        $ (210,807 )      $        $ (463,694 )      $  

Barclays Bank

       184,161          (20,839 )                 (163,322 )         

BNP Paribas

       678,001          (103,970 )                          574,031  

Citibank

       1,879,051          (711,060 )                 (1,167,991 )         

Credit Suisse First Boston

       952,125          (131,921 )        (510,000 )                 310,204  

Deutsche Bank

       1,822,330          (556,558 )                 (700,000 )        565,772  

Goldman Sachs

       2,727,159          (1,100,046 )                 (1,627,113 )         

JPMorgan Chase

       770,881          (104,954 )                 (510,000 )        155,927  

Morgan Stanley

       925,531          (353,145 )                 (520,000 )        52,386  

UBS Warburg

       441,631          (111,528 )                          330,103  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 11,055,371        $ (3,404,828 )      $ (510,000 )      $ (5,152,120 )      $ 1,988,423  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Fund as of June 30, 2015:

 

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

     $ 210,807        $ (210,807 )      $        $        $  

Barclays Bank

       20,839          (20,839 )                           

BNP Paribas

       103,970          (103,970 )                           

Citibank

       711,060          (711,060 )                           

Credit Suisse First Boston

       131,921          (131,921 )                           

Deutsche Bank

       556,558          (556,558 )                           

Goldman Sachs

       1,100,046          (1,100,046 )                           

HSBC

       16,565                                     16,565  

JPMorgan Chase

       104,954          (104,954 )                           

Morgan Stanley

       353,145          (353,145 )                           

UBS Warburg

       111,528          (111,528 )                           
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 3,421,393        $ (3,404,828 )      $        $        $ 16,565  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

* The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Consolidated Statement of Assets and Liabilities.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Consolidated Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL BlackRock Global Allocation Fund

         0.75 %          1.19 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Consolidated Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Consolidated Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

 

31


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Consolidated Statement of Operations as “Administration fees.” Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Consolidated Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $4,206 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy. Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these

 

32


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Common Stocks

                           

Aerospace & Defense

       $ 3,861,355          $ 4,948,801          $          $ 8,810,156  

Air Freight & Logistics

         5,637,323            361,412                       5,998,735  

Airlines

         1,765,392            2,220,474                       3,985,866  

Auto Components

         2,157,592            8,975,708                       11,133,300  

Automobiles

         1,989,080            11,753,900                       13,742,980  

Banks

         22,225,366            14,278,331                       36,503,697  

Beverages

         4,506,092            4,019,179                       8,525,271  

Biotechnology

         9,032,194            182,334                       9,214,528  

Building Products

                    1,643,608                       1,643,608  

Capital Markets

         4,269,975            3,507,472                       7,777,447  

Chemicals

         4,970,174            12,799,202                       17,769,376  

Commercial Services & Supplies

         1,714,039            297,739                       2,011,778  

Communications Equipment

         4,475,466            1,357,231                       5,832,697  

Construction & Engineering

                    1,511,346                       1,511,346  

Distributors

                    51,002                       51,002  

Diversified Consumer Services

                    22,521                       22,521  

Diversified Telecommunication Services

         5,515,172            4,396,026                       9,911,198  

Electric Utilities

         2,328,045            1,853,980                       4,182,025  

Electrical Equipment

         4,314,342            2,707,916                       7,022,258  

Electronic Equipment, Instruments & Components

         165,867            3,211,522                       3,377,389  

Energy Equipment & Services

         2,357,524            1,772,628            1,589,577            5,719,729  

Food & Staples Retailing

         3,239,603            515,130                       3,754,733  

Food Products

         877,162            3,829,107                       4,706,269  

Gas Utilities

                    1,581,309                       1,581,309  

Health Care Equipment & Supplies

         1,964,992            564,694                       2,529,686  

Health Care Providers & Services

         11,410,388            6,579,653                       17,990,041  

Household Durables

         498,630            2,116,791                       2,615,421  

Household Products

         7,325,733            39,109                       7,364,842  

Independent Power and Renewable Electricity Producers

         3,405,463            271,816                       3,677,279  

Industrial Conglomerates

         3,311,239            2,884,124                       6,195,363  

Insurance

         8,564,987            6,679,991                       15,244,978  

Internet & Catalog Retail

         1,013,408            6,283                       1,019,691  

Internet Software & Services

         15,057,745            1,093,515            2,742,836            18,894,096  

IT Services

         6,485,998            1,361,067                       7,847,065  

Leisure Products

                    714,563                       714,563  

Machinery

         4,510,691            4,263,978                       8,774,669  

Media

         4,573,772            1,098,032                       5,671,804  

Metals & Mining

         12,178,776            5,632,564                       17,811,340  

Multiline Retail

         276,042            503,886                       779,928  

Multi-Utilities

         2,619,295            1,383,535                       4,002,830  

Oil, Gas & Consumable Fuels

         23,283,566            11,197,328            1,064,814            35,545,708  

Personal Products

                    29,769                       29,769  

Pharmaceuticals

         19,184,979            13,714,334                       32,899,313  

Real Estate Investment Trusts (REITs)

         4,144,572            559,188                       4,703,760  

Real Estate Management & Development

         1,408,963            11,331,074                       12,740,037  

Road & Rail

         3,848,125            3,026,739                       6,874,864  

Semiconductors & Semiconductor Equipment

         1,948,707            3,788,552                       5,737,259  

Software

         12,281,248            3,075,457                       15,356,705  

Specialty Retail

         696,326            1,528,867                       2,225,193  

Technology Hardware, Storage & Peripherals

         4,630,591            861,723                       5,492,314  

 

33


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Tobacco

       $ 2,173,071          $ 544,419          $          $ 2,717,490  

Trading Companies & Distributors

         830,357            4,959,492                       5,789,849  

Transportation Infrastructure

                    56,231            352,802            409,033  

Wireless Telecommunication Services

         3,183,470            2,399,954                       5,583,424  

Other Common Stocks+

         13,504,035                                  13,504,035  

Convertible Bonds

                    15,935,933                       15,935,933  

Convertible Preferred Stocks

                           

Banks

                    319,600                       319,600  

Financial Services

                               998,866            998,866  

Other Convertible Preferred Stocks+

         2,671,611                                  2,671,611  

Corporate Bonds

                           

Transportation Infrastructure

                               568,375            568,375  

Other Corporate Bonds+

                25,965,923                       25,965,923  

Floating Rate Loans+

                    11,410,520            292,000            11,702,520  

Foreign Bonds+

                    75,020,562                       75,020,562  

Preferred Stocks

                           

Automobiles

                    1,937,734                       1,937,734  

Banks

         5,169,972            652,368                       5,822,340  

Health Care Providers & Services

                               843,576            843,576  

Oil, Gas & Consumable Fuels

                               745,647            745,647  

Real Estate Management & Development

                    290,519                       290,519  

Semiconductors & Semiconductor Equipment

                    1,963,804                       1,963,804  

Other Preferred Stocks+

         3,117,143                                  3,117,143  

Private Placements

                               2,451,000            2,451,000  

Right

                    24,450                       24,450  

U.S. Government Agency Mortgage

                    2,826,417                       2,826,417  

U.S. Treasury Obligations

                    171,303,322                       171,303,322  

Warrant

                    63,927                       63,927  

Yankee Dollars+

                    30,332,201                       30,332,201  

Exchange Traded Fund

         6,138,350                                  6,138,350  

Securities Held as Collateral for Securities on Loan

                    44,463,097                       44,463,097  

Unaffiliated Investment Company

         1,194,539                                  1,194,539  

Purchased Options

         4,073            8,553,976                       8,558,049  

Purchased Swaptions

                    419,908                       419,908  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

         278,012,620            571,548,867            11,649,493            861,210,980  
      

 

 

        

 

 

        

 

 

        

 

 

 

Securities Sold Short

         (317,911 )          (93,915 )                     (411,826 )

Other Financial Instruments:*

                           

Futures Contracts

         349,929                                  349,929  

Written Options

         11,965            486,741                       498,706  

Written Swaption

                    (37,891 )                     (37,891 )

Forward Currency Contracts

                    1,251,464                       1,251,464  

Credit Default Swaps

                    (26,246 )                     (26,246 )

Interest Rate Swaps

                    (391,829 )                     (391,829 )

Total Return Swaps

                    266,681                       266,681  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investments

       $ 278,056,603          $ 573,003,872          $ 11,649,493          $ 862,709,968  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts, written options, forward currency contracts, and swaps. These

investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL BlackRock Global Allocation Fund

       $ 283,017,333          $ 275,919,324  

 

34


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

For the period ended June 30, 2015, purchases and sales on long-term U.S. government securities were as follows:

 

        Purchases      Sales

AZL BlackRock Global Allocation Fund

       $ 15,725,853          $ 12,064,677  

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, 2015 are identified below.

 

Security      Acquisition
Date(a)
     Acquisition
Cost
     Shares or
Principal
Amount
     Fair
Value
     Percentage of
Net Assets

AliphCom, Inc., 4/1/20

         4/27/15          $ 2,451,000          $ 2,451,000          $ 2,451,000            0.30 %

AP One Channel Center Owner LP, Series 4814, 5.00%, 7/15/19

         7/15/14            292,000            292,000            292,000            0.04 %

Delta Topco, Ltd.

         5/2/12            379,997            615,711            352,802            0.04 %

Delta Topco, Ltd., 10.00%, 11/24/60

         5/2/12            701,862            567,978            568,375            0.07 %

Domo, Inc., Series E

         4/1/15            998,866            118,467            998,866            0.12 %

Dropbox, Inc.

         1/28/14            1,827,985            95,700            1,589,577            0.20 %

Grand Rounds, Inc., Preferred Shares

         3/31/15            399,608            143,925            404,329            0.05 %

Invitae Corp.,, Series F, Preferred Shares

         10/8/14            372,878            31,073            439,248            0.05 %

Lookout, Inc.

         3/4/15            63,364            5,547            64,702            0.01 %

Lookout, Inc.,, Preferred Shares

         9/19/14            730,222            63,925            745,647            0.09 %

NextEra Energy Partners LP, 1.78%

         6/26/14            404,113            11,345            449,489            0.06 %

Palantir Technologies, Inc.

         3/27/14            712,042            116,157            1,000,112            0.12 %

REI Agro, Ltd., Registered Shares, 5.50%, 11/13/14

         2/7/12            300,000            400,000            20,000            0.00 %

Sheridan Production Partners, 4.25%, 12/2/20

         12/13/13            41,132            38,726            34,079            0.00 %

Sheridan Production Partners, 4.25%, 12/2/20

         12/13/13            757,767            744,179            654,877            0.08 %

Sheridan Production Partners, 4.25%, 12/2/20

         12/13/13            105,434            103,544            91,118            0.01 %

Uber Technologies, Inc.

         3/21/14            1,063,120            68,532            2,742,836            0.34 %

 

(a) Acquisition date represents the initial purchase date of the security.

7. Investment Risks

Commodities-Related Investment Risk: Exposure to the commodities markets may subject the Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or sectors affecting a particular industry or commodity, such as drought, floods, weather, embargoes, tariffs and international economic, political and regulatory developments. The U.S. Commodities Futures Trading Commission has proposed changes to certain of its rules governing investment in commodities by mutual funds, such as the Fund. In the event these changes are adopted, or if there are changes in the tax treatment of the Fund’s direct and indirect investments in commodities, the Fund may be unable to obtain exposure to commodity markets, or may be limited in the extent to which or manner in which it can obtain such exposure.

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates

 

35


AZL BlackRock Global Allocation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.

8. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $839,159,459. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 62,239,519  

Unrealized depreciation

    (40,187,998
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 22,051,521   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL BlackRock Global Allocation Fund

       $ 10,567,371          $ 9,167,742          $ 19,735,113  

 

(a) Total distributions paid may differ from the Consolidated Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
    

Total

Accumulated
Earnings/
(Deficit)

AZL BlackRock Global Allocation Fund

       $ 22,960,149          $ 30,339,018          $          $ 21,642,407          $ 74,941,574  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

9. Ownership and Principal Holders

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumptions of control of the fund, under section 2 (a)(9) of the 1940 Act. As of June 30, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.

10. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

36


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

37


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Boston Company Research Growth Fund

(formerly AZL® Dreyfus Research Growth Fund)

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

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 Boston Company Research Growth Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Boston Company Research Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Boston Company Research Growth Fund

       $ 1,000.00          $ 1,035.60          $ 5.05            1.00 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Boston Company Research Growth Fund

       $ 1,000.00          $ 1,019.84          $ 5.01            1.00 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      29.8 %

Consumer Discretionary

      20.1  

Health Care

      16.7  

Consumer Staples

      10.9  

Industrials

      8.7  

Financials

      4.6  

Energy

      3.2  

Telecommunication Services

      2.1  

Materials

      2.0  
   

 

 

 

Total Common Stocks

      98.1  

Affiliated Investment Company

      1.3  
   

 

 

 

Total Investment Securities

      99.4  

Net other assets (liabilities)

      0.6  
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Boston Company Research Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares            Fair Value  

 

Common Stocks (98.1%):

  

 

Aerospace & Defense (5.3%):

  

  61,664       Honeywell International, Inc.    $ 6,287,879  
  20,006       Precision Castparts Corp.      3,998,599  
  30,028       Raytheon Co.      2,873,079  
  35,756       United Technologies Corp.      3,966,413  
     

 

 

 
        17,125,970  
     

 

 

 

 

Air Freight & Logistics (1.0%):

  

  19,738       FedEx Corp.      3,363,355  
     

 

 

 

 

Auto Components (0.9%):

  

  34,086       Delphi Automotive plc      2,900,378  
     

 

 

 

 

Automobiles (1.0%):

  

  11,933       Tesla Motors, Inc.*      3,201,147  
     

 

 

 

 

Beverages (4.0%):

  

  95,729       Coca-Cola Enterprises, Inc.      4,158,468  
  92,240       PepsiCo, Inc.      8,609,681  
     

 

 

 
        12,768,149  
     

 

 

 

 

Biotechnology (5.8%):

  

  21,709       Alexion Pharmaceuticals, Inc.*      3,924,336  
  15,870       Biogen Idec, Inc.*      6,410,527  
  8,530       Regeneron Pharmaceuticals, Inc.*      4,351,409  
  31,064       Vertex Pharmaceuticals, Inc.*      3,835,783  
     

 

 

 
        18,522,055  
     

 

 

 

 

Capital Markets (2.0%):

  

  23,791       Ameriprise Financial, Inc.      2,972,210  
  10,481       BlackRock, Inc., Class A      3,626,217  
     

 

 

 
        6,598,427  
     

 

 

 

 

Chemicals (1.0%):

  

  65,372       Dow Chemical Co. (The)      3,345,085  
     

 

 

 

 

Commercial Services & Supplies (1.2%):

  

  97,265       Tyco International plc      3,742,757  
     

 

 

 

 

Communications Equipment (1.3%):

  

  153,654       Cisco Systems, Inc.      4,219,339  
     

 

 

 

 

Construction Materials (1.0%):

  

  22,312       Martin Marietta Materials, Inc.      3,157,371  
     

 

 

 

 

Diversified Financial Services (1.3%):

  

  18,356       IntercontinentalExchange Group, Inc.      4,104,585  
     

 

 

 

 

Diversified Telecommunication Services (2.1%):

  

  145,016       Verizon Communications, Inc.      6,759,196  
     

 

 

 

 

Energy Equipment & Services (1.9%):

  

  70,713       Schlumberger, Ltd.      6,094,754  
     

 

 

 

 

Food & Staples Retailing (1.4%):

  

  42,963       CVS Health Corp.      4,505,959  
     

 

 

 

 

Food Products (4.0%):

  

  66,996       Archer-Daniels-Midland Co.      3,230,547  
  101,744       ConAgra Foods, Inc.      4,448,248  
  122,691       Mondelez International, Inc., Class A      5,047,508  
     

 

 

 
        12,726,303  
     

 

 

 

 

Health Care Equipment & Supplies (1.0%):

  

  185,364       Boston Scientific Corp.*      3,280,943  
     

 

 

 

 

Health Care Providers & Services (2.7%):

  

  23,285       McKesson, Inc.      5,234,701  
  26,920       UnitedHealth Group, Inc.      3,284,240  
     

 

 

 
        8,518,941  
     

 

 

 
Shares            Fair Value  

 

Common Stocks, continued

  

 

Hotels, Restaurants & Leisure (1.3%):

  

  42,426       McDonald’s Corp.    $ 4,033,440  
     

 

 

 

 

Industrial Conglomerates (1.2%):

  

  44,958       Danaher Corp.      3,847,955  
     

 

 

 

 

Insurance (1.3%):

  

  71,522       Marsh & McLennan Cos., Inc.      4,055,297  
     

 

 

 

 

Internet & Catalog Retail (4.2%):

  

  19,149       Amazon.com, Inc.*      8,312,390  
  4,582       Priceline Group, Inc. (The)*      5,275,577  
     

 

 

 
        13,587,967  
     

 

 

 

 

Internet Software & Services (8.6%):

  

  52,324       Akamai Technologies, Inc.*      3,653,262  
  109,980       Facebook, Inc., Class A*      9,432,434  
  10,943       Google, Inc., Class C*      5,695,941  
  10,676       Google, Inc., Class A*      5,765,467  
  13,851       LinkedIn Corp., Class A*      2,862,032  
     

 

 

 
        27,409,136  
     

 

 

 

 

IT Services (3.8%):

  

  59,796       Cognizant Technology Solutions Corp., Class A*      3,652,938  
  127,858       Visa, Inc., Class A      8,585,664  
     

 

 

 
        12,238,602  
     

 

 

 

 

Life Sciences Tools & Services (1.2%):

  

  17,344       Illumina, Inc.*      3,787,236  
     

 

 

 

 

Media (4.6%):

  

  35,124       AMC Networks, Inc., Class A*      2,874,899  
  67,493       CBS Corp., Class B      3,745,862  
  89,929       Comcast Corp., Class A      5,408,330  
  148,952       Interpublic Group of Cos., Inc. (The)      2,870,305  
     

 

 

 
        14,899,396  
     

 

 

 

 

Multiline Retail (1.2%):

  

  46,770       Dollar Tree, Inc.*      3,694,362  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.3%):

  

  48,262       EOG Resources, Inc.      4,225,338  
     

 

 

 

 

Personal Products (1.5%):

  

  57,106       Estee Lauder Co., Inc. (The), Class A      4,948,806  
     

 

 

 

 

Pharmaceuticals (6.0%):

  

  81,890       AbbVie, Inc.      5,502,189  
  19,696       Allergan plc*      5,976,948  
  76,780       Bristol-Myers Squibb Co.      5,108,941  
  25,604       Mallinckrodt plc*      3,014,103  
     

 

 

 
        19,602,181  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (1.1%):

  

  26,329       Avago Technologies, Ltd.      3,499,914  
     

 

 

 

 

Software (7.3%):

  

  44,330       Adobe Systems, Inc.*      3,591,173  
  60,215       Fortinet, Inc.*      2,488,686  
  37,814       Intuit, Inc.      3,810,517  
  152,266       Oracle Corp.      6,136,320  
  74,209       Salesforce.com, Inc.*      5,167,173  
  33,086       Splunk, Inc.*      2,303,447  
     

 

 

 
        23,497,316  
     

 

 

 
 

 

Continued

 

2


AZL Boston Company Research Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares            Fair Value  

 

Common Stocks, continued

  

 

Specialty Retail (2.8%):

  

  47,280       Home Depot, Inc. (The)    $ 5,254,226  
  24,088       Ulta Salon, Cosmetics & Fragrance, Inc.*      3,720,392  
     

 

 

 
        8,974,618  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (7.7%):

  

  194,834       Apple, Inc.      24,437,054  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (4.1%):

  

  95,681       Hanesbrands, Inc.      3,188,091  
  39,923       Lululemon Athletica, Inc.*      2,606,972  
  49,332       Nike, Inc., Class B      5,328,842  
  24,618       Under Armour, Inc., Class A*      2,054,126  
     

 

 

 
        13,178,031  
     

 

 

 

 

Total Common Stocks (Cost $232,255,064)

     314,851,363  
     

 

 

 
Shares            Fair Value  

 

Affiliated Investment Company (1.3%):

  

  4,154,359       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(a)    $ 4,154,359   
     

 

 

 

 

Total Affiliated Investment Company (Cost $4,154,359)

     4,154,359   
     

 

 

 

 

Total Investment Securities (Cost $236,409,423)(b) — 99.4%

     319,005,722   

 

Net other assets (liabilities) — 0.6%

     2,027,380   
     

 

 

 

 

Net Assets — 100.0%

   $ 321,033,102  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

(a) The rate represents the effective yield at June 30, 2015.

 

(b) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

3


AZL Boston Company Research Growth Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investments in non-affiliates, at cost

     $ 233,085,165  

Investments in affiliates, at cost

       3,324,258  
    

 

 

 

Total Investment securities, at cost

     $ 236,409,423  
    

 

 

 

Investments in non-affiliates, at value

     $ 315,681,464  

Investments in affiliates, at value

       3,324,258  
    

 

 

 

Total Investment securities, at value

     $ 319,005,722  

Cash

       10,532  

Interest and dividends receivable

       164,655  

Receivable for investments sold

       5,022,365  

Prepaid expenses

       577  
    

 

 

 

Total Assets

       324,203,851  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       2,671,009  

Payable for capital shares redeemed

       215,311  

Manager fees payable

       188,744  

Administration fees payable

       8,195  

Distribution fees payable

       67,409  

Custodian fees payable

       3,837  

Administrative and compliance services fees payable

       323  

Trustee fees payable

       2,209  

Other accrued liabilities

       13,712  
    

 

 

 

Total Liabilities

       3,170,749  
    

 

 

 

Net Assets

     $ 321,033,102  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 168,221,000  

Accumulated net investment income/(loss)

       982,805  

Accumulated net realized gains/(losses) from investment transactions

       69,232,998  

Net unrealized appreciation/(depreciation) on investments

       82,596,299  
    

 

 

 

Net Assets

     $ 321,033,102  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       20,460,602  

Net Asset Value (offering and redemption price per share)

     $ 15.69  
    

 

 

 

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,044,825  

Dividends from affiliates

       1  

Foreign withholding tax

       (90 )
    

 

 

 

Total Investment Income

       2,044,736  
    

 

 

 

Expenses:

    

Manager fees

       1,265,690  

Administration fees

       43,844  

Distribution fees

       415,698  

Custodian fees

       6,751  

Administrative and compliance services fees

       2,140  

Trustee fees

       8,542  

Professional fees

       9,322  

Shareholder reports

       7,791  

Other expenses

       3,397  
    

 

 

 

Total expenses before reductions

       1,763,175  

Less expenses voluntarily waived/reimbursed by the Manager

       (101,738 )
    

 

 

 

Net expenses

       1,661,437  
    

 

 

 

Net Investment Income/(Loss)

       383,299  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       26,544,717  

Change in net unrealized appreciation/depreciation on investments

       (14,768,177 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       11,776,540  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 12,159,839  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

         AZL Boston Company Research Growth Fund    
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 383,299        $ 599,522  

Net realized gains/(losses) on investment transactions

       26,544,717          42,895,777  

Change in unrealized appreciation/depreciation on investments

       (14,768,177 )        (15,932,685 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       12,159,839          27,562,614  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (536,742 )

From net realized gains

                (17,640,893 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (18,177,635 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       1,021,809          16,458,753  

Proceeds from dividends reinvested

                18,177,635  

Value of shares redeemed

       (33,627,154 )        (63,316,636 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (32,605,345 )        (28,680,248 )
    

 

 

      

 

 

 

Change in net assets

       (20,445,506 )        (19,295,269 )

Net Assets:

         

Beginning of period

       341,478,608          360,773,877  
    

 

 

      

 

 

 

End of period

     $ 321,033,102        $ 341,478,608  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 982,805        $ 599,506  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       65,263          1,097,285  

Dividends reinvested

                1,238,259  

Shares redeemed

       (2,149,709 )        (4,252,112 )
    

 

 

      

 

 

 

Change in shares

       (2,084,446 )        (1,916,568 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL Boston Company Research Growth Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 15.15       $ 14.75       $ 10.89       $ 9.28       $ 9.62       $ 7.86  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.02         0.03         0.03         0.05         0.03         0.05  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.52         1.19         3.88         1.60         (0.34 )       1.75  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.54         1.22         3.91         1.65         (0.31 )       1.80  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.02 )       (0.05 )       (0.04 )       (0.03 )       (0.04 )

Net Realized Gains

               (0.80 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.82 )       (0.05 )       (0.04 )       (0.03 )       (0.04 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 15.69       $ 15.15       $ 14.75       $ 10.89       $ 9.28       $ 9.62  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.56 %(b)       8.45 %       36.00 %       17.75 %       (3.20 )%       22.92 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 321,033       $ 341,479       $ 360,774       $ 281,659       $ 219,720       $ 193,126  

Net Investment Income/(Loss)(c)

       0.23 %       0.17 %       0.20 %       0.53 %       0.43 %       0.49 %

Expenses Before Reductions(c) (d)

       1.06 %       1.06 %       1.07 %       1.07 %       1.10 %       1.11 %

Expenses Net of Reductions(c)

       1.00 %       1.00 %       1.00 %       1.00 %       1.00 %       0.99 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.00 %       1.00 %       1.00 %       1.02 %       1.03 %       1.04 %

Portfolio Turnover Rate

       27 (b)       46 %       48 %       53 %       109 %       112 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

See accompanying notes to the financial statements.

 

6


AZL Boston Company Research Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Boston Company Research Growth Fund (formerly AZL Dreyfus Research Growth Fund) (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL Boston Company Research Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement effective April 27, 2015 with The Boston Company Asset Management LLC (“Boston Company”), Boston Company provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. Prior to April 27, 2015, the Fund was subadvised by The Dreyfus Corporation. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Boston Company Research Growth Fund

         1.00 %          1.20 %

 

* The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $10 million at 1.00%, the next $10 million at 0.875% and above $20 million at 0.75%. The Manager voluntarily reduced management fees to 0.70%. The Manager reserves the right to stop reducing the manager fee at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,813 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

 

8


AZL Boston Company Research Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 314,851,363          $          $ 314,851,363  

Affiliated Investment Company

         4,154,359                       4,154,359  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 319,005,722          $          $ 319,005,722  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Boston Company Research Growth Fund

       $ 87,333,238          $ 119,060,775  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

 

9


AZL Boston Company Research Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $236,642,522. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 85,811,114   

Unrealized depreciation

    (3,447,914
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 82,363,200   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Boston Company Research Growth Fund

       $ 536,741          $ 17,640,894          $ 18,177,635  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, 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 Boston Company Research Growth Fund

       $ 599,506          $ 42,911,893          $          $ 97,140,864          $ 140,652,263  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® DFA Emerging Markets Core Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 12

Statement of Operations

Page 12

Statement of Changes in Net Assets

Page 13

Financial Highlights

Page 14

Notes to the Financial Statements

Page 15

Other Information

Page 20

Approval of Investment Advisory and Subadvisory Agreement

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 DFA Emerging Markets Core Equity Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL DFA Emerging Markets Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
4/27/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
4/27/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
4/27/15 - 6/30/15

AZL DFA Emerging Markets Core Equity Fund

       $ 1,000.00          $ 915.00          $ 2.56          $ 1.50  

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15**
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL DFA Emerging Markets Core Equity Fund

       $ 1,000.00          $ 1,017.36          $ 7.50          $ 1.50  

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from April 27, 2014 (date of commencement of operations) to June 30,2015 divided by the number of days in the fiscal year.

 

** Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Financials

      19.7 %

Information Technology

      14.3  

Consumer Staples

      9.8  

Industrials

      8.5  

Materials

      8.5  

Telecommunication Services

      8.4  

Consumer Discretionary

      7.4  

Energy

      6.9  

Utilities

      4.4  

Health Care

      2.4  

Warrant

      ^
   

 

 

 

Total Common Stocks and Preferred Stock

      90.3  

Right

      ^

Mutual Funds

      9.0  

Securities Held as Collateral for Securities on Loan

      5.2  

Money Market

      0.1  
   

 

 

 

Total Investment Securities

      104.6  

Net other assets (liabilities)

      (4.6 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (89.9%):

  

 

Aerospace & Defense (0.5%):

  

  20,000       AviChina Industry & Technology Co., Ltd.    $        19,326  
  10,128       Embraer SA, ADR      306,777  
  309       Korea Aerospace Industries, Ltd.      22,004  
  703       Samsung Techwin Co., Ltd.*      18,438  
     

 

 

 
        366,545  
     

 

 

 

 

Air Freight & Logistics (0.1%):

  

  31,000       Pos Malaysia Berhad      35,130  
  26,000       Sinotrans, Ltd.      17,209  
     

 

 

 
        52,339  
     

 

 

 

 

Airlines (0.7%):

  

  20,000       Air China, Ltd.      22,791  
  98,300       AirAsia Berhad      40,110  
  2,723       Asiana Airlines, Inc.*      15,378  
  27,420       Cebu Air, Inc.      51,684  
  443       China Southern Airlines Co., Ltd., ADR*      25,845  
  1,000       Eva Airways Corp.*      687  
  40,797       Grupo Aeromexico SAB de C.V.*      65,134  
  19,902       Latam Airlines Group SA, ADR*^      140,110  
  91,400       Thai Airways International Public Co., Ltd.*      35,409  
  5,867       Turk Hava Yollari Anonim Ortakligi (THY)*      19,151  
     

 

 

 
        416,299  
     

 

 

 

 

Apparel (0.1%):

  

  585       Hansae Co., Ltd.      20,003  
  337       Youngone Corp.      16,701  
  30       Youngone Holdings Co., Ltd.      2,359  
     

 

 

 
        39,063  
     

 

 

 

 

Auto Components (0.1%):

  

  30,000       Chaowei Power Holdings, Ltd.*      19,461  
  687       Hankook Tire Co., Ltd.      26,001  
  422       Hyundai Wia Corp.      38,914  
  10,537       Metair Investments, Ltd.      31,616  
  10,000       Minth Group, Ltd.      22,358  
  54,100       Sri Trang Agro-Industry Public Co., Ltd.      20,463  
     

 

 

 
        158,813  
     

 

 

 

 

Auto Manufacturers (0.4%):

  

  13,050       Mahindra & Mahindra, Ltd., GDR      262,793  
     

 

 

 

 

Auto Parts & Equipment (0.0%):

  

  13,000       Kenda Rubber Industrial Co., Ltd.      20,150  
  2,189       Kumho Tire Co., Inc.*      14,258  
  177       Mando Corp.      19,719  
     

 

 

 
        54,127  
     

 

 

 

 

Automobiles (0.4%):

  

  14,000       Brilliance China Automotive Holdings, Ltd.      21,747  
  16,000       Dongfeng Motor Corp., Series H      21,366  
  79,200       DRB-HICOM Berhad      33,397  
  1,546       Ford Otomotiv Sanayi A.S.      20,595  
  60,000       Geely Automobile Holdings, Ltd.      31,987  
  9,500       Great Wall Motor Co.      46,549  
  26,000       Guangzhou Automobile Group Co., Ltd.      24,085  
  614       Hyundai Marine & Fire Insurance Co., Ltd.      16,261  
  167       Hyundai Motor Co.      20,333  
  73       Kia Motors Corp.      2,983  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Automobiles, continued

  
  37,800       UMW Holdings Berhad    $ 101,576  
     

 

 

 
        340,879  
     

 

 

 

 

Banks (12.9%):

  

  16,900       Affin Holdings Berhad      12,101  
  110,000       Agricultural Bank of China, Ltd.*      59,108  
  53,400       Alliance Financial Group Berhad      62,252  
  80,000       AMMB Holdings Berhad      127,922  
  7,292       Axis Bank, Ltd.*      318,296  
  86,847       Banco Bradesco SA, ADR      795,519  
  1,589       Banco de Chile, ADR      104,683  
  11,133       Banco Santander Chile, ADR      225,444  
  3,651       Bancolombia SA, ADR^      156,993  
  13,000       Bangkok Bank Public Co., Ltd.      68,356  
  404,000       Bank of China, Ltd.      262,407  
  20,000       Bank of Chongqing Co., Ltd., Class H      18,972  
  29,000       Bank of Communications Co., Ltd., Class H      30,046  
  32,660       Bank of the Philippine Islands      68,463  
  273,600       Bank Rakyat Indonesia      211,345  
  17,104       Banregio Grupo Financiero SAB de C.V.      99,586  
  9,342       Barclays Africa Group, Ltd.      140,456  
  48,360       BDO Unibank, Inc.      116,233  
  32,700       BIMB Holdings Berhad      35,033  
  1,527       BNK Financial Group, Inc.      19,323  
  1,688       Capitec Bank Holdings, Ltd.      67,347  
  42,000       China Citic Bank Co., Ltd.*      33,463  
  612,000       China Construction Bank      555,971  
  31,000       China Everbright Bank Co., Series H      18,582  
  23,500       China Merchants Bank Co., Ltd.      68,392  
  53,000       China Minsheng Banking Corp., Ltd.      69,380  
  32,000       Chongqing Rural Commercial Bank Co., Ltd.      25,525  
  30,762       Commercial International Bank Egypt SAE, GDR      226,106  
  5,789       Corpbanca SA, ADR      95,576  
  1,120       Credicorp, Ltd.      155,590  
  1,851       DGB Financial Group, Inc.      19,397  
  5,605       Grupo Aval Acciones y Valores SA, ADR      54,873  
  3,498       Grupo Elektra, SAB de C.V.      76,797  
  40,073       Grupo Financiero Banorte SAB de C.V.      220,367  
  56,596       Grupo Financiero Inbursa SAB de C.V., Class O      128,388  
  5,861       Grupo Financiero Santander Mexico SAB de C.V., Class B, ADR      53,628  
  1,584       Hana Financial Holdings Group, Inc.      41,000  
  12,400       Hong Leong Bank Berhad      44,031  
  12,000       Hong Leong Financial Group Berhad      48,175  
  42,000       Huishang Bank Corp., Ltd., Class H      21,832  
  376,000       Industrial & Commercial Bank of China      297,402  
  1,573       Industrial Bank of Korea (IBK)      20,350  
  73,544       Itau Unibanco Banco Multiplo SA, ADR      805,306  
  45,400       Kasikornbank Public Co., Ltd.      253,723  
  35,400       Kiatnakin Bank Public Co., Ltd.      36,933  
  2,000       King’s Town Bank      1,736  
  125,400       Krung Thai Bank Public Co., Ltd.      63,315  
  101,500       Malayan Banking Berhad      245,877  
  14,680       Metropolitan Bank & Trust      30,623  
  6,082       Nedcor, Ltd.      120,756  
 

 

Continued

 

2


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  
  48,450       Philippine National Bank*    $ 74,032  
  121,400       PT Bank Central Asia Tbk      121,757  
  86,000       PT Bank Danamon Indonesia Tbk      27,743  
  131,700       PT Bank Mandiri Tbk      99,126  
  74,200       PT Bank Negara Indonesia Tbk      29,539  
  293,200       PT Bank Tabungan Negara Tbk      26,132  
  54,700       Public Bank Berhad      271,544  
  14,200       RHB Capital Berhad      27,737  
  49,500       Rizal Commercial Banking Co.      44,030  
  16,669       Sberbank of Russia, ADR      88,512  
  44,430       Security Bank Corp.      159,805  
  8,997       Shinhan Finnancial Group Co., Ltd., ADR      333,428  
  33,600       Siam Commercial Bank Public Co., Ltd.      154,390  
  13,292       Standard Bank Group, Ltd.      174,939  
  3,827       State Bank of India, GDR      157,906  
  50,600       Thanachart Capital Pcl      49,756  
  25,200       Tisco Financial Group Public Co., Ltd.      34,338  
  783,700       TMB Bank Public Co., Ltd.      54,127  
  9,258       Turkiye Is Bankasi AS, Class C      19,337  
  9,823       VTB Bank OJSC, GDR*      26,807  
  2,163       Woori Bank      18,986  
     

 

 

 
        8,826,950  
     

 

 

 

 

Beverages (2.6%):

  

  139,317       Ambev SA, ADR      849,834  
  17,869       Arca Continental SAB de C.V.      101,493  
  8,100       Carlsberg Brewery Malaysia Berhad      26,824  
  1,036       Coca-Cola Femsa SAB de C.V., ADR      82,310  
  2,828       Compania Cervecerias Unidas SA brews beer, ADR^      59,897  
  3,825       Embotelladora Andina SA, Class B, ADR      76,271  
  4,718       Fomento Economico Mexicano SAB de C.V., ADR      420,328  
  7,400       Guinness Anchor Berhad      28,022  
  179,900       LT Group, Inc.      55,561  
  21,020       Organizacion Cultiba SAB de C.V.*      26,216  
  2,000       Tsingtao Brewery Co., Ltd., Class H      12,077  
  1,512       Vina Concha y Toro SA, ADR      53,222  
     

 

 

 
        1,792,055  
     

 

 

 

 

Biotechnology (0.0%):

  

  24       Medy-Tox, Inc.      11,975  
     

 

 

 

 

Building Materials (0.0%):

  

  18,000       Asia Cement Corp.      21,299  
     

 

 

 

 

Building Products (0.0%):

  

  31,000       China Lesso Group Holdings, Ltd.      25,203  
  234,400       Dynasty Ceramic Public Co., Ltd.      25,530  
     

 

 

 
        50,733  
     

 

 

 

 

Capital Markets (0.3%):

  

  13,000       China Galaxy Securities Co.*      16,777  
  4,500       Citic Securities Co., Ltd.^      16,195  
  9,732       Coronation Fund Managers, Ltd.      65,923  
  5,152       Grupo Financiero Interacciones SAB de C.V.*      31,390  
  6,400       Haitong Securities Co., Ltd.      16,890  
  7,429       Investec, Ltd.      66,697  
  594       Kangwon Land, Inc.      19,694  
  42,800       OSK Holdings Berhad      24,076  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Capital Markets, continued

  
  635       Peregrine Holdings, Ltd.    $ 1,612  
     

 

 

 
        259,254  
     

 

 

 

 

Chemicals (1.4%):

  

  513       AECI, Ltd.      4,805  
  35,613       Alpek SAB de C.V.^      52,008  
  50,000       China BlueChemical, Ltd., Class H      18,204  
  69,300       D&L Industries, Inc.      29,845  
  2,000       Formosa Chemicals & Fibre Corp.      4,810  
  27,000       Fufeng Group, Ltd.      20,030  
  140       Hansol Chemical Co., Ltd.      12,385  
  47,000       Huabao International Holdings, Ltd.      28,413  
  86,400       Indorama Ventures Public Co., Ltd.      70,730  
  315       Kolon Industries, Inc.      18,205  
  81       LG Chem, Ltd.      20,192  
  33       LG Hausys, Ltd.      4,383  
  52,768       Mexichem SAB de C.V.      152,443  
  282       OCI Co., Ltd.      22,787  
  102       OCI Materials Co., Ltd.      11,786  
  401       Omnia Holdings, Ltd.      5,955  
  68,400       Petronas Chemicals Group Berhad      114,639  
  55,200       PTT Global Chemical Public Co., Ltd.      113,047  
  614       Samsung Fine Chemicals Co., Ltd.      19,059  
  11,400       Scientex Berhad      20,830  
  82,000       Sinofert Holdings, Ltd.      18,802  
  418       Sinopec Shanghai Petrochemical Co., Ltd., ADR*      22,501  
  178       SKC Co., Ltd.      5,863  
  3,616       Sociedad Quimica y Minera de Chile SA, ADR      57,928  
  6       Taekwang Industrial Co., Ltd.      7,288  
  3,538       Uralkali PJSC, GDR      45,453  
  27,500       Yingde Gases Group Co., Ltd.      18,792  
     

 

 

 
        921,183  
     

 

 

 

 

Commercial Services & Supplies (0.3%):

  

  32,000       China Everbright International, Ltd.      57,016  
  1,000       China Petrochemical Development Corp.*      310  
  3,700       Ecorodovias Infraestrutura e Logistica SA      9,261  
  1,145       Hanwha Chemical Corp.      19,154  
  463       Hanwha Corp.      19,557  
  314       Hyosung Corp.      40,451  
  79       Lotte Chemical Corp.      20,456  
  155       S1 Corp.      10,886  
     

 

 

 
        177,091  
     

 

 

 

 

Construction & Engineering (1.7%):

  

  24,450       Aveng, Ltd.*      11,568  
  1,000       Chicony Electronics Co., Ltd.      2,687  
  15,000       China Communications Construction Co., Ltd.      22,406  
  58,000       China Fiber Optic Network System Group, Ltd.*      19,630  
  11,000       China Railway Contstruction Corp., Ltd.      16,977  
  15,000       China Railway Group, Ltd.      16,320  
  13,000       China Singyes Solar Technologies Holdings, Ltd.      16,667  
  16,000       China State Construction International Holdings, Ltd.      28,622  
  8,920       Consolidated Infrastructure Group, Ltd.*      23,332  
  287       Daelim Industrial Co., Ltd.      21,069  
 

 

Continued

 

3


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Construction & Engineering, continued

  
  90,500       Dialog Group Berhad    $ 38,120  
  37,002       Empresas ICA SAB de C.V.*      28,702  
  30,400       Gamuda Berhad      37,730  
  9,894       Group Five, Ltd.      23,152  
  772       GS Engineering & Construction Corp.*      18,507  
  320       Hyandai Development Co.      18,930  
  531       Hyundai Engineering & Construction Co., Ltd.      19,508  
  65,300       IJM Corporation Berhad      112,743  
  28,675       Impulsora del Desarrollo y el Empleo en America Latina SAB de C.V.*      56,200  
  8,058       Larsen & Tourbo, Ltd., Class S, GDR      225,593  
  126,900       Malaysian Resources Corp. Berhad      39,952  
  42,000       Metallurgical Corporation of China, Ltd., Series H      18,170  
  20,858       Murray & Roberts Holdings, Ltd.      22,084  
  6,908       Promotora y Operadora de Infraestructura SAB de C.V.*      73,936  
  92,100       PT Pembangunan Perumahan Persero Tbk      23,918  
  211,300       PT Surya Semesta Internusa Tbk      15,321  
  14,001       Raubex      23,330  
  34,300       Sino Thai Engineering & Construction Public Co., Ltd.      23,638  
  81       SK C&C Co., Ltd.      20,083  
  2,990       Sunway Construction Group Berhad*(a)      1,269  
  22,100       Uem Edgenta Berhad      20,200  
  48,600       Unique Engineering & Construction Public Co., Ltd.      23,236  
  62,822       WCT Holdings Berhad      23,657  
  2,230       Wilson Bayly Holmes-Ovcon, Ltd.      18,124  
     

 

 

 
        1,105,381  
     

 

 

 

 

Construction Materials (1.5%):

  

  13,500       Anhui Conch Cement Co., Ltd.      47,108  
  18,500       BBMG Corp.      18,697  
  37,273       Cemex SAB de C.V., ADR*      341,421  
  70,000       China National Buildings Material Co., Ltd.      65,685  
  63,000       China National Materials Co., Ltd., Class H      20,466  
  50,000       China Resources Cement Holdings, Ltd.      27,882  
  20,100       Lafarge Malaysia Berhad      45,096  
  28,378       PPC, Ltd.      41,188  
  14,900       PT Indocement Tunggal Prakarsa Tbk      23,353  
  134,300       PT Semen Indonesia (Persero) Tbk      120,725  
  8,300       Siam City Cement Public Co., Ltd.      91,256  
  52,000       TCC International Holdings, Ltd.      15,688  
  7,200       The Siam Cement Public Co., Ltd.      110,599  
  114,000       West China Cement, Ltd.      22,043  
     

 

 

 
        991,207  
     

 

 

 

 

Containers & Packaging (0.1%):

  

  37,000       Greatview Aspetic Packaging Co., Ltd.      20,976  
  22,427       Nampak, Ltd.      62,014  
     

 

 

 
        82,990  
     

 

 

 

 

Distributors (0.2%):

  

  447       Daewoo International Corp.      10,327  
  10,958       Imperial Holdings, Ltd.      166,934  
  23,000       MBM Resources Berhad      21,226  
     

 

 

 
        198,487  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Diversified (0.0%):

  

  12,065       Turkiye Vakiflar Bankasi T.A.O., Class D    $ 19,229  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  6,247       Advtech, Ltd.      5,877  
  5,000       Kroton Educacional SA      19,111  
     

 

 

 
        24,988  
     

 

 

 

 

Diversified Financial Services (1.3%):

  

  5,240       Ayala Corp.      91,788  
  26,530       Bolsa Mexicana de Valores SA      45,918  
  15,800       Bursa Malaysia Berhad      34,019  
  53,000       China Development Financial Holding Corp.      20,182  
  59,315       FirstRand, Ltd.      260,069  
  2,441       JSE, Ltd. ^      25,805  
  8,069       KB Financial Group, Inc., ADR      265,228  
  203       Korea Investment Holdings Co., Ltd.      11,479  
  3,191       Meritz Securities Co., Ltd.      20,335  
  926,000       Metro Pacific Investments Corp.      97,123  
  2,235       PSG Group, Ltd.      37,687  
     

 

 

 
        909,633  
     

 

 

 

 

Diversified Telecommunication Services (2.4%):

  

  12,000       Alibaba Health Information Technology, Ltd.*      12,442  
  70,282       Axtel SAB de C.V.*      21,780  
  64,000       China Communications Services Corp., Ltd.      32,116  
  637       China Telecom Corp., Ltd., ADR      37,602  
  6,153       China Unicom (Hong Kong), Ltd., ADR^      96,602  
  10,706       Chunghwa Telecom Co., Ltd., ADR      341,736  
  313,800       Jasmine International Public Co., Ltd.      49,111  
  9,052       KT Corp., ADR*      114,689  
  18,528       Oi SA, ADR*      35,388  
  8,724       PT Telekomunik Indonesia Persero Tbk, ADR      378,534  
  2,225       Rostelecom, ADR      21,138  
  33,300       Samart Telcoms Public Co., Ltd.      22,146  
  11,254       Telefonica Brasil SA, ADR      156,769  
  21,900       Telekom Malaysia Berhad      37,954  
  14,405       Telkom SA SOC, Ltd.*      75,948  
  41,000       Thaicom Pcl      42,427  
  220,800       True Corporation Public Co., Ltd.*      74,231  
     

 

 

 
        1,550,613  
     

 

 

 

 

Electric Utilities (1.8%):

  

  14,015       Centrais Electricas Brasileiras SA, ADR      37,700  
  16,789       Centrais Electricas Brasileiras SA, ADR*      31,563  
  47,586       Companhia Energetica de Minas Gerais — CEMIG, ADR      181,303  
  6,905       Companhia Paranaense de Energia, ADR      75,955  
  7,923       CPFL Energia SA, ADR      97,057  
  262       Enea SA      1,110  
  18,953       Enersis SA, ADR      300,026  
  28,630       First Philippine Holdings Corp.      51,592  
  14,457       Korea Electric Power Corp., ADR      294,345  
  7,090       Manila Electric Co.      45,800  
  51,700       Tenega Nasional Berhad      173,222  
     

 

 

 
        1,289,673  
     

 

 

 
 

 

Continued

 

4


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Electrical Equipment (0.1%):

  

  26,000       China High Speed Transmission Equipment Group Co., Ltd.*    $ 22,529  
  26,000       Harbin Electric Co., Ltd.      20,385  
  203       LG Innotek Co., Ltd.      18,282  
  3,500       Zhuzhou CSR Times Electric Co., Ltd.      26,030  
     

 

 

 
        87,226  
     

 

 

 

 

Electronic Equipment, Instruments & Components (2.3%):

  

  10,000       AAC Technologies Holdings, Inc.^      56,383  
  72,888       AU Optronics Corp., ADR      325,080  
  187,700       Cal-comp Electronics (Thailand) Public Co., Ltd., Class F      19,199  
  114,000       China Aerospace International Holdings, Ltd.      26,717  
  13,795       Datatec, Ltd.      73,102  
  22,400       Delta Electronics (Thailand) Public Co., Ltd.      60,033  
  21,700       Hana Microelectronics Public Co., Ltd.      25,953  
  14,603       Hon Hai Precision Industry Co., Ltd., GDR      91,818  
  22,300       Inari Amertron Berhad      19,219  
  32,000       JU Teng International Holdings, Ltd.      15,397  
  25,600       KCE Electronics Public Co., Ltd.      42,040  
  18,000       Kingboard Chemical Holdings, Ltd.      31,089  
  42,000       Kingboard Laminates Holdings, Ltd.      19,945  
  1,000       Largan Precision Co., Ltd.      114,508  
  37,518       LG Display Co., Ltd., ADR      434,835  
  449       LS Corp.      17,468  
  1,000       Pegatron Corp.      2,899  
  36,200       Samart Corporation Public Co., Ltd.      30,197  
  65       Samsung Electro-Mechanics Co., Ltd., Series L      2,975  
  10,000       Sunny Optical Technology Group Co., Ltd.      21,995  
  4,000       TPK Holding Co., Ltd.      23,139  
  42,000       Truly International Holdings, Ltd., Series L      17,277  
  1,000       Yageo Corp.      1,561  
     

 

 

 
        1,472,829  
     

 

 

 

 

Energy Equipment & Services (0.3%):

  

  91,600       Bumi Armada Berhad      27,639  
  10,000       China Oilfield Services, Ltd.      15,837  
  30,000       Dayang Enterprise Holdings Berhad      17,882  
  1,000       Flexium Interconnect, Inc.      4,014  
  57,000       Perdana Petroleum Berhad      22,977  
  237,400       Sapurakencana Petroleum Berhad      148,376  
  33,200       UMW Oil & Gas Corp. Berhad      15,076  
     

 

 

 
        251,801  
     

 

 

 

 

Financials (0.0%):

  

  418       Mirae Asset Securities Co., Ltd.      18,880  
     

 

 

 

 

Food & Staples Retailing (3.1%):

  

  18,700       Big C Supercenter Public Co., Ltd.      106,681  
  18,510       Cencosud SA, ADR      133,457  
  14,000       China Resources Enterprises, Ltd.      45,264  
  15,242       Clicks Group, Ltd.      112,659  
  9,831       Companhia Brasileira de Distribuicao Grupo Pao de Acucar, ADR      232,700  
  25,927       Controladora Comercial Mexican SAB de C.V.      81,253  
  287,100       Cosco Capital, Inc.      49,654  
  112,100       CP ALL Pcl      153,194  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing, continued

  

  94       E-Mart Co., Ltd.    $ 19,376  
  32,292       Grupo Comercial Chedraui SAB de C.V.      91,789  
  5,868       Massmart Holdings, Ltd.      72,026  
  14,237       Organizacion Soriana SAB de C.V.*      31,807  
  15,063       Pickn Pay Stores, Ltd.      71,242  
  34,500       Puregold Price Club, Inc.      28,315  
  1,600       Raia Drogasil SA      20,637  
  17,910       Robinsons Retail Holdings, Inc.      29,660  
  82       Shinsegae Department Store Co.      19,693  
  16,999       Shoprite Holdings, Ltd.      242,368  
  39,000       Sun Art Retail Group, Ltd.      35,106  
  6,916       The Spar Group, Ltd.      107,808  
  104,117       Wal-Mart de Mexico SAB de C.V.      254,343  
  1,349       X5 Retail Group NV, GDR*      22,444  
     

 

 

 
        1,961,476  
     

 

 

 

 

Food Products (3.2%):

  

  2,860       Astral Foods, Ltd.      37,872  
  24,117       AVI, Ltd.      161,678  
  4,500       Biostime International Holdings, Ltd.      13,166  
  14,338       BRF SA, ADR      299,807  
  190,000       C.P. Pokphand Co., Ltd.      29,364  
  92,700       Charoen Pokphand Foods Public Co., Ltd.      65,724  
  55,000       China Agri-Industries Holdings, Ltd.*      31,058  
  8,000       China Mengniu Dairy Co., Ltd.      39,683  
  52,000       China Modern Dairy Holdings, Ltd.      23,504  
  61,000       China Yurun Food Group, Ltd.*      23,089  
  53       CJ CheilJedang Corp.      20,936  
  13,775       Clover Industries, Ltd.      19,918  
  332       Daesang Corp.      10,573  
  10,400       Genting Plantations Berhad      27,396  
  59,100       GFPT Public Co., Ltd.      21,022  
  9,969       Gruma, SAB de C.V., Class B      128,614  
  44,050       Grupo Bimbo SAB de C.V., Series A*      113,831  
  26,126       Grupo Herdez SAB de C.V.      66,549  
  15,717       Illovo Sugar, Ltd.      19,069  
  11,551       Industrias Bachoco, SAB de C.V.      51,819  
  63,200       IOI Corp. Berhad      68,042  
  181       Kernel Holding SA      1,817  
  1,800       Klabin SA      11,015  
  8,400       Kuala Lumpur Kepong Berhad      47,853  
  29,500       Kulim Malaysia Behard      19,589  
  310       Oceana Group, Ltd.      2,473  
  42       Orion Corp.      39,471  
  3,462       Pioneer Foods, Ltd.      52,463  
  12,800       PPB Group Berhad      51,326  
  20,200       PT Astra Agro Lestari Tbk      34,728  
  91,000       PT Charoen Pokphand Indonesia Tbk      18,736  
  206,900       PT Indofood Sukses Makmur Tbk      101,842  
  21,400       QL Resources Berhad      22,415  
  62,000       Shenguan Holdings Group, Ltd.      15,790  
  85,700       Thai Union Frozen Products Public Co., Ltd.      55,257  
  36,300       Thai Vegetable Oil Public Co., Ltd.      24,184  
  7,152       Tiger Brands, Ltd.      166,688  
  18,000       Tingyi (Caymen Is) Holding Corp.      36,585  
 

 

Continued

 

5


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food Products, continued

  

  479       Tongaat Hulett, Ltd.    $ 5,118  
  34,200       TSH Resources Berhad      20,223  
  28,000       Uni-President China Holdings, Ltd.      25,728  
  2,000       Uni-President Enterprises Corp.      3,552  
  25,540       Universal Robina Corp.      109,897  
  51,000       Want Want China Holdings, Ltd.^      53,737  
     

 

 

 
        2,193,201  
     

 

 

 

 

Gas Utilities (0.6%):

  

  24,000       China Gas Holdings, Ltd.      38,302  
  176,000       China Oil & Gas Group, Ltd.*      16,484  
  10,000       China Resources Gas Group, Ltd.      29,539  
  10,000       ENN Energy Holdings, Ltd.      60,132  
  2,424       GAIL India, Ltd., GDR      89,575  
  11,510       Infraestructura Energetica Nova, SAB de C.V.      56,835  
  501       Korea Gas Corp.      19,395  
  13,700       Petronas Gas Berhad      77,213  
  164,000       PT Perusahaan Gas Negara Tbk      53,002  
  20,000       Towngas China Co., Ltd.      18,238  
     

 

 

 
        458,715  
     

 

 

 

 

Health Care Equipment & Supplies (0.2%):

  

  14,500       Hartalega Holdings Berhad      32,656  
  22,300       Kossan Rubber Industries Berhad      38,407  
  348       Osstem Implant Co., Ltd.*      21,206  
  35,400       Supermax Corp. Berhad      19,432  
  29,900       Top Glove Corp. Berhad      52,730  
     

 

 

 
        164,431  
     

 

 

 

 

Health Care Providers & Services (1.0%):

  

  80,200       Bangkok Chain Hospital Public Co., Ltd.      16,713  
  139,100       Bangkok Dusit Medical Services Public Co., Ltd., Class F      80,964  
  13,100       Bumrungrad Hospital Public Co., Ltd.      72,616  
  24,100       IHH Healthcare Berhad*      36,171  
  37,000       Jintian Pharmaceutical Group, Ltd.      19,713  
  22,200       KPJ Healthcare Berhad      24,830  
  40,218       Life Healthcare Group Holdings Pte, Ltd.      123,611  
  7,877       Mediclinic International, Ltd.      66,318  
  51,782       Netcare, Ltd.      162,467  
  6,700       Shanghai Pharmaceuticals Holding Co., Ltd.      18,567  
  8,400       Sinopharm Group Co., Series H      37,018  
     

 

 

 
        658,988  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.4%):

  

  35,695       Alsea SAB de C.V.      107,731  
  34,200       Berjaya Sports Toto Berhard      29,735  
  40,400       Central Plaza Hotel Public Co., Ltd.      44,642  
  52,000       China Travel International Investment Hong Kong, Ltd.      23,070  
  2,525       City Lodge Hotels, Ltd.      28,857  
  5,214       Famous Brands, Ltd.      49,255  
  74,200       Genting Berhard      158,604  
  60,900       Genting Malaysia Berhad      67,549  
  694       Grand Korea Leisure Co., Ltd.      19,363  
  179       Hana Tour Service, Inc.      20,433  
  23,640       Jollibee Foods Corp.      103,427  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Hotels, Restaurants & Leisure, continued

  

  36,900       Magnum Berhad    $ 25,930  
  39,600       MINI International Public Co., Ltd.      35,130  
  16,300       MK Restaurants Group Public Co., Ltd.      27,140  
  275,000       Rexlot Holdings, Ltd.      15,290  
  7,724       Sun International, Ltd.      70,150  
  106,500       TA Enterprise Berhad      19,236  
  153,200       Travellers International Hotel Group, Inc.      17,474  
  15,271       Tsogo Sun Holdings, Ltd.      30,572  
     

 

 

 
        893,588  
     

 

 

 

 

Household Durables (0.6%):

  

  73,698       Consorcio ARA SAB de C.V.*      28,278  
  236       Coway Co., Ltd.      19,361  
  12,000       Haier Electronics Group Co., Ltd.*      32,169  
  85       Hanssem Co., Ltd.      21,405  
  597       LG Electronics, Inc.      25,246  
  5,844       PIK Group*      18,598  
  30,000       Skyworth Digital Holdings, Ltd.      26,480  
  48,258       Steinhoff International Holdings, Ltd.      304,769  
     

 

 

 
        476,306  
     

 

 

 

 

Household Products (0.5%):

  

  90,330       Kimberl- Clark de Mexico SAB de C.V.      195,372  
  60       LG Household & Health Care, Ltd.      41,282  
  22,900       PT Unilever Indonesia Tbk      68,316  
  4,383       Turkiye Sise ve Cam Fabrikalari AS (Sisecam)      5,896  
     

 

 

 
        310,866  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (1.3%):

  

  68,000       Aboitiz Power Corp.      68,618  
  46,000       Beijing Jingneng Clean Energy Co., Ltd., Series H*      18,583  
  37,000       China Longyuan Power Group Corp.      40,781  
  59,000       China Power International Develpoment, Ltd.      44,728  
  14,000       China Resources Power Holdings Co.      38,922  
  197,000       CK Power Public Co., Ltd.      17,149  
  34,000       Datang International Power Generation Co., Ltd.      17,391  
  12,600       Electricity Generating Public Co., Ltd.      57,200  
  3,992       Empresa Nacional de Electricidad SA, ADR      165,468  
  711,300       Energy Development Corp.      117,897  
  130,200       First Gen Corp.      77,959  
  21,900       Glow Energy Public Co., Ltd.      55,081  
  38,000       Huadian Fuxin Energy Corp., Class H      22,867  
  20,000       Huadian Power International Corp., Ltd.      21,978  
  708       Huaneng Power International, Inc., ADR      37,368  
  78,000       Huaneng Renewables Corp., Ltd.      31,208  
  237,500       Lopez Holdings Corp.      37,402  
  34,800       Ratchaburi Electricity Generating Holding Pcl      58,927  
  33,200       SPCG Public Co., Ltd.      25,775  
     

 

 

 
        955,302  
     

 

 

 

 

Industrial Conglomerates (2.9%):

  

  89,590       Aboitiz Equity Ventures, Inc.      115,572  
  127,747       Alfa SAB de C.V., Class A      244,842  
  237,100       Alliance Global Group, Inc.      114,054  
  6,000       Beijing Enterprises Holdings, Ltd.      44,936  
  206,200       Berjaya Corp. Berhad      22,419  
  47,600       Berli Jucker Public Co., Ltd.      52,713  
 

 

Continued

 

6


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Industrial Conglomerates, continued

  
  12,722       Bidvest Group, Ltd.    $ 321,285  
  17,100       Boustead Holdings Berhad      18,812  
  21,000       Cahya Mata Sarawak Berhad      28,833  
  50,000       Citic, Ltd.      89,592  
  100       CJ Corp.      26,635  
  275,900       DMCI Holdings, Inc.      80,940  
  171       Doosan Corp.      16,696  
  27,195       Grupo Carso SAB de C.V.      113,347  
  21,847       GRUPO KUO SAB de C.V., Series B*      34,477  
  30,800       Hap Seng Consolidated Berhad      42,471  
  69,450       JG Summit Holdings, Inc.      110,890  
  72,431       KAP Industrial Holdings, Ltd.      36,573  
  93       LG Corp.      5,134  
  59,800       MMC Corp. Berhad      39,803  
  7,416       Reunert, Ltd.      40,411  
  51,350       San Miguel Corp.      68,216  
  13,000       Shanghai Industrial Holdings, Ltd.      44,150  
  45,600       Sime Darby Berhad      103,032  
  4,430       SM Investments Corp.      87,929  
     

 

 

 
        1,903,762  
     

 

 

 

 

Insurance (1.6%):

  

  20,400       Bangkok Life Assurance Public Co., Ltd.      30,635  
  12,000       Cathay Financial Holding Co., Ltd.      20,939  
  1,000       China Life Insurance Co., Ltd.      1,026  
  2,673       China Life Insurance Co., Ltd., ADR^      58,164  
  6,000       China Pacific Insurance Group Co., Ltd., Class H      28,578  
  5,000       China Taiping Insurance Holdings Co., Ltd.*      17,859  
  17,800       Dhipaya Insurance plc      20,156  
  11,985       Discovery, Ltd.      123,968  
  101       Dongbu Insurance Co., Ltd.      5,114  
  1,770       Korean Reinsurance Co.      19,558  
  5,916       Liberty Holding, Ltd.      70,422  
  416       LIG Insurance Co., Ltd.      10,759  
  10,400       LPI Capital Berhad      38,279  
  1,384       Meritz Fire & Marine Insurance Co., Ltd.      20,151  
  44,515       MMI Holdings, Ltd.      110,335  
  44,400       MPHB Capital Berhad*      20,017  
  3,200       New China Life Insurance Co., Ltd.      19,080  
  36,000       Picc Property & Casuality Co., Ltd., Class H      81,200  
  18,000       Ping An Insurance Group Co. of China, Ltd.      241,476  
  518,000       PT Panin Financial Tbk*      11,098  
  74       Samsung Fire & Marine Insurance Co., Ltd.      19,384  
  206       Samsung Life Insurance Co., Ltd.      19,853  
  31,280       Sanlam, Ltd.      170,670  
  588       Santam, Ltd.      10,422  
  43,000       Tune Ins Holdings Berhad      18,747  
     

 

 

 
        1,187,890  
     

 

 

 

 

Internet (0.1%):

  

  131       Com2uS Corp.*      14,522  
  112       Ncsoft Corp.      19,919  
  1,000       Pchome Online, Inc.      16,509  
     

 

 

 
        50,950  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Internet & Catalog Retail (0.1%):

  

  108       CJ O Shopping Co., Ltd.    $ 19,875  
  182       Hyundai Home Shopping Network Corp.      19,986  
     

 

 

 
        39,861  
     

 

 

 

 

Internet Software & Services (0.9%):

  

  880       Mail.ru Group, Ltd., GDR*      18,312  
  70       NHN Corp.      39,767  
  26,800       Tencent Holdings, Ltd.      533,621  
     

 

 

 
        591,700  
     

 

 

 

 

Investment Banking & Brokerage (0.1%):

  

  1,388       Daewoo Securities Co., Ltd.      18,898  
  1,862       Hyundai Securities Co., Ltd.      15,095  
  385       Samsung Securities Co., Ltd.      18,789  
     

 

 

 
        52,782  
     

 

 

 

 

IT Services (1.7%):

  

  3,739       EOH Holdings, Ltd.      48,031  
  68,960       Infosys Technologies-SP, ADR^      1,093,016  
  36,900       MyEG Services Berhad      27,204  
  13,000       Travelsky Technology, Ltd., Series H      18,916  
     

 

 

 
        1,187,167  
     

 

 

 

 

Machinery (0.3%):

  

  28,600       Changsha Zoomlion Heavy Industry Science & Technology      18,642  
  7,600       China International Marine Containers Group Co., Ltd.      19,352  
  876       Doosan Heavy Industries & Construction Co., Ltd.      18,703  
  2,187       Doosan Infracore Co., Ltd.*      19,180  
  8,000       Haitian International Holdings, Ltd.      18,691  
  188       Hyundai Heavy Industries Co.*      18,724  
  92,000       Lonking Holdings, Ltd.      18,356  
  27,300       PT United Tractors Tbk      41,501  
  1,267       Samsung Heavy Industries Co., Ltd.      19,343  
  29,500       Sinotruk Hong Kong, Ltd.*      17,810  
  5,000       Weichai Power Co., Ltd., Class H      16,545  
  38,000       Wellcall Holdings Berhad      19,148  
     

 

 

 
        245,995  
     

 

 

 

 

Marine (0.2%):

  

  24,000       China Shipping Development Co., Ltd., Class H      18,007  
  1,545       Daewoo Shipbuilding & Marine Engineering Co., Ltd.      18,422  
  33,207       Grindrod, Ltd.      36,716  
  16,500       MISC Berhad      33,725  
  70,050       Precious Shipping Public Co., Ltd.(a)      18,622  
  76,300       Thoresen Thai Agencies Public Co., Ltd.      29,103  
  88       Trencor, Ltd.      463  
     

 

 

 
        155,058  
     

 

 

 

 

Media (2.4%):

  

  52,700       Astro Malaysia Holdings Berhad      43,028  
  53,900       BEC World Public Co., Ltd.      59,666  
  188       CJ CGV Co., Ltd.      21,629  
  301       CJ E&M Corp.*      21,120  
  15,543       Grupo Televisa SA, ADR      603,380  
  40,000       Major Cineplex Group Public Co., Ltd.      39,888  
 

 

Continued

 

7


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Media, continued

  
  54,738       Megacable Holdings SAB de C.V.    $ 229,155  
  2,233       Naspers, Ltd.      345,557  
  327,000       PT Global MediaCom Tbk      28,632  
  177,400       PT Media Nusantara Citra Tbk      25,803  
  190,700       PT Surya Citra Media Tbk      40,662  
  45,100       RS Public Co., Ltd.      18,101  
  143,537       TV Azteca SAB de C.V.      34,525  
  23,000       Wisdom Holdings Group      17,891  
     

 

 

 
        1,529,037  
     

 

 

 

 

Metals & Mining (4.4%):

  

  4,055       African Rainbow Minerals, Ltd.      27,635  
  26,000       Angang Steel Co., Ltd.      17,891  
  1,552       Anglo American Platinum, Ltd.*      35,061  
  28,886       AngloGold Ashanti, Ltd., ADR*      258,530  
  2,033       Arcelormittal South Africa, Ltd.*      2,032  
  2,498       Assore, Ltd.      21,193  
  29,500       China Hongqiao Group, Ltd.      27,770  
  222,000       China Precious Metal Resources Holdings Co., Ltd.*      19,754  
  44,400       China Zhongwang Holdings, Ltd.^      22,777  
  66,322       Companhia Siderurgica Nacional SA, ADR      109,431  
  59,794       Gerdau SA, ADR      144,104  
  49,970       Gold Field, Ltd., ADR      161,403  
  111,664       Grupo Mexico SAB de C.V., Series B      336,018  
  8,400       Grupo Simec SA de C.V., Series B*      24,641  
  18,316       Impala Platinum Holdings, Ltd.*      81,663  
  12,834       Industrias CH SA*      48,510  
  8,738       Industrias Penoles SAB de C.V.      142,981  
  15,000       Jiangxi Copper Co., Ltd.      24,976  
  2,599       JSC MMC Norilsk Nickel, ADR      43,869  
  41       Korea Zinc Co.      19,963  
  1,922       Kumba Iron Ore, Ltd.      23,866  
  52,000       Maanshan Iron & Steel Co., Ltd.*      17,846  
  23,056       Minera Frisco SAB de C.V.*      17,077  
  52,000       MMG, Ltd.*^      18,199  
  26,513       Northam Platinum, Ltd.*      87,519  
  8,319       POSCO, ADR      408,380  
  26,800       Press Metal Berhad      18,528  
  451,300       PT Hanson International Tbk*      25,064  
  52,300       PT Vale Indonesia Tbk      10,663  
  3,505       Royal Bafokeng Platinum, Ltd.*      13,365  
  2,792       Severstal PAO, GDR      29,576  
  88,000       Shougang Fushan Resources Group, Ltd.      20,496  
  58,216       Sibanye Gold, Ltd.      93,347  
  73,000       STP & I Public Co., Ltd.      36,865  
  26,743       Tata Steel, Ltd., GDR      130,280  
  35,335       Vale SA, ADR^      208,123  
  18,714       Vedanta, Ltd., ADR^      202,112  
     

 

 

 
        2,931,508  
     

 

 

 

 

Multiline Retail (0.7%):

  

  37,800       Aeon Co. (M) Berhad      31,075  
  3,137       El Puerto de Liverpool SAb de C.V.      36,232  
  15,000       Golden Eagle Retail Group, Ltd.^      20,092  
  30,009       Grupo FAMSA SA*      19,439  
  31,448       Grupo Sanborsn SAB de C.V.      47,367  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail, continued

  
  197       Hotel Shilla Co., Ltd.    $ 19,680  
  147       Hyundai Department Store Co., Ltd.      19,250  
  3,100       Lojas Americanas SA      13,345  
  600       Lojas Renner SA      21,929  
  41,022       Parkson Holdings Berhad*      16,730  
  489,200       PT Multipolar Tbk      22,913  
  14,200       Robinson Dept Store Public Co., Ltd.      18,782  
  56,000       Springland International Holdings, Ltd.      19,400  
  26,282       Woolworths Holdings, Ltd.      212,679  
     

 

 

 
        518,913  
     

 

 

 

 

Multi-Utilities (0.2%):

  

  330,500       YTL Corporation Berhad      136,123  
  65,800       YTL Power International Berhad      27,891  
     

 

 

 
        164,014  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.6%):

  

  30,900       Bangchak Petroleum Public Co., Ltd.      31,939  
  81,100       Banpu Public Co., Ltd.      61,064  
  32,000       China Coal Energy Co., Ltd., Class H      19,206  
  128,000       China Petroleum & Chemical Corp., Class H      110,056  
  29,000       China Shenhua Energy Co., Ltd.      66,106  
  80,000       China Suntien Green Energy Corp.      17,169  
  1,798       CNOOC, Ltd., ADR^      255,172  
  12,710       Ecopetrol SA, ADR^      168,535  
  100,400       Energy Absolute Public Co., Ltd.      69,631  
  101,800       Esso Thailand Public Co., Ltd.*      19,134  
  8,460       Exxaro Resources, Ltd.^      60,385  
  21,415       Gazprom OAO, ADR      110,483  
  332       Grupa Lotos SA*      2,648  
  438       GS Holdings      19,471  
  458,300       IRPC Public Co., Ltd.      60,550  
  64,000       Kunlun Energy Co., Ltd.      64,741  
  2,806       LUKOIL, ADR      126,017  
  1,207       PetroChina Co., Ltd., ADR      133,748  
  31,328       Petroleo Brasileiro SA, ADR*      283,518  
  42,133       Petroleo Brasileiro SA, ADR*      343,806  
  214,800       Petron Corp.      42,149  
  7,000       Petronas Dagangan Berhad      38,184  
  490,000       PT Adaro Energy Tbk      27,885  
  475,000       PT Sugih Energy Tbk*      13,961  
  46,200       PT Tambang Batubara Bukit Asam Tbk      29,068  
  95,000       PTT Exploration & Production Public Co., Ltd.      305,878  
  50,500       PTT Public Co., Ltd.      536,348  
  16,597       Reliance Industries, Ltd., GDR      521,315  
  7,210       Rosneft Oil Co., GDR      29,747  
  13,540       Sasol, Ltd., ADR      501,792  
  22,200       Semirara Mining and Power Corp.      70,164  
  176       SK Energy Co., Ltd.*      19,350  
  309       S-Oil Corp.      18,800  
  1,421       Tatneft, ADR      45,497  
  24,400       Thai Oil Public Co., Ltd.      39,691  
  13,904       Ultrapar Participacoes SA, ADR      292,262  
  126,000       United Energy Group, Ltd.*      22,084  
  2,362       Yanzhou Coal Mining Co., Ltd., ADR      18,306  
     

 

 

 
        4,595,860  
     

 

 

 
 

 

Continued

 

8


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Paper & Forest Products (0.7%):

  

  12,201       Fibria Celulose SA, ADR    $ 166,056  
  5,858       Mondi, Ltd.      128,546  
  43,000       Nine Dragons Paper Holdings, Ltd.      37,516  
  41,128       Sappi, Ltd.*      146,028  
     

 

 

 
        478,146  
     

 

 

 

 

Personal Products (0.3%):

  

  110       Amorepacific Corp.      41,181  
  237       Amorepacific Group      39,711  
  22       Cosmax, Inc.      3,970  
  6,500       Hengan International Group Co., Ltd.      76,878  
  2,700       Hypermarcas SA*      19,693  
  24,800       Karex Berhad      20,195  
  280       Korea Kolmar Co., Ltd.      25,458  
     

 

 

 
        227,086  
     

 

 

 

 

Pharmaceuticals (1.2%):

  

  3,947       Aspen Pharmacare Holdings, Ltd.      116,866  
  268       Celltrion, Inc.*      18,733  
  1,900       Chia Tai Enterprises International, Ltd.*(a)      1,961  
  21,000       China Medical System Holdings, Ltd.      29,399  
  22,000       China Pharmaceutical Enterprise & Investment Corp.      21,644  
  7,500       Dr. Reddy’s Laboratories, Ltd., ADR      414,900  
  49       Hanmi Pharm Co., Ltd.*      20,536  
  287,900       PT Kalbe Farma Tbk      36,135  
  40,000       Sino Biopharmaceutical, Ltd.      46,175  
  44,000       SSY Group, Ltd.^      15,850  
  11,000       Tong Ren Tang Technologies Co., Ltd.      18,686  
     

 

 

 
        740,885  
     

 

 

 

 

Real Estate Management & Development (3.5%):

  

  42,000       Agile Property Holdings, Ltd.      28,256  
  43,100       Amata Corp. Public Co., Ltd.      19,133  
  98,800       AP Thailand plc      21,032  
  136,000       Ayala Land, Inc.      112,434  
  816,700       Bangkok Land Public Co., Ltd.      38,142  
  30,000       Beijing Capital Land, Ltd.      22,991  
  546,000       Belle Corp.      39,964  
  67,200       Central Pattana Public Co., Ltd.      94,361  
  90,000       China Merchants Land, Ltd.      22,038  
  38,000       China Overseas Grand Oceans Group, Ltd.      19,251  
  36,000       China Overseas Land & Investment, Ltd.      126,903  
  20,000       China Resources Land, Ltd.      64,402  
  50,000       China South City Holdings, Ltd.      17,219  
  13,900       China Vanke Co., Ltd., Class H      34,055  
  47,417       Corporacion Inmobiliaria Vesta SAB de C.V.      77,242  
  110,000       Country Garden Holdings Co., Ltd.      48,257  
  39,000       Eastern & Oriental Berhad      17,652  
  8,417       Etalon Group, Ltd.      15,527  
  107,000       Evergrande Real Estate Group, Ltd.      63,304  
  1,255,000       Filinvest Land, Inc.      51,770  
  96,000       Franshion Properties China, Ltd.*^      34,131  
  159,000       Glorious Property Holdings, Ltd.*      24,811  
  10,000       Goldin Properties Holdings, Ltd.*      10,532  
  26,800       Guangzhou R&F Properties Co., Ltd., Class H*      32,623  
  20,000       Hopson Development Holdings, Ltd.*      20,148  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Management & Development, continued

  
  37,300       KSL Holdings Berhad    $ 17,112  
  31,500       KWG Property Holding, Ltd.      26,546  
  36,400       L.P.N. Development Public Co., Ltd.      18,927  
  98,700       Land & Houses Public Co., Ltd.      25,823  
  18,500       Longfor Properties Co., Ltd.      29,269  
  83,375       Mah Sing Group Berhad      36,480  
  25,000       Matrix Concepts Holdings Berhad      20,540  
  937,500       Megaworld Corp.      98,958  
  59,000       Mingfa Group International Co., Ltd.*      14,597  
  38,000       New World China Land, Ltd.      22,358  
  53,000       Poly Property Group Co., Ltd.      25,415  
  66,700       Pruksa Real Estate Public Co., Ltd.      49,968  
  417,700       PT Alam Sutera Realty Tbk*      18,070  
  292,900       PT Bumi Serpong Damai      36,628  
  375,500       PT Ciputra Development Tbk      35,548  
  397,700       PT Intiland Development Tbk      16,970  
  23,200       PT Lippo Cikarang Tbk*      15,819  
  745,800       PT Lippo Karawaci Tbk      65,979  
  177,300       PT Modernland Realty Tbk      6,973  
  711,400       PT Pakuwon Jati Tbk      22,907  
  251,500       PT Summarecon Agung Tbk      30,773  
  247,000       Quality Houses Pcl      18,409  
  464,000       Renhe Commercial Holdings Co., Ltd.*      38,626  
  158,800       Robinsons Land Corp.      103,115  
  597,500       Sansiri Public Co., Ltd.      31,577  
  191,700       SC Asset Corp. Public Co., Ltd.      18,494  
  82,000       Shanghai Industrial Urban development Group, Ltd.      21,871  
  62,000       Shenzhen Investment, Ltd.      30,546  
  30,000       Shimao Property Holdings, Ltd.      59,072  
  95,500       Shui On Land, Ltd.      26,876  
  48,500       Sino-Ocean Land Holdings, Ltd.      36,631  
  266,700       SM Prime Holdings, Inc.      118,101  
  48,000       Soho China, Ltd.      31,265  
  21,900       SP Setia Berhad      18,093  
  26,000       Sunac China Holdings, Ltd.^      28,133  
  29,900       Sunway Berhad      27,249  
  77,000       Supalai Public Co., Ltd.      42,740  
  83,000       UEM Sunrise Berhad      21,460  
  35,600       UOA Development Berhad      19,952  
  552,000       Vista Land & Lifescapes, Inc.      77,999  
  180,000       Yuexiu Property Co., Ltd.      38,926  
     

 

 

 
        2,500,973  
     

 

 

 

 

Road & Rail (0.0%):

  

  34,000       Guangshen Railway Co., Ltd.      18,693  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (9.0%):

  

  43,122       Advanced Semiconductor Engineering, Inc., ADR      284,605  
  4,000       Chipbond Technology Corp.      8,678  
  237       EO Technics Co., Ltd.      19,855  
  1,000       Epistar Corp.      1,328  
  196,000       GCL-Poly Energy Holdings, Ltd.*      44,892  
  13,200       Globetronics Technology Berhad      20,821  
  3,000       Kinsus Interconnect Technology Corp.      8,259  
  1,000       Macronix International Co., Ltd.*      193  
  11,300       Malaysian Pacific Industries Berhad      19,962  
 

 

Continued

 

9


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment, continued

  
  10,000       Powertech Technology, Inc.    $ 21,506  
  1,000       Realtek Semiconductor Corp.      2,566  
  4,000       Richtek Technology Corp.      23,384  
  4,031       Samsung Electronics co., Ltd., GDR      2,299,132  
  10,057       Semiconductor Manufacturing International Corp., ADR*      54,408  
  31,327       Siliconware Precision Industries Co., ADR      233,386  
  5,000       Sino-American Silicon Products, Inc.      6,342  
  502       SK Hynix, Inc.      19,084  
  113,700       Taiwan Semiconductor Manufacturing Co., Ltd., ADR      2,582,126  
  35,700       Unisem (M) Berhad      22,058  
  209,364       United Microelectronics Corp., ADR      429,196  
  78,000       Winbond Electronics Corp.*      20,268  
  1,464       WONIK IPS Co., Ltd.*      18,720  
     

 

 

 
        6,140,769  
     

 

 

 

 

Specialty Retail (0.9%):

  

  35,500       Baoxin Auto Group, Ltd.*      22,263  
  331       Cashbuild, Ltd.      8,192  
  32,500       China Zhentong Auto Services Holdings, Ltd.      21,165  
  175,000       GOME Electrical Appliances Holdings, Ltd.      38,132  
  295,000       Home Product Center Public Co., Ltd.      58,867  
  1,000       Hotai Motor Co., Ltd.      14,149  
  6,696       Lewis Group, Ltd.      54,346  
  6,092       Mr. Price Group, Ltd.      125,394  
  55,000       Padini Holdings Berhad      19,399  
  347,300       PT ACE Hardware Indonesia Tbk      16,826  
  24,821       Super Group, Ltd.*      64,406  
  8,543       The Foschini Group, Ltd.      111,615  
  17,171       Truworths International, Ltd.      120,890  
  26,500       Zhongsheng Group Holdings, Ltd.      18,435  
     

 

 

 
        694,079  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.2%):

  

  2,000       Acer, Inc.*      962  
  80,000       Coolpad Group, Ltd.      28,113  
  1,000       High Tech Computer Corp.*      2,320  
  60,000       Lenovo Group, Ltd.      82,476  
  1,000       Micro-Star International Co., Ltd.      1,011  
  17,000       TCL Communicatin Technology Holdings, Ltd.      15,866  
  10,000       Wistron Corp.      7,595  
     

 

 

 
        138,343  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.2%):

  

  11,000       Anta Sports Products, Ltd.      26,653  
  48,000       Belle International Holdings, Ltd.      55,261  
  150,000       Bosideng International Holdings, Ltd.      19,421  
  2,000       Eclat Textile Co., Ltd.      32,799  
  5,000       Shenzhou International Group      24,305  
  2,000       Tainan Spinning Co., Ltd.      1,027  
     

 

 

 
        159,466  
     

 

 

 

 

Tobacco (0.1%):

  

  4,600       British American Tobacco Malaysia Berhad      75,716  
  88       KT&G Corp.      7,460  
  7,000       PT Gudang Garam Tbk      23,645  
     

 

 

 
        106,821  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Trading Companies & Distributors (0.4%):

  

  15,919       Barloworld, Ltd.    $ 126,262  
  126,000       CITIC Resources Holdings, Ltd.*      34,759  
  1,664       Hudaco Industries, Ltd.      17,799  
  458       LG International Corp.      15,968  
  2,473       SK Network Co., Ltd.      19,901  
     

 

 

 
        214,689  
     

 

 

 

 

Transportation Infrastructure (1.3%):

  

  8,500       Airports of Thailand Public Co., Ltd.      76,217  
  22,900       Bangkok Aviation Fuel Services Public Co., Ltd.      17,450  
  31,100       Bangkok Expressway Public Co., Ltd.      36,303  
  20,000       Beijing Capital International Airport Co., Ltd.      22,961  
  14,000       China Merchants Holdings International Co., Ltd.      59,663  
  48,000       Cosco Pacific, Ltd.      64,816  
  8,915       Grupo Aeroportuario del Centro Norte, SAb de C.V.      43,817  
  522       Grupo Aeroportuario del Sureste SAB de C.V., ADR      74,056  
  14,894       Grupo Aeroporturaio del Pacifico SAB de C.V.      101,978  
  42,500       Hopewell Highway Infrastructure, Ltd.      20,846  
  103       Hyundai Glovis Co., Ltd.      18,630  
  35,290       International Container Terminal Services, Inc.      86,243  
  16,000       Jiangsu Expressway Co., Ltd., Series H      20,997  
  36,400       Malaysia Airports Holdings Berhad      59,872  
  24,684       OHL Mexico SAB de C.V.*      32,042  
  41,400       PT Jasa Marga Persero Tbk      16,824  
  20,000       Shenzhen Expressway Co., Ltd.      15,936  
  29,000       Shenzhen International Holdings, Ltd.      50,224  
  70,000       Tianjin Port Development Holdings, Ltd.      16,591  
  29,300       Westports Holding Berhad      32,913  
  30,000       Yuexiu Transport Infrastructure, Ltd.      21,524  
  20,000       Zhejiang Expressway Co., Ltd.      27,767  
     

 

 

 
        917,670  
     

 

 

 

 

Water Utilities (0.5%):

  

  22,000       Beijing Enterprises Water Group, Ltd.      17,916  
  38,000       China Water Affairs Group, Ltd.^      20,522  
  22,581       Companhia de Saneamento Basico do Estado de Sao Paulo, ADR      116,970  
  16,000       CT Environmental Group, Ltd.      21,231  
  30,000       Guangdong Investment, Ltd.      41,842  
  134,100       Manila Water Co.      71,434  
  95,500       TTW Public Co., Ltd.      31,902  
     

 

 

 
        321,817  
     

 

 

 

 

Wireless Telecommunication Services (6.0%):

  

  34,300       Advanced Information Service plc      243,111  
  35,123       America Movil SAB de C.V., Series L, ADR      748,472  
  63,600       Axiata Group Berhad      107,943  
  7,027       China Mobile, Ltd., ADR      450,360  
  68,500       DIGI.com Berhad      97,333  
  1,000       Far EasTone Telecommunications Co., Ltd.      2,417  
  18,392       Global Telecom Holding, GDR*      30,492  
  1,840       Globe Telecom, Inc.      102,314  
  19,200       Intouch Holdings Public Co., Ltd.      44,304  
  114       LG Uplus Corp.      1,007  
  41,400       Maxis Berhad      69,711  
  52,882       MTN Group, Ltd.      994,367  
 

 

Continued

 

10


AZL DFA Emerging Markets Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Wireless Telecommunication Services, continued

  

  6,625       Philippine Long Distance Telephone Co., ADR    $ 412,737  
  45,500       PT Tower Bersama Infrastructure Tbk*      31,302  
  2,482       SK Telecom Co., Ltd., ADR      61,529  
  6,589       Tim Participacoes SA, ADR      107,796  
  42,500       Total Access Communication Public Co., Ltd.      104,815  
  14,907       Turkcell Iletisim Hizmetleri AS, ADR      171,281  
  8,400       Vimpelcom, Ltd., ADR      41,748  
  6,240       Vodacom Group, Ltd.      71,080  
     

 

 

 
        3,894,119  
     

 

 

 

 

Total Common Stocks (Cost $67,569,632)

     61,535,261  
     

 

 

 

 

Preferred Stock (0.4%):

  

 

Metals & Mining (0.4%):

  

  53,255       Vale SA, Preferred Shares, ADR      268,938  
     

 

 

 

 

Total Preferred Stock (Cost $337,370)

     268,938  
     

 

 

 

 

Warrant (0.0%):

  

 

Diversified Telecommunication Services (0.0%):

  

  153,823       Jasmine International*(a)      2,233  
     

 

 

 

 

Total Warrant (Cost $—)

     2,233  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Right (0.0%):

  

 

Construction & Materials (0.0%):

  

  26,000       TCC International Holdings, Ltd.*    $ 463  
     

 

 

 

 

Total Right (Cost $—)

     463  
     

 

 

 

 

Mutual Funds (9.0%):

  

  127,278       iShares MSCI Taiwan ETF, 1.84%      2,008,447  
  40,849       iShares MSCI South Korea Capped ETF, 1.20%      2,251,189  
  88,435       WisdomTree India Earnings Fund, 0.77%      1,916,386  
     

 

 

 

 

Total Mutual Fund (Cost $6,546,233)

     6,176,022  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (5.2%):

  

$ 3,572,155       Allianz Variable Insurance Products Securities Lending Collateral Trust(b)      3,572,155  
     

 

 

 

 

Unaffiliated Investment Company (0.1%):

  

  49,521       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (c)      49,521   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $49,521)

     49,521   
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $3,572,155)

     3,572,155  
     

 

 

 

 

Total Investment Securities (Cost $78,074,911)(d) — 104.6%

     71,604,593  

 

Net other assets (liabilities) — (4.6)%

     (3,129,867
     

 

 

 

 

Net Assets — 100.0%

   $ 68,474,726  
     

 

 

 
 

 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

GDR—Global Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $2,958,975.

 

(a) The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.04% 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, 2015.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Bermuda

     0.2

Brazil

     8.1

British Virgin Islands

     %NM 

Cayman Islands

     0.3

Chile

     1.5

China

     6.9

Colombia

     0.5

Egypt

     0.4

Guernsey

     %NM 

Hong Kong

     4.8

India

     4.3

Indonesia

     2.8

Korea, Republic Of

     7.2

Malaysia

         6.2
Country    Percentage  

Mexico

     8.8

Philippines

     4.9

Poland

     %NM 

Republic of Korea (South)

     1.4

Russian Federation

     0.9

South Africa

     11.9

Switzerland

     %NM 

Taiwan

     4.3

Taiwan, Province Of China

     2.2

Thailand

     6.9

Turkey

     0.4

Ukraine

     %NM 

United States

     15.1
  

 

 

 
     100.0
  

 

 

 
 

 

NM Not meaningful, amount is less than 0.05%.

 

See accompanying notes to the financial statements.

 

11


AZL DFA Emerging Markets Core Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 76,142,164  

Investments in affiliates, at cost

       1,932,747  
    

 

 

 

Total Investment securities, at cost

     $ 78,074,911  
    

 

 

 

Investment securities, at value

     $ 69,688,207  

Investments securities, at value

       1,916,386  
    

 

 

 

Total Investment securities, at value*

     $ 71,604,593  

Cash

       13,215  

Interest and dividends receivable

       245,675  

Foreign currency, at value (cost $111,170)

       105,307  

Receivable for capital shares issued

       18,499  

Receivable for investments sold

       598,834  
    

 

 

 

Total Assets

       72,586,123  
    

 

 

 
    

Liabilities:

    

Payable for investments purchased

       438,200  

Payable for collateral received on loaned securities

       3,572,155  

Manager fees payable

       53,776  

Administration fees payable

       1,808  

Distribution fees payable

       14,152  

Custodian fees payable

       28,762  

Administrative and compliance services fees payable

       60  

Trustee fees payable

       235  

Other accrued liabilities

       2,249  
    

 

 

 

Total Liabilities

       4,111,394  
    

 

 

 

Net Assets

     $ 68,474,726  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 74,766,916  

Accumulated net investment income/(loss)

       269,397  

Accumulated net realized gains/(losses) from investment transactions

       (84,556 )

Net unrealized appreciation/(depreciation) on investments

       (6,477,031 )
    

 

 

 

Net Assets

     $ 68,474,726  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       7,479,996  

Net Asset Value (offering and redemption price per share)

     $ 9.15  
    

 

 

 

 

* Includes securities on loan of $2,958,975.

Statement of Operations

For the Period Ended June 30, 2015 (a)

(Unaudited)

 

Investment Income:

    

Dividends

     $ 482,073  

Income from securities lending

       200  

Foreign withholding tax

       (23,192 )
    

 

 

 

Total Investment Income

       459,081  
    

 

 

 

Expenses:

    

Manager fees

       158,070  

Administration fees

       4,615  

Distribution fees

       31,614  

Custodian fees

       30,511  

Administrative and compliance services fees

       64  

Trustee fees

       334  

Professional fees

       308  

Shareholder reports

       1,996  

Other expenses

       109  
    

 

 

 

Total expenses before reductions

       227,621  

Less expenses voluntarily waived/reimbursed by the Manager

       (37,937 )
    

 

 

 

Net expenses

       189,684  
    

 

 

 

Net Investment Income/(Loss)

       269,397  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       (84,556 )

Change in net unrealized appreciation/depreciation on investments

       (6,477,031 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (6,561,587 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (6,292,190 )
    

 

 

 

 

(a) For the period April 27, 2015 (commencement of operations) to June 30, 2015.
 

 

See accompanying notes to the financial statements.

 

12


Statement of Changes in Net Assets

 

     AZL DFA Emerging Markets
Core Equity Fund
     

April 27, 2015

to

June 30, 2015 (a)

     (Unaudited)

Change In Net Assets:

    

Operations:

    

Net investment income/(loss)

     $ 269,397  

Net realized gains/(losses) on investment transactions

       (84,556 )

Change in unrealized appreciation/depreciation on investments

       (6,477,031 )
    

 

 

 

Change in net assets resulting from operations

       (6,292,190 )
    

 

 

 

Capital Transactions:

    

Proceeds from shares issued

       77,027,535  

Value of shares redeemed

       (2,260,619 )
    

 

 

 

Change in net assets resulting from capital transactions

       74,766,916  
    

 

 

 

Change in net assets

       68,474,726  

Net Assets:

    

Beginning of period

        
    

 

 

 

End of period

     $ 68,474,726  
    

 

 

 

Accumulated net investment income/(loss)

     $ 269,397  
    

 

 

 

Share Transactions:

    

Shares issued

       7,709,542  

Shares redeemed

       (229,546 )
    

 

 

 

Change in shares

       7,479,996  
    

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

13


AZL DFA Emerging Markets Core Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      April 27, 2015
to
June 30, 2015 (a)
     (Unaudited)

Net Asset Value, Beginning of Period

     $ 10.00  
    

 

 

 

Investment Activities:

    

Net Investment Income/(Loss)

       0.04  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.89 )
    

 

 

 

Total from Investment Activities

       (0.85 )
    

 

 

 

Net Asset Value, End of Period

     $ 9.15  
    

 

 

 

Total Return(b)

       (8.50 )%(c)

Ratios to Average Net Assets/Supplemental Data:

    

Net Assets, End of Period (000’s)

     $ 68,475  

Net Investment Income/(Loss)(d)

       2.13 %

Expenses Before Reductions(d) (e)

       1.80 %

Expenses Net of Reductions(d)

       1.50 %

Portfolio Turnover Rate

       2 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

14


AZL DFA Emerging Markets Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL DFA Emerging Markets Core Equity Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

15


AZL DFA Emerging Markets Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2.9 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $227 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL DFA Emerging Markets Core Equity Fund

         1.25 %          1.50 %

 

* The Manager voluntarily reduced the management fee to 0.95% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the period can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

 

16


AZL DFA Emerging Markets Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $56 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Aerospace & Defense

       $ 306,777          $ 59,768          $ 366,545  

Airlines

         231,089            185,210            416,299  

Banks

         3,394,690            5,432,260            8,826,950  

Beverages

         1,669,571            122,484            1,792,055  

Capital Markets

         31,390            227,864            259,254  

Chemicals

         284,880            636,303            921,183  

Commercial Services & Supplies

         9,261            167,830            177,091  

Construction & Engineering

         385,700            719,681            1,105,381  

 

17


AZL DFA Emerging Markets Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Total
                      

Construction Materials

       $ 341,421          $ 649,786          $ 991,207  

Diversified Consumer Services

         19,111            5,877            24,988  

Diversified Financial Services

         311,146            598,487            909,633  

Diversified Telecommunication Services

         1,204,238            346,375            1,550,613  

Electric Utilities

         1,017,949            271,724            1,289,673  

Electronic Equipment, Instruments & Components

         759,915            712,914            1,472,829  

Food & Staples Retailing

         845,986            1,115,490            1,961,476  

Food Products

         671,635            1,521,566            2,193,201  

Gas Utilities

         146,410            312,305            458,715  

Hotels, Restaurants & Leisure

         107,731            785,857            893,588  

Household Durables

         28,278            448,028            476,306  

Household Products

         195,372            115,494            310,866  

Independent Power and Renewable Electricity Producers

         202,836            752,466            955,302  

Industrial Conglomerates

         392,666            1,511,096            1,903,762  

Insurance

         58,164            1,129,726            1,187,890  

IT Services

         1,093,016            94,151            1,187,167  

Media

         867,060            661,977            1,529,037  

Metals & Mining

         2,061,310            870,198            2,931,508  

Multiline Retail

         138,312            380,601            518,913  

Oil, Gas & Consumable Fuels

         2,644,471            1,951,389            4,595,860  

Paper & Forest Products

         166,056            312,090            478,146  

Personal Products

         19,693            207,393            227,086  

Pharmaceuticals

         414,900            325,985            740,885  

Real Estate Management & Development

         77,242            2,423,731            2,500,973  

Semiconductors & Semiconductor Equipment

         3,583,721            2,557,048            6,140,769  

Transportation Infrastructure

         251,893            665,777            917,670  

Water Utilities

         116,970            204,847            321,817  

Wireless Telecommunication Services

         1,993,923            1,900,196            3,894,119  

All Other Common Stocks+

                    5,106,504            5,106,504  

Preferred Stock

         268,938                       268,938  

Right

                    463            463  

Warrant

                    2,233            2,233  

Mutual Funds

         6,176,022                       6,176,022  

Securities Held as Collateral for Securities on Loan

                    3,572,155            3,572,155  

Unaffiliated Investment Company

         49,521                       49,521  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 32,539,264          $ 39,065,329          $ 71,604,593  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL DFA Emerging Markets Core Equity Fund

       $ 4,402,812          $ 1,667,105  

6. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

 

18


AZL DFA Emerging Markets Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $78,074,911. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 425,655  

Unrealized depreciation

    (6,895,973
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (6,470,318
 

 

 

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

19


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

20


Approval of Investment Advisory and Subadvisory Agreement (Unaudited)

The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 36 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.

In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.

The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.

In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.

As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.

The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.

The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.

The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.

The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.

At an “in-person” Board of Trustees meeting held June 11, 2014, the Board authorized the creation of five new series of the Trust, to be managed by Dimensional Fund Advisors LP: AZL DFA U.S. Core Equity Fund, AZL DFA U.S. Small Cap Fund, AZL DFA International Core Equity Fund, AZL DFA Emerging Markets Core Equity Fund, and AZL DFA Five-Year Global Fixed Income Fund (collectively, the “DFA Funds”). The Advisory and Subadvisory Agreements pertaining to the DFA Funds (collectively, the “Agreements”) were approved at the Board of Trustees meeting of June 11, 2014. (The Subadvisory Agreement is between the Manager and Dimensional Fund Advisors LP (“DFA”), the Subadviser to the DFA Funds.)

At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2016. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives to that of the DFA Funds, derived from data compiled by an independent third party provider and other sources believed to be reliable by the

 

21


Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the DFA Funds, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.

An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:

(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser.

The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.

The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.

The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the June 11, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the DFA Funds under the Agreements.

(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. In connection with the Board of Trustees meeting held June 11, 2014, the Manager reported that for funds managed by DFA with investment objectives and policies similar to those of the DFA Funds, for various periods ended March 31, 2014, such funds’ total returns compared favorably to each fund’s benchmark and respective peer group. At the Board of Trustees meeting held June 11, 2014, the Trustees determined that the overall investment performance of such funds was acceptable.

(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the DFA Funds are subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth management fees and total fees after taking expense caps into account. Based upon the information provided, the management fee payable by the DFA Funds to the Manager would range from the 5th percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 28th percentile (AZL DFA International Core Equity Fund). The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the DFA Funds is not unreasonable.

The Manager also supplied information to the Board of Trustees pertaining to total anticipated DFA Funds expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by each Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the DFA Funds ranged from the 1st percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 50th percentile (AZL DFA Emerging Markets Core Equity Fund).

The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the DFA Funds was not unreasonable.

At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. Subsequently, at an in-person meeting held on October 21, 2014, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2014. (The DFA Funds did not commence operations until April 27, 2015.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2015, the Trustees will receive information on the Manager’s level of profitability from its relationship with the DFA Funds.

The Manager, on behalf of the Board of Trustees, endeavors to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager is unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it, including DFA, were negotiated on an “arm’s length” basis, so that arguably, such profitability information should be less relevant. At the June 11, 2014 meeting, the Trustees were provided with certain financial information bearing on the profitability of

 

22


DFA; information regarding the profitability to DFA of the DFA Funds was not available because those Funds had not yet commenced operations. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization.

Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to DFA from being the Subadviser to the DFA Funds was excessive.

(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the DFA Funds does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the DFA Funds had no assets as of June 11, 2014.

The Trustees noted that the Manager has agreed temporarily to reduce the management fee of each DFA Fund and to “cap” DFA Fund expenses at certain levels, each of which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee reductions and expense “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2015, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.

Having taken these factors into account, the Trustees concluded at the June 11, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the DFA Funds was acceptable under the circumstances.

 

23


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® DFA Five-Year Global Fixed Income Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statement of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 11

Approval of Investment Advisory and Subadvisory Agreement

Page 12

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL DFA Five-Year Global Fixed Income Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL DFA Five-Year Global Fixed Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
4/27/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
4/27/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
4/27/15 - 6/30/15

AZL DFA Five-Year Global Fixed Income Fund

       $ 1,000.00          $ 989.00          $ 1.42          $ 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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15**
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL DFA Five-Year Global Fixed Income Fund

       $ 1,000.00          $ 1,023.83          $ 4.01          $ 0.80  

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the period from April 27, 2014 (date of commencement of operations) to June 30,2015 divided by the number of days in the fiscal year.

 

** Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Yankee Dollars

      63.0 %

Corporate Bonds

      32.0  

U.S. Government Agency Mortgages

      3.8  

Securities Held as Collateral for Securities on Loan

      2.3  

Money Market

      1.0  
   

 

 

 

Total Investment Securities

      102.1  

Net other assets (liabilities)

      (2.1 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Contracts,

Shares,

Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds (32.0%):

  

 

Banks (3.0%):

  

$ 17,000,000       U.S. Bank NA Cincinnati, Series BKNT, 2.13%, 10/28/19, Callable 9/28/19 @ 100^    $ 17,019,312  
     

 

 

 

 

Communications Equipment (2.9%):

  

  15,000,000       Cisco Systems, Inc., 4.45%, 1/15/20      16,400,880  
     

 

 

 

 

Consumer Finance (3.0%):

  

  17,000,000       Toyota Motor Credit Corp., 2.15%, 3/12/20, MTN      16,994,781  
     

 

 

 

 

Diversified Financial Services (3.6%):

  

  4,250,000       Berkshire Hathaway, Inc., 2.10%, 8/14/19^      4,279,759  
  16,114,000       General Electric Capital Corp., Series G, 2.20%, 1/9/20, Callable 12/9/19 @ 100, MTN      16,109,423  
     

 

 

 
        20,389,182  
     

 

 

 

 

Industrial Conglomerates (1.1%):

  

  6,053,000       3M Co., 1.63%, 6/15/19, MTN      6,031,893  
     

 

 

 

 

IT Services (2.6%):

  

  15,000,000       IBM Corp., 1.95%, 2/12/19^      15,061,470  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.0%):

  

  17,000,000       Chevron Corp., 1.96%, 3/3/20, Callable 2/3/20 @ 100      16,860,617  
  17,331,000       Exxon Mobil Corp., 1.91%, 3/6/20, Callable 2/6/20 @ 100^      17,227,464  
     

 

 

 
        34,088,081  
     

 

 

 

 

Pharmaceuticals (5.5%):

  

  2,000,000       Merck & Co., Inc., 5.00%, 6/30/19      2,227,014  
  13,500,000       Merck & Co., Inc., 1.85%, 2/10/20^      13,386,992  
  16,000,000       Pfizer, Inc., 2.10%, 5/15/19      16,123,360  
     

 

 

 
        31,737,366  
     

 

 

 

 

Software (1.7%):

  

  10,000,000       Microsoft Corp., 1.85%, 2/12/20, Callable 1/12/20 @ 100      10,005,760  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (2.6%):

  

  15,000,000       Apple, Inc., 2.10%, 5/6/19      15,150,990  
     

 

 

 

 

Total Corporate Bonds (Cost $184,524,374)

     182,879,715  
     

 

 

 

 

Yankee Dollars (63.0%):

  

 

Banks (31.8%):

  

  5,250,000       Australia & New Zealand Banking Group, Ltd., 2.25%, 6/13/19      5,272,496  
  8,000,000       Australia & New Zealand Banking Group, Ltd., Registered Shares, 5.10%, 1/13/20      8,945,416  
  16,000,000       Bank Nederlandse Gemeenten NV, Registered Shares, 1.88%, 6/11/19      16,178,432  
  4,568,000       Commonwealth Bank of Australia, 2.30%, 9/6/19      4,580,270  
  12,000,000       Commonwealth Bank of Australia NY, Series G, 2.30%, 3/12/20      11,988,408  
  16,650,000       Dexia Credit Local SA NY, Registered Shares, 1.88%, 1/29/20      16,450,666  
  8,265,000       Japan Bank for International Cooperation, Series DTC, 1.75%, 5/29/19      8,298,407  
  15,000,000       KFW, 1.88%, 4/1/19      15,258,615  
  7,810,000       National Australia Bank Ltd., Registered Shares, 2.25%, 7/1/19      7,832,860  

Contracts,

Shares,

Notional

Amount or
Principal

Amount

           Fair Value  

 

Yankee Dollars, continued

  

 

Banks, continued

  

$ 17,000,000       Nederlandse Waterschapsbank NV, Registed Shares, 1.75%, 9/5/19    $ 17,072,726  
  3,000,000       Nordea Bank AB, Registered, 4.88%, 1/27/20      3,332,403  
  8,000,000       NRW.Bank, Series E, 2.00%, 9/23/19, MTN      8,079,536  
  15,000,000       Oesterreichische Kontrollbank AG, 1.38%, 2/10/20      14,772,810  
  8,000,000       Royal Bank of Canada, Series G, 2.15%, 3/15/19, MTN      8,053,168  
  9,000,000       Royal Bank of Canada, Series G, 2.15%, 3/6/20      8,985,366  
  10,630,000       Svenska Handelsbanken AB, 2.50%, 1/25/19      10,802,004  
  5,000,000       Toronto-Dominion Bank (The), Series BKNT, 2.13%, 7/2/19      5,018,745  
  8,411,000       Toronto-Dominion Bank (The), 2.25%, 11/5/19, MTN      8,444,922  
  2,000,000       Westpac Banking Corp., 2.30%, 5/26/20      1,992,942  
     

 

 

 
        181,360,192  
     

 

 

 

 

Diversified Financial Services (20.1%):

  

  15,000,000       Asian Development Bank, Series G, 1.75%, 3/21/19, MTN      15,181,485  
  15,000,000       Council of Europe Development Bank, 1.75%, 11/14/19      15,083,130  
  16,000,000       European Investment Bank, 1.75%, 6/17/19      16,127,568  
  15,000,000       Japan Finance Organization for Municipalities, Registered Shares, 2.13%, 3/6/19      15,200,205  
  13,150,000       Kommunalbanken AS, Registered Shares, 1.50%, 10/22/19      13,023,957  
  15,000,000       Kommuninvest I Sverige AB, Registered Shares, 2.00%, 11/12/19      15,176,520  
  10,000,000       Municipality Finance plc, Registered Shares, 1.75%, 5/21/19      10,083,020  
  6,903,000       Shell International Finance BV, 4.30%, 9/22/19      7,523,359  
  4,845,000       Shell International Finance BV, 4.38%, 3/25/20      5,304,170  
  2,700,000       Shell International Finance BV, 2.13%, 5/11/20      2,694,203  
     

 

 

 
        115,397,617  
     

 

 

 

 

Government (8.5%):

  

  17,000,000       Land Nordrhein-Westfalen, 1.63%, 1/22/20      16,828,555  
  15,150,000       Province of Manitoba Canada, 1.75%, 5/30/19      15,289,259  
  15,000,000       Province of Ontario, 4.00%, 10/7/19      16,388,070  
     

 

 

 
        48,505,884  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.6%):

  

  15,000,000       Statoil ASA, 2.25%, 11/8/19      15,045,120  
     

 

 

 

 

Total Yankee Dollars (Cost $361,999,398)

     360,308,813  
     

 

 

 

 

U.S. Government Agency Mortgages (3.8%):

  

  12,000,000       Federal Home Loan Mortgage Corporation, 1.25%, 10/2/19      11,839,788  
  10,000,000       Federal National Mortgage Association, 1.75%, 9/12/19      10,080,120  
     

 

 

 
        21,919,908  
     

 

 

 

 

Total U.S. Government Agency Mortgages (Cost $22,018,932)

     21,919,908  
     

 

 

 
 

 

Continued

 

2


AZL DFA Five-Year Global Fixed Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
Shares  or
Principal
Amount
           Fair Value  

 

Securities Held as Collateral for Securities on Loan (2.3%):

  

$ 13,115,420       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)    $ 13,115,420  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $13,115,420)

     13,115,420  
     

 

 

 

 

Unaffiliated Investment Company (1.0%):

  

  5,879,296      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      5,879,296  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $5,879,296)

     5,879,296  
     

 

 

 

 

Total Investment Securities
(Cost $587,537,420)(c) — 102.1%

     584,103,152  

 

Net other assets (liabilities) — (2.1)%

     (12,031,044
     

 

 

 

 

Net Assets — 100.0%

   $ 572,072,108  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

MTN—Medium Term Note

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $12,744,345.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Australia

    7.0

Austria

    2.5

Canada

    10.7

Finland

    1.7

France

    2.8

Germany

    6.9

Japan

    4.0

Netherlands

    8.4

Norway

    4.8

SNAT

    7.9

Sweden

    5.0

United States

    38.3
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

3


AZL DFA Five-Year Global Fixed Income Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 587,537,420  
    

 

 

 

Investment securities, at value*

     $ 584,103,152  

Interest and dividends receivable

       3,473,899  

Receivable for capital shares issued

       1,430  
    

 

 

 

Total Assets

       587,578,481  
    

 

 

 

Liabilities:

    

Payable for capital shares redeemed

       2,006,885  

Payable for collateral received on loaned securities

       13,115,420  

Manager fees payable

       236,127  

Administration fees payable

       13,053  

Distribution fees payable

       118,063  

Custodian fees payable

       3,918  

Administrative and compliance services fees payable

       798  

Trustee fees payable

       3,154  

Other accrued liabilities

       8,955  
    

 

 

 

Total Liabilities

       15,506,373  
    

 

 

 

Net Assets

     $ 572,072,108  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 578,557,198  

Accumulated net investment income/(loss)

       780,064  

Accumulated net realized gains/(losses) from investment transactions

       (3,830,886 )

Net unrealized appreciation/(depreciation) on investments

       (3,434,268 )
    

 

 

 

Net Assets

     $ 572,072,108  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       57,828,269  

Net Asset Value (offering and redemption price per share)

     $ 9.89  
    

 

 

 

 

* Includes securities on loan of $12,744,345.

Statement of Operations

For the Period Ended June 30, 2015 (a)

(Unaudited)

 

Investment Income:

    

Interest

     $ 1,609,543  

Income from securities lending

       28  
    

 

 

 

Total Investment Income

       1,609,571  
    

 

 

 

Expenses:

    

Manager fees

       622,129  

Administration fees

       30,221  

Distribution fees

       259,219  

Custodian fees

       4,686  

Administrative and compliance services fees

       954  

Trustee fees

       4,975  

Professional fees

       4,591  

Shareholder reports

       4,990  

Other expenses

       1,429  
    

 

 

 

Total expenses before reductions

       933,194  

Less expenses voluntarily waived/reimbursed by the Manager

       (103,687 )
    

 

 

 

Net expenses

       829,507  
    

 

 

 

Net Investment Income/(Loss)

       780,064  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       (3,830,886 )

Change in net unrealized appreciation/depreciation on investments

       (3,434,268 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (7,265,154 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (6,485,090 )
    

 

 

 

 

(a) For the period April 27, 2015 (commencement of operations) to June 30, 2015.
 

 

See accompanying notes to the financial statements.

 

4


Statement of Changes in Net Assets

 

     AZL DFA Five-Year Global
Fixed Income Fund
     

April 27, 2015
to

June 30, 2015 (a)

     (Unaudited)

Change In Net Assets:

    

Operations:

    

Net investment income/(loss)

     $ 780,064  

Net realized gains/(losses) on investment transactions

       (3,830,886 )

Change in unrealized appreciation/depreciation on investments

       (3,434,268 )
    

 

 

 

Change in net assets resulting from operations

       (6,485,090 )
    

 

 

 

Capital Transactions:

    

Proceeds from shares issued

       613,279,073  

Value of shares redeemed

       (34,721,875 )
    

 

 

 

Change in net assets resulting from capital transactions

       578,557,198  
    

 

 

 

Change in net assets

       572,072,108  

Net Assets:

    

Beginning of period

        
    

 

 

 

End of period

     $ 572,072,108  
    

 

 

 

Accumulated net investment income/(loss)

     $ 780,064  
    

 

 

 

Share Transactions:

    

Shares issued

       61,329,580  

Shares redeemed

       (3,501,311 )
    

 

 

 

Change in shares

       57,828,269  
    

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

5


AZL DFA Five-Year Global Fixed Income Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      April 27, 2015
to
June 30, 2015 (a)
     (Unaudited)

Net Asset Value, Beginning of Period

     $ 10.00  
    

 

 

 

Investment Activities:

    

Net Investment Income/(Loss)

       0.01  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.12 )
    

 

 

 

Total from Investment Activities

       (0.11 )
    

 

 

 

Net Asset Value, End of Period

     $ 9.89  
    

 

 

 

Total Return(b)

       (1.10 )%(c)

Ratios to Average Net Assets/Supplemental Data:

    

Net Assets, End of Period (000’s)

     $ 572,072  

Net Investment Income/(Loss)(d)

       0.75 %

Expenses Before Reductions(d) (e)

       0.90 %

Expenses Net of Reductions(d)

       0.80 %

Portfolio Turnover Rate

       59 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

6


AZL DFA Five-Year Global Fixed Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign 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

 

7


AZL DFA Five-Year Global Fixed Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $2.7 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $53 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL DFA Five-Year Global Fixed Income Fund

         0.60 %          0.95 %

 

* The Manager voluntarily reduced the management fee to 0.50% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

 

8


AZL DFA Five-Year Global Fixed Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $449 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Corporate Bonds+

       $          $ 182,879,715          $ 182,879,715  

Securities Held as Collateral for Securities on Loan

                    13,115,420            13,115,420  

U.S. Government Agency Mortgages

                    21,919,908            21,919,908  

Yankee Dollars+

                    360,308,813            360,308,813  

Unaffiliated Investment Company

         5,879,296                       5,879,296  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 5,879,296          $ 578,223,856          $ 584,103,152  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL DFA Five-Year Global Fixed Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 347,926,830          $ 343,029,102  

6. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $587,537,420. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $  

Unrealized depreciation

    (3,434,268
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (3,434,268
 

 

 

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


Approval of Investment Advisory and Subadvisory Agreement (Unaudited)

The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 36 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.

In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.

The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.

In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.

As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.

The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.

The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.

The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.

The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.

At an “in-person” Board of Trustees meeting held June 11, 2014, the Board authorized the creation of five new series of the Trust, to be managed by Dimensional Fund Advisors LP: AZL DFA U.S. Core Equity Fund, AZL DFA U.S. Small Cap Fund, AZL DFA International Core Equity Fund, AZL DFA Emerging Markets Core Equity Fund, and AZL DFA Five-Year Global Fixed Income Fund (collectively, the “DFA Funds”). The Advisory and Subadvisory Agreements pertaining to the DFA Funds (collectively, the “Agreements”) were approved at the Board of Trustees meeting of June 11, 2014. (The Subadvisory Agreement is between the Manager and Dimensional Fund Advisors LP (“DFA”), the Subadviser to the DFA Funds.)

At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2016. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with

 

12


similar investment objectives to that of the DFA Funds, derived from data compiled by an independent third party provider and other sources believed to be reliable by the Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the DFA Funds, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.

An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:

(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser.

The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.

The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.

The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the June 11, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the DFA Funds under the Agreements.

(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. In connection with the Board of Trustees meeting held June 11, 2014, the Manager reported that for funds managed by DFA with investment objectives and policies similar to those of the DFA Funds, for various periods ended March 31, 2014, such funds’ total returns compared favorably to each fund’s benchmark and respective peer group. At the Board of Trustees meeting held June 11, 2014, the Trustees determined that the overall investment performance of such funds was acceptable.

(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the DFA Funds are subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth management fees and total fees after taking expense caps into account. Based upon the information provided, the management fee payable by the DFA Funds to the Manager would range from the 5th percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 28th percentile (AZL DFA International Core Equity Fund). The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the DFA Funds is not unreasonable.

The Manager also supplied information to the Board of Trustees pertaining to total anticipated DFA Funds expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by each Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the DFA Funds ranged from the 1st percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 50th percentile (AZL DFA Emerging Markets Core Equity Fund).

The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the DFA Funds was not unreasonable.

At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. Subsequently, at an in-person meeting held on October 21, 2014, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2014. (The DFA Funds did not commence operations until April 27, 2015.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2015, the Trustees will receive information on the Manager’s level of profitability from its relationship with the DFA Funds.

The Manager, on behalf of the Board of Trustees, endeavors to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager is unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it, including DFA, were negotiated on an “arm’s length” basis, so that arguably, such

 

13


profitability information should be less relevant. At the June 11, 2014 meeting, the Trustees were provided with certain financial information bearing on the profitability of DFA; information regarding the profitability to DFA of the DFA Funds was not available because those Funds had not yet commenced operations. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization.

Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to DFA from being the Subadviser to the DFA Funds was excessive.

(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the DFA Funds does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the DFA Funds had no assets as of June 11, 2014.

The Trustees noted that the Manager has agreed temporarily to reduce the management fee of each DFA Fund and to “cap” DFA Fund expenses at certain levels, each of which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee reductions and expense “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2015, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.

Having taken these factors into account, the Trustees concluded at the June 11, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the DFA Funds was acceptable under the circumstances.

 

14


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® DFA International Core Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 21

Statement of Operations

Page 21

Statement of Changes in Net Assets

Page 22

Financial Highlights

Page 23

Notes to the Financial Statements

Page 24

Other Information

Page 29

Approval of Investment Advisory and Subadvisory Agreement

Page 30

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL DFA International Core Equity Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL DFA International Core Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
4/27/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
4/27/15 -  6/30/15*
    

Annualized

Expense Ratio

During Period
4/27/15 - 6/30/15

AZL DFA International Core Equity Fund

       $ 1,000.00          $ 971.00          $ 2.02            1.15 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15**
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL DFA International Core Equity Fund

       $ 1,000.00          $ 1,019.09          $ 5.76            1.15 %

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of the days in the most recent fiscal half-year divided by the number of the days in fiscal year (to reflect one half-year period). Information shown reflects values using the expense ratios for the 65 days of operations during the period, and has been annualized to reflect values for the period April 27, 2015 to June 30, 2015.

 

** Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Financials

      22.0 %

Industrials

      17.8  

Consumer Discretionary

      17.8  

Materials

      11.9  

Consumer Staples

      7.7  

Health Care

      5.5  

Energy

      5.4  

Information Technology

      5.3  

Telecommunication Services

      3.5  

Utilities

      2.4  
   

 

 

 

Total Common Stocks and Preferred Stocks

      99.3  

Right

      ^

Securities Held as Collateral for Securities on Loan

      1.3  

Money Market

      0.1  
   

 

 

 

Total Investment Securities

      100.7  

Net other assets (liabilities)

      (0.7 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (98.8%):

  

 

Aerospace & Defense (1.1%):

  

  42,107       BAE Systems plc    $ 298,789  
  17,039       Bombardier, Inc.      30,700  
  6,994       CAE, Inc.      83,280  
  59,643       Cobham plc      246,269  
  504       Elbit Systems, Ltd.      39,591  
  3,429       European Aeronautic Defence & Space Co. NV      222,130  
  7,205       Finmeccanica SpA*      90,488  
  26,648       Meggitt plc      195,478  
  1,077       Mtu Aero Engines AG      101,269  
  12,760       QinetiQ Group plc      44,985  
  17,470       Rolls-Royce Holdings plc      239,083  
  2,744       Saab AB^      67,037  
  1,274       Safran SA      86,255  
  21,867       Senior plc      98,422  
  17,700       Singapore Technologies Engineering, Ltd.      43,338  
  1,426       Thales SA      86,257  
  2,264       Ultra Electronics Holdings plc      62,977  
  5,412       Zodiac Aerospace      176,106  
     

 

 

 
        2,212,454  
     

 

 

 

 

Air Freight & Logistics (0.3%):

  

  9,986       Bollore      53,261  
  1,363       BPOST SA      37,480  
  7,375       Deutsche Post AG      215,422  
  3,829       Mainfreight, Ltd.      40,800  
  214       Norbert Dentressangle SA      51,912  
  1,146       Oesterreichische Post AG      52,698  
  354       Panalpina Welttransport Holdings      44,641  
  15,641       PostNL NV*      69,775  
  22,984       Royal Mail plc      185,672  
  33,900       Singapore Post, Ltd.      47,709  
  2,700       Yamato Holdings Co., Ltd.      52,095  
     

 

 

 
        851,465  
     

 

 

 

 

Airlines (0.2%):

  

  4,229       Air France-KLM*      29,684  
  26,921       Air New Zealand, Ltd.      46,484  
  40,000       Cathay Pacific Airways, Ltd.      98,281  
  4,597       Deutsche Lufthansa AG, Registered Shares*      59,249  
  2,130       easyJet plc      51,685  
  13,156       International Consolidated Airlines Group SA*      102,159  
  30,556       Qantas Airways, Ltd.*      74,122  
  6,500       Singapore Airlines, Ltd.      51,838  
     

 

 

 
        513,502  
     

 

 

 

 

Auto Components (2.4%):

  

  6,300       Aisin Sieki Co., Ltd.      267,740  
  167       Autoneum Holding AG      33,005  
  910       Brembo SpA      38,786  
  4,500       Bridgestone Corp.      166,354  
  10,000       Calsonic Kansei Corp.      71,040  
  2,467       CIE Automotive SA      40,085  
  6,152       Compagnie Generale des Establissements Michelin SCA, Class B      645,742  
  485       Continental AG      114,709  
  4,100       Denso Corp.      204,075  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Auto Components, continued

  

  1,800       Eagle Industry Co., Ltd.    $ 41,847  
  1,724       ElringKlinger AG      46,336  
  1,700       Exedy Corp.      42,430  
  2,283       Faurecia      93,800  
  70,607       GKN plc      370,653  
  874       Grammer AG      28,999  
  2,500       Keihin Corp.      35,760  
  1,600       Koito Manufacturing Co., Ltd.      62,366  
  11,000       KYB Co., Ltd.      38,212  
  1,768       Leoni AG      111,564  
  919       Linamar Corp.      59,697  
  2,972       Magna International, Inc., ADR      166,700  
  2,966       Martinrea International, Inc.      31,707  
  2,000       Mitsuba Corp.      52,464  
  517       Montupet      37,248  
  35,000       Nexteer Automotive Group, Ltd.      36,248  
  2,300       NGK Spark Plug Co., Ltd.      63,648  
  7,300       NHK SPRING Co., Ltd.      80,310  
  1,800       Nifco, Inc./Japan      78,054  
  2,900       Nissan Shatai Co., Ltd.      39,596  
  2,500       Nissin Kogyo Co., Ltd.      41,267  
  1,400       NOK Corp.      43,392  
  7,019       Nokian Renkaat OYJ      219,845  
  2,024       Plastic Omnium SA      51,539  
  2,184       Saf-Holland SA      33,697  
  8,000       Sanden Holdings Corp.      37,239  
  2,500       Stanley Electric Co., Ltd.      52,210  
  17,200       Sumitomo Electric Industries, Ltd.      266,462  
  5,700       Sumitomo Rubber Industries, Ltd.      88,178  
  6,500       The Yokohama Rubber Co., Ltd.      130,469  
  2,500       Tokai Rika Co., Ltd.      62,304  
  2,500       Topre Corp.      45,116  
  4,600       Toyo Tire & Rubber Co., Ltd.      97,025  
  3,200       Toyoda Gosei Co., Ltd.      76,945  
  3,500       Toyota Boshoku Corp.      59,328  
  1,500       TPR Co., Ltd.      45,068  
  2,400       TS Tech Co., Ltd.      64,186  
  2,000       Unipres Corp.      41,787  
  767       Valeo SA      121,233  
  82,000       Xinyi Glass Holdings, Ltd.      43,776  
     

 

 

 
        4,720,241  
     

 

 

 

 

Automobiles (3.8%):

  

  5,703       Bayerische Motoren Werke AG (BMW)      623,871  
  6,300       Daihatsu Motor Co., Ltd.      89,667  
  13,547       Daimler AG, Registered Shares      1,232,317  
  2,700       Fuji Heavy Industries, Ltd.      99,185  
  21,900       Honda Motor Co., Ltd.      708,062  
  8,600       Isuzu Motors, Ltd.      112,862  
  17,300       Mazda Motor Corp.      340,438  
  20,100       Mitsubishi Motors Corp.      171,067  
  39,800       Nissan Motor Co., Ltd.      413,471  
  10,721       PSA Peugeot Citroen SA*      219,993  
  2,159       Renault SA      225,450  
  5,000       Suzuki Motor Corp.      168,790  
 

 

Continued

 

2


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Automobiles, continued

  
  36,500       Toyota Motor Corp.    $ 2,441,464  
  557       Volkswagen AG      128,839  
  3,300       Yamaha Motor Co., Ltd.      72,124  
     

 

 

 
        7,047,600  
     

 

 

 

 

Banks (11.4%):

  

  14,000       77th Bank      85,402  
  12,000       Aomori Bank, Ltd. (The)      39,596  
  12,000       Aozora Bank, Ltd.      45,197  
  21,355       Australia & New Zealand Banking Group, Ltd.      529,063  
  12,000       Awa Bank, Ltd. (The)      76,427  
  23,992       Banca Popolare dell’Emilia Romarna      213,714  
  205,446       Banca Popolare di Milano SCARL(BPML)      216,399  
  22,808       Banca Popolare di Sondrio SCARL      111,139  
  44,153       Banco Bilbao Vizcaya Argentaria SA      434,273  
  58,334       Banco de Sabadell SA (a)      140,694  
  12,627       Banco Popolare SC*      207,459  
  14,040       Banco Popular Espanol SA      68,301  
  104,491       Banco Santander SA      729,334  
  15,108       Bank Hapoalim BM      81,408  
  18,886       Bank Leumi Le*      79,905  
  23,843       Bank of East Asia, Ltd. (The)      104,252  
  1,217       Bank of Georgia Holdings      37,271  
  900       Bank of Iwate, Ltd. (The)      40,503  
  6,000       Bank of Kyoto, Ltd. (The)      68,757  
  5,014       Bank of Montreal      297,230  
  9,000       Bank of Nagoya, Ltd. (The)      35,191  
  9,926       Bank of Nova Scotia      512,479  
  1,100       Bank of Okinawa, Ltd. (The)      46,999  
  11,648       Bank of Queensland, Ltd.      113,946  
  15,000       Bank of Yokohama, Ltd. (The)      91,920  
  26,561       Bankia SA*      33,779  
  20,189       Bankinter SA      149,658  
  145       Banque Cantonale Vaudoise, Registered Shares      89,839  
  22,878       Barclays, ADR      376,114  
  14,491       Bendigo & Adelaide Bank, Ltd.      136,908  
  206       Berner Kantonalbank AG      40,987  
  11,251       BNP Paribas SA      678,268  
  51,542       BOC Hong Kong Holdings, Ltd.      214,335  
  1,553       Canadian Imperial Bank of Commerce      114,487  
  2,853       Canadian Western Bank      65,728  
  11,000       Chiba Bank, Ltd. (The)      83,793  
  5,500       Chugoku Bank, Ltd. (The)      86,717  
  25,000       Chuo Mitsui Trust Holdings, Inc.      114,401  
  13,092       Commerzbank AG*      167,269  
  8,496       Commonwealth Bank of Australia      553,742  
  7,683       Credit Agricole SA      114,128  
  4,185       Credito Emiliano SpA      34,464  
  55,201       Credito Valtellinese SC*      73,146  
  7,501       Criteria Caixacorp SA      34,861  
  19,600       Dah Sing Banking Group, Ltd.      42,822  
  6,800       Dah Sing Financial Holdings, Ltd.      44,548  
  17,000       Daishi Bank, Ltd. (The)      71,779  
  4,394       Danske Bank A/S      129,479  
  6,700       DBS Group Holdings, Ltd.      102,831  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  
  3,214       DnB NOR ASA    $ 53,571  
  3,122       Erste Group Bank AG*      88,590  
  2,598       First International Bank of IS      37,040  
  13,000       Fukuoka Financial Group, Inc.      67,381  
  15,000       Gunma Bank, Ltd. (The)      110,725  
  8,000       Hachijuni Bank, Ltd. (The)      60,354  
  2,805       Hang Seng Bank, Ltd.      54,818  
  18,000       Hiroshima Bank, Ltd. (The)      107,540  
  15,000       Hokkoku Bank, Ltd. (The)      55,002  
  43,000       Hokuhoku Financial Group, Inc.      101,460  
  7,538       HSBC Holdings plc, ADR      337,778  
  13,000       Hyakugo Bank, Ltd. (The)      64,430  
  13,000       Hyakujushi Bank, Ltd. (The)      46,494  
  31,687       ING Groep NV      525,357  
  72,699       Intesa Sanpaolo SpA      263,233  
  33,767       Isreal Discount Bank*      64,827  
  3,400       Iyo Bank, Ltd. (The)      41,746  
  11,000       Joyo Bank, Ltd. (The)      61,611  
  17,000       Juroku Bank, Ltd. (The)      69,542  
  2,247       Jyske Bank A/S*      112,867  
  9,000       Kagoshima Bank, Ltd. (The)      65,048  
  3,747       KBC Groep NV      250,116  
  13,000       Keiyo Bank, Ltd. (The)      68,352  
  3,500       Kiyo Bank, Ltd. (The)      53,410  
  836       Laurentian Bank of Canada      32,227  
  107,794       Lloyds TSB Group plc, ADR      585,321  
  95       Luzerner Kantonalbank AG^      35,791  
  132,600       Mitsubishi UFJ Financial Group, Inc.      948,993  
  8,000       Miyazaki Bank, Ltd. (The)      29,928  
  3,289       Mizrahi Tefahot Bank, Ltd.      40,816  
  305,700       Mizuho Financial Group, Inc.      659,270  
  1,700       Musashino Bank, Ltd. (The)      67,103  
  13,000       Nanto Bank, Ltd. (The)      46,496  
  20,187       National Australia Bank, Ltd.      515,024  
  4,237       National Bank of Canada      159,193  
  12,974       Natixis      93,266  
  25,000       Nishi-Nippon City Bank, Ltd. (The)      72,051  
  24,822       Nordea Bank AB      309,233  
  16,100       North Pacific Bank, Ltd.      71,708  
  15,000       Ogaki Kyoritsu Bank, Ltd. (The)      54,767  
  19,052       Oversea-Chinese Banking Corp., Ltd.      143,887  
  2,199       Raiffeisen International Bank-Holding AG*      31,935  
  29,500       Resona Holdings, Inc.      160,622  
  169       Ringkjoebing Landbobank A/S      37,543  
  8,062       Royal Bank of Canada      492,991  
  6,584       Royal Bank of Scotland, ADR*      72,885  
  10,200       Senshu Ikeda Holdings, Inc.      46,332  
  7,100       Seven Bank, Ltd.      32,811  
  13,000       Shiga Bank, Ltd. (The)      70,085  
  25,000       Shinsei Bank, Ltd.      50,306  
  10,000       Shizuoka Bank, Ltd. (The)      104,396  
  17,110       Skandinaviska Enskilda Banken AB, Class A      218,644  
  7,945       Societe Generale      370,623  
  4,365       Spar Nord Bank A/S      48,229  
 

 

Continued

 

3


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  
  121       St. Galler Kantonalbank AG    $ 44,585  
  16,538       Standard Chartered plc      264,512  
  13,500       Sumitomo Mitsui Financial Group, Inc.      599,938  
  11,115       Svenska Handelsbanken AB, A Shares      162,089  
  6,472       Swedbank AB, A Shares      150,821  
  3,167       Sydbank A/S      121,301  
  12,000       Toho Bank, Ltd. (The)      53,612  
  7,500       Tomony Holdings, Inc.      34,391  
  10,079       Toronto-Dominion Bank (The)      428,458  
  31,027       UBI Banca—Unione di Banche Italiane SCPA      248,562  
  32,600       UniCredit SpA      218,685  
  8,100       United Overseas Bank, Ltd.      138,630  
  404       Valiant Holding AG      39,347  
  9,809       Westpac Banking Corp.      243,164  
  8,000       Yamagata Bank, Ltd. (The)      34,953  
  9,000       Yamaguchi Financial Group, Inc.      112,068  
  9,000       Yamanashi Chuo Bank, Ltd. (The)      42,555  
  8       Zuger Kantonalbank AG      37,838  
     

 

 

 
        19,300,219  
     

 

 

 

 

Beverages (1.4%):

  

  6,139       A.G.Barr plc      59,302  
  3,231       Anheuser-Busch InBev NV      388,818  
  2,300       Asahi Breweries, Ltd.      73,111  
  8,796       Britvic plc      99,274  
  8,711       C&C Group plc      34,127  
  1,347       Carlsberg A/S, Class B      122,281  
  5,367       Coca-Cola Amatil, Ltd.      37,679  
  2,600       Coca-Cola East Japan Co., Ltd.^      47,989  
  7,048       Coca-Cola HBC AG      151,260  
  2,500       Coca-Cola West Co., Ltd.      45,127  
  2,046       Cott Corp.      20,005  
  4,973       Davide Campari—Milano SpA      37,803  
  3,665       Diageo plc, ADR      425,287  
  1,553       Heineken NV      118,218  
  2,200       ITO EN, Ltd.      46,146  
  10,600       Kirin Holdings Co., Ltd.      145,923  
  495       Pernod Ricard SA      57,260  
  1,755       Royal Unibrew A/S      60,154  
  3,597       SABMiller plc      186,451  
  20,000       Sapporo Breweries, Ltd.      74,333  
  1,000       Suntory Beverage & Food, Ltd.      40,210  
  5,700       Takara Holdings, Inc.      44,580  
  21,206       Treasury Wine Estates, Ltd.      81,037  
     

 

 

 
        2,396,375  
     

 

 

 

 

Biotechnology (0.2%):

  

  836       Actelion, Ltd., Registered Shares      122,627  
  831       Bavarian Nordic A/S*^      38,838  
  1,882       CSL, Ltd.      124,900  
  495       Genmab A/S*      42,988  
  1,727       Genus plc      38,677  
  1,261       Grifols SA      50,927  
  1,934       Sirtex Medical, Ltd.      42,890  
     

 

 

 
        461,847  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Building Products (1.0%):

  

  1,800       AICA Kogyo Co., Ltd.    $ 41,753  
  22,000       Asahi Glass Co., Ltd.      131,892  
  3,786       Assa Abloy AB, Class B      71,330  
  15       Belimo Holding AG, Registered Shares      35,753  
  11,000       Central Glass Co., Ltd.      46,077  
  15,660       Compagnie de Saint-Gobain SA      704,656  
  1,500       Daikin Industries, Ltd.      107,877  
  371       Geberit AG, Registered Shares      123,908  
  8,263       Kingspan Group plc      199,285  
  4,500       Lixil Group Corp.      89,260  
  1,573       Nibe Industrier AB      42,697  
  276       Rockwool International A/S      41,502  
  11,100       Sanwa Holdings Corp.      93,324  
  44       Schweiter Technologies AG      35,428  
  3,000       Takara Standard Co., Ltd.      21,236  
  5,000       TOTO, Ltd.      90,050  
  2,051       Uponor OYJ      30,887  
     

 

 

 
        1,906,915  
     

 

 

 

 

Capital Markets (2.4%):

  

  7,367       Aberdeen Asset Management plc      46,710  
  11,432       Ashmore Group plc      51,893  
  851       Avanza Bank Holding AB      30,905  
  3,389       Azimut Holding SpA      99,026  
  1,975       Banca Generali SpA      69,530  
  7,356       BHF Kleinwort Benson Group SA*      35,976  
  16,820       Brewin Dolphin Holdings plc      77,090  
  2,455       CI Financial Corp.      66,054  
  5,744       Close Brothers Group plc      138,044  
  11,004       Credit Suisse Group AG      302,443  
  15,000       Daiwa Securities Group, Inc.      112,059  
  4,489       Deutsche Bank AG, Registered Shares      134,805  
  6,978       Deutsche Bank AG, Registered Shares      210,457  
  2,513       EFG International AG      35,625  
  7,427       GAM Holding AG      156,077  
  4,000       Guoco Group, Ltd.      48,220  
  5,422       Hargreaves Lansdown plc      98,134  
  30,449       Henderson Group plc      124,614  
  25,228       ICAP plc      209,678  
  1,056       IGM Financial, Inc.      33,638  
  18,343       Investec plc      164,700  
  4,534       IOOF Holdings, Ltd.      31,274  
  3,026       Julius Baer Group, Ltd.      170,043  
  11,382       Jupiter Fund Management plc      79,601  
  3,369       Macquarie Group, Ltd.      211,636  
  2,210       Magellan Financial Group, Ltd.      29,632  
  63,933       Man Group plc      157,534  
  21,715       Mediobanca SpA      212,598  
  25,400       Nomura Holdings, Inc.      171,221  
  172       Partners Group Holding AG      51,372  
  1,109       Perpetual, Ltd.      41,075  
  5,913       Platinum Asset Management, Ltd.      33,923  
  9,785       Ratos AB, B Shares      63,115  
  8,000       SBI Holdings, Inc.      110,095  
  983       Schroders plc      49,009  
 

 

Continued

 

4


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Capital Markets, continued

  
  38,000       Sun Hung Kai Properties, Ltd.    $ 34,107  
  7,500       Tokai Tokyo Financial Holdings, Inc.      54,549  
  14,284       Tullett Prebon plc      82,455  
  3,019       UBS Group AG      64,003  
  21,887       UBS Group AG      464,197  
  1,234       Vontobel Holding AG      57,220  
     

 

 

 
        4,414,337  
     

 

 

 

 

Chemicals (4.9%):

  

  3,000       Adeka Corp.      41,631  
  705       Agrium, Inc.      74,695  
  2,015       Air Liquide SA      254,561  
  8,000       Air Water, Inc.      146,026  
  4,623       AkzoNobel NV      337,742  
  13,136       Alent plc      76,050  
  2,433       Arkema, Inc.      175,283  
  19,000       Asahi Kasei Corp.      155,661  
  6,435       BASF SE      565,418  
  1,529       Christian Hansen Holding A/S      74,764  
  15,093       Clariant AG      309,021  
  2,901       Croda International plc      125,343  
  7,400       Daicel Chemical Industries, Ltd.      94,992  
  41,000       Dainippon Ink & Chemicals, Inc.      102,429  
  21,000       Denki Kagaku Kogyo Kabushiki Kaisha      93,306  
  11,715       Duluxgroup, Ltd.      51,361  
  88       Ems-Chemie Holding AG      37,106  
  8,260       Essentra plc      128,668  
  905       Frutarom Industries, Ltd.      37,978  
  1,212       Fuchs Petrolub SE      51,173  
  78       Givaudan SA, Registered Shares      135,208  
  4,570       Hexpol AB      47,082  
  2,000       Hitachi Chemical Co., Ltd.      36,041  
  53,574       Incitec Pivot, Ltd.      158,101  
  5,044       Israel Chemicals, Ltd.      35,261  
  2,505       Johnson Matthey plc      119,557  
  3,100       JSR Corp.      54,700  
  6,047       K+S AG, Registered Shares      254,623  
  12,000       Kaneka Corp.      88,471  
  2,000       Kansai Paint Co., Ltd.      30,978  
  5,351       Kemira OYJ^      60,902  
  1,998       Koninklijke DSM NV      116,136  
  1,518       Koninklijke Ten Cate NV      31,278  
  5,700       Kuraray Co., Ltd.      69,679  
  3,857       Lanxess AG      227,341  
  1,595       Linde AG      301,974  
  1,700       Lintec Corp.      38,830  
  1,559       Methanex Corp.      86,774  
  49,400       Mitsubishi Chemical Holdings Corp.      309,857  
  15,000       Mitsubishi Gas Chemical Co., Inc.      83,968  
  34,000       Mitsui Chemicals, Inc.      126,082  
  3,600       Nihon Parkerizing Co., Ltd.      36,535  
  8,000       Nippon Kayaku Co., Ltd.      86,242  
  6,000       Nippon Shokubai Co., Ltd.      82,044  
  8,000       Nippon Soda Co., Ltd.      51,413  
  2,300       Nissan Chemical Industries, Ltd.      50,760  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  
  2,100       Nitto Denko Corp.    $ 172,475  
  7,000       NOF Corp.      56,195  
  3,112       Novozymes A/S, B Shares      148,251  
  7,758       Nufarm, Ltd./Australia      43,082  
  13,729       Orica, Ltd.      224,975  
  4,755       Potash Corp. of Saskatchewan, Inc.      147,262  
  2,500       Shin-Etsu Chemical Co., Ltd.      155,085  
  60,000       Showa Denko K.K.      79,361  
  1,083       Solvay SA      148,841  
  11,000       Sumitomo Bakelite Co., Ltd.      49,790  
  68,000       Sumitomo Chemical Co., Ltd.      408,507  
  1,299       Symrise AG      80,585  
  1,106       Syngenta AG, Registered Shares      453,337  
  16,458       Synthomer plc      80,566  
  2,900       Taiyo Nippon Sanso Corp.      35,074  
  48,000       Teijin, Ltd.      186,163  
  1,223       Tessenderlo Chemie NV*      47,079  
  6,500       Toagosei Co., Ltd.      54,189  
  12,000       Tokai Carbon Co., Ltd.      37,628  
  11,000       Toray Industries, Inc.      92,887  
  27,000       Tosoh Corp.      167,502  
  11,000       Toyo Ink SC Holdings Co., Ltd.      44,107  
  46,000       Toyobo Co., Ltd.      73,267  
  52,000       Ube Industries, Ltd.      98,083  
  3,768       Umicore      178,551  
  3,818       Victrex plc      115,586  
  597       Wacker Chemie AG^      61,625  
  678       Yara International ASA      35,389  
  10,000       Zeon Corp.      92,298  
     

 

 

 
        9,220,785  
     

 

 

 

 

Commercial Services & Supplies (1.6%):

  

  9,046       Aggreko plc      204,333  
  8,204       Babcock International Group plc      139,066  
  9,741       Berendsen plc      155,785  
  2,530       Bilfinger Se      95,674  
  1,670       Black Diamond Group, Ltd.      23,416  
  14,490       Brambles, Ltd.      117,832  
  3,615       Caverion Corp.      35,966  
  10,000       Dai Nippon Printing Co., Ltd.      103,246  
  4,203       De La Rue plc      34,638  
  19,612       Downer EDI, Ltd.      71,865  
  4,009       Edenred      99,033  
  54,731       G4S plc      230,773  
  1,369       Gategroup Holding AG      43,142  
  15,678       HomeServe plc      105,939  
  2,747       Intrum Justitia AB      83,163  
  81       Kaba Holding AG      48,206  
  3,900       Kokuyo Co., Ltd.      33,571  
  2,256       Lassila & Tikanoja OYJ      38,783  
  3,541       Loomis AB      99,377  
  5,449       Mears Group plc      35,965  
  7,616       Mineral Resources, Ltd.      38,327  
  15,147       Mitie Group plc      74,874  
  2,100       Nissha Printing      35,859  
 

 

Continued

 

5


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Commercial Services & Supplies, continued

  

  2,100       Park24 Co., Ltd.    $ 35,955  
  2,696       Paypoint plc      41,953  
  1,400       Pilot Corp.      54,929  
  4,268       Progressive Waste Solutions, Ltd.      114,596  
  7,569       Prosegur Compania de Seguridad SA      41,590  
  34,804       Regus plc      142,700  
  58,477       Rentokil Initial plc      136,059  
  9,539       RPS Group plc      33,751  
  1,000       SECOM Co., Ltd.      64,875  
  9,943       Securitas AB, B Shares      131,430  
  22,019       Shanks Group plc      35,171  
  468       Societe BIC SA      74,691  
  2,900       Toppan Forms Co., Ltd.      39,929  
  10,000       Toppan Printing Co., Ltd.      83,611  
  3,070       Transcontinental, Inc.      37,834  
  71,156       Transpacific Industries Group      42,008  
     

 

 

 
        3,059,915  
     

 

 

 

 

Communications Equipment (0.2%):

  

  2,052       Ascom Holding AG      36,101  
  4,000       Hitachi Kokusai Electric, Inc.      60,793  
  3,860       Mitel Networks Corp.*      34,248  
  21,948       Nokia Oyj      148,689  
  26,263       Spirent Communications plc      37,357  
  17,805       Telefonaktiebolaget LM Ericsson, B Shares      184,404  
  3,500       VTech Holdings, Ltd.      46,460  
     

 

 

 
        548,052  
     

 

 

 

 

Construction & Engineering (1.9%):

  

  10,450       Abengoa SA      32,891  
  1,771       ACS, Actividades de Construccion y Servicios SA      57,135  
  3,353       Aecon Group, Inc.      34,233  
  3,006       Arcadis NV      82,601  
  4,202       Astaldi SpA      38,969  
  838       Badger Daylighting, Ltd.      17,575  
  30,922       Balfour Beatty plc      117,513  
  4,715       Bouygues SA      175,860  
  7,304       Carillion plc      39,267  
  337       CIE d’Entreprises CFE SA      41,867  
  2,966       Cimic Group, Ltd.      49,462  
  3,800       ComSys Holdings Corp.      56,553  
  2,232       Eiffage SA      124,053  
  2,028       Ferrovial SA      44,084  
  2,220       FLSmidth & Co. A/S      107,124  
  3,001       Fomento de Construcciones y Contratas SA*      30,509  
  3,623       Galliford Try plc      98,938  
  9,600       Hazama Ando Corp.      51,970  
  1,132       Hochtief AG      87,662  
  706       Implenia AG      39,466  
  4,047       Interserve plc      41,942  
  5,000       JGC Corp.      94,377  
  11,000       Kajima Corp.      51,650  
  6,000       Kandenko Co., Ltd.      37,577  
  3,320       Keller Group plc      53,329  
  6,038       Kier Group plc      134,983  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Construction & Engineering, continued

  

  6,000       Kinden Corp.    $ 79,817  
  13,092       Koninklijke BAM Groep NV*      55,249  
  1,313       Koninklijke Boskalis Westminster NV      64,448  
  13,000       Kumagai Gumi Co., Ltd.      38,352  
  3,300       Kyowa Exeo Corp.      38,407  
  5,000       Maeda Corp.      34,632  
  3,000       Maeda Road Construction Co., Ltd.      55,349  
  3,300       Mirait Holdings Corp.      38,436  
  5,275       Monadelphous Group, Ltd.      38,040  
  2,759       NCC AB      84,190  
  3,000       Nippo Corp.      51,374  
  15,000       Nishimatsu Construction Co., Ltd.      56,239  
  9,000       Obayashi Corp.      65,626  
  1,621       Obrascon Huarte Lain SA      27,645  
  10,000       Okumura Corp.      51,038  
  5,593       Outotec OYJ^      36,054  
  9,343       Peab AB      69,067  
  9,700       Penta-Ocean Construction Co., Ltd.      40,172  
  8,050       Sacyr SA*      30,562  
  12,041       Salini Impregilo SpA      55,031  
  8,000       Shimizu Corp.      67,354  
  4,999       Skanska AB, Class B      101,363  
  5,048       SNC-Lavalin Group, Inc.      169,615  
  25,700       Sumitomo Mitsui Construction      33,535  
  8,000       TAISEI Corp.      45,922  
  11,000       Toda Corp.      50,441  
  7,100       United Engineers, Ltd.      12,972  
  3,316       Vinci SA      191,548  
  2,228       WSP Global, Inc.      70,133  
  5,431       YIT OYJ      38,774  
     

 

 

 
        3,532,975  
     

 

 

 

 

Construction Materials (1.0%):

  

  20,647       Adelaide Brighton, Ltd.      68,230  
  25,027       Boral, Ltd.      112,354  
  3,157       Brickworks, Ltd.      33,604  
  4,153       Buzzi Unicem SpA      59,047  
  6,949       CRH plc, ADR      195,335  
  22,791       CSR, Ltd.      64,379  
  12,804       Fletcher Building, Ltd.      70,567  
  1,996       HeidelbergCement AG      158,230  
  3,414       Holcim, Ltd., Registered Shares      252,451  
  1,121       Imerys SA      85,755  
  9,660       Italcementi SpA^      63,748  
  7,436       James Hardie Industries SE      99,232  
  2,626       Lafarge SA      173,698  
  20,000       Sumitomo Osaka Cement Co., Ltd.      73,974  
  40,000       Taiheiyo Cement Corp.      116,954  
  767       Vicat      52,539  
     

 

 

 
        1,680,097  
     

 

 

 

 

Consumer Finance (0.0%):

  

  2,700       Hitachi Capital Corp.      71,346  
     

 

 

 

 

Containers & Packaging (0.6%):

  

  11,159       Amcor, Ltd.      117,885  
  5,621       Billerudkorsnas AB      88,398  
 

 

Continued

 

6


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Containers & Packaging, continued

  

  356       CCL Industries, Inc.    $ 43,673  
  42,670       DS Smith plc      258,596  
  1,400       FP Corp.      50,942  
  1,100       Fuji Seal International, Inc.      32,433  
  2,623       Huhtamaki OYJ      81,043  
  2,589       Intertape Polymer Group, Inc.      38,810  
  314       Mayr Melnhof Karton AG      35,472  
  11,000       Rengo Co., Ltd.      45,759  
  12,016       RPC Group plc      126,043  
  10,558       Smurfit Kappa Group plc      290,209  
  5,600       Toyo Seikan Kaisha, Ltd.      89,690  
  120       Vidrala SA      5,915  
     

 

 

 
        1,304,868  
     

 

 

 

 

Distributors (0.1%):

  

  2,000       Canon Marketing Japan, Inc.      34,001  
  1,179       D’ieteren SA/NV      42,164  
  8,231       Inchcape plc      104,732  
  370       Uni-Select, Inc.      13,943  
     

 

 

 
        194,840  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  2,500       Benesse Holdings, Inc.      62,558  
  1,861       Dignity plc      62,564  
  3,169       EnerCare, Inc.      33,751  
  3,457       InvoCare, Ltd.      32,081  
  13,423       Slater & Gordon, Ltd.      36,801  
     

 

 

 
        227,755  
     

 

 

 

 

Diversified Financial Services (0.7%):

  

  1,242       Ackermans & Van Haaren NV^      176,651  
  1,083       ASX, Ltd.      33,219  
  2,585       Bolsas y Mercados Espanoles      104,421  
  2,300       Century Tokyo Leasing Corp.      74,197  
  1,634       Deutsche Boerse AG      135,229  
  122,000       First Pacific Co., Ltd.      102,803  
  4,909       Hong Kong Exchanges & Clearing, Ltd.      173,010  
  16,331       IG Group Holdings plc      191,317  
  2,700       Japan Exchange Group, Inc.      87,588  
  3,928       London Stock Exchange Group plc      146,511  
  772       Onex Corp.      42,723  
  9,000       Singapore Exchange, Ltd.      52,150  
  1,125       TMX Group, Ltd.      47,881  
     

 

 

 
        1,367,700  
     

 

 

 

 

Diversified Telecommunication Services (2.4%):

  

  974       BCE, Inc.      41,395  
  5,708       Belgacom SA      201,283  
  20,307       Bezeq Israeli Telecommunication Corp., Ltd. (The)      34,605  
  29,763       BT Group plc      210,750  
  174,601       Cable & Wireless Communications plc      182,865  
  18,127       Chorus, Ltd.*      35,596  
  94,000       CITIC Telecom International Holdings, Ltd.      43,636  
  18,263       Colt Group SA*      54,305  
  21,752       Deutsche Telekom AG, Registered Shares      374,418  
  4,973       Elisa OYJ      157,460  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Diversified Telecommunication Services, continued

  

  31,120       France Telecom SA    $ 481,454  
  88,000       Hutchison Telecommunications Holdings, Ltd.      36,553  
  271       Iliad SA      59,943  
  16,506       Inmarsat plc      237,110  
  25,274       KCOM Group plc      37,109  
  53,529       Koninklijke (Royal) KPN NV      205,412  
  4,648       M2 Group, Ltd.      38,182  
  1,947       Manitoba Telecom Services, Inc.      43,514  
  3,000       Nippon Telegraph & Telephone Corp.      108,589  
  149,553       PCCW, Ltd.      89,095  
  37,800       Singapore Telecommunications, Ltd.      117,554  
  230       Swisscom AG, Registered Shares      128,855  
  18,712       Talktalk Telecom Group plc      112,561  
  28,144       TDC A/S      206,182  
  61,847       Telecom Corp. of New Zealand, Ltd.      117,016  
  348,838       Telecom Italia SpA*      442,439  
  8,067       Telefonica Deutschland Holding AG      46,579  
  19,104       Telefonica SA      272,225  
  3,069       Telenor ASA      67,343  
  43,030       TeliaSonera AB      253,272  
  17,092       Telstra Corp., Ltd.      80,526  
  5,346       TPG Telecom, Ltd.      36,913  
     

 

 

 
        4,554,739  
     

 

 

 

 

Electric Utilities (1.3%):

  

  1,357       Acciona SA*      102,359  
  30,714       AusNet Services      33,020  
  4,909       Cheung Kong Infrastructure Holdings, Ltd.      38,097  
  4,700       Chubu Electric Power Co., Inc.      70,038  
  2,800       Chugoku Electric Power Co., Inc. (The)      40,806  
  8,064       CLP Holdings, Ltd.      68,759  
  16,344       Contact Energy, Ltd.      55,475  
  3,575       Electricite de France      79,673  
  1,039       Elia System Operator SA/NV      42,022  
  25,102       Enel SpA      113,476  
  1,542       Fortis, Inc.      43,316  
  4,466       Fortum OYJ      79,453  
  53,000       HK Electric Investments, Ltd.      36,282  
  4,200       Hokkaido Electric Power Co., Inc.*      47,842  
  3,200       Hokuriku Electric Power Co.      47,632  
  5,961       Hongkong Electric Holdings, Ltd.      54,305  
  92,432       Iberdrola SA      624,285  
  17,287       Infratil, Ltd.      36,943  
  5,100       Kansai Electric Power Co., Inc. (The)*      56,379  
  3,800       Kyushu Electric Power Co., Inc.*      44,006  
  1,090       Red Electrica Corporacion SA      87,539  
  6,899       Scottish & Southern Energy plc      166,729  
  3,300       Shikoku Electric Power Co., Inc.      49,339  
  39,538       Spark Infrastructure Group      59,342  
  7,844       Terna SpA      34,627  
  3,400       Tohoku Electric Power Co., Inc.      45,991  
  10,200       Tokyo Electric Power Co., Inc. (The)*      55,555  
     

 

 

 
        2,213,290  
     

 

 

 
 

 

Continued

 

7


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Electrical Equipment (1.4%):

  

  35,816       ABB, Ltd.    $ 750,698  
  22,000       Fuji Electric Holdings Co., Ltd.      94,555  
  34,000       Furukawa Electric Co., Ltd. (The)      60,533  
  11,535       Gamesa Corporacion Tecnologica SA*      181,453  
  18,000       GS Yuasa Corp.      70,909  
  784       Huber & Suhner AG      34,390  
  19,000       Johnson Electric Holdings, Ltd.      60,880  
  2,352       Legrand SA      131,931  
  13,000       Mitsubishi Electric Corp.      167,602  
  1,508       Nexans SA*      56,458  
  1,000       Nidec Corp.      75,016  
  2,914       OSRAM Licht AG      139,470  
  7,024       Prysmian SpA      151,581  
  1,104       Saft Groupe SA      43,062  
  4,489       Schneider Electric SA      309,569  
  2,158       TKH Group NV      90,322  
  3,600       Ushio, Inc.      46,862  
  3,491       Vestas Wind Systems A/S      174,773  
     

 

 

 
        2,640,064  
     

 

 

 

 

Electronic Equipment, Instruments & Components (1.6%):

  

  1,900       ALPS Electric Co., Ltd.      58,526  
  2,900       Amano Corp.      37,882  
  5,400       Anritsu Corp.      36,427  
  2,100       Azbil Corp.      54,283  
  564       Barco NV      36,112  
  393       Celestica, Inc.*      4,576  
  9,300       Citizen Holdings Co., Ltd.      64,857  
  28,281       Electrocomponents plc      93,959  
  100,000       FIH Mobile, Ltd.^      60,358  
  17,236       Halma plc      206,564  
  1,951       Hexagon AB, B Shares      70,671  
  2,400       Hitachi High-Technologies Corp.      67,904  
  80,000       Hitachi, Ltd.      527,005  
  1,600       Horiba, Ltd.      65,051  
  4,900       IBIDEN Co., Ltd.      83,120  
  929       Ingenico Group      109,304  
  1,000       Japan Aviation Electronics Industry, Ltd.      27,165  
  100       Keyence Corp.      53,923  
  2,000       Kyocera Corp.      103,937  
  12,062       Laird plc      69,626  
  900       Murata Manufacturing Co., Ltd.      156,937  
  15,000       Nippon Electric Glass Co., Ltd.      75,869  
  28,000       OKI Electric Industry Co., Ltd.      58,727  
  2,600       Omron Corp.      112,940  
  2,587       Oxford Instruments plc      39,372  
  13,225       Premier Farnell plc      35,894  
  1,690       Renishaw plc      60,784  
  1,700       Ryosan Co., Ltd.      44,696  
  6,000       Shimadzu Corp.      81,381  
  3,338       Spectris plc      110,561  
  5,400       Taiyo Yuden Co., Ltd.      75,726  
  2,200       TDK Corp.      169,355  
  1,800       Topcon Corp.      43,771  
  7,500       Venture Corp., Ltd.      42,984  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components, continued

  

  4,000       Yaskawa Electric Corp.    $ 51,112  
  4,000       Yokogawa Electric Corp.      51,401  
     

 

 

 
        3,042,760  
     

 

 

 

 

Energy Equipment & Services (0.9%):

  

  7,749       AMEC plc      99,440  
  1,801       Calfrac Well Services, Ltd.      11,119  
  6,691       Canadian Energy Services & Technology Corp.      38,577  
  4,849       Compagnie Generale de Geophysique-Veritas*      27,141  
  2,944       Enerflex, Ltd.      31,826  
  3,107       Ensign Energy Services, Inc.      30,453  
  82,100       Ezion Holdings, Ltd.      62,184  
  4,058       Fugro NV*      88,808  
  3,904       Hunting plc      37,452  
  14,009       John Wood Group plc      141,747  
  3,607       Mullen Group, Ltd.      58,952  
  1,946       Pason Systems, Inc.      34,797  
  6,044       Petrofac, Ltd.      87,950  
  10,172       Petroleum Geo-Services ASA      54,697  
  10,988       Precision Drilling Corp.      73,910  
  11,173       Prosafe SE      38,748  
  10,331       Saipem SpA*      109,212  
  4,571       SBM Offshore NV*      54,220  
  530       Schoeller-Blackman Oilfield Equipment AG      32,022  
  5,099       Seadrill, Ltd.      53,045  
  1,191       ShawCor, Ltd.      34,896  
  3,500       Subsea 7 SA*      34,242  
  1,995       Technip-Coflexip SA      123,554  
  785       Tecnicas Reunidas SA      40,395  
  2,233       Tenaris SA      30,138  
  1,555       TGS NOPEC Geophysical Co. ASA      36,315  
  4,080       Trican Well Service, Inc.      13,559  
  4,122       Trinidad Drilling, Ltd.      13,335  
  9,498       WorleyParsons, Ltd.      75,704  
     

 

 

 
        1,568,438  
     

 

 

 

 

Food & Staples Retailing (2.6%):

  

  24,500       Aeon Co., Ltd.      347,576  
  1,435       Alimentation Couche-Tard, Inc.      61,397  
  1,309       Amsterdam Commodities NV      33,094  
  1,700       Arcs Co., Ltd.      37,041  
  1,200       Axial Retailing, Inc.      33,763  
  17,428       Booker Group plc      46,173  
  8,320       Carrefour SA^      266,129  
  813       Casino Guichard-Perrachon SA      61,534  
  4,130       Colruyt SA      184,763  
  300       Cosmos Pharmaceutical Corp.      40,633  
  4,670       Delhaize Group      385,209  
  12,838       Distribuidora Internacional de Alimentacion SA      98,268  
  445       Empire Co., Ltd., Class A      31,347  
  1,100       FamilyMart Co., Ltd.      50,536  
  6,172       Greggs plc      114,835  
  1,600       Heiwado Co., Ltd.      39,672  
  973       ICA Gruppen AB      34,518  
  43,979       J Sainsbury plc      183,241  
  819       Jean Coutu Group, Inc.      15,215  
 

 

Continued

 

8


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing, continued

  
  932       Kesko OYJ, A Shares    $ 30,626  
  3,359       Kesko OYJ, B Shares      117,059  
  12,531       Koninklijke Ahold NV      235,612  
  900       LAWSON, Inc.      61,572  
  1,111       Loblaw Companies, Ltd.      56,119  
  1,500       Matsumotokiyoshi Holdings Co., Ltd.      69,191  
  33,179       Metcash, Ltd.      28,254  
  5,582       Metro AG      175,945  
  1,658       Metro, Inc.      44,504  
  201       North West Co., Inc. (The)      3,985  
  947       Rallye SA      28,484  
  4,300       Seven & I Holdings Co., Ltd.      184,673  
  1,668       Sligro Food Group NV      60,241  
  900       Sundrug Co., Ltd.      53,442  
  116,876       Tesco plc      390,014  
  800       Tsuruha Holdings, Inc.      62,256  
  2,200       Valor Co., Ltd.      54,966  
  5,821       Wesfarmers, Ltd.      174,457  
  1,644       Weston (George), Ltd.      129,159  
  73,884       William Morrison Supermarkets plc      209,704  
  11,834       Woolworths, Ltd.^      244,843  
     

 

 

 
        4,480,050  
     

 

 

 

 

Food Products (2.6%):

  

  823       AAK AB      48,733  
  3,000       Ajinomoto Co., Inc.      64,943  
  535       Aryzta AG      26,400  
  1,293       Associated British Foods plc      58,403  
  68       Barry Callebaut AG, Registered Shares      77,353  
  1,100       Calbee, Inc.      46,248  
  11,579       Cloetta AB*      35,073  
  2,347       Corbion NV      46,521  
  1,614       Cranswick plc      40,504  
  7,971       Dairy Crest Group plc      66,655  
  3,437       Danone SA      222,015  
  10,087       Devro plc      47,996  
  3,737       Ebro Foods SA      72,287  
  111       Emmi AG      35,703  
  16,300       First Resources, Ltd.      24,695  
  2,500       Fuji Oil Co., Ltd./Osaka      44,122  
  3,495       Glanbia plc      68,657  
  108,900       Golden Agri-Resources, Ltd.      33,142  
  8,318       GrainCorp, Ltd.      54,526  
  19,304       Greencore Group plc      95,174  
  2,100       House Foods Group, Inc.^      39,934  
  1       Lindt & Spruengli AG, Registered Shares      62,484  
  3,564       Maple Leaf Foods, Inc.      67,610  
  4,006       Marine Harvest      45,900  
  800       Meiji Holdings Co., Ltd.      103,203  
  11,000       Morinaga Milk Industry Co., Ltd.      40,279  
  26,398       Nestle SA, Registered Shares      1,908,705  
  15,000       Nichirei Corp.      104,175  
  4,000       Nippon Meat Packers, Inc.      91,065  
  13,500       Nippon Suisan Kaisha, Ltd.      38,592  
  6,600       Nisshin Seifun Group, Inc.      87,735  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food Products, continued

  
  4,531       Orkla ASA, Class A    $ 35,603  
  1,700       Petra Foods, Ltd.      4,413  
  1,601       Saputo, Inc.      38,730  
  2,649       Suedzucker AG      44,056  
  17,940       Tate & Lyle plc      146,346  
  7,963       Unilever NV, NYS      333,172  
  6,052       Unilever plc, ADR      259,994  
  432       Vilmorin & CIE SA      36,296  
  1,207       Viscofan SA      73,174  
  30,000       Vitasoy International Holdings, Ltd.      51,114  
  15,600       Wilmar International, Ltd.      37,959  
  600       Yakult Honsha Co., Ltd.      35,480  
  2,000       Yamazaki Baking Co., Ltd.^      33,282  
     

 

 

 
        4,928,451  
     

 

 

 

 

Gas Utilities (0.2%):

  

  7,536       APA Group      47,528  
  6,219       Enagas      169,490  
  1,852       Gas Natural SDG SA      42,088  
  26,998       Hong Kong & China Gas Co., Ltd.      56,612  
  15,000       Osaka Gas Co., Ltd.      59,201  
  1,103       Rubis SA      75,503  
  15,848       Snam Rete Gas SpA      75,299  
  4,316       Superior Plus Corp.      43,409  
  10,000       Toho Gas Co., Ltd.      59,207  
  11,000       Tokyo Gas Co., Ltd.      58,370  
     

 

 

 
        686,707  
     

 

 

 

 

Health Care Equipment & Supplies (1.0%):

  

  2,394       Ansell, Ltd.      44,321  
  700       Asahi Intecc Co., Ltd.      47,965  
  689       bioMerieux      73,368  
  37,600       Biosensors International Group*      22,738  
  1,396       Carl Zeiss Meditec AG      35,666  
  1,072       Cochlear, Ltd.      65,964  
  586       Coloplast A/S, Class B      38,538  
  804       DiaSorin SpA      36,702  
  297       Draegerwerk AG & Co. KGaA      31,806  
  11,631       Elekta AB, B Shares      72,975  
  1,726       Essilor International SA Compagnie Generale d’Optique      205,654  
  13,820       Fisher & Paykel Healthcare Corp., Ltd.      64,139  
  5,613       Getinge AB, B Shares      135,092  
  4,359       GN Store Nord A/S      90,091  
  2,000       HOYA Corp.      80,098  
  6,000       JEOL, Ltd.      27,152  
  1,500       Nihon Kohden Corp.      37,117  
  4,000       Nikkiso Co., Ltd.      41,948  
  6,500       Nipro Corp.      66,413  
  1,300       Olympus Co., Ltd.      44,826  
  298       Sartorius AG      55,377  
  146       Sartorius Stedim Biotech SA      40,337  
  253       Sonova Holding AG, Registered Shares      34,256  
  268       Straumann Holding AG, Registered Shares      73,477  
  1,700       Sysmex Corp.      101,206  
  2,400       TeruFood Productsmo Corp.      57,704  
 

 

Continued

 

9


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies, continued

  
  661       William Demant Holding A/S*    $ 50,373  
     

 

 

 
        1,675,303  
     

 

 

 

 

Health Care Providers & Services (0.5%):

  

  5,500       Alfresa Holdings Corp.      85,496  
  4,556       Ebos Group, Ltd.      31,627  
  1,153       Fagron      47,580  
  1,646       Fresenius Medical Care AG & Co., KGaA      135,801  
  2,229       Fresenius SE & Co. KGaA      143,478  
  1,779       Korian-Medica*      59,102  
  1,404       Medical Facilities Corp.      17,033  
  4,200       Medipal Holdings Corp.      68,359  
  1,900       Miraca Holdings, Inc.      94,682  
  22,099       Primary Health Care, Ltd.      85,393  
  1,233       Ramsay Health Care, Ltd.      58,382  
  1,312       Rhoen-Klinikum AG      35,184  
  2,200       Ship Healthcare Holdings, Inc.      45,458  
  53,793       Sigma Pharmaceuticals, Ltd.      31,689  
  2,235       Sonic Healthcare, Ltd.      36,823  
  2,500       Suzuken Co., Ltd.      79,896  
  2,700       Toho Holdings Co., Ltd.      62,076  
  5,813       UDG Healthcare plc      44,670  
     

 

 

 
        1,162,729  
     

 

 

 

 

Health Care Technology (0.0%):

  

  14,160       AGFA-Gevaert NV*      39,446  
  2,100       M3, Inc.      42,182  
     

 

 

 
        81,628  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.9%):

  

  2,718       Accor SA      137,456  
  3,700       Accordia Golf Co., Ltd.      34,938  
  21,328       Ardent Leisure Group      35,684  
  8,600       Aristocrat Leisure, Ltd.      50,343  
  4,254       Autogrill SpA*      35,574  
  2,390       Betfair Group plc      90,241  
  28,445       Bwin.Party Digital Entertainment plc      43,803  
  14,000       Cafe de Coral Holdings, Ltd.      50,561  
  1,098       Carnival plc, ADR      56,305  
  7,672       Compass Group plc      127,064  
  1,951       Domino’s Pizza Enterprises, Ltd.      53,270  
  5,749       Domino’s Pizza Group plc      70,112  
  25,381       Echo Entertainment Group, Ltd.      84,924  
  20,405       Enterprise Inns plc*      39,724  
  1,133       Flight Centre, Ltd.      29,763  
  12,010       Galaxy Entertainment Group, Ltd.      47,838  
  48,300       Genting Singapore plc      32,078  
  1,257       Great Canadian Gaming Corp.*      24,168  
  8,500       Greene King plc      112,669  
  1,100       HIS Co., Ltd.      37,449  
  31,000       Hongkong & Shanghai Hotels (The)      42,953  
  1,796       InterContinental Hotels, ADR      72,666  
  3,056       J D Wetherspoon plc      37,819  
  186,000       Kingston Financial Group, Ltd.*      82,738  
  169       Kuoni Reisen Holding^      43,941  
  23,554       Ladbrokes plc      47,982  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Hotels, Restaurants & Leisure, continued

  

  21,786       Marston’s plc    $ 54,977  
  20,912       Merlin Entertainments plc      140,200  
  6,833       Millennium & Copthorne Hotels      61,584  
  9,215       Mitchells & Butlers plc*      65,994  
  78,000       NagaCorp, Ltd.      57,570  
  900       Oriental Land Co., Ltd.      57,434  
  1,472       Paddy Power plc      126,248  
  12,439       Rank Group plc      43,076  
  1,500       Resorttrust, Inc.      36,443  
  12,657       Restaurant Group plc (The)      138,325  
  1,200       Saint Marc Holdings Co., Ltd.      39,496  
  11,220       Sands China, Ltd.      37,750  
  64,000       Shangri-La Asia, Ltd.      89,027  
  30,855       SJM Holdings, Ltd.      33,442  
  26,336       Sky City Entertainment Group, Ltd.      75,114  
  806       Sodexo, Inc.      76,473  
  23,303       Tabcorp Holdings, Ltd.      81,240  
  42,047       Tatts Group, Ltd.      119,987  
  50,634       Thomas Cook Group plc*      108,882  
  9,000       Tokyo Dome Corp.      37,408  
  5,354       TUI AG      86,765  
  857       Unibet Group plc      52,222  
  2,213       Whitbread plc      172,151  
  24,720       William Hill plc      156,750  
  16,830       Wynn Macau, Ltd.      27,995  
  5,600       Zensho Holdings Co., Ltd.*      53,296  
     

 

 

 
        3,551,912  
     

 

 

 

 

Household Durables (2.2%):

  

  2,000       Alpine Electronics, Inc.      38,537  
  38,918       Barratt Developments plc      375,529  
  4,643       Bellway plc      172,829  
  5,073       Berkeley Group Holdings plc      267,000  
  5,074       Bovis Homes Group plc      88,657  
  2,000       Casio Computer Co., Ltd.      39,430  
  9,906       Crest Nicholson Holdings plc      87,250  
  1,800       De’Longhi      41,236  
  1,469       Dorel Industries, Inc.      39,301  
  3,583       Electrolux AB, Series B      112,167  
  63       Forbo Holding AG      74,857  
  1,600       Foster Electric Co., Ltd.      35,952  
  5,500       Haseko Corp.      64,853  
  15,466       Husqvarna AB, B Shares      116,525  
  2,800       Iida Group Holdings Co., Ltd.      44,576  
  4,175       JM AB      113,847  
  31,200       Man Wah Holdings, Ltd.      30,590  
  3,900       Nikon Corp.      45,085  
  6,591       Nobia AB      69,248  
  14,500       Panasonic Corp.      198,704  
  13,107       Persimmon plc*      407,268  
  18,200       Pioneer Corp.*      33,146  
  9,947       Redrow plc      69,289  
  2,500       Sangetsu Co., Ltd.      38,098  
  1,136       SEB SA      105,837  
  13,000       Sekisui Chemical Co., Ltd.      159,193  
 

 

Continued

 

10


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Household Durables, continued

  
  9,100       Sekisui House, Ltd.    $ 144,173  
  55,000       Sharp Corp.*^      67,134  
  9,500       Sony Corp.*      269,617  
  2,200       Starts Corp., Inc.      34,233  
  4,800       Sumitomo Forestry Co., Ltd.      59,184  
  124,926       Taylor Wimpey plc      364,297  
  20,687       Techtronic Industries Co., Ltd.      68,119  
  4,830       Tomtom NV*      54,538  
     

 

 

 
        3,930,299  
     

 

 

 

 

Household Products (0.4%):

  

  412       Henkel AG & Co. KGaA      39,369  
  8,000       Lion Corp.      64,007  
  6,605       PZ Cussons plc      37,491  
  2,504       Reckitt Benckiser Group plc      216,180  
  11,186       Svenska Cellulosa AB, B Shares      284,513  
  1,800       Unicharm Corp.      42,774  
     

 

 

 
        684,334  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):

  

  4,545       Algonquin Power & Utilities Corp.      34,066  
  1,824       Capital Power Corp.      31,461  
  5,914       Drax Group plc      32,315  
  1,300       Electric Power Development Co., Ltd.      45,891  
  18,416       Enel Green Power SpA      35,962  
  3,741       Innergex Renewable Energy, Inc.      31,814  
  2,649       Northland Power, Inc.      33,558  
  9,048       Transalta Corp.      70,135  
     

 

 

 
        315,202  
     

 

 

 

 

Industrial Conglomerates (1.0%):

  

  375       Daetwyler Holding AG^      44,543  
  1,985       DCC plc      156,098  
  20,000       Hopewell Holdings, Ltd.      73,134  
  980       Indus Holding AG      49,346  
  11,000       Keihan Electric Railway Co., Ltd.      64,544  
  9,300       Keppel Corp., Ltd.      56,694  
  1,483       Koninklijke philips Electronics NV, NY Shares, NYS      37,757  
  2,535       Koninklijke Philips Electronics NV      64,692  
  8,000       Nisshinbo Holdings, Inc.      89,428  
  1,487       Nolato AB      33,999  
  23,141       NWS Holdings, Ltd.      33,360  
  1,414       Rheinmetall AG      71,695  
  15,900       SembCorp Industries, Ltd.      45,915  
  70,000       Shun Tak Holdings, Ltd.      38,555  
  6,796       Siemens AG, Registered Shares      684,304  
  3,641       Smiths Group plc      64,516  
  67,000       Toshiba Corp.      229,614  
     

 

 

 
        1,838,194  
     

 

 

 

 

Insurance (5.3%):

  

  4,407       Admiral Group plc      95,931  
  28,884       AEGON NV      212,048  
  8,296       Ageas NV      319,448  
  67,040       AIA Group, Ltd.      438,185  
  16,576       Amlin plc      123,989  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  39,825       AMP, Ltd.    $ 183,170  
  4,194       Assicurazioni Generali SpA      75,473  
  12,693       Aviva plc, ADR      197,630  
  13,553       AXA SA      341,497  
  1,614       Baloise Holding AG, Registered Shares      196,728  
  21,869       Beazley plc      101,593  
  7,122       Chesnara plc      36,384  
  3,618       CNP Assurances      60,389  
  7,700       Dai-ichi Life Insurance Co., Ltd. (The)      151,240  
  1,896       Delta Lloyd NV      31,186  
  45,559       Direct Line Insurance Group plc      240,561  
  11,141       Esure Group plc      44,462  
  569       Euler Hermes Group      57,336  
  536       Fairfax Financial Holdings, Ltd.      264,343  
  1,983       Gjensidige Forsikring ASA      31,951  
  1,405       Great-West Lifeco, Inc.      40,908  
  2,030       Grupo Catalana Occidente SA      63,123  
  846       Hannover Rueckversicherung AG, Registered Shares      82,027  
  221       Helvetia Patria Holding AG      126,163  
  9,358       Hiscox, Ltd.      123,477  
  2,622       Industrial Alliance Insurance & Financial Services, Inc.      88,205  
  83,409       Insurance Australia Group, Ltd.      358,478  
  655       Intact Financial Corp.      45,522  
  4,510       Jardine Lloyd Thompson Group plc      74,043  
  7,511       Lancashire Holdings, Ltd.      72,814  
  59,174       Legal & General Group plc      231,182  
  13,895       Manulife Financial Corp.      258,308  
  31,539       MAPFRE SA^      108,862  
  26,388       Medibank Private, Ltd.*      40,876  
  4,284       Mediolanum SpA      35,303  
  3,700       MS&AD Insurance Group Holdings, Inc.      115,193  
  1,291       Muenchener Rueckversicherungs-Gesellschaft AG      228,792  
  12,188       NIB Holdings, Ltd.      31,573  
  2,500       NKSJ Holdings, Inc.      91,681  
  52,461       Old Mutual plc      165,906  
  8,574       Phoenix Group Holdings      110,376  
  6,958       Prudential plc, ADR      337,879  
  17,328       QBE Insurance Group, Ltd.      181,746  
  21,669       RSA Insurance Group plc      135,097  
  2,720       Sampo OYJ, A Shares      128,357  
  5,444       SCOR SA      191,878  
  3,984       Societa Cattolica di Assicuraz      31,406  
  3,000       Sony Financial Holdings, Inc.      52,555  
  10,050       St. James Place plc      142,960  
  20,910       Standard Life plc      145,707  
  15,216       Storebrand ASA*      62,711  
  4,456       Sun Life Financial, Inc.      148,830  
  16,334       Suncorp-Metway, Ltd.      168,993  
  1,205       Swiss Life Holding AG, Registered Shares      276,390  
  2,675       Swiss Re AG^      236,674  
  7,900       T&D Holdings, Inc.      117,695  
 

 

Continued

 

11


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  
  1,863       Talanx AG    $ 57,183  
  3,900       Tokio Marine Holdings, Inc.      161,735  
  3,403       Topdanmark A/S*      91,174  
  1,585       Tryg A/S      33,002  
  10,083       Unipol Gruppo Finanziario SpA (a)      51,193  
  34,458       UnipolSai SpA      85,288  
  3,622       Uniqa Insurance Group AG      32,633  
  1,431       Vienna Insurance Group Weiner Staeditische Versicherung AG      49,068  
  1,584       Zurich Insurance Group AG      482,956  
     

 

 

 
        9,099,466  
     

 

 

 

 

Internet & Catalog Retail (0.2%):

  

  18,019       Home Retail Group plc      47,794  
  7,431       N Brown Group plc      39,824  
  13,793       Ocado Group plc*      96,739  
  3,500       Rakuten, Inc.      56,380  
  1,600       Start Today Co., Ltd.      44,973  
  1,921       Takkt AG      35,142  
  12,361       Trade Me Group, Ltd.      28,378  
  1,761       Yoox SpA*      56,941  
     

 

 

 
        406,171  
     

 

 

 

 

Internet Software & Services (0.3%):

  

  6,464       Carsales.com, Ltd.      50,477  
  2,300       DeNA Co., Ltd.      45,202  
  3,000       GMO Internet, Inc.      40,223  
  6,300       Gree, Inc.      36,797  
  2,100       Internet Initiative Japan, Inc.      36,847  
  3,100       Kakaku.com, Inc.      45,002  
  15,276       Moneysupermarket.com Group plc      69,802  
  1,072       Netent AB*      41,643  
  10,597       Telecity Group plc      171,090  
  2,596       United Internet AG, Registered Shares      115,374  
  8,400       Yahoo! Japan Corp.      33,870  
     

 

 

 
        686,327  
     

 

 

 

 

IT Services (0.9%):

  

  1,450       Alten SA      67,330  
  4,218       Altran Technologies SA      45,267  
  4,419       Amadeus IT Holding SA      175,920  
  3,551       Atea ASA      31,710  
  3,030       Atos Origin SA      226,663  
  626       Bechtle AG      47,434  
  1,081       Cap Gemini SA      95,886  
  1,045       CGI Group, Inc.*      40,839  
  3,428       Computacenter plc      41,820  
  7,580       Computershare, Ltd.      68,204  
  1,168       DH Corp.      37,337  
  4,312       Econocom Group SA/NV      35,439  
  32,000       Fujitsu, Ltd.      178,446  
  4,428       IRESS, Ltd.      34,406  
  3,200       IT Holdings Corp.      68,002  
  1,900       Itochu Techno-Solutions Corp.      47,277  
  12,095       NCC Group plc      40,965  
  3,900       Nihon Unisys, Ltd.      40,121  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

IT Services, continued

  
  1,200       Nomura Research Institute, Ltd.    $ 46,905  
  1,100       NTT Data Corp.      48,054  
  1,500       SCSK Corp.      45,713  
  462       Sopra Steria Group      41,591  
  4,001       Tieto OYJ      93,512  
     

 

 

 
        1,598,841  
     

 

 

 

 

Leisure Products (0.3%):

  

  6,131       Amer Sports OYJ      163,296  
  2,200       Heiwa Corp.      43,936  
  2,400       Namco Bandai Holdings, Inc.      46,352  
  16,103       Photo-Me International plc      35,743  
  1,700       Sankyo Co., Ltd.      60,123  
  5,700       Sega Sammy Holdings, Inc.      74,493  
  400       Shimano, Inc.      54,551  
  5,200       Yamaha Corp.      104,849  
     

 

 

 
        583,343  
     

 

 

 

 

Life Sciences Tools & Services (0.5%):

  

  306       Eurofins Scientific SE      93,317  
  1,884       Gerresheimer AG      117,390  
  2,546       Lonza Group AG, Registered Shares      340,955  
  7,395       QIAGEN NV*      183,322  
  250       Tecan Group AG      29,924  
     

 

 

 
        764,908  
     

 

 

 

 

Machinery (4.0%):

  

  6,065       Aalberts Industries NV      180,709  
  1,760       Alfa Laval AB      30,955  
  10,500       AMADA Co., Ltd.      110,877  
  1,528       Andritz AG      84,505  
  2,900       Asahi Diamond Industrial Co., Ltd.      32,642  
  3,026       Atlas Copco AB, A Shares      84,606  
  1,756       Atlas Copco AB, B Shares      43,702  
  1,558       Beijer Alma AB      33,753  
  7,444       Bodycote plc      78,768  
  316       Bucher Industries AG^      78,614  
  87       Burckhardt Compression Holding^      32,939  
  1,990       Cargotec OYJ      75,504  
  9,994       CNH Industrial NV      91,065  
  111       Construcciones y Auxiliar de Ferrocarriles SA      33,015  
  52       Conzzeta AG      35,565  
  3,600       DMG Mori Co., Ltd.      69,500  
  878       Duerr AG      81,782  
  18,000       Ebara Corp.      87,090  
  800       Fanuc, Ltd.      163,337  
  3,400       Fujitec Co., Ltd.      42,339  
  2,307       GEA Group AG      102,863  
  241       Georg Fischer AG      165,588  
  2,000       Glory, Ltd.      59,202  
  2,253       Haldex AB      29,748  
  15,038       Heidelberger Druckmaschinen AG*      33,320  
  3,900       Hino Motors, Ltd.      48,201  
  3,100       Hitachi Construction Machinery Co., Ltd.      54,282  
  6,700       Hitachi Zosen Corp.      38,198  
  22,000       IHI Corp.      102,558  
 

 

Continued

 

12


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  
  8,753       IMI plc    $ 154,594  
  2,147       Interpump Group SpA      34,615  
  13,000       Japan Steel Works, Ltd. (The)      53,712  
  6,700       JTEKT Corp.      126,745  
  2,600       Juki Corp.      34,965  
  975       Jungheinrich AG      66,067  
  22,000       Kawasaki Heavy Industries, Ltd.      102,567  
  2,997       Kion Group AG      143,527  
  12,500       Komatsu, Ltd.      250,527  
  3,618       Kone OYJ, B Shares      147,078  
  1,652       Konecranes OYJ      48,182  
  438       Krones AG      45,763  
  8,000       Kubota Corp.      126,812  
  478       Kuka AG      39,807  
  3,200       Kurita Water Industries, Ltd.      74,442  
  1,132       LiSi      31,812  
  4,000       Makino Milling Machine Co., Ltd.      40,334  
  1,100       Makita Corp.      59,609  
  13,000       Meidensha Corp.      48,840  
  32,985       Melrose Industries plc      128,171  
  2,898       Metso Corp. OYJ      79,545  
  4,926       Meyer Burger Technology AG*      42,292  
  5,000       Minebea Co., Ltd.      82,454  
  43,000       Mitsubishi Heavy Industries, Ltd.      261,435  
  37,000       Mitsui Engineering & Shipbuilding Co., Ltd.      64,060  
  9,923       Morgan Advanced Materials plc      50,809  
  2,100       Nabtesco Corp.      52,421  
  11,000       Nachi-Fujikoshi Corp.      64,847  
  3,000       NGK Insulators, Ltd.      77,284  
  1,099       NKT Holding A/S      63,007  
  890       Norma Group SE      44,974  
  6,900       NSK, Ltd.      106,513  
  25,000       NTN Corp.      157,158  
  8,914       OC Oerlikon Corp. AG      109,097  
  5,000       Okuma Corp.^      56,449  
  1,900       OSG Corp.      40,711  
  118       Rational AG      43,328  
  39,540       Rotork plc      144,279  
  16,351       Sandvik AB      180,616  
  214       Schindler Holding AG, Registered Shares      34,932  
  15,600       SembCorp Marine, Ltd.      32,884  
  767       Semperit AG      31,601  
  4,000       Shinmaywa Industries, Ltd.      36,594  
  5,919       SKF AB, B Shares      134,984  
  2,119       Spirax-Sarco Engineering plc      112,841  
  1,147       Sulzer AG, Registered Shares^      117,773  
  11,000       Sumitomo Heavy Industries, Ltd.      63,957  
  8,000       Tadano, Ltd.      119,505  
  700       Takeuchi Manufacturing Co., Ltd.      40,105  
  2,200       THK Co., Ltd.      47,510  
  9,213       Trelleborg AB      170,295  
  9,000       Tsubakimoto Chain Co.      87,979  
  1,374       Vallourec SA      28,027  
  5,691       Valmet Corp.      64,104  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  
  9,513       Vesuvius plc    $ 63,585  
  3,857       Volvo AB, A Shares      47,795  
  19,425       Volvo AB, B Shares      240,934  
  1,388       Wacker Neuson SE      29,090  
  2,713       Wartsila Corp. OYJ, Class B      127,037  
  6,011       Weir Group plc (The)      160,095  
  3,584       Zardoya Otis SA      38,998  
     

 

 

 
        7,415,300  
     

 

 

 

 

Marine (0.2%):

  

  75       A.P. Moeller — Maersk A/S, Class B      136,075  
  42       A.P. Moller — Maersk A/S, Class A      73,648  
  337       DFDS A/S      46,578  
  7,971       Irish Continental Group      35,052  
  37,000       Kawasaki Kisen Kaisha, Ltd.      87,317  
  534       Kuehne & Nagel International AG, Registered Shares      70,952  
  17,000       Mitsui O.S.K. Lines, Ltd.      54,326  
  42,600       Neptune Orient Lines, Ltd.*      25,906  
  34,000       Nippon Yusen Kabushiki Kaisha      94,638  
  8,500       Orient Overseas International, Ltd.      43,293  
  93,000       Pacific Basin Shipping, Ltd.      31,147  
     

 

 

 
        698,932  
     

 

 

 

 

Media (2.4%):

  

  3,775       Amalgamated Holdings, Ltd.      36,511  
  1,800       Asatsu-DK, Inc.      42,605  
  2,296       Atresmedia Corp. de Medios      35,550  
  2,500       Avex Group Holdings, Inc.      43,863  
  1,273       Axel Springer AG      66,808  
  11,174       British Sky Broadcasting Group plc      182,235  
  912       Cineplex, Inc.      34,339  
  8,601       Cineworld Group plc      62,331  
  546       Cogeco Cable, Inc.      31,585  
  2,595       Corus Entertainment, Inc.      34,640  
  1,398       CTS Eventim AG & Co. KGaA      50,964  
  1,200       Cyberagent, Inc.      56,827  
  1,600       Daiichikosho Co., Ltd.      56,314  
  8,644       Daily Mail & General Trust plc      125,992  
  1,400       Dentsu, Inc.      73,007  
  2,163       Euromoney Institutional Investor plc      41,221  
  5,903       Eutelsat Communications SA      190,403  
  969       GFK SE      42,422  
  21,407       Informa plc      183,981  
  1,711       Ipsos      44,192  
  19,044       ITE Group plc      51,080  
  40,885       ITV plc      168,907  
  2,082       JCDecaux SA      86,753  
  109,074       John Fairfax Holdings, Ltd.      68,100  
  4,913       Lagardere SCA      143,141  
  1,881       M6 Metropole Television      36,551  
  3,072       Mediaset Espana Comunicacion SA      40,221  
  15,032       Mediaset SpA      72,137  
  1,809       Modern Times Group, Class B      48,524  
  21,188       Nine Entertainment Co. Holdings, Ltd.      25,267  
  9,746       Pearson plc, ADR      184,785  
 

 

Continued

 

13


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Media, continued

  
  1,402       Publicis Groupe SA    $ 103,530  
  909       Quebecor, Inc., Class B      22,725  
  1,012       REA Group, Ltd.      30,386  
  1,309       Reed Elsevier plc, ADR      85,085  
  7,744       Relx NV      184,212  
  3,213       Rightmove plc      165,272  
  414       RTL Group      37,484  
  3,111       SES Global, Class A      104,374  
  33,424       Seven West Media, Ltd.      26,263  
  4,910       Shaw Communications, Inc.      106,989  
  11,700       Singapore Press Holdings, Ltd.      35,426  
  18,618       Sky Network Television, Ltd.      75,773  
  7,900       SKY Perfect JSAT Holdings, Inc.      42,331  
  4,175       Societe Television Francaise 1      71,897  
  983       Stroeer Media SE*      45,897  
  9,443       Technicolor SA      61,565  
  1,063       Telenet Group Holding NV*      57,896  
  18,900       Television Broadcasts, Ltd.      112,346  
  2,145       Thomson Reuters Corp.      81,660  
  13,261       Trinity Mirror plc      31,255  
  9,352       UBM plc      78,604  
  6,920       Vivendi Universal SA      174,769  
  10,595       Wolters Kluwer NV      315,844  
  10,567       WPP plc      237,069  
     

 

 

 
        4,649,908  
     

 

 

 

 

Metals & Mining (4.7%):

  

  8,736       Acacia Mining plc      41,390  
  5,689       Acerinox SA      78,881  
  2,655       Agnico Eagle Mines, Ltd.      75,322  
  80,748       Alumina, Ltd.      94,727  
  15,758       Anglo American plc      227,652  
  10,506       Antofagasta plc      113,711  
  2,604       Aperam*      105,057  
  6,174       ArcelorMittal      60,104  
  5,217       Aurico Gold, Inc.      14,914  
  1,644       Aurubis AG      96,553  
  42,552       B2Gold Corp.*      65,082  
  15,001       Barrick Gold Corp.      160,364  
  2,087       Bekaert NV      58,839  
  64,783       BHP Billiton, Ltd.      1,316,596  
  8,071       Billiton plc, ADR      319,289  
  25,458       BlueScope Steel, Ltd.      58,236  
  4,724       Boliden AB      86,063  
  57,966       Centamin plc      56,263  
  4,197       Centerra Gold, Inc.      23,862  
  13,000       Daido Steel Co., Ltd.      54,141  
  4,038       Dominion Diamond Corp.      56,572  
  11,000       DOWA Mining Co.      103,830  
  14,182       Eldorado Gold Corp.      58,827  
  20,239       EVRAZ plc*      39,172  
  7,322       First Majestic Silver Corp.*      35,473  
  6,919       First Quantum Minerals, Ltd.      90,477  
  31,774       Fortescue Metals Group, Ltd.      46,279  
  3,312       Fresnillo plc      36,142  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Metals & Mining, continued

  
  29,237       Glencore International plc    $ 117,349  
  13,172       Goldcorp, Inc.      213,385  
  1,236,000       G-Resources Group, Ltd.      39,935  
  3,883       Hill & Smith Holdings plc      41,317  
  4,000       Hitachi Metals, Ltd.      61,359  
  11,106       Hudbay Minerals, Inc.      92,490  
  14,898       IAMGOLD Corp.*      29,825  
  7,621       Iluka Resources, Ltd.      44,894  
  11,479       Independence Group NL      36,659  
  5,400       JFE Holdings, Inc.      119,774  
  10,204       Kazakhmys plc*      32,610  
  39,036       Kinross Gold Corp.*      90,963  
  100,000       Kobe Steel, Ltd.      168,205  
  17,675       Lonmin plc*      31,120  
  4,862       Lucara Diamond Corp.      7,748  
  20,527       Lundin Mining Corp.*      84,324  
  32,000       Mitsubishi Materials Corp.      122,812  
  29,000       Mitsui Mining & Smelting Co., Ltd.      78,345  
  7,415       Nevsun Resources, Ltd.      27,907  
  25,136       New Gold, Inc.*      67,429  
  9,805       Newcrest Mining, Ltd.*      99,102  
  23,200       Nippon Light Metal Holdings Co.      40,146  
  143,000       Nippon Steel Corp.      370,376  
  4,300       Nisshin Steel Co., Ltd.      53,332  
  7,284       Norsk Hydro ASA      30,710  
  19,938       Northern Star Resources, Ltd.      33,799  
  15,054       Nyrstar NV*      53,876  
  12,873       OceanaGold Corp.      31,853  
  9,849       Outokumpu OYJ*      49,534  
  13,670       OZ Minerals, Ltd.      41,843  
  7,653       Pan American Silver Corp.      65,818  
  15,045       Petra Diamonds, Ltd.*      35,199  
  2,551       Randgold Resources, Ltd.      171,129  
  8,331       Rio Tinto plc, Registered Shares, ADR      343,321  
  8,792       Rio Tinto, Ltd.      362,479  
  1,982       Salzgitter AG      70,814  
  6,434       Semafo, Inc.*      17,311  
  2,225       Silver Wheaton Corp.      38,582  
  7,842       Sims Metal Management, Ltd.      62,707  
  64,783       South32, Ltd.*      89,453  
  3,228       South32, Ltd., ADR*      21,660  
  6,834       SSAB AB, A Shares*^      35,668  
  7,692       SSAB Svenskt Stal AB, Series B*      34,350  
  9,000       Sumitomo Metal & Mining Co., Ltd.      136,870  
  6,487       Teck Cominco, Ltd.      64,309  
  4,752       ThyssenKrupp AG      123,618  
  4,900       Tokyo Steel Manufacturing Co., Ltd.      35,914  
  11,031       Turquoise Hill Resources, Ltd.*      41,958  
  15,000       Uacj Corp.^      37,951  
  4,032       Vedanta Resources plc      32,959  
  3,453       Voestalpine AG^      143,435  
  25,881       Yamana Gold, Inc.      77,925  
  2,000       Yamato Kogyo Co., Ltd.      46,629  
     

 

 

 
        7,976,898  
     

 

 

 
 

 

Continued

 

14


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail (0.7%):

  

  747       Canadian Tire Corp.    $ 79,905  
  53,885       Debenhams plc      75,630  
  1,139       Dollarama, Inc.      69,044  
  1,400       Don Quijote Co., Ltd.      59,416  
  2,700       H2O Retailing Corp.      56,218  
  16,147       Harvey Norman Holdings, Ltd.      55,857  
  1,822       Hudson’s Bay Co.      40,487  
  3,800       Isetan Mitsukoshi Holdings, Ltd.      67,887  
  1,100       Izumi Co., Ltd.      46,325  
  4,100       J. Front Retailing Co., Ltd.      77,141  
  24,500       Lifestyle International Holdings, Ltd.      45,324  
  29,029       Marks & Spencer Group plc      244,752  
  6,400       MARUI GROUP Co., Ltd.      86,419  
  33,671       Myer Holdings, Ltd.      31,809  
  1,643       Next plc      192,470  
  7,338       Poundland Group plc      37,282  
  300       Ryohin Keikaku Co., Ltd.      58,141  
  11,000       Takashimaya Co., Ltd.      99,702  
     

 

 

 
        1,423,809  
     

 

 

 

 

Multi-Utilities (0.6%):

  

  4,534       AGL Energy, Ltd.      54,007  
  393       Canadian Utilities, Ltd., Class A      11,320  
  9,065       Centrica plc      37,628  
  25,248       Duet Group      44,838  
  9,632       E.ON AG      128,267  
  10,828       Engie Group      200,631  
  19,117       Hera SpA      47,791  
  40,034       ITL AEM SpA      47,685  
  1,215       National Grid plc, ADR      78,453  
  1,345       RWE AG      28,904  
  5,539       Suez Environnement Co.      102,886  
  2,881       Telecom Plus plc^      44,758  
  3,162       Veolia Environnement      64,410  
     

 

 

 
        891,578  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.5%):

  

  6,810       Advantage Oil & Gas, Ltd.*      43,081  
  1,678       AltaGas, Ltd.      51,114  
  4,295       ARC Resources, Ltd.      73,601  
  18,809       Athabasca Oil Corp.*      30,726  
  6,102       Bankers Petroleum, Ltd.*      15,148  
  2,064       Baytex Energy Corp.      32,157  
  59,432       Beach Energy, Ltd.      47,848  
  5,835       Bellatrix Exploration, Ltd.*      13,597  
  2,726       Birchcliff Energy, Ltd.*      15,215  
  5,828       Bonavista Energy Corp.      31,688  
  1,208       Bonterra Energy Corp.      30,461  
  117       Boulder Energy, Ltd.*      778  
  8,418       BP plc, ADR      336,384  
  5,227       Cameco Corp.      74,642  
  14,899       Canadian Natural Resources, Ltd.      404,656  
  15,656       Canadian Oil Sands, Ltd.      126,622  
  11,375       Cenovus Energy, Inc.      182,114  
  29,000       Cosmo Oil Co., Ltd.*      47,178  
  8,781       Crescent Point Energy      179,835  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  
  8,223       Crew Energy, Inc.*    $ 37,599  
  123       Delek Group, Ltd.      36,277  
  2,106       Enbridge Income Fund Holding      58,232  
  3,199       Enbridge, Inc.      149,681  
  1,055       EnCana Corp.      11,626  
  21,893       EnCana Corp.      241,405  
  11,833       Enerplus Corp.      103,851  
  21,419       ENI SpA      379,885  
  2,892       ERG SpA      34,689  
  3,881       Etablissements Maurel et Prom*      28,785  
  5,510       Euronav NV      80,888  
  591       Gaztransport et Technigaz SA      37,363  
  3,887       Gibson Energy, Inc.      70,189  
  13,083       Gran Tierra Energy, Inc.*      39,182  
  78       Granite Oil Corp.      393  
  5,311       Husky Energy, Inc.      101,601  
  3,200       Idemitsu Kosan Co., Ltd.      62,789  
  1,254       Imperial Oil, Ltd.      48,429  
  1,887       Inter Pipeline, Ltd.      43,367  
  2,939       James Fisher & Sons plc      62,480  
  30,100       JX Holdings, Inc.      130,280  
  1,323       Keyera Corp.      44,178  
  2,585       Koninklijke Vopak NV      130,669  
  2,266       Lundin Petroleum AB*      38,821  
  3,394       MEG Energy Corp.*      55,443  
  5,186       Neste Oil OYJ      132,453  
  64,000       NewOcean Energy Holdings, Ltd.      29,574  
  14,721       Oil Search, Ltd.      80,360  
  7,762       OMV AG      213,303  
  14,047       Origin Energy, Ltd.      128,584  
  11,301       Pacific Rubiales Energy Corp.      42,623  
  3,130       Painted Pony Petroleum*      19,951  
  4,812       Parex Resources, Inc.*      40,344  
  1,888       Parkland Fuel Corp.      37,615  
  260       Paz Oil Co., Ltd.      41,027  
  1,805       Pembina Pipeline Corp.      58,302  
  25,032       Pengrowth Energy Corp.      62,540  
  1,690       Peyto Exploration & Development Corp.      41,316  
  13,685       Premier Oil plc*      32,034  
  14,231       Repsol SA      250,483  
  1,121       Royal Dutch Shell plc, ADR      64,289  
  3,305       Royal Dutch Shell plc, ADR      188,418  
  8,413       Santos, Ltd.      50,523  
  12,892       Soco International plc      35,621  
  17,987       Statoil ASA      321,251  
  15,434       Suncor Energy, Inc.      424,743  
  11,456       Surge Energy, Inc.      32,475  
  2,307       Torc Oil & Gas, Ltd.      16,072  
  18,221       Total SA      886,470  
  3,875       Tourmaline Oil Corp.*      116,424  
  2,556       Transcanada Corp.      103,825  
  2,255       Trilogy Energy Corp.*      10,202  
  15,307       Tullow Oil plc      81,627  
  1,755       Vermilion Energy, Inc.      75,798  
 

 

Continued

 

15


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  
  9,195       Whitecap Resources, Inc.    $ 97,045  
  32,833       Whitehaven Coal, Ltd.*      33,311  
  23,536       Woodside Petroleum, Ltd.      618,396  
     

 

 

 
        8,131,946  
     

 

 

 

 

Paper & Forest Products (0.7%):

  

  2,029       Canfor Corp.*      44,193  
  1,251       Canfor Pulp Products, Inc.      15,688  
  6,000       Daio Paper Corp.      60,112  
  6,700       Hokuetsu Kishu Paper Co., Ltd.      36,925  
  2,560       Holmen ABN AB, B Shares      74,740  
  636       Interfor Corp.*      10,435  
  7,061       Metsa Board OYJ      43,797  
  4,977       Mondi plc      107,041  
  4,100       Nippon Paper Industries Co., Ltd.      71,861  
  18,000       OYI Paper Co., Ltd.      78,198  
  24,217       Stora Enso OYJ, Registered Shares      249,217  
  16,610       UPM-Kymmene OYJ      294,729  
  1,046       West Fraser Timber Co., Ltd.      57,485  
     

 

 

 
        1,144,421  
     

 

 

 

 

Personal Products (0.2%):

  

  525       Beiersdorf AG      43,952  
  2,300       Kao Corp.      106,916  
  565       L’Oreal SA      100,716  
  2,100       Shiseido Co., Ltd.      47,638  
     

 

 

 
        299,222  
     

 

 

 

 

Pharmaceuticals (3.3%):

  

  2,968       Almirall SA      58,763  
  4,700       Astellas Pharma, Inc.      66,979  
  7,638       AstraZeneca plc, ADR      486,618  
  3,059       Bayer AG      427,983  
  314       Boiron SA      30,799  
  7,000       Daiichi Sankyo Co., Ltd.      129,166  
  5,108       Dechra Pharmaceuticals plc      78,898  
  800       Eisai Co., Ltd.      53,591  
  211       Galenica AG      220,377  
  7,443       GlaxoSmithKline plc, ADR      310,001  
  1,856       H. Lundbeck A/S*      35,729  
  4,811       Hikma Pharmaceuticals plc      146,308  
  1,661       Ipsen SA      91,596  
  2,000       Kaken Pharmaceutical Co., Ltd.      69,648  
  1,900       Kyorin Holdings, Inc.      38,742  
  4,000       Kyowa Hakko Kogyo Co., Ltd.      52,287  
  4,756       Meda AB      66,182  
  457       Merck KGaA      45,513  
  2,600       Mitsubishi Tanabe Pharma Corp.      38,898  
  500       Mochida Pharmaceutical Co., Ltd.      28,469  
  1,700       Nichi-Iko Pharmaceutical Co., Ltd.      46,023  
  12,675       Novartis AG, Registered Shares      1,252,280  
  8,066       Novo Nordisk A/S, B Shares      442,450  
  1,259       Orion OYJ      44,235  
  1,228       Orion OYJ, Class B      43,034  
  3,400       Otsuka Holdings Co., Ltd.      108,091  
  3,141       Recordati SpA      65,864  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Pharmaceuticals, continued

  
  405       Roche Holding AG    $ 113,736  
  127       Roche Holding AG      34,689  
  2,700       Rohto Pharmaceutical Co., Ltd.      44,579  
  2,754       Sanofi-Aventis SA      271,666  
  2,900       Santen Pharmaceutical Co., Ltd.      41,035  
  1,200       Sawai Pharmaceutical Co., Ltd.      70,262  
  1,359       Shire plc      109,223  
  995       Stada Arzneimittel AG      33,553  
  2,800       Takeda Pharmacuetical Co., Ltd.      135,138  
  612       Teva Pharmaceutical Industries, Ltd., ADR      36,169  
  3,961       Teva Pharmaceutical Industries, Ltd.      234,909  
  600       Towa Pharmaceutical Co., Ltd.      38,575  
  2,600       Tsumura & Co.      55,889  
  694       UCB SA      49,755  
  1,145       Valeant Pharmaceuticals International, Inc.*      254,362  
  16,134       Vectura Group plc*      45,401  
  144       Virbac SA      30,808  
     

 

 

 
        6,078,273  
     

 

 

 

 

Professional Services (1.1%):

  

  4,530       Adecco SA, Registered Shares      368,606  
  2,780       AF AB      37,817  
  18,343       ALS, Ltd.      82,425  
  5,622       Bureau Veritas SA      129,582  
  2,111       Capita Group plc      41,112  
  861       DKSH Holding, Ltd.^      62,228  
  11,350       Experian plc      206,499  
  48,992       Hays plc      125,668  
  6,806       Intertek Group plc      261,736  
  1,100       Meitec Corp.      40,963  
  10,129       Michael Page International plc      86,663  
  1,300       Nihon M&A Center, Inc.      53,749  
  3,772       Randstad Holding NV      246,569  
  1,785       Ricardo plc      24,180  
  19       SGS SA, Registered Shares      34,716  
  1,156       Stantec, Inc.      33,790  
  1,726       Teleperformance      122,214  
  2,626       USG People NV      38,875  
  1,758       WS Atkins plc      41,822  
     

 

 

 
        2,039,214  
     

 

 

 

 

Real Estate Management & Development (2.1%):

  

  643       Allreal Holding AG      88,732  
  1,297       Azrieli Group      51,798  
  3,256       Brookfield Asset Management, Inc., Class A      113,732  
  1,960       BUWOG-Bauen Und Wohnen Gesellschaft mbH^      38,056  
  20,500       CapitaLand, Ltd.      53,226  
  4,935       Castellum AB      69,321  
  13,430       Cheung Kong Property Holdings, Ltd.*      111,407  
  12,500       Chinese Estates Holdings, Ltd.      45,553  
  6,400       City Developments, Ltd.      46,333  
  10,906       Citycon OYJ      27,220  
  13,430       CK Hutchison Holdings, Ltd.      196,941  
  799       Colliers International Group      30,746  
  5,265       Countrywide plc      46,975  
  900       Daito Trust Construction Co., Ltd.      93,058  
 

 

Continued

 

16


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Management & Development, continued

  
  5,000       Daiwa House Industry Co., Ltd.    $ 116,495  
  6,255       Deutsche Wohnen AG      143,299  
  4,223       Fabege AB      57,581  
  388       First Capital Realty, Inc.      5,555  
  799       FirstService Corp.      22,188  
  25,200       Global Logistic Properties, Ltd.      47,263  
  34,000       Hang Lung Group, Ltd.      149,222  
  46,984       Hang Lung Properties, Ltd.      139,053  
  3,964       Hemfosa Fastigheter AB      40,399  
  10,800       Henderson Land Development Co., Ltd.      73,795  
  4,800       Hongkong Land Holdings, Ltd.      39,266  
  14,025       Hysan Development Co., Ltd.      60,595  
  22,500       Kerry Properties, Ltd.      87,794  
  4,945       Kungsleden AB      33,548  
  1,711       LEG Immobilien AG      118,814  
  5,565       Lend Lease Group      64,060  
  9,700       Leopalace21 Corp.*      59,373  
  4,644       LSL Property Services plc      28,433  
  3,000       Mitsubishi Estate Co., Ltd.      64,458  
  3,000       Mitsui Fudosan Co., Ltd.      83,768  
  296       Mobimo Holding AG, Registered Shares      60,285  
  109,396       New World Development Co., Ltd.      142,844  
  1,341       Nexity SA      52,668  
  2,200       Nomura Real Estate Holdings, Inc.      46,075  
  52       Plazza AG*      11,516  
  24,606       Quintain Estates & Development plc*      41,003  
  400       Relo Holdings, Inc.      39,855  
  4,579       Savills plc      68,015  
  25,000       Sinarmas Land, Ltd.      11,403  
  44,880       Sino Land Co., Ltd.      74,886  
  7,089       St. Modwen Properties plc      50,507  
  1,000       Sumitomo Realty & Development Co., Ltd.      35,056  
  11,921       Sun Hung Kai Properties, Ltd.      193,047  
  5,610       Swire Pacific, Ltd., Class A      70,354  
  7,500       Tokyo Tatemono Co., Ltd.      103,899  
  7,900       Tokyu Fudosan Holdings Corp.      61,147  
  7,437       Unite Group plc      66,729  
  7,300       UOL Group, Ltd.      37,467  
  4,162       Wallenstam AB      29,586  
  13,324       Wharf Holdings, Ltd. (The)      88,622  
  14,726       Wheelock & Co., Ltd.      75,036  
  20,700       Wing Tai Holdings, Ltd.      29,273  
     

 

 

 
        3,837,330  
     

 

 

 

 

Road & Rail (1.7%):

  

  31,187       Asciano, Ltd.      159,713  
  67,907       Aurizon Holdings, Ltd.      267,414  
  5,353       Canadian National Railway Co.      309,136  
  883       Canadian Pacific Railway, Ltd.      141,483  
  800       Central Japan Railway Co.      144,407  
  16,300       ComfortDelGro Corp., Ltd.      37,892  
  6,138       DSV A/S      199,215  
  1,400       East Japan Railway Co.      125,877  
  28,257       FirstGroup plc*      53,115  
  8,000       Fukuyama Transporting Co., Ltd.      44,300  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Road & Rail, continued

  
  1,432       Go-Ahead Group plc    $ 59,216  
  20,000       Hankyu Hanshin Holdings, Inc.      118,071  
  2,300       Hitachi Transport System, Ltd.      38,121  
  5,000       Keihin Electric Express Railway Co., Ltd.      37,725  
  6,000       Keio Corp.      42,920  
  3,000       Keisei Electric Railway Co., Ltd.      35,666  
  15,000       Kintetsu Corp.      51,076  
  13,324       MTR Corp., Ltd.      61,829  
  18,000       Nagoya Railroad Co., Ltd.      67,323  
  12,000       Nankai Electric Railway Co., Ltd.      53,810  
  21,910       National Express Group plc      105,919  
  15,000       Nippon Express Co., Ltd.      73,728  
  2,900       Nippon Konpo Unyu Soko Co., Ltd.      50,499  
  13,000       Nishi-Nippon Railroad Co., Ltd.      59,666  
  8,429       Northgate plc      76,149  
  6,000       Odakyu Electric Railway Co., Ltd.      56,009  
  15,000       Sankyu, Inc.      81,940  
  5,000       Seino Holdings Co., Ltd.      55,953  
  7,000       Senko Co., Ltd.      44,295  
  730       Sixt SE      31,806  
  1,025       Sixt SE      39,750  
  10,000       Sotetsu Holdings, Inc.      52,106  
  6,338       Stagecoach Group plc      40,163  
  10,000       Tobu Railway Co., Ltd.      42,955  
  10,000       Tokyu Corp.      66,962  
  2,993       TransForce, Inc.      60,708  
  20,000       Transport International Holdings, Ltd.      48,711  
  1,400       West Japan Railway Co.      89,585  
     

 

 

 
        3,125,213  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.7%):

  

  4,797       Aixtron Se*      32,394  
  1,817       AMS AG      79,493  
  2,548       ARM Holdings plc, ADR      125,540  
  2,024       ASM International NV      93,838  
  5,119       ASM Pacific Technology, Ltd.      50,536  
  1,629       ASML Holding NV, NYS      169,628  
  1,837       BE Semiconductor Industries NV      51,384  
  1,947       Dialog Semiconductor plc*      105,231  
  400       Disco Corp.      33,080  
  1,331       Ezchip Semiconductor, Ltd.*      21,243  
  8,370       Infineon Technologies AG      103,849  
  712       Melexis NV      41,261  
  8,000       Sanken Electric Co., Ltd.      49,596  
  8,000       Screen Holdings Co., Ltd.      50,781  
  23,152       STMicroelectronics NV      189,502  
  2,000       Tokyo Seimitsu Co., Ltd.      43,703  
  191       U-Blox AG      38,525  
  2,500       ULVAC, Inc.      38,424  
     

 

 

 
        1,318,008  
     

 

 

 

 

Software (0.8%):

  

  1,917       Aveva Group plc      54,395  
  2,500       Capcom Co., Ltd.      48,402  
  2,326       Computer Modelling Group, Ltd.      23,580  
  211       Constellation Software, Inc./Canada      83,782  
 

 

Continued

 

17


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Software, continued

  
  682       Dassault Systemes SA    $ 49,571  
  1,347       Fidessa Group plc      48,070  
  3,217       Gemalto NV      287,116  
  3,200       Konami Corp.      59,718  
  5,169       Micro Focus International plc      110,366  
  601       NICE Systems, Ltd.      38,277  
  1,409       Open Text Corp.      57,107  
  5,783       PlayTech plc      74,289  
  19,513       Sage Group plc      157,081  
  2,404       SAP AG      167,489  
  2,151       SimCorp A/S      85,677  
  2,217       Software AG      60,757  
  1,900       Square Enix Holdings Co., Ltd.      42,044  
  1,992       Temenos Group AG^      65,819  
  1,300       Trend Micro, Inc.      44,760  
  5,915       UbiSoft Entertainment SA*      105,565  
     

 

 

 
        1,663,865  
     

 

 

 

 

Specialty Retail (1.5%):

  

  1,200       Adastria Co., Ltd.      42,897  
  1,800       Aoyama Trading Co., Ltd.      72,748  
  10,955       Automotive Holdings Group, Ltd.      33,686  
  4,100       BIC Camera, Inc.^      51,632  
  2,464       Bilia AB      43,876  
  18,000       Chow Sang Sang Holdings Intern      35,994  
  2,205       Clas Ohlson AB      38,721  
  4,700       DCM Holdings Co., Ltd.      46,023  
  32,869       Dixons Carphone plc      233,997  
  990       Dufry AG, Registered Shares*      137,717  
  3,195       Dunelm Group plc      45,504  
  4,900       Edion Corp.      34,697  
  63,300       Esprit Holdings, Ltd.      59,250  
  400       Fast Retailing Co., Ltd.      181,462  
  534       Fielmann AG      36,283  
  76,000       Giordano International, Ltd.      40,981  
  602       Groupe FNAC SA*      36,148  
  5,232       Halfords Group plc      43,373  
  4,280       Hennes & Mauritz AB, B Shares      164,626  
  20,566       Howden Joinery Group plc      167,049  
  3,933       Industria de Diseno Textil SA      128,242  
  2,973       JB Hi-Fi, Ltd.      44,616  
  4,170       JD Sports Fashion plc^      46,348  
  25,013       Kingfisher plc      136,241  
  1,600       Komeri Co., Ltd.      36,590  
  2,100       K’s Holding Corp.      75,650  
  13,250       L’occitane International SA      37,761  
  19,046       Lookers plc      47,398  
  21,000       Luk Fook Holdings International, Ltd.      61,579  
  900       Nitori Co., Ltd.      73,203  
  76,677       Pendragon plc      45,785  
  3,895       Premier Investments, Ltd.      38,403  
  2,779       Rona, Inc.      33,781  
  1,500       Sanrio Co., Ltd.      40,717  
  2,400       Shimachu Co., Ltd.      69,090  
  1,000       Shimamura Co., Ltd.^      104,869  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Specialty Retail, continued

  
  9,000       Sports Direct International*    $ 101,476  
  4,622       Super Retail Group, Ltd.      32,426  
  2,528       Supergroup plc*      48,794  
  2,400       USS Co., Ltd.      43,254  
  155       Valora Holding AG      30,420  
  2,800       VT Holdings Co., Ltd.      16,752  
  4,080       WHSmith plc      97,880  
  11,600       Yamada Denki Co., Ltd.      46,378  
     

 

 

 
        2,984,317  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.8%):

  

  10,460       BlackBerry, Ltd.*      85,519  
  6,400       Brother Industries, Ltd.      90,553  
  6,600       Canon, Inc.      214,192  
  2,700       Fujifilm Holdings Corp.      96,419  
  12,300       Konica Minolta Holdings, Inc.      143,979  
  7,998       Logitech International SA      117,251  
  84,000       NEC Corp.      254,452  
  727       Neopost      31,269  
  23,500       Ricoh Co., Ltd.      243,596  
  8,300       Seiko Epson Corp.      147,053  
  9,000       Toshiba Tec Corp.      48,620  
  6,800       Wacom Co., Ltd./Japan      24,681  
  873       Wincor Nixdorf AG      34,375  
     

 

 

 
        1,531,959  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.8%):

  

  2,364       Adidas AG      180,892  
  4,816       Burberry Group plc      119,026  
  381       Christian Dior SA      74,319  
  7,012       Compagnie Financiere Richemont SA, Registered Shares      571,729  
  1,059       Gerry Weber International AG      24,347  
  1,311       Gildan Activewear, Inc.      43,578  
  280,000       Global Brands Group Holdings, Ltd.*      58,747  
  121       Hermes International SA      45,107  
  1,437       Hugo Boss AG      160,532  
  1,307       Kering      233,109  
  88,358       Li & Fung, Ltd.      69,999  
  643       Luxottica Group SpA      42,778  
  1,520       LVMH Moet Hennessy Louis Vuitton SA      266,050  
  7,000       Onward Holdings Co., Ltd.      48,188  
  3,085       Pandora A/S      331,010  
  6,400       Prada SpA      30,800  
  1,139       Salvatore Ferragamo Italia SpA      34,185  
  27,600       Samsonite International SA      95,558  
  9,000       Seiko Holdings Corp.      45,565  
  28,000       Stella International Holdings, Ltd.      66,667  
  992       Swatch Group AG (The), Registered Shares      74,331  
  546       Swatch Group AG (The)      212,997  
  973       Ted Baker plc      44,551  
  36,000       Texwinca Holdings, Ltd.      38,076  
  404       Tod’s SpA      38,343  
  6,000       Wacoal Holdings Corp.      70,123  
  27,500       Yue Yuen Industrial Holdings, Ltd.      91,754  
     

 

 

 
        3,112,361  
     

 

 

 
 

 

Continued

 

18


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Thrifts & Mortgage Finance (0.1%):

  

  2,931       Aareal Bank AG    $ 115,034  
  998       Genworth MI Canada, Inc.      26,213  
     

 

 

 
        141,247  
     

 

 

 

 

Tobacco (0.5%):

  

  4,333       British American Tobacco plc, ADR      469,047  
  4,473       Imperial Tobacco Group plc      215,912  
  4,800       Japan Tobacco, Inc.      170,844  
  2,105       Swedish Match AB, Class B      59,828  
     

 

 

 
        915,631  
     

 

 

 

 

Trading Companies & Distributors (1.7%):

  

  2,637       Addtech AB      40,152  
  21,185       Ashtead Group plc      366,310  
  894       Baywa AG      30,293  
  378       Bossard Holding AG      43,634  
  5,890       Brammer plc      28,593  
  2,932       Brenntag AG      168,028  
  4,067       Bunzl plc      111,169  
  1,879       Cramo OYJ      36,223  
  6,511       Diploma plc      82,710  
  6,630       Finning International, Inc.      124,711  
  7,080       Grafton Group plc      86,257  
  11,000       Hanwa Co., Ltd.      51,713  
  1,200       Inaba Denki Sangyo Co., Ltd.      41,759  
  1,100       Indutrade AB^      50,585  
  11,200       ITOCHU Corp.      147,861  
  13,000       Iwatani Corp.      82,274  
  1,700       Kanamoto Co., Ltd.      43,065  
  24,000       Kanematsu Corp.      41,877  
  3,554       Kloeckner & Co. SE      32,131  
  22,100       Marubeni Corp.      126,635  
  5,100       Misumi Group, Inc.      72,331  
  9,800       Mitsubishi Corp.      215,232  
  12,100       Mitsui & Co., Ltd.      164,113  
  4,700       Nagase & Co., Ltd.      64,742  
  163,100       Noble Group, Ltd.      92,025  
  4,540       Ramirent OYJ      33,105  
  9,869       Rexel SA      159,316  
  224       Richelieu Hardware, Ltd.      11,270  
  1,801       Russel Metals, Inc.      32,781  
  26,046       SIG plc      81,961  
  41,600       Sojitz Corp.      100,881  
  8,100       Sumitomo Corp.      94,086  
  1,900       Toromont Industries, Ltd.      47,530  
  8,700       Toyota Tsushu Corp.      233,353  
  8,935       Travis Perkins plc      295,968  
  3,215       Wolseley plc      204,986  
     

 

 

 
        3,639,660  
     

 

 

 

 

Transportation Infrastructure (0.6%):

  

  4,320       Abertis Infraestructuras SA      70,772  
  384       Aeroports de Paris      43,360  
  4,450       Atlantia SpA      109,811  
  27,490       Auckland International Airport, Ltd.      91,832  
  17,210       BBA Aviation plc      81,496  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Transportation Infrastructure, continued

  

  192       Flughafen Zuerich AG    $ 148,358  
  1,200       Fraport AG      75,340  
  3,270       Groupe Eurotunnel SA      47,323  
  1,679       Hamburger Hafen- Und Logistik AG      33,971  
  129,000       Hutchison Port Holdings Trust      81,213  
  9,000       Kamigumi Co., Ltd.      84,347  
  5,000       Mitsubishi Logistics Corp.      65,655  
  20,665       Qube Holdings, Ltd.      37,134  
  15,500       SATS, Ltd.      42,476  
  3,463       SIAS SpA      36,951  
  8,000       Sumitomo Warehouse Co., Ltd. (The)      44,679  
  8,572       Sydney Airport      32,765  
  12,219       Transurban Group      87,182  
  1,114       Westshore Terminals Investment Corp.      27,127  
     

 

 

 
        1,241,792  
     

 

 

 

 

Water Utilities (0.2%):

  

  11,156       Pennon Group plc      141,975  
  4,217       Severn Trent plc      137,761  
  5,368       United Utilities Group plc      75,198  
     

 

 

 
        354,934  
     

 

 

 

 

Wireless Telecommunication Services (1.1%):

  

  3,844       Freenet AG      129,426  
  7,400       KDDI Corp.      177,991  
  13,000       M1, Ltd./Singapore      31,277  
  452       Millicom International Cellular SA, SDR      33,320  
  2,104       Mobistar SA*      39,845  
  23,100       NTT DoCoMo, Inc.      442,050  
  1,708       Rogers Communications, Inc., Class B      60,685  
  4,200       SoftBank Group Corp.      247,215  
  10,900       StarHub, Ltd.      31,930  
  12,183       Tele2 AB      141,495  
  182,837       Vodafone Group plc      666,613  
     

 

 

 
        2,001,847  
     

 

 

 

 

Total Common Stocks (Cost $188,892,395)

     182,144,109  
     

 

 

 

 

Preferred Stocks (0.5%):

  

 

Automobiles (0.5%):

  

  955       Bayerische Motoren Werke AG (BMW), Preferred Shares      80,808  
  1,528       Porsche Automobil Holding SE, Preferred Shares      128,669  
  3,007       Volkswagen AG, Preferred Shares      696,982  
     

 

 

 
        906,459  
     

 

 

 

 

Household Products (0.0%):

  

  630       Henkel AG & Co. KGaA, Preferred Shares      70,642  
     

 

 

 

 

Total Preferred Stocks (Cost $1,063,231)

     977,101  
     

 

 

 

 

Rights (0.0%):

  

 

Construction & Engineering (0.0%):

  

  8,050       Sacyr SA*      915  
     

 

 

 

 

Machinery (0.0%):

  

  3,584       Zardoya Otis SA*      1,562  
     

 

 

 

 

Metals & Mining (0.0%):

  

  5,689       Acerinox SA*      2,531  
     

 

 

 
 

 

Continued

 

19


AZL DFA International Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares or
Principal
Amount
           Fair Value  

 

Rights, continued

  

 

Oil Gas & Consumable Fuels (0.0%):

  

  14,231       Repsol SA*    $ 7,377  
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  10,906       Citycon OYJ*      1,197  
     

 

 

 

 

Total Rights (Cost $—)

     13,582  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (1.3%):

  

$ 2,463,761       Allianz Variable Insurance Products Securities Lending Collateral Trust(b)      2,463,761  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $2,463,761)

     2,463,761  
     

 

 

 
    
    
Shares
           Fair Value  

 

Unaffiliated Investment Company (0.1%):

  

  229,295       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c)      229,295  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $229,295)

     229,295  
     

 

 

 

 

Total Investment Securities (Cost $192,648,682)(d) — 100.7%

     185,827,848  

 

Net other assets (liabilities) — (0.7)%

     (1,234,195
     

 

 

 

 

Net Assets — 100.0%

   $ 184,593,653  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

GO—General Obligation

NYS—New York Shares

SDR—Swedish Depository Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $2,318,348.

 

(a) The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these 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, 2015.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Australia

     6.2

Austria

     0.4

Belgium

     1.6

Bermuda

     0.1

Cambodia

     %NM 

Canada

     7.0

Cayman Islands

     0.1

China

     0.1

Denmark

     1.7

Egypt

     %NM 

European Community

     %NM 

Finland

     1.6

France

     7.4

Georgia

     %NM 

Germany

     6.8

Gibraltar

     %NM 

Hong Kong

         2.7
Country    Percentage  

Ireland (Republic of)

     1.0

Isle of Man

     %NM 

Israel

     0.5

Italy

     2.5

Japan

     24.2

Luxembourg

     0.2

Malta

     %NM 

Netherlands

     2.9

New Zealand

     0.4

Norway

     0.5

Singapore

     0.9

Spain

     2.7

Sweden

     3.0

Switzerland

     7.1

United Kingdom

     16.8

United States

     1.6
  

 

 

 
     100.0
  

 

 

 
 

 

NM Not meaningful, amount is less than 0.05%.

 

See accompanying notes to the financial statements.

 

20


AZL DFA International Core Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 192,648,682  
    

 

 

 

Investment securities, at value*

     $ 185,827,848  

Cash

       3,528  

Interest and dividends receivable

       338,228  

Foreign currency, at value (cost $991,793)

       991,848  

Receivable for capital shares issued

       28,351  

Reclaims receivable

       59,611  
    

 

 

 

Total Assets

       187,249,414  
    

 

 

 

Liabilities:

    

Payable for collateral received on loaned securities

       2,463,761  

Manager fees payable

       116,555  

Administration fees payable

       6,126  

Distribution fees payable

       38,852  

Custodian fees payable

       26,059  

Administrative and compliance services fees payable

       188  

Trustee fees payable

       746  

Other accrued liabilities

       3,474  
    

 

 

 

Total Liabilities

       2,655,761  
    

 

 

 

Net Assets

     $ 184,593,653  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 190,154,726  

Accumulated net investment income/(loss)

       1,099,710  

Accumulated net realized gains/(losses) from investment transactions

       161,920  

Net unrealized appreciation/(depreciation) on investments

       (6,822,703 )
    

 

 

 

Net Assets

     $ 184,593,653  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       19,017,961  

Net Asset Value (offering and redemption price per share)

     $ 9.71  
    

 

 

 

 

* Includes securities on loan of $2,318,348.

Statement of Operations

For the Period Ended June 30, 2015 (a)

(Unaudited)

 

Investment Income:

    

Dividends

     $ 1,713,083  

Income from securities lending

       559  

Foreign withholding tax

       (221,720 )
    

 

 

 

Total Investment Income

       1,491,922  
    

 

 

 

Expenses:

    

Manager fees

       324,002  

Administration fees

       17,761  

Distribution fees

       85,263  

Custodian fees

       28,290  

Administrative and compliance services fees

       204  

Trustee fees

       1,065  

Professional fees

       982  

Shareholder reports

       2,555  

Other expenses

       302  
    

 

 

 

Total expenses before reductions

       460,424  

Less expenses voluntarily waived/reimbursed by the Manager

       (68,212 )
    

 

 

 

Net expenses

       392,212  
    

 

 

 

Net Investment Income/(Loss)

       1,099,710  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       161,920  

Change in net unrealized appreciation/depreciation on investments

       (6,822,703 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (6,660,783 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (5,561,073 )
    

 

 

 

 

(a) For the period April 27, 2015 (commencement of operations) to June 30, 2015.
 

 

See accompanying notes to the financial statements.

 

21


Statement of Changes in Net Assets

 

     AZL DFA International
Core Equity  Fund
     

April 27, 2015

to

June 30, 2015 (a)

     (Unaudited)

Change In Net Assets:

    

Operations:

    

Net investment income/(loss)

     $ 1,099,710  

Net realized gains/(losses) on investment transactions

       161,920  

Change in unrealized appreciation/depreciation on investments

       (6,822,703 )
    

 

 

 

Change in net assets resulting from operations

       (5,561,073 )
    

 

 

 

Capital Transactions:

    

Proceeds from shares issued

       197,016,055  

Value of shares redeemed

       (6,861,329 )
    

 

 

 

Change in net assets resulting from capital transactions

       190,154,726  
    

 

 

 

Change in net assets

       184,593,653  

Net Assets:

    

Beginning of period

        
    

 

 

 

End of period

     $ 184,593,653  
    

 

 

 

Accumulated net investment income/(loss)

     $ 1,099,710  
    

 

 

 

Share Transactions:

    

Shares issued

       19,701,914  

Shares redeemed

       (683,953 )
    

 

 

 

Change in shares

       19,017,961  
    

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

22


AZL DFA International Core Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

April 27, 2015
to

June 30, 2015 (a)

     (Unaudited)

Net Asset Value, Beginning of Period

     $ 10.00  
    

 

 

 

Investment Activities:

    

Net Investment Income/(Loss)

       0.06  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.35 )
    

 

 

 

Total from Investment Activities

       (0.29 )
    

 

 

 

Net Asset Value, End of Period

     $ 9.71  
    

 

 

 

Total Return(b)

       (2.90 )%(c)

Ratios to Average Net Assets/Supplemental Data:

    

Net Assets, End of Period (000’s)

     $ 184,594  

Net Investment Income/(Loss)(d)

       3.23 %

Expenses Before Reductions(d) (e)

       1.35 %

Expenses Net of Reductions(d)

       1.15 %

Portfolio Turnover Rate

       3 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

23


AZL DFA International Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

24


AZL DFA International Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $0.9 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $225 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL DFA International Core Equity Fund

         0.95 %          1.39 %

 

* The Manager voluntarily reduced the management fee to 0.75% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

 

25


AZL DFA International Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $146 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks

                    

Aerospace & Defense

       $ 113,980          $ 2,098,474          $ 2,212,454  

Auto Components

         258,104            4,462,137            4,720,241  

Banks

         3,474,891            15,825,328            19,300,219  

Beverages

         445,292            1,951,083            2,396,375  

Building Products

         30,887            1,876,028            1,906,915  

Capital Markets

         374,152            4,040,185            4,414,337  

Chemicals

         308,731            8,912,054            9,220,785  

 

26


AZL DFA International Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Total

Commercial Services & Supplies

       $ 175,846          $ 2,884,069          $ 3,059,915  

Communications Equipment

         34,248            513,804            548,052  

Construction & Engineering

         291,556            3,241,419            3,532,975  

Construction Materials

         195,335            1,484,762            1,680,097  

Containers & Packaging

         82,483            1,222,385            1,304,868  

Distributors

         13,943            180,897            194,840  

Diversified Consumer Services

         33,751            194,004            227,755  

Diversified Financial Services

         90,604            1,277,096            1,367,700  

Diversified Telecommunication Services

         84,909            4,469,830            4,554,739  

Electric Utilities

         43,316            2,169,974            2,213,290  

Electronic Equipment, Instruments & Components

         4,576            3,038,184            3,042,760  

Energy Equipment & Services

         341,424            1,227,014            1,568,438  

Food & Staples Retailing

         341,726            4,138,324            4,480,050  

Food Products

         699,506            4,228,945            4,928,451  

Gas Utilities

         43,409            643,298            686,707  

Health Care Providers & Services

         17,033            1,145,696            1,162,729  

Hotels, Restaurants & Leisure

         153,139            3,398,773            3,551,912  

Household Durables

         39,301            3,890,998            3,930,299  

Independent Power and Renewable Electricity Producers

         201,034            114,168            315,202  

Industrial Conglomerates

         37,757            1,800,437            1,838,194  

Insurance

         1,381,625            7,717,841            9,099,466  

IT Services

         78,176            1,520,665            1,598,841  

Life Sciences Tools & Services

         183,322            581,586            764,908  

Media

         581,808            4,068,100            4,649,908  

Metals & Mining

         2,306,443            5,670,455            7,976,898  

Multiline Retail

         189,436            1,234,373            1,423,809  

Multi-Utilities

         89,773            801,805            891,578  

Oil, Gas & Consumable Fuels

         4,078,977            4,052,969            8,131,946  

Paper & Forest Products

         127,801            1,016,620            1,144,421  

Pharmaceuticals

         1,087,150            4,991,123            6,078,273  

Professional Services

         33,790            2,005,424            2,039,214  

Real Estate Management & Development

         295,144            3,542,186            3,837,330  

Road & Rail

         511,327            2,613,886            3,125,213  

Semiconductors & Semiconductor Equipment

         316,411            1,001,597            1,318,008  

Software

         164,469            1,499,396            1,663,865  

Specialty Retail

         33,781            2,950,536            2,984,317  

Technology Hardware, Storage & Peripherals

         202,770            1,329,189            1,531,959  

Textiles, Apparel & Luxury Goods

         43,578            3,068,783            3,112,361  

Thrifts & Mortgage Finance

         26,213            115,034            141,247  

Tobacco

         469,047            446,584            915,631  

Trading Companies & Distributors

         216,292            3,423,368            3,639,660  

Transportation Infrastructure

         27,127            1,214,665            1,241,792  

Wireless Telecommunication Services

         60,685            1,941,162            2,001,847  

All Other Common Stocks+

                    24,471,318            24,471,318  

Preferred Stocks+

                    977,101            977,101  

Rights+

                    13,582            13,582  

Securities Held as Collateral for Securities on Loan

                    2,463,761            2,463,761  

Unaffiliated Investment Company

         229,295                       229,295  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 20,665,373          $ 165,162,475          $ 185,827,848  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 5,482,464          $ 6,270,503  

 

27


AZL DFA International Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $192,648,682. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 4,036,570  

Unrealized depreciation

    (10,857,404
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (6,820,834
 

 

 

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 20015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

28


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

29


Approval of Investment Advisory and Subadvisory Agreement (Unaudited)

The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 36 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.

In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.

The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.

In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.

As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.

The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.

The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.

The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.

The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.

At an “in-person” Board of Trustees meeting held June 11, 2014, the Board authorized the creation of five new series of the Trust, to be managed by Dimensional Fund Advisors LP: AZL DFA U.S. Core Equity Fund, AZL DFA U.S. Small Cap Fund, AZL DFA International Core Equity Fund, AZL DFA Emerging Markets Core Equity Fund, and AZL DFA Five-Year Global Fixed Income Fund (collectively, the “DFA Funds”). The Advisory and Subadvisory Agreements pertaining to the DFA Funds (collectively, the “Agreements”) were approved at the Board of Trustees meeting of June 11, 2014. (The Subadvisory Agreement is between the Manager and Dimensional Fund Advisors LP (“DFA”), the Subadviser to the DFA Funds.)

At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2016. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives to that of the DFA Funds, derived from data compiled by an independent third party provider and other sources believed to be reliable by the

 

30


Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the DFA Funds, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.

An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:

(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser.

The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.

The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.

The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the June 11, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the DFA Funds under the Agreements.

(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. In connection with the Board of Trustees meeting held June 11, 2014, the Manager reported that for funds managed by DFA with investment objectives and policies similar to those of the DFA Funds, for various periods ended March 31, 2014, such funds’ total returns compared favorably to each fund’s benchmark and respective peer group. At the Board of Trustees meeting held June 11, 2014, the Trustees determined that the overall investment performance of such funds was acceptable.

(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the DFA Funds are subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth management fees and total fees after taking expense caps into account. Based upon the information provided, the management fee payable by the DFA Funds to the Manager would range from the 5th percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 28th percentile (AZL DFA International Core Equity Fund). The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the DFA Funds is not unreasonable.

The Manager also supplied information to the Board of Trustees pertaining to total anticipated DFA Funds expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by each Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the DFA Funds ranged from the 1st percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 50th percentile (AZL DFA Emerging Markets Core Equity Fund).

The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the DFA Funds was not unreasonable.

At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. Subsequently, at an in-person meeting held on October 21, 2014, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2014. (The DFA Funds did not commence operations until April 27, 2015.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2015, the Trustees will receive information on the Manager’s level of profitability from its relationship with the DFA Funds.

The Manager, on behalf of the Board of Trustees, endeavors to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager is unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it, including DFA, were negotiated on an “arm’s length” basis, so that arguably, such profitability information should be less relevant. At the June 11, 2014 meeting, the Trustees were provided with certain financial information bearing on the profitability of

 

31


DFA; information regarding the profitability to DFA of the DFA Funds was not available because those Funds had not yet commenced operations. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization.

Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to DFA from being the Subadviser to the DFA Funds was excessive.

(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the DFA Funds does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the DFA Funds had no assets as of June 11, 2014.

The Trustees noted that the Manager has agreed temporarily to reduce the management fee of each DFA Fund and to “cap” DFA Fund expenses at certain levels, each of which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee reductions and expense “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2015, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.

Having taken these factors into account, the Trustees concluded at the June 11, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the DFA Funds was acceptable under the circumstances.

 

32


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® DFA U.S. Core Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 23

Statement of Operations

Page 23

Statement of Changes in Net Assets

Page 24

Financial Highlights

Page 25

Notes to the Financial Statements

Page 26

Other Information

Page 30

Approval of Investment Advisory and Subadvisory Agreement

Page 31

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL DFA U.S. Core Equity Fund

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 of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
4/27/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
4/27/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
4/27/15 - 6/30/15

AZL DFA U.S. Core Equity Fund

       $ 1,000.00          $ 980.00          $ 1.52            0.86 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15**
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL DFA U.S. Core Equity Fund

       $ 1,000.00          $ 1,020.53          $ 4.31            0.86 %

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of the days in the most recent fiscal half-year divided by the number of the days in fiscal year (to reflect one half-year period). Information shown reflects values using the expense ratios for the 65 days of operations during the period, and has been annualized to reflect values for the period April 27, 2015 to June 30, 2015.

 

** Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Information Technology

      18.2 %

Consumer Discretionary

      15.7  

Financials

      15.1  

Industrials

      13.5  

Health Care

      12.7  

Consumer Staples

      7.6  

Energy

      6.9  

Materials

      4.8  

Utilities

      3.1  

Telecommunication Services

      2.0  
   

 

 

 

Total Common Stocks

      99.6  

Right

      ^

Securities Held as Collateral for Securities on Loan

      7.5  

Money Market

      0.4  
   

 

 

 

Total Investment Securities

      107.5  

Net other assets (liabilities)

      (7.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (99.6%):

  

 

Aerospace & Defense (2.6%):

  

  1,674       AAR Corp.    $ 53,350  
  4,560       Aerojet Rocketdyne Holdings, Inc.*^      93,982  
  1,321       AeroVironment, Inc.*      34,452  
  418       American Science & Engineering, Inc.      18,313  
  931       Astronics Corp.*      65,999  
  3,020       BE Aerospace, Inc.      165,798  
  18,295       Boeing Co. (The)      2,537,881  
  1,002       Breeze-Eastern Corp.*      11,523  
  685       CPI Aerostructures, Inc.*      6,857  
  1,527       Cubic Corp.      72,655  
  3,375       Curtiss-Wright Corp.      244,485  
  5,683       DigitalGlobe, Inc.*      157,931  
  1,181       Engility Holdings, Inc.*      29,714  
  2,068       Esterline Technologies Corp.*      197,163  
  6,630       General Dynamics Corp.      939,405  
  2,423       HEICO Corp., Class A      123,016  
  1,641       HEICO Corp.^      95,670  
  6,300       Hexcel Corp.      313,362  
  16,546       Honeywell International, Inc.      1,687,196  
  2,439       Huntington Ingalls Industries, Inc.      274,607  
  3,993       KLX, Inc.*      176,211  
  4,471       Kratos Defense & Security Solutions, Inc.*      28,167  
  3,721       L-3 Communications Holdings, Inc.      421,887  
  1,019       LMI Aerospace, Inc.*^      10,200  
  7,202       Lockheed Martin Corp.      1,338,852  
  140       Moog, Inc., Class B*      9,771  
  2,746       Moog, Inc., Class A*      194,087  
  4,413       Northrop Grumman Corp.      700,034  
  4,794       Orbital Atk, Inc.      351,688  
  3,765       Precision Castparts Corp.      752,511  
  7,236       Raytheon Co.      692,340  
  5,248       Rockwell Collins, Inc.^      484,653  
  3,691       Spirit AeroSystems Holdings, Inc., Class A*      203,411  
  2,334       Teledyne Technologies, Inc.*      246,260  
  10,903       Textron, Inc.      486,601  
  1,412       TransDigm Group, Inc.*      317,234  
  3,379       Triumph Group, Inc.      222,980  
  20,178       United Technologies Corp.      2,238,345  
     

 

 

 
        15,998,591  
     

 

 

 

 

Air Freight & Logistics (0.8%):

  

  4,941       Air Transport Services Group, Inc.*      51,831  
  2,000       Atlas Air Worldwide Holdings, Inc.*      109,920  
  5,902       C.H. Robinson Worldwide, Inc.      368,226  
  1,026       Echo Global Logistics, Inc.*^      33,509  
  5,128       Expeditors International of Washington, Inc.      236,426  
  9,248       FedEx Corp.      1,575,859  
  1,779       Forward Air Corp.      92,971  
  2,393       Hub Group, Inc.*^      96,534  
  1,058       Park-Ohio Holdings Corp.      51,271  
  3,266       Radiant Logistics, Inc.*^      23,874  
  18,987       United Parcel Service, Inc., Class B      1,840,030  
  7,951       UTI Worldwide, Inc.*^      79,430  
  4,593       XPO Logistics, Inc.*      207,512  
     

 

 

 
        4,767,393  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Airlines (0.7%):

  

  7,723       Alaska Air Group, Inc.    $ 497,593  
  998       Allegiant Travel Co.      177,524  
  18,817       American Airlines Group, Inc.      751,457  
  2,516       Copa Holdings SA, Class A^      207,796  
  19,429       Delta Air Lines, Inc.      798,143  
  5,008       Hawaiian Holdings, Inc.*^      118,940  
  20,928       JetBlue Airways Corp.*^      434,465  
  15,984       Southwest Airlines Co.      528,911  
  5,511       Spirit Airlines, Inc.*      342,233  
  10,884       United Continental Holdings, Inc.*      576,961  
     

 

 

 
        4,434,023  
     

 

 

 

 

Auto Components (0.9%):

  

  4,688       American Axle & Manufacturing Holdings, Inc.*^      98,026  
  3,449       Autoliv, Inc.^      402,671  
  8,910       BorgWarner, Inc.      506,444  
  5,300       Cooper Tire & Rubber Co.      179,299  
  1,615       Cooper-Standard Holding, Inc.*^      99,274  
  15,676       Dana Holding Corp.      322,612  
  8,299       Delphi Automotive plc      706,162  
  1,483       Drew Industries, Inc.      86,044  
  6,922       Federal Mogul Holdings Corp.*      78,565  
  2,274       Fox Factory Holding Corp.*      36,566  
  1,458       Fuel Systems Solutions, Inc.*^      10,906  
  15,509       Gentex Corp.      254,658  
  2,720       Gentherm, Inc.*      149,355  
  21,106       Goodyear Tire & Rubber Co.      636,346  
  12,402       Johnson Controls, Inc.      614,271  
  3,653       Lear Corp.      410,086  
  3,637       Modine Manufacturing Co.*      39,025  
  1,190       Motorcar Parts of America, Inc.*      35,807  
  2,420       Remy International, Inc.      53,506  
  2,574       Spartan Motors, Inc.^      11,789  
  1,736       Standard Motor Products, Inc.      60,968  
  1,582       Stoneridge, Inc.*      18,525  
  275       Strattec Security Corp.      18,893  
  3,446       Tenneco, Inc.*      197,938  
  1,187       Tower International, Inc.*      30,921  
  4,052       Visteon Corp.*      425,379  
     

 

 

 
        5,484,036  
     

 

 

 

 

Automobiles (0.6%):

  

  123,486       Ford Motor Co.      1,853,524  
  36,273       General Motors Co.      1,208,979  
  7,133       Harley-Davidson, Inc.      401,945  
  597       Tesla Motors, Inc.*      160,151  
  3,270       Thor Industries, Inc.      184,036  
  1,652       Winnebago Industries, Inc.^      38,971  
     

 

 

 
        3,847,606  
     

 

 

 

 

Banks (6.2%):

  

  913       1st Constitution Bancorp*      10,490  
  1,873       1st Source Corp.      63,907  
  691       Access National Corp.      13,433  
  504       ACNB Corp.^      10,488  
  661       American National Bankshares, Inc.      15,738  
  587       American River Bankshares*      5,471  
 

 

Continued

 

2


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  2,147       Ameris Bancorp    $ 54,298  
  704       Ames National Corp.^      17,670  
  840       Arrow Financial Corp.      22,705  
  9,304       Associated Banc-Corp.^      188,592  
  1,178       BancFirst Corp.      77,100  
  7,916       BancorpSouth, Inc.      203,916  
  198,718       Bank of America Corp.      3,382,179  
  1,799       Bank of Commerce Holdings      10,308  
  2,907       Bank of Hawaii Corp.^      193,839  
  451       Bank of Marin Bancorp      22,942  
  3,947       Bank of the Ozarks, Inc.^      180,575  
  6,397       BankUnited, Inc.      229,844  
  1,432       Banner Corp.      68,636  
  459       Bar Harbor Bankshares      16,262  
  826       Baylake Corp.      10,449  
  13,940       BB&T Corp.      561,921  
  6,899       BBCN Bancorp, Inc.      102,036  
  842       BCB Bancorp, Inc.      10,289  
  2,507       Berkshire Hills Bancorp, Inc.      71,399  
  1,852       BNC Bancorp      35,799  
  3,062       BOK Financial Corp.^      213,054  
  7,445       Boston Private Financial Holdings, Inc.      99,837  
  668       Bridge Bancorp, Inc.      17,829  
  1,162       Bryn Mawr Bank Corp.      35,046  
  689       BSB Bancorp, Inc.*      15,234  
  74       C&F Financial Corp.      2,742  
  562       Camden National Corp.      21,749  
  2,300       Capital Bank Financial Corp.*      66,861  
  1,309       Capital City Bank Group, Inc.^      19,988  
  1,814       Cardinal Financial Corp.      39,527  
  5,492       Cascade Bancorp*      28,449  
  6,541       Cathay General Bancorp      212,255  
  3,426       Centerstate Banks, Inc.      46,285  
  3,302       Central Pacific Financial Corp.      78,423  
  933       Central Valley Community Bancorp      11,037  
  273       Century Bancorp, Inc.      11,100  
  2,492       Chemical Financial Corp.      82,386  
  377       Chemung Financial Corp.      9,983  
  4,961       CIT Group, Inc.      230,637  
  57,459       Citigroup, Inc.      3,174,035  
  943       Citizens & Northern Corp.^      19,379  
  552       Citizens Holding Co.      11,471  
  1,304       City Holding Co.^      64,222  
  938       Civista Bancshares, Inc.      10,130  
  1,096       CNB Financial Corp.      20,166  
  3,178       CoBiz Financial, Inc.      41,536  
  69       Codorus Valley Bancorp, Inc.      1,396  
  56       Colony Bankcorp, Inc.*      504  
  4,847       Columbia Banking System, Inc.      157,721  
  5,001       Comerica, Inc.      256,651  
  6,795       Commerce Bancshares, Inc.^      317,802  
  368       Community Bank shares of Indiana, Inc.      10,072  
  3,075       Community Bank System, Inc.^      116,143  
  2,277       Community Bankers Trust Corp.*      11,317  
  1,325       Community Trust Bancorp, Inc.      46,203  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  1,798       CommunityOne Bancorp*^    $ 19,364  
  2,266       ConnectOne Bancorp, Inc.      48,787  
  1,273       CU Bancorp*      28,210  
  3,565       Cullen/Frost Bankers, Inc.^      280,138  
  2,643       Customers Bancorp, Inc.*      71,070  
  6,990       CVB Financial Corp.^      123,094  
  408       DNB Financial Corp.      10,339  
  1,882       Eagle Bancorp, Inc.*      82,733  
  8,775       East West Bancorp, Inc.      393,296  
  1,692       Eastern Virginia Bankshares, Inc.      10,677  
  1,529       Enterprise Financial Services Corp.      34,815  
  312       Evans Bancorp, Inc.      7,566  
  14,308       F.N.B. Corp.      204,891  
  569       Farmers Capital Bank Corp.*      16,177  
  1,329       Farmers National Banc Corp.^      10,964  
  1,636       Fidelity Southern Corp.      28,532  
  34,213       Fifth Third Bancorp      712,315  
  1,053       Financial Institutions, Inc.      26,157  
  1,497       First Bancorp      24,970  
  16,004       First Bancorp*      77,139  
  814       First Bancorp, Inc.^      15,824  
  6,605       First Busey Corp.      43,395  
  332       First Business Financial Services, Inc.      15,564  
  633       First Citizens BancShares, Inc., Class A^      166,504  
  1,419       First Community Bankshares      25,854  
  1,217       First Connecticut Bancorp, Inc.      19,314  
  4,645       First Financial Bancorp      83,331  
  967       First Financial Corp.      34,580  
  14,360       First Horizon National Corp.^      225,021  
  1,650       First Interstate BancSystem^      45,771  
  2,874       First Merchants Corp.      70,988  
  5,901       First Midwest Bancorp, Inc.      111,942  
  1,043       First NBC Bank Holding Co.*      37,548  
  21,539       First Niagara Financial Group, Inc.      203,328  
  5,994       First Republic Bank      377,802  
  1,283       First South Bancorp      10,136  
  10,120       FirstMerit Corp.^      210,800  
  2,253       Flushing Financial Corp.      47,336  
  14,664       Fulton Financial Corp.      191,512  
  877       German American Bancorp, Inc.^      25,828  
  4,261       Glacier Bancorp, Inc.      125,359  
  1,035       Great Southern Bancorp, Inc.      43,615  
  1,174       Guaranty Bancorp      19,383  
  6,125       Hancock Holding Co.^      195,449  
  2,408       Hanmi Financial Corp.      59,815  
  37       Hawthorn Bancshares, Inc.      536  
  1,375       Heartland Financial USA, Inc.      51,178  
  2,292       Heritage Financial Corp.      40,958  
  2,568       Heritage Oaks Bancorp      20,210  
  2,010       Hertiage Commerce Corp.      19,316  
  7,010       Hilltop Holdings, Inc.*      168,871  
  4,464       Home Bancshares, Inc.      163,204  
  1,540       Hometrust Bancshares, Inc.*      25,810  
  700       Horizon Bancorp      17,472  
 

 

Continued

 

3


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  36,469       Huntington Bancshares, Inc.    $ 412,464  
  3,185       IBERIABANK Corp.      217,313  
  1,483       Independent Bank Corp.      69,538  
  1,288       Independent Bank Group, Inc.^      55,255  
  5,028       International Bancshares Corp.      135,102  
  20,845       Investors Bancorp, Inc.      256,394  
  70,758       JPMorgan Chase & Co.      4,794,561  
  23,078       KeyCorp      346,632  
  2,859       Lakeland Bancorp, Inc.      33,994  
  1,104       Lakeland Financial Corp.      47,880  
  396       Landmark Bancorp, Inc.      9,607  
  712       LCNB Corp.      11,538  
  2,565       LegacyTexas Financial Group, Inc.      77,463  
  3,751       M&T Bank Corp.      468,612  
  2,571       Macatawa Bank Corp.      13,626  
  918       Mackinac Financial Corp.^      9,667  
  1,644       Mainsource Financial Group, Inc.      36,086  
  5,783       MB Financial, Inc.      199,167  
  1,869       MBT Financial Corp.*      10,728  
  1,293       Mercantile Bank Corp.      27,683  
  471       Merchants Bancshares, Inc.      15,576  
  555       Middleburg Financial Corp.      9,990  
  638       MidWestone Financial Group, Inc.      21,003  
  825       Monarch Financial Holdings, Inc.      10,354  
  570       MutualFirst Financial, Inc.      13,241  
  2,758       National Bank Holdings Corp.      57,449  
  514       National Bankshares, Inc.^      15,040  
  10,583       National Penn Bancshares, Inc.      119,376  
  3,330       NBT Bancorp, Inc.^      87,146  
  2,744       Newbridge Bancorp      24,504  
  1,094       Northeast Bancorp      10,885  
  510       Northrim Bancorp, Inc.^      13,071  
  341       Norwood Financial Corp.^      9,998  
  3,309       OFG Bancorp^      35,307  
  440       Ohio Valley Banc Corp.      9,957  
  819       Old Line Bancshares, Inc.      13,014  
  8,828       Old National Bancorp^      127,653  
  676       Old Point Financial Corp.      10,566  
  2,225       Old Second Bancorp, Inc.*      14,685  
  638       Orrstown Financial Services, Inc.      10,323  
  1,339       Pacific Continental Corp.      18,117  
  1,205       Pacific Mercantile Bancorp*      9,146  
  1,234       Pacific Premier Bancorp, Inc.*      20,929  
  5,617       PacWest Bancorp      262,651  
  757       Palmetto Bancshares, Inc.^      14,966  
  3,377       Park Sterling Corp.      24,314  
  816       Parke Bancorp, Inc.      10,469  
  1,165       Peapack-Gladstone Financial Corp.      25,886  
  364       Penns Woods Bancorp, Inc.      16,049  
  553       Peoples Bancorp      10,142  
  1,361       Peoples Bancorp, Inc.      31,766  
  18,826       People’s United Financial, Inc.^      305,169  
  2,028       Pinnacle Financial Partners, Inc.      110,262  
  11,136       PNC Financial Services Group, Inc.      1,065,158  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  6,383       Popular, Inc.*    $ 184,214  
  878       Preferred Bank Los Angeles      26,384  
  689       Premier Financial Bancorp, Inc.      10,645  
  5,202       PrivateBancorp, Inc.      207,144  
  3,966       Prosperity Bancshares, Inc.      228,997  
  606       QCR Holdings, Inc.      13,187  
  37,339       Regions Financial Corp.      386,832  
  2,391       Renasant Co.^      77,947  
  1,417       Republic Bancorp, Inc.      36,417  
  2,622       S & T Bancorp, Inc.      77,585  
  348       Salisbury Bancorp, Inc.      10,858  
  1,898       Sandy Spring Bancorp, Inc.      53,106  
  1,879       Seacoast Banking Corp.*      29,688  
  1,252       Select Bancorp, Inc.*      8,889  
  1,113       Shore Bancshares, Inc.*      10,496  
  1,028       Sierra Bancorp      17,795  
  1,267       Signature Bank*      185,476  
  1,703       Simmons First National Corp., Class A      79,496  
  1,569       South State Corp.^      119,228  
  583       Southern First Bancshares, Inc.*      10,436  
  935       Southern National Bancorp      10,360  
  1,447       Southwest Bancorp      26,929  
  2,709       State Bank Financial Corp.      58,785  
  6,781       Sterling Bancorp      99,681  
  955       Stock Yards Bancorp, Inc.^      36,089  
  884       Suffolk Bancorp      22,683  
  557       Summit Financial Group, Inc.      6,244  
  1,426       Sun Bancorp, Inc.*      27,451  
  10,469       SunTrust Banks, Inc.      450,376  
  2,891       SVB Financial Group*      416,246  
  8,266       Synovus Financial Corp.      254,758  
  2,000       Talmer Bancorp, Inc., Class A      33,500  
  13,618       TCF Financial Corp.      226,195  
  3,015       Texas Capital Bancshares, Inc.*      187,654  
  2,831       The Bancorp, Inc.*      26,272  
  611       The First Bancshares, Inc.      10,173  
  1,049       The First of Long Island Corp.      29,078  
  1,121       Tompkins Financial Corp.      60,220  
  3,917       TowneBank^      63,808  
  1,726       TriCo Bancshares      41,510  
  2,154       Tristate Capital Holdings, Inc.*^      27,851  
  5,128       Trustmark Corp.^      128,097  
  94       Two River Bancorp      859  
  34,152       U.S. Bancorp      1,482,197  
  3,455       UMB Financial Corp.^      197,004  
  13,520       Umpqua Holdings Corp.^      243,225  
  3,371       Union Bankshares Corp.^      78,342  
  384       Union Bankshares, Inc.^      10,034  
  5,619       United Bankshares, Inc.      226,052  
  1,102       United Security Bancshares*^      5,554  
  38       Unity Bancorp, Inc.      372  
  1,521       Univest Corp.      30,968  
  17,576       Valley National Bancorp^      181,209  
  1,113       Washington Trust Bancorp      43,941  
 

 

Continued

 

4


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  622       WashingtonFirst Bankshare, Inc.    $ 10,456  
  5,614       Webster Financial Corp.      222,034  
  93,620       Wells Fargo & Co.      5,265,188  
  2,903       WesBanco, Inc.^      98,760  
  1,062       West Bancorp      21,070  
  1,687       Westamerica Bancorp^      85,447  
  3,990       Western Alliance Bancorp*      134,702  
  5,952       Wilshire Bancorp, Inc.      75,174  
  3,976       Wintrust Financial Corp.      212,239  
  190       Xenith Bankshares, Inc.*      1,142  
  2,344       Yadkin Financial Corp.*      49,107  
  5,989       Zions Bancorp      190,061  
     

 

 

 
        38,877,633  
     

 

 

 

 

Beverages (1.6%):

  

  466       Boston Beer Co., Inc. (The), Class A*      108,107  
  2,734       Brown-Forman Corp., Class B      273,892  
  840       Brown-Forman Corp., Class A^      93,593  
  545       Coca-Cola Bottling Co. Consolidated^      82,333  
  91,177       Coca-Cola Co. (The)      3,576,874  
  9,466       Coca-Cola Enterprises, Inc.      411,203  
  2,448       Constellation Brands, Inc., Class A      284,017  
  6,432       Dr Pepper Snapple Group, Inc.      468,893  
  1,327       MGP Ingredients, Inc.      22,320  
  4,461       Molson Coors Brewing Co., Class B      311,422  
  4,112       Monster Beverage Corp.*      551,090  
  2,018       National Beverage Corp.*      45,385  
  39,574       PepsiCo, Inc.      3,693,838  
     

 

 

 
        9,922,967  
     

 

 

 

 

Biotechnology (2.6%):

  

  1,911       Acadia Pharmaceuticals, Inc.*^      80,033  
  734       Agios Pharmaceuticals, Inc.*^      81,577  
  3,079       Alexion Pharmaceuticals, Inc.*      556,508  
  1,675       Alkermes plc*      107,770  
  1,138       Alnylam Pharmaceuticals, Inc.*      136,412  
  13,648       Amgen, Inc.      2,095,241  
  5,547       Biogen Idec, Inc.*      2,240,655  
  2,117       BioMarin Pharmaceutical, Inc.*      289,563  
  271       Biospecifics Technologies Corp.*      13,984  
  4,351       Biota Pharmaceuticals, Inc.*      9,007  
  813       Bluebird Bio, Inc.*^      136,885  
  17,875       Celgene Corp.*      2,068,763  
  1,376       Cepheid, Inc.*^      84,142  
  2,582       Dyax Corp.*      68,423  
  2,168       Emergent Biosolutions, Inc.*      71,436  
  1,701       Enanta Pharmaceuticals, Inc.*^      76,528  
  39,338       Gilead Sciences, Inc.      4,605,693  
  4,915       Incyte Corp.*      512,192  
  327       Intercept Pharmaceuticals, Inc.*      78,931  
  1,779       Intrexon Corp.^      86,815  
  1,582       Isis Pharmaceuticals, Inc.*^      91,044  
  1,126       Ligand Pharmaceuticals, Inc., Class B*^      113,613  
  3,111       Medivation, Inc.*      355,276  
  1,599       Neurocrine Biosciences, Inc.*      76,368  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Biotechnology, continued

  

  12,904       OPKO Health, Inc.*^    $ 207,496  
  432       Puma Biotechnology, Inc.*^      50,436  
  611       Receptos, Inc.*      116,121  
  1,498       Regeneron Pharmaceuticals, Inc.*      764,175  
  2,380       Seattle Genetics, Inc.*^      115,192  
  4,436       Targacept, Inc.*      12,376  
  2,907       Tenax Therapeutics, Inc.*      10,727  
  1,549       United Therapeutics Corp.*      269,449  
  1,986       Vertex Pharmaceuticals, Inc.*      245,231  
  289       ZIOPHARM Oncology, Inc.*^      3,463  
     

 

 

 
        15,831,525  
     

 

 

 

 

Building Products (0.4%):

  

  4,957       A.O. Smith Corp.      356,805  
  3,058       AAON, Inc.      68,866  
  1,273       American Woodmark Corp.*      69,824  
  1,604       Apogee Enterprises, Inc.      84,435  
  3,557       Armstrong World Industries, Inc.*      189,517  
  5,631       Builders FirstSource, Inc.*^      72,302  
  521       Continental Building Products, Inc.*      11,040  
  4,496       Fortune Brands Home & Security, Inc.      206,007  
  708       Gibraltar Industries, Inc.*      14,422  
  1,209       Insteel Industries, Inc.      22,608  
  2,494       Lennox International, Inc.      268,579  
  13,672       Masco Corp.      364,633  
  3,362       NCI Building Systems, Inc.*      50,665  
  933       Nortek, Inc.*      77,560  
  8,468       Owens Corning, Inc.      349,305  
  1,426       Patrick Industries, Inc.*      54,259  
  3,615       PGT, Inc.*      52,454  
  3,674       Ply Gem Holdings, Inc.*^      43,316  
  1,925       Quanex Building Products Corp.      41,253  
  2,822       Simpson Manufacturing Co., Inc.      95,948  
  1,844       Trex Co., Inc.*^      91,149  
  5,393       USG Corp.*^      149,871  
     

 

 

 
        2,734,818  
     

 

 

 

 

Capital Markets (2.1%):

  

  1,653       Affiliated Managers Group, Inc.*      361,346  
  3,326       Ameriprise Financial, Inc.      415,517  
  2,502       Artisan Partners Asset Management, Inc.      116,243  
  21,817       Bank of New York Mellon Corp. (The)      915,659  
  2,198       BlackRock, Inc., Class A      760,464  
  15,655       Charles Schwab Corp. (The)      511,136  
  190       Diamond Hill Investment Group      37,935  
  8,642       E*TRADE Financial Corp.*      258,828  
  6,689       Eaton Vance Corp.      261,741  
  6,954       Federated Investors, Inc., Class B^      232,889  
  7,698       Franklin Resources, Inc.      377,433  
  388       GAMCO Investors, Inc., Class A      26,659  
  9,362       Goldman Sachs Group, Inc. (The)      1,954,691  
  1,743       Greenhill & Co., Inc.      72,038  
  302       Hennessy Advisors, Inc.      5,693  
  2,119       HFF, Inc., Class A      88,426  
  5,199       Interactive Brokers Group, Inc., Class A      216,070  
  1,643       INTL FCStone, Inc.*      54,613  
 

 

Continued

 

5


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Capital Markets, continued

  

  11,615       Invesco, Ltd.    $ 435,446  
  2,572       Investment Technology Group, Inc.      63,786  
  10,661       Janus Capital Group, Inc.^      182,516  
  8,977       KCG Holdings, Inc.*^      110,686  
  10,552       Ladenburg Thalmann Financial Services, Inc.*^      36,932  
  6,335       Legg Mason, Inc.      326,443  
  7,804       LPL Financial Holdings, Inc.^      362,808  
  28,031       Morgan Stanley      1,087,322  
  9,712       Northern Trust Corp.      742,580  
  3,638       NorthStar Asset Management Group, Inc.      67,267  
  1,024       Oppenheimer Holdings, Class A      26,911  
  1,113       Pzena Investment Management, Inc.      12,299  
  6,074       Raymond James Financial, Inc.      361,889  
  1,544       Safeguard Scientifics, Inc.*      30,046  
  4,367       SEI Investments Co.      214,114  
  660       Silvercrest Asset Management Group, Inc., Class A^      9,280  
  5,822       State Street Corp.      448,294  
  4,214       Stifel Financial Corp.*      243,316  
  6,198       T. Rowe Price Group, Inc.      481,771  
  5,347       TD Ameritrade Holding Corp.      196,877  
  7,585       Waddell & Reed Financial, Inc., Class A      358,846  
  631       Westwood Holdings, Inc.      37,589  
  6,557       WisdomTree Investments, Inc.^      144,025  
     

 

 

 
        12,648,424  
     

 

 

 

 

Chemicals (2.9%):

  

  2,215       A. Schulman, Inc.      96,840  
  4,079       Air Products & Chemicals, Inc.      558,130  
  4,616       Airgas, Inc.      488,280  
  1,170       Albemarle Corp.      64,666  
  2,318       American Vanguard Corp.^      31,988  
  1,970       Ashland, Inc.      240,143  
  4,053       Axiall Corp.      146,111  
  1,435       Balchem Corp.      79,958  
  5,058       Cabot Corp.      188,613  
  4,019       Calgon Carbon Corp.      77,888  
  6,123       Celanese Corp., Series A      440,121  
  15,470       CF Industries Holdings, Inc.      994,411  
  691       Chase Corp.^      27,467  
  6,548       Chemtura Corp.*      185,374  
  578       Core Molding Technologies, Inc.*      13,202  
  4,606       Cytec Industries, Inc.      278,801  
  27,128       Dow Chemical Co. (The)      1,388,139  
  20,167       E.I. du Pont de Nemours & Co.      1,289,679  
  8,309       Eastman Chemical Co.      679,842  
  6,340       Ecolab, Inc.      716,864  
  4,423       FMC Corp.      232,429  
  3,222       Futurefuel Corp.      41,467  
  2,893       H.B. Fuller Co.      117,514  
  702       Hawkins, Inc.      28,354  
  20,298       Huntsman Corp.      447,977  
  1,620       Innophos Holdings, Inc.      85,277  
  1,833       Innospec, Inc.      82,558  
  2,701       International Flavor & Fragrances, Inc.      295,192  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  

  743       KMG Chemicals, Inc.    $ 18,902  
  2,348       Kraton Performance Polymers, Inc.*      56,070  
  4,741       Kronos Worldwide, Inc.^      51,961  
  1,233       LSB Industries, Inc.*      50,356  
  11,476       LyondellBasell Industries NV, Class A      1,187,996  
  2,350       Minerals Technologies, Inc.      160,106  
  11,117       Monsanto Co.      1,184,960  
  15,602       Mosaic Co. (The)      730,954  
  703       NewMarket Corp.      312,055  
  5,884       Olin Corp.^      158,574  
  3,546       Omnova Solutions, Inc.*      26,560  
  5,797       Platform Speciality Products Corp.*      148,287  
  6,775       PolyOne Corp.      265,377  
  6,290       PPG Industries, Inc.      721,589  
  7,814       Praxair, Inc.      934,164  
  906       Quaker Chemical Corp.      80,489  
  4,461       RPM International, Inc.      218,455  
  3,461       Scotts Miracle-Gro Co. (The)      204,926  
  1,417       Sensient Technologies Corp.      96,838  
  2,307       Sherwin Williams Co.      634,471  
  1,689       Stepan Co.      91,392  
  1,627       Trecora Resources*^      24,568  
  4,906       Tronox, Ltd., Class A      71,775  
  3,240       Valspar Corp. (The)^      265,097  
  2,909       W.R. Grace & Co.*      291,773  
  3,468       Westlake Chemical Corp.      237,870  
     

 

 

 
        17,542,850  
     

 

 

 

 

Commercial Services & Supplies (1.2%):

  

  3,737       ABM Industries, Inc.      122,835  
  10,293       ACCO Brands Corp.*      79,977  
  14,927       ADT Corp. (The)^      501,099  
  4,271       ARC Document Solutions, Inc.*      32,502  
  2,727       Brady Corp., Class A^      67,466  
  1,886       Casella Waste Systems, Inc.*      10,580  
  2,003       CECO Environmental Corp.      22,694  
  3,896       Cintas Corp.      329,563  
  4,474       Clean Harbors, Inc.*^      240,433  
  8,112       Copart, Inc.*      287,814  
  7,746       Covanta Holding Corp.      164,138  
  4,117       Deluxe Corp.      255,254  
  1,220       G&K Services, Inc., Class A      84,351  
  4,520       Herman Miller, Inc.      130,764  
  2,671       HNI Corp.^      136,622  
  4,002       Interface, Inc.      100,250  
  8,571       KAR Auction Services, Inc.      320,555  
  2,829       Kimball International, Inc., Class B      34,401  
  3,654       Knoll, Inc.      91,460  
  1,875       Matthews International Corp., Class A      99,638  
  2,011       McGrath Rentcorp      61,195  
  2,641       Mobile Mini, Inc.      111,028  
  2,304       MSA Safety, Inc.      111,767  
  1,003       Multi-Color Corp.      64,072  
  1,552       NL Industries, Inc.*^      11,500  
  11,428       Pitney Bowes, Inc.      237,817  
 

 

Continued

 

6


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Commercial Services & Supplies, continued

  

  2,606       Quad Graphics, Inc.    $ 48,237  
  11,336       R.R. Donnelley & Sons Co.      197,586  
  17,116       Republic Services, Inc., Class A      670,433  
  12,227       Rollins, Inc.      348,836  
  1,467       SP Plus Corp.*      38,303  
  5,403       Steelcase, Inc., Class A      102,171  
  2,252       Stericycle, Inc.*      301,565  
  1,572       Team, Inc.*      63,273  
  4,683       Tetra Tech, Inc.      120,072  
  3,409       The Brink’s Co.      100,327  
  2,299       Trc Companies, Inc.*      23,335  
  7,765       Tyco International plc      298,797  
  1,022       UniFirst Corp.      114,311  
  1,309       US Ecology, Inc.^      63,774  
  9,952       Waste Connections, Inc.      468,938  
  11,930       Waste Management, Inc.      552,955  
  5,156       West Corp.      155,196  
     

 

 

 
        7,377,884  
     

 

 

 

 

Communications Equipment (1.3%):

  

  3,394       ADTRAN, Inc.      55,153  
  1,072       Alliance Fiber Optic Products, Inc.^      19,886  
  12,243       Arris Group, Inc.*      374,636  
  29,104       Brocade Communications Systems, Inc.      345,756  
  1,318       CalAmp Corp.*^      24,067  
  3,965       Calix, Inc.*      30,174  
  7,195       Ciena Corp.*^      170,378  
  105,076       Cisco Systems, Inc.      2,885,386  
  15,261       CommScope Holding Co., Inc.*      465,612  
  316       Communications Systems, Inc.      3,321  
  2,952       EchoStar Corp., Class A*      143,703  
  2,442       EMCORE Corp.*      14,701  
  2,366       F5 Networks, Inc.*      284,748  
  5,961       Finisar Corp.*^      106,523  
  7,060       Harmonic, Inc.*      48,220  
  4,123       Harris Corp.      317,100  
  2,791       InterDigital, Inc.^      158,780  
  4,483       Ixia*      55,769  
  11,482       Juniper Networks, Inc.      298,188  
  909       KVH Industries, Inc.*      12,226  
  2,200       Motorola Solutions, Inc.      126,148  
  2,590       NETGEAR, Inc.*      77,752  
  1,082       Numerex Corp., Class A*^      9,240  
  1,097       Palo Alto Networks, Inc.*^      191,646  
  1,949       Plantronics, Inc.      109,748  
  7,530       Polycom, Inc.*      86,143  
  21,754       QUALCOMM, Inc.      1,362,452  
  2,608       Ruckus Wireless, Inc.*^      26,967  
  2,186       ViaSat, Inc.*^      131,728  
     

 

 

 
        7,936,151  
     

 

 

 

 

Construction & Engineering (0.5%):

  

  8,556       Aecom Technology Corp.*^      283,032  
  800       Aegion Corp.*      15,152  
  2,172       Ameresco, Inc., Class A*^      16,616  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Construction & Engineering, continued

  

  1,245       Argan, Inc.    $ 50,211  
  9,571       Chicago Bridge & Iron Co. NV^      478,933  
  3,167       Comfort Systems USA, Inc.      72,683  
  2,560       Dycom Industries, Inc.*^      150,656  
  4,493       Emcor Group, Inc.      214,631  
  6,962       Fluor Corp.      369,056  
  2,615       Furmanite Corp.*      21,234  
  2,241       Granite Construction, Inc.      79,578  
  1,221       Integrated Electrical Services, Inc.*      8,669  
  7,332       Jacobs Engineering Group, Inc.*^      297,826  
  8,113       KBR, Inc.      158,041  
  1,578       MYR Group, Inc.*      48,855  
  574       NV5 Holdings, Inc.*      13,925  
  2,101       Orion Marine Group, Inc.*      15,169  
  11,687       Quanta Services, Inc.*      336,819  
     

 

 

 
        2,631,086  
     

 

 

 

 

Construction Materials (0.2%):

  

  3,233       Eagle Materials, Inc.      246,775  
  4,198       Headwaters, Inc.*      76,488  
  1,929       Martin Marietta Materials, Inc.^      272,973  
  353       U.S. Lime & Minerals, Inc.      20,516  
  1,308       US Concrete, Inc.*      49,560  
  3,797       Vulcan Materials Co.      318,682  
     

 

 

 
        984,994  
     

 

 

 

 

Consumer Finance (0.9%):

  

  21,738       American Express Co.      1,689,477  
  1,222       Asta Funding, Inc.*      10,240  
  12,087       Capital One Financial Corp.      1,063,293  
  2,740       Cash America International, Inc.      71,761  
  1,912       Consumer Portfolio Services, Inc.*^      11,950  
  1,440       Credit Acceptance Corp.*^      354,499  
  15,168       Discover Financial Services      873,980  
  1,968       Encore Capital Group, Inc.*^      84,112  
  3,948       EZCORP, Inc., Class A*      29,334  
  1,750       First Cash Financial Services, Inc.*      79,783  
  28,462       Navient Corp.      518,293  
  2,628       Nelnet, Inc.      113,819  
  750       Nicholas Financial, Inc.*      9,540  
  3,452       PRA Group, Inc.*^      215,094  
  960       Regional Mgmt Corp.*      17,146  
  3,911       Santander Consumer USA Holdings, Inc.*      100,004  
  25,434       SLM Corp.*      251,034  
  4,946       Springleaf Holdings, Inc.*      227,071  
     

 

 

 
        5,720,430  
     

 

 

 

 

Containers & Packaging (0.8%):

  

  480       AEP Industries, Inc.*      26,496  
  5,032       AptarGroup, Inc.      320,891  
  8,497       Avery Dennison Corp.      517,807  
  5,487       Ball Corp.      384,913  
  8,105       Bemis Co., Inc.      364,806  
  4,924       Berry Plastics Group, Inc.*      159,538  
  3,728       Crown Holdings, Inc.*      197,248  
 

 

Continued

 

7


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Containers & Packaging, continued

  

  31,666       Graphic Packaging Holding Co.    $ 441,107  
  1,310       Greif, Inc., Class B^      53,055  
  1,930       Greif, Inc., Class A^      69,191  
  2,608       Myers Industries, Inc.      49,552  
  14,800       Owens-Illinois, Inc.*      339,512  
  5,763       Packaging Corp. of America      360,130  
  8,366       Rock-Tenn Co., Class A      503,633  
  8,276       Sealed Air Corp.      425,221  
  5,736       Silgan Holdings, Inc.^      302,631  
  8,155       Sonoco Products Co.      349,523  
  538       UFP Technologies, Inc.*^      11,255  
     

 

 

 
        4,876,509  
     

 

 

 

 

Distributors (0.2%):

  

  1,561       Core Markt Holdngs Co., Inc.      92,489  
  5,041       Genuine Parts Co.      451,322  
  12,475       LKQ Corp.*      377,306  
  2,491       Pool Corp.      174,818  
  1,621       VOXX International Corp.*      13,422  
  811       Weyco Group, Inc.^      24,184  
     

 

 

 
        1,133,541  
     

 

 

 

 

Diversified Consumer Services (0.3%):

  

  1,304       American Public Education, Inc.*      33,539  
  3,117       Bright Horizons Family Solutions, Inc.*      180,163  
  3,401       Cambium Learning Group, Inc.*      14,522  
  918       Capella Education Co.      49,269  
  5,222       Career Education Corp.*      17,233  
  1,464       Carriage Services, Inc.      34,960  
  506       Collectors Universe, Inc.      10,090  
  270       Graham Holdings Co., Class B      290,264  
  3,582       Grand Canyon Education, Inc.*      151,877  
  10,916       H&R Block, Inc.      323,659  
  8,124       Houghton Mifflin Harcourt Co.*      204,725  
  2,988       K12, Inc.*      37,798  
  895       Liberty Tax, Inc.      22,151  
  2,211       National American University Holdings, Inc.      6,434  
  16,159       Service Corp. International      475,558  
  4,536       Sotheby’s^      205,209  
  982       Steiner Leisure*      52,812  
  622       Strayer Education, Inc.*      26,808  
  1,696       Universal Technical Institute, Inc.      14,586  
     

 

 

 
        2,151,657  
     

 

 

 

 

Diversified Financial Services (1.4%):

  

  35,399       Berkshire Hathaway, Inc., Class B*      4,818,158  
  753       California First National Bancorp      10,158  
  4,785       CBOE Holdings, Inc.      273,798  
  6,484       CME Group, Inc.      603,401  
  3,237       Gain Capital Holdings, Inc.^      30,946  
  1,486       IntercontinentalExchange Group, Inc.      332,284  
  10,465       Leucadia National Corp.      254,090  
  1,798       MarketAxess Holdings, Inc.      166,800  
  974       Marlin Business Services, Inc.      16,441  
  7,751       McGraw-Hill Cos., Inc. (The)      778,588  
  3,411       Moody’s Corp.      368,252  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Diversified Financial Services, continued

  

  2,951       MSCI, Inc., Class A    $ 181,634  
  4,805       NASDAQ OMX Group, Inc. (The)      234,532  
  3,621       Newstar Financial, Inc.*^      39,831  
  1,763       PICO Holdings, Inc.*      25,951  
  1,748       Resource America, Inc., Class A      14,701  
  1,767       Tiptree Financial, Inc., Class A^      12,811  
  6,436       Voya Financial, Inc.      299,081  
     

 

 

 
        8,461,457  
     

 

 

 

 

Diversified Telecommunication Services (1.8%):

  

  117,486       AT&T, Inc.      4,173,103  
  1,419       Atlantic Tele-Network, Inc.      98,025  
  15,064       CenturyLink, Inc.      442,580  
  12,621       Cincinnati Bell, Inc.*      48,212  
  3,023       Cogent Communications Group, Inc.      102,298  
  1,623       FairPoint Communications, Inc.*      29,571  
  70,945       Frontier Communications Corp.      351,178  
  3,714       General Communication, Inc., Class A*      63,175  
  16,816       Globalstar, Inc.*      35,482  
  815       Hawaiian Telcom Holdco, Inc.*      21,272  
  1,994       IDT Corp.      36,052  
  3,003       Inteliquent, Inc.      55,255  
  4,444       Level 3 Communications, Inc.*      234,065  
  1,975       Lumos Networks Corp.      29,210  
  4,045       Orbcomm, Inc.*      27,304  
  116,615       Verizon Communications, Inc.      5,435,425  
     

 

 

 
        11,182,207  
     

 

 

 

 

Electric Utilities (1.2%):

  

  2,950       ALLETE, Inc.      136,851  
  9,564       American Electric Power Co., Inc.      506,605  
  12,398       Duke Energy Corp.      875,546  
  6,122       Edison International      340,261  
  2,442       El Paso Electric Co.      84,640  
  2,643       Empire District Electric Co.^      57,617  
  4,408       Entergy Corp.      310,764  
  8,259       Eversource Energy      375,041  
  16,319       Exelon Corp.      512,743  
  9,988       FirstEnergy Corp.      325,109  
  1,272       Genie Energy, Ltd., Class B      13,318  
  9,652       Great Plains Energy, Inc.      233,192  
  3,155       IDACORP, Inc.^      177,122  
  9,481       ITC Holdings Corp.      305,099  
  2,096       MGE Energy, Inc.^      81,178  
  8,638       NextEra Energy, Inc.      846,782  
  5,315       OGE Energy Corp.      151,850  
  2,284       Otter Tail Power Co.^      60,754  
  2,939       Pinnacle West Capital Corp.      167,200  
  5,361       PNM Resources, Inc.      131,881  
  5,276       Portland General Electric Co.^      174,952  
  13,030       PPL Corp.      383,994  
  15,845       Southern Co. (The)      663,906  
  844       Unitil Corp.      27,869  
  7,918       Westar Energy, Inc.      270,954  
     

 

 

 
        7,215,228  
     

 

 

 
 

 

Continued

 

8


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Electrical Equipment (0.7%):

  

  1,157       Acuity Brands, Inc.    $ 208,237  
  926       Allied Motion Technologies, Inc.      20,798  
  9,515       AMETEK, Inc.      521,232  
  1,953       AZZ, Inc.      101,165  
  3,229       Babcock & Wilcox Co. (The)      105,911  
  6,460       Eaton Corp. plc      435,985  
  15,630       Emerson Electric Co.      866,371  
  1,574       Encore Wire Corp.      69,712  
  3,345       EnerSys      235,120  
  3,160       Franklin Electric Co., Inc.      102,163  
  4,065       Generac Holdings, Inc.*^      161,584  
  3,673       General Cable Corp.      72,468  
  1,311       Global Power Equipment Group, Inc.^      10,173  
  11,104       GrafTech International, Ltd.*      55,076  
  215       Hubbell, Inc., Class A      23,177  
  1,932       Hubbell, Inc., Class B      209,197  
  1,831       LSI Industries, Inc.      17,102  
  415       Power Solutions International, Inc.*      22,418  
  1,248       Powersecure International, Inc.*      18,420  
  400       Preformed Line Products Co.      15,088  
  2,535       Regal-Beloit Corp.      184,016  
  5,384       Rockwell Automation, Inc.^      671,062  
  4,783       Sensata Technologies Holding NV*      252,255  
  228       SL Industries, Inc.*      8,803  
  1,790       Solarcity Corp.*^      95,855  
  2,410       Thermon Group Holdings, Inc.*      58,009  
     

 

 

 
        4,541,397  
     

 

 

 

 

Electronic Equipment, Instruments & Components (1.2%):

  

  10,547       Amphenol Corp., Class A      611,410  
  2,510       Anixter International, Inc.*      163,527  
  6,881       Arrow Electronics, Inc.*      383,960  
  9,703       Avnet, Inc.      398,890  
  12,048       AVX Corp.      162,166  
  867       Badger Meter, Inc.^      55,046  
  1,955       Belden CDT, Inc.      158,805  
  8,162       CDW Corp.      279,793  
  3,190       Checkpoint Systems, Inc.      32,474  
  3,912       Cognex Corp.      188,167  
  1,412       Coherent, Inc.*      89,634  
  24,175       Corning, Inc.      476,973  
  1,747       CUI Global, Inc.*^      8,840  
  2,838       Daktronics, Inc.      33,659  
  3,167       Dolby Laboratories, Inc., Class A      125,667  
  516       DTS, Inc.*      15,733  
  1,835       Electro Rent Corp.      19,928  
  2,339       Electro Scientific Industries, Inc.      12,327  
  2,696       Fabrinet*      50,496  
  1,007       FARO Technologies, Inc.*      47,027  
  1,256       FEI Co.      104,160  
  7,218       FLIR Systems, Inc.      222,459  
  640       Frequency Electronics, Inc.*      7,219  
  1,955       GSI Group, Inc.*      29,384  
  1,004       Identiv, Inc.*^      5,914  
  4,641       II-VI, Inc.*      88,086  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components, continued

  

  8,931       Ingram Micro, Inc., Class A*    $ 223,543  
  3,140       IPG Photonics Corp.*      267,450  
  2,195       Itron, Inc.*      75,596  
  14,490       Jabil Circuit, Inc.      308,492  
  3,410       KEMET Corp.*      9,821  
  11,265       Keysight Technologies, Inc.*      351,355  
  1,036       Littlelfuse, Inc.      98,306  
  2,613       Mercury Computer Systems, Inc.*      38,254  
  214       Mesa Labs, Inc.^      19,025  
  2,290       Methode Electronics, Inc., Class A      62,861  
  567       MOCON, Inc.      9,044  
  915       MTS Systems Corp.      63,089  
  1,857       Multi-Fineline Electronix, Inc.*      40,594  
  1,799       Napco Security Technologies, Inc.*      10,308  
  5,833       National Instruments Corp.      171,840  
  2,619       Newport Corp.*      49,656  
  1,498       OSI Systems, Inc.*      106,043  
  1,553       Park Electrochemical Corp.      29,755  
  1,087       PCM, Inc.*      10,903  
  772       Perceptron, Inc.*      8,152  
  1,681       Planar Systems, Inc.*      7,329  
  2,255       Plexus Corp.*      98,949  
  4,858       RadiSys Corp.*      12,436  
  2,153       Rofin-Sinar Technologies, Inc.*      59,423  
  1,193       Rogers Corp.*      78,905  
  6,195       Sanmina Corp.*      124,891  
  2,157       ScanSource, Inc.*      82,095  
  2,996       SYNNEX Corp.      219,277  
  7,695       TE Connectivity, Ltd.      494,789  
  11,016       Trimble Navigation, Ltd.*      258,435  
  6,321       TTM Technologies, Inc.*      63,147  
  585       Wayside Technology Group, Inc.      11,595  
  1,769       Zebra Technologies Corp., Class A*      196,447  
     

 

 

 
        7,433,549  
     

 

 

 

 

Energy Equipment & Services (1.0%):

  

  10,900       Cameron International Corp.*      570,833  
  8,386       Diamond Offshore Drilling, Inc.^      216,443  
  1,558       Era Group, Inc.*      31,908  
  6,591       Forum Energy Technologies, Inc.*      133,665  
  1,086       Gulf Island Fabrication, Inc.      12,131  
  22,785       Halliburton Co.      981,350  
  6,005       Helmerich & Payne, Inc.^      422,872  
  1,750       Matrix Service Co.*      31,990  
  935       Natural Gas Services Group*      21,337  
  13,657       Noble Corp. plc      210,181  
  8,208       Oceaneering International, Inc.      382,411  
  9,357       Parker Drilling Co.*      31,065  
  974       PHI, Inc.*      29,239  
  6,920       Rowan Cos. plc, Class A      146,081  
  13,318       RPC, Inc.^      184,188  
  24,025       Schlumberger, Ltd.      2,070,715  
  11,176       Superior Energy Services, Inc.      235,143  
     

 

 

 
        5,711,552  
     

 

 

 
 

 

Continued

 

9


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing (1.8%):

  

  3,779       Casey’s General Stores, Inc.    $ 361,801  
  1,143       Chefs’ Warehouse, Inc.*^      24,277  
  10,463       Costco Wholesale Corp.      1,413,133  
  20,762       CVS Health Corp.      2,177,519  
  1,267       Ingles Markets, Inc., Class A      60,525  
  13,560       Kroger Co. (The)      983,236  
  1,720       Natural Grocers by Vitamin Cottage, Inc.*^      42,346  
  1,852       PriceSmart, Inc.^      168,976  
  27,665       Rite AID Corp.*      231,003  
  674       SpartanNash Co.      21,932  
  5,794       Sprouts Farmers Market, Inc.*^      156,322  
  16,013       Supervalu, Inc.*      129,545  
  14,041       Sysco Corp.      506,880  
  3,347       United Natural Foods, Inc.*^      213,137  
  738       Village Super Market, Inc.      23,387  
  18,022       Walgreens Boots Alliance, Inc.      1,521,778  
  38,438       Wal-Mart Stores, Inc.      2,726,408  
  2,367       Weis Markets, Inc.      99,769  
  9,659       Whole Foods Market, Inc.      380,951  
     

 

 

 
        11,242,925  
     

 

 

 

 

Food Products (1.6%):

  

  13,576       Archer-Daniels-Midland Co.      654,635  
  4,685       B&G Foods, Inc.^      133,663  
  2,500       Boulder Brands, Inc.*^      17,350  
  4,129       Bunge, Ltd.      362,526  
  808       Calavo Growers, Inc.      41,959  
  12,411       Campbell Soup Co.^      591,384  
  7,455       ConAgra Foods, Inc.      325,933  
  5,447       Dean Foods Co.      88,078  
  2,089       Diamond Foods, Inc.*^      65,553  
  1,004       Farmer Brothers Co.*      23,594  
  13,535       Flowers Foods, Inc.^      286,265  
  13,416       General Mills, Inc.      747,539  
  2,962       Hain Celestial Group, Inc.*      195,077  
  4,279       Hershey Co.      380,104  
  5,968       Hormel Foods Corp.      336,416  
  5,731       Ingredion, Inc.      457,391  
  1,198       Inventure Foods, Inc.*^      12,160  
  1,150       J & J Snack Foods Corp.      127,271  
  5,227       J.M. Smucker Co. (The)      566,659  
  300       John B Sanfilippo And Son, Inc.      15,570  
  6,185       Kellogg Co.      387,800  
  1,671       Lancaster Colony Corp.      151,810  
  3,829       McCormick & Co.      309,958  
  389       McCormick & Co., Inc.      31,536  
  5,324       Mead Johnson Nutrition Co.      480,331  
  22,092       Mondelez International, Inc., Class A      908,864  
  4,778       Pilgrim’s Pride Corp.      109,751  
  9,318       Pinnacle Foods, Inc.      424,342  
  3,941       Post Holdings, Inc.*      212,538  
  43       Seaboard Corp.*      154,757  
  677       Seneca Foods Corp., Class A*      18,800  
  4,064       Snyders-Lance, Inc.      131,145  
  2,430       TreeHouse Foods, Inc.*      196,903  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Food Products, continued

  

  12,982       Tyson Foods, Inc., Class A    $ 553,423  
  4,692       WhiteWave Foods Co., Class A*      229,345  
     

 

 

 
        9,730,430  
     

 

 

 

 

Gas Utilities (0.5%):

  

  7,858       AGL Resources, Inc.      365,868  
  6,637       Atmos Energy Corp.      340,345  
  900       Chesapeake Utilities Corp.      48,465  
  519       Delta Natural Gas Co., Inc.      10,432  
  1,024       Gas Natural, Inc.      10,547  
  5,114       National Fuel Gas Co.^      301,163  
  5,713       New Jersey Resources Corp.      157,393  
  1,671       Northwest Natural Gas Co.      70,483  
  3,527       ONE Gas, Inc.^      150,109  
  5,305       Piedmont Natural Gas Co., Inc.      187,320  
  11,558       Questar Corp.      241,678  
  155       RGC Resources, Inc.^      3,100  
  4,168       South Jersey Industries, Inc.      103,075  
  2,850       Southwest Gas Corp.      151,649  
  2,633       The Laclede Group, Inc.^      137,074  
  12,086       UGI Corp.      416,362  
  3,316       WGL Holdings, Inc.      180,026  
     

 

 

 
        2,875,089  
     

 

 

 

 

Health Care Equipment & Supplies (2.0%):

  

  1,143       Abaxis, Inc.^      58,842  
  20,433       Abbott Laboratories      1,002,852  
  5,108       Alere, Inc.*      269,447  
  3,121       Align Technology, Inc.*      195,718  
  703       Analogic Corp.      55,467  
  2,726       AngioDynamics, Inc.*      44,706  
  1,103       Anika Therapeutics, Inc.*      36,432  
  115       Atrion Corp.      45,116  
  12,134       Baxter International, Inc.      848,531  
  4,022       Becton, Dickinson & Co.      569,716  
  13,439       Boston Scientific Corp.*      237,870  
  2,558       C.R. Bard, Inc.      436,651  
  2,183       Cantel Medical Corp.      117,162  
  300       CONMED Corp.      17,481  
  1,366       Cooper Cos., Inc. (The)      243,107  
  1,619       CryoLife, Inc.      18,262  
  2,168       Cyberonics, Inc.*^      128,909  
  1,230       Cynosure, Inc., Class A*      47,453  
  3,960       DENTSPLY International, Inc.      204,138  
  1,491       Derma Sciences, Inc.*^      10,676  
  1,493       Dexcom, Inc.*      119,410  
  4,274       Edwards Lifesciences Corp.*      608,746  
  1,052       Exactech, Inc.*      21,913  
  4,329       Globus Medical, Inc., Class A*      111,125  
  1,444       Greatbatch, Inc.*      77,860  
  2,946       Haemonetics Corp.*      121,847  
  3,533       Halyard Health, Inc.*^      143,087  
  3,413       Hill-Rom Holdings, Inc.      185,428  
  15,973       Hologic, Inc.*      607,932  
  497       ICU Medical, Inc.*      47,543  
 

 

Continued

 

10


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies, continued

  

  3,716       IDEXX Laboratories, Inc.*^    $ 238,344  
  1,874       Integra LifeSciences Holdings Corp.*      126,251  
  755       Intuitive Surgical, Inc.*      365,798  
  2,327       Invacare Corp.      50,333  
  1,209       LeMaitre Vascular, Inc.      14,581  
  3,945       Masimo Corp.*      152,829  
  18,043       Medtronic plc      1,336,985  
  3,164       Meridian Bioscience, Inc.      58,977  
  2,425       Merit Medical Systems, Inc.*      52,235  
  952       Natus Medical, Inc.*      40,517  
  1,702       Neogen Corp.*      80,743  
  1,459       NuVasive, Inc.*      69,127  
  1,074       Orthofix International NV*      35,571  
  3,726       ResMed, Inc.^      210,035  
  3,310       RTI Surgical, Inc.*^      21,383  
  2,924       Sirona Dental Systems, Inc.*^      293,628  
  4,995       St. Jude Medical, Inc.      364,985  
  3,912       STERIS Corp.^      252,089  
  4,367       Stryker Corp.      417,354  
  785       Surmodics, Inc.*      18,385  
  2,356       Teleflex, Inc.      319,120  
  1,676       Thoratec Corp.*      74,699  
  227       Utah Medical Products, Inc.      13,536  
  3,306       Varian Medical Systems, Inc.*      278,795  
  691       Vascular Solutions, Inc.*      23,992  
  4,404       West Pharmaceutical Services, Inc.      255,784  
  4,717       Zimmer Holdings, Inc.      515,238  
     

 

 

 
        12,314,741  
     

 

 

 

 

Health Care Providers & Services (3.4%):

  

  3,247       Acadia Healthcare Co., Inc.*^      254,338  
  1,958       Aceto Corp.      48,226  
  634       Addus HomeCare Corp.*      17,663  
  9,600       Aetna, Inc.      1,223,615  
  3,470       Air Methods Corp.*^      143,450  
  666       Alliance HealthCare Services, Inc.*      12,448  
  542       Almost Family, Inc.*      21,631  
  1,915       Amedisys, Inc.*      76,083  
  5,214       AmerisourceBergen Corp.      554,457  
  3,501       AMN Healthcare Services, Inc.*      110,597  
  3,240       AmSurg Corp.*      226,638  
  6,478       Anthem, Inc.      1,063,299  
  1,157       BioTelemetry, Inc.*      10,911  
  5,253       Brookdale Senior Living, Inc.*      182,279  
  1,321       Capital Senior Living Corp.*      32,365  
  7,734       Cardinal Health, Inc.      646,949  
  3,352       Centene Corp.*      269,501  
  1,288       Chemed Corp.^      168,857  
  4,923       CIGNA Corp.      797,526  
  9,271       Community Health Systems, Inc.*      583,795  
  1,871       CorVel Corp.*      59,909  
  8,182       DaVita, Inc.*      650,224  
  5,274       Envision Healthcare Holdings, Inc.*      208,218  
  2,510       ExamWorks Group, Inc.*      98,141  
  20,060       Express Scripts Holding Co.*      1,784,135  

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Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  3,745       Five Star Quality Care, Inc.*    $ 17,976  
  2,639       Hanger Orthopedic Group, Inc.*^      61,858  
  5,584       HCA Holdings, Inc.*      506,580  
  4,439       Health Net, Inc.*      284,629  
  4,930       HealthSouth Corp.      227,076  
  2,040       Healthways, Inc.*      24,439  
  2,255       Henry Schein, Inc.*      320,481  
  4,142       Humana, Inc.      792,282  
  2,629       InfuSystems Holdings, Inc.*      8,387  
  1,149       IPC Healthcare, Inc.*      63,643  
  2,769       Kindred Healthcare, Inc.      56,183  
  3,322       Laboratory Corp. of America Holdings*      402,693  
  1,626       LHC Group, Inc.*      62,195  
  2,100       LifePoint Hospitals, Inc.*      182,595  
  2,025       Magellan Health Services, Inc.*      141,892  
  5,524       McKesson, Inc.      1,241,849  
  2,729       MEDNAX, Inc.*      202,246  
  3,066       Molina Healthcare, Inc.*^      215,540  
  1,075       National Healthcare Corp.      69,864  
  1,219       National Research Corp.      17,322  
  4,252       Omnicare, Inc.      400,751  
  4,172       Owens & Minor, Inc.^      141,848  
  6,645       Patterson Cos., Inc.      323,279  
  1,669       PharMerica Corp.*      55,578  
  2,269       Premier, Inc., Class A*      87,266  
  1,197       Providence Service Corp.*      53,003  
  8,208       Quest Diagnostics, Inc.^      595,244  
  2,518       RadNet, Inc.*      16,845  
  9,791       Select Medical Holdings Corp.      158,614  
  3,573       Surgical Care Affiliates, Inc.*      137,132  
  4,086       Team Health Holdings, Inc.*      266,938  
  5,676       Tenet Healthcare Corp.*      328,527  
  1,529       The Ensign Group, Inc.      78,071  
  1,840       Triple-S Management Corp., Class B*      47,214  
  937       U.S. Physical Therapy, Inc.      51,310  
  22,626       UnitedHealth Group, Inc.      2,760,371  
  6,141       Universal American Financial Corp.*      62,147  
  3,476       Universal Health Services, Inc., Class B      493,940  
  3,789       VCA Antech, Inc.*      206,141  
  2,512       WellCare Health Plans, Inc.*      213,093  
     

 

 

 
        20,622,297  
     

 

 

 

 

Health Care Technology (0.2%):

  

  11,176       Allscripts Healthcare Solutions, Inc.*      152,888  
  1,100       athenahealth, Inc.*^      126,038  
  5,836       Cerner Corp.*      403,035  
  639       Computer Programs & Systems, Inc.      34,135  
  3,974       MedAssets, Inc.*      87,666  
  5,545       Merge Healthcare, Inc.*      26,616  
  1,095       Omnicell, Inc.*      41,292  
  2,725       Quality Systems, Inc.      45,153  
  1,747       Simulations Plus, Inc.      10,954  
  1,663       Veeva Systems, Inc., Class A*^      46,614  
     

 

 

 
        974,391  
     

 

 

 
 

 

Continued

 

11


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

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Common Stocks, continued

  

 

Hotels, Restaurants & Leisure (2.6%):

  

  11,656       Aramark Holdings Corp.    $ 360,986  
  7,927       Belmond, Ltd., Class A*      99,008  
  159       Biglari Holdings, Inc.*      65,786  
  1,927       BJ’s Restaurants, Inc.*      93,363  
  11,520       Bloomin’ Brands, Inc.      245,952  
  1,441       Bravo Brio Restaurant Group, Inc.*      19,526  
  2,587       Brinker International, Inc.      149,141  
  1,469       Buffalo Wild Wings, Inc.*^      230,178  
  7,384       Carnival Corp.      364,696  
  2,043       Carrols Restaurant Group, Inc.*      21,247  
  1,723       Century Casinos, Inc.*      10,855  
  795       Chipotle Mexican Grill, Inc.*      480,967  
  3,453       Choice Hotels International, Inc.      187,325  
  748       Chuy’s Holdings, Inc.*^      20,039  
  3,651       ClubCorp Holdings, Inc.^      87,186  
  2,397       Cracker Barrel Old Country Store, Inc.^      357,537  
  2,581       Darden Restaurants, Inc.      183,457  
  1,574       Del Frisco’s Restaurant Group, Inc.*      29,324  
  4,856       Denny’s Corp.*      56,378  
  4,306       Diamond Resorts International, Inc.*      135,854  
  1,158       DineEquity, Inc.      114,746  
  3,665       Domino’s Pizza, Inc.      415,611  
  6,112       Dunkin’ Brands Group, Inc.^      336,160  
  1,277       Fiesta Restaurant Group, Inc.*^      63,850  
  386       Frisch’s Restaurants, Inc.      12,958  
  5,639       Hilton Worldwide Holdings, Inc.*      155,354  
  1,044       Hyatt Hotels Corp., Class A*      59,184  
  3,435       Interval Leisure Group, Inc.      78,490  
  2,174       Jack in the Box, Inc.      191,660  
  671       Jamba, Inc.*^      10,394  
  2,949       Krispy Kreme Doughnuts, Inc.*      56,798  
  11,175       Las Vegas Sands Corp.      587,470  
  2,136       Luby’s, Inc.*      10,360  
  4,182       Marriott International, Inc., Class A      311,099  
  2,136       Marriott Vacations Worldwide Corp.      195,978  
  25,131       McDonald’s Corp.      2,389,203  
  341       Nathans Famous, Inc.      12,637  
  5,162       Norwegian Cruise Line Holdings, Ltd.*      289,278  
  2,346       Panera Bread Co., Class A*^      410,010  
  2,292       Papa John’s International, Inc.      173,298  
  1,317       Popeyes Louisiana Kitchen, Inc.*      79,007  
  886       RCI Hospitality Holdings, Inc.*      10,543  
  1,501       Red Lion Hotels Corp.*      11,498  
  878       Red Robin Gourmet Burgers*      75,350  
  2,640       Restaurant Brands International, Inc.      100,874  
  9,666       Royal Caribbean Cruises, Ltd.      760,618  
  3,127       Ruth’s Hospitality Group, Inc.      50,407  
  6,758       SeaWorld Entertainment, Inc.      124,618  
  5,250       Six Flags Entertainment Corp.      235,463  
  1,933       Sonic Corp.      55,670  
  2,826       Speedway Motorsports, Inc.      64,009  
  42,723       Starbucks Corp.      2,290,593  
  6,861       Starwood Hotels & Resorts Worldwide, Inc.      556,358  
  4,257       Texas Roadhouse, Inc.      159,340  

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Hotels, Restaurants & Leisure, continued

  

  4,028       The Cheesecake Factory, Inc.    $ 219,667  
  1,604       Town Sports International Holdings, Inc.*      4,652  
  2,755       Vail Resorts, Inc.      300,846  
  24,420       Wendy’s Co. (The)      275,458  
  3,982       Wyndham Worldwide Corp.      326,166  
  11,870       Yum! Brands, Inc.      1,069,250  
     

 

 

 
        15,843,730  
     

 

 

 

 

Household Durables (0.8%):

  

  504       Cavco Industries, Inc.*      38,022  
  9,991       D.R. Horton, Inc.      273,354  
  1,910       Ethan Allen Interiors, Inc.^      50,309  
  5,743       Garmin, Ltd.      252,290  
  1,807       Harman International Industries, Inc.      214,925  
  1,111       Helen of Troy, Ltd.*      108,311  
  500       Hooker Furniture Corp.      12,555  
  3,931       La-Z-Boy, Inc.      103,543  
  5,279       Leggett & Platt, Inc.^      256,982  
  670       Lennar Corp., Class B      28,890  
  7,538       Lennar Corp., Class A^      384,740  
  1,249       Libbey, Inc.      51,621  
  1,017       Lifetime Brands, Inc.      15,021  
  3,757       M.D.C. Holdings, Inc.^      112,597  
  1,880       M/I Homes, Inc.*      46,380  
  3,168       Meritage Corp.*      149,181  
  3,077       Mohawk Industries, Inc.*      587,399  
  7,131       Newell Rubbermaid, Inc.      293,155  
  312       NVR, Inc.*      418,080  
  10,679       PulteGroup, Inc.      215,182  
  1,566       Skullcandy, Inc.*      12,011  
  21,167       Standard Pacific Corp.*^      188,598  
  1,545       Taylor Morrison Home Corp., Class A*      31,456  
  3,400       Tempur-Pedic International, Inc.*      224,060  
  1,137       The Dixie Group, Inc.*^      11,939  
  5,454       Toll Brothers, Inc.*      208,288  
  11,971       TRI Pointe Homes, Inc.*      183,156  
  2,946       Tupperware Brands Corp.      190,135  
  718       Universal Electronics, Inc.*      35,785  
  2,999       Whirlpool Corp.      518,977  
  2,147       William Lyon Homes, Class A*      55,113  
  1,918       Zagg, Inc.*      15,191  
     

 

 

 
        5,287,246  
     

 

 

 

 

Household Products (1.4%):

  

  3,686       Church & Dwight Co., Inc.      299,045  
  5,232       Clorox Co. (The)      544,233  
  24,416       Colgate-Palmolive Co.      1,597,051  
  1,106       Energizer Holdings, Inc.      145,494  
  15,273       HRG Group, Inc.*      198,549  
  9,918       Kimberly-Clark Corp.      1,051,010  
  333       Oil-Dri Corp.      10,117  
  582       Orchids Paper Products Co.      14,009  
  51,247       Procter & Gamble Co. (The)      4,009,564  
 

 

Continued

 

12


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Household Products, continued

  

  4,033       Spectrum Brands Holdings, Inc.    $ 411,326  
  698       WD-40 Co.      60,838  
     

 

 

 
        8,341,236  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.3%):

  

  18,368       AES Corp. (The)      243,560  
  31,955       Calpine Corp.*      574,869  
  7,034       Dynegy, Inc.*      205,745  
  14,628       NRG Energy, Inc.      334,689  
  2,123       NRG Yield, Inc., Class A      46,472  
  2,123       NRG Yield, Inc., Class A^      46,685  
  4,183       Pattern Energy Group, Inc.^      118,714  
  1,627       Talen Energy Corp.*      27,919  
     

 

 

 
        1,598,653  
     

 

 

 

 

Industrial Conglomerates (1.3%):

  

  16,212       3M Co.      2,501,512  
  2,793       Carlisle Cos., Inc.      279,635  
  13,175       Danaher Corp.      1,127,648  
  136,010       General Electric Co.      3,613,785  
  1,736       Raven Industries, Inc.      35,293  
  2,845       Roper Industries, Inc.      490,649  
     

 

 

 
        8,048,522  
     

 

 

 

 

Insurance (3.8%):

  

  6,370       ACE, Ltd.      647,701  
  9,911       AFLAC, Inc.      616,464  
  457       Alleghany Corp.*      214,223  
  5,452       Allied World Assurance Co. Holdings AG      235,635  
  9,076       Allstate Corp. (The)      588,760  
  4,095       Ambac Financial Group, Inc.*      68,141  
  6,319       American Equity Investment Life Holding Co.      170,487  
  5,202       American Financial Group, Inc.      338,338  
  25,911       American International Group, Inc.      1,601,819  
  2,043       American National Insurance Co.      209,040  
  1,543       Amerisafe, Inc.      72,614  
  6,227       AmTrust Financial Services^      407,931  
  5,048       Aon plc      503,185  
  3,277       Arch Capital Group, Ltd.*      219,428  
  7,028       Arthur J. Gallagher & Co.      332,424  
  3,939       Aspen Insurance Holdings, Ltd.      188,678  
  4,556       Assurant, Inc.      305,252  
  12,605       Assured Guaranty, Ltd.      302,394  
  10,102       Brown & Brown, Inc.      331,952  
  5,173       Chubb Corp. (The)      492,159  
  4,635       Cincinnati Financial Corp.      232,584  
  1,199       CNA Financial Corp.      45,814  
  2,354       Crawford & Co.      19,844  
  2,915       Crawford & Co., Class A      22,183  
  1,631       Donegal Group, Inc., Class A      24,840  
  1,547       EMC Insurance Group, Inc.      38,771  
  2,393       Employers Holdings, Inc.      54,513  
  3,229       Endurance Specialty Holdings, Ltd.^      212,145  
  1,007       Enstar Group, Ltd.*      156,035  
  4,220       Erie Indemnity Co., Class A      346,335  
  1,892       Everest Re Group, Ltd.      344,364  
  1,054       Federated National Holding Co.      25,507  

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Common Stocks, continued

  

 

Insurance, continued

  

  7,742       First American Financial Corp.^    $ 288,080  
  695       Global Indemnity plc*      19,516  
  2,383       Greenlight Capital Re, Ltd.*      69,512  
  1,469       Hallmark Financial Services, Inc.*      16,717  
  2,378       Hanover Insurance Group, Inc. (The)      176,043  
  18,780       Hartford Financial Services Group, Inc. (The)      780,685  
  5,815       HCC Insurance Holdings, Inc.      446,825  
  997       HCI Group, Inc.      44,077  
  1,317       Independence Holding Co.      17,371  
  153       Investors Title Co.      10,846  
  821       Kansas City Life Insurance Co.      37,528  
  700       Kemper Corp.^      26,985  
  7,124       Lincoln National Corp.      421,883  
  10,557       Loews Corp.      406,550  
  5,556       Maiden Holdings, Ltd.      87,674  
  399       Markel Corp.*^      319,471  
  12,507       Marsh & McLennan Cos., Inc.      709,147  
  3,416       Mercury General Corp.^      190,100  
  21,461       MetLife, Inc.      1,201,601  
  1,498       National Interstate Corp.^      40,925  
  262       National Western Life Insurance Co., Class A      62,746  
  15,982       Old Republic International Corp.      249,799  
  1,796       Onebeacon Insurance Group, Ltd.      26,060  
  4,021       Primerica, Inc.      183,719  
  13,182       Principal Financial Group, Inc.      676,105  
  4,240       ProAssurance Corp.      195,930  
  34,117       Progressive Corp. (The)      949,476  
  8,861       Prudential Financial, Inc.      775,515  
  3,855       Reinsurance Group of America, Inc.      365,724  
  3,030       RenaissanceRe Holdings, Ltd.      307,576  
  2,855       RLI Corp.      146,718  
  3,178       StanCorp Financial Group, Inc.      240,289  
  3,118       State Auto Financial Corp.      74,676  
  1,761       Stewart Information Services Corp.      70,088  
  9,398       Symetra Financial Corp.      227,150  
  3,501       Torchmark Corp.      203,828  
  11,259       Travelers Cos., Inc. (The)      1,088,295  
  1,616       United Insurance Holdings Co.^      25,113  
  3,169       Universal Insurance Holdings, Inc.      76,690  
  7,275       UnumProvident Corp.      260,081  
  4,691       Validus Holdings, Ltd.      206,357  
  5,735       W.R. Berkley Corp.      297,819  
  342       White Mountains Insurance Group, Ltd.      223,989  
  4,786       Willis Group Holdings plc      224,463  
  7,339       XL Group plc      273,011  
     

 

 

 
        22,112,313  
     

 

 

 

 

Internet & Catalog Retail (1.2%):

  

  2,093       1-800 Flowers.com, Inc., Class A*      21,893  
  9,398       Amazon.com, Inc.*      4,079,577  
  691       Blue Nile, Inc.*      20,999  
  2,685       CafePress, Inc.*      12,083  
  3,740       Expedia, Inc.      408,969  
  1,483       Gaiam, Inc., Class A*^      9,699  
  19,321       Groupon, Inc.*      97,185  
 

 

Continued

 

13


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Internet & Catalog Retail, continued

  

  3,311       HSN, Inc.    $ 232,399  
  5,384       Liberty TripAdvisor Holdings, Inc., Class A*      173,472  
  822       Netflix, Inc.*      540,005  
  1,637       Nutri/System, Inc.      40,729  
  1,213       Priceline Group, Inc. (The)*      1,396,611  
  2,141       Shutterfly, Inc.*      102,361  
  4,247       TripAdvisor, Inc.*^      370,084  
     

 

 

 
        7,506,066  
     

 

 

 

 

Internet Software & Services (1.8%):

  

  3,020       Actua Corp.*      43,065  
  4,907       Akamai Technologies, Inc.*      342,607  
  2,044       Cimpress NV*      172,023  
  430       CoStar Group, Inc.*      86,542  
  3,069       DealerTrack Holdings, Inc.*      192,703  
  1,546       Demand Media, Inc.*^      9,833  
  4,681       DHI Group, Inc.*      41,614  
  9,400       EarthLink Holdings Corp.      70,406  
  20,891       eBay, Inc.*      1,258,474  
  990       Envestnet, Inc.*      40,026  
  25,508       Facebook, Inc., Class A*      2,187,694  
  4,092       Google, Inc., Class C*      2,129,927  
  3,838       Google, Inc., Class A*      2,072,674  
  1,270       GTT Communications, Inc.*      30,315  
  5,129       IAC/InterActiveCorp      408,576  
  3,284       Internap Network Services Corp.*      30,377  
  3,214       Intralinks Holdings, Inc.*      38,279  
  2,946       j2 Global, Inc.      200,151  
  5,660       Limelight Networks, Inc.*      22,300  
  834       LinkedIn Corp., Class A*      172,329  
  2,502       Marchex, Inc.      12,385  
  6,852       Monster Worldwide, Inc.*^      44,812  
  3,759       NIC, Inc.      68,715  
  2,520       QuinStreet, Inc.*      16,254  
  752       Qumu Corp.*      6,196  
  5,613       Rackspace Hosting, Inc.*      208,747  
  2,745       RealNetworks, Inc.*      14,850  
  401       Reis, Inc.      8,894  
  1,895       TechTarget*      16,922  
  1,344       Travelzoo, Inc.*      15,160  
  3,390       Tremor Video, Inc.*^      9,865  
  2,871       Twitter, Inc.*      103,988  
  3,098       VeriSign, Inc.*^      191,209  
  4,619       Web.com Group, Inc.*      111,872  
  2,525       WebMD Health Corp.*      111,807  
  17,225       Yahoo!, Inc.*      676,770  
  641       Zillow Group, Inc., Class A*^      55,600  
     

 

 

 
        11,223,961  
     

 

 

 

 

IT Services (3.9%):

  

  16,856       Accenture plc, Class A      1,631,323  
  4,417       Acxiom Corp.*      77,651  
  2,562       Alliance Data Systems Corp.*      747,950  
  6,911       Amdocs, Ltd.      377,271  
  10,694       Automatic Data Processing, Inc.      857,980  
  1,535       Blackhawk Network Holdings, Inc.*      63,242  

Shares

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Common Stocks, continued

  

 

IT Services, continued

  

  8,907       Booz Allen Hamilton Holding Corp.    $ 224,813  
  5,121       Broadridge Financial Solutions, Inc.      256,101  
  900       CACI International, Inc., Class A*      72,801  
  4,434       Cardtronics, Inc.*^      164,280  
  521       Cass Information Systems, Inc.      29,291  
  5,879       CIBER, Inc.*      20,283  
  11,608       Cognizant Technology Solutions Corp., Class A*      709,133  
  3,769       Computer Sciences Corp.      247,397  
  5,794       CoreLogic, Inc.*      229,964  
  2,608       CSG Systems International, Inc.      82,569  
  1,260       Datalink Corp.*      11,264  
  3,048       DST Systems, Inc.      383,987  
  1,394       Epam Systems, Inc.*      99,295  
  2,917       Essendant, Inc.      114,492  
  3,396       Euronet Worldwide, Inc.*      209,533  
  1,896       Exlservice Holdings, Inc.*      65,564  
  12,283       Fidelity National Information Services, Inc.      759,089  
  7,889       Fiserv, Inc.*      653,446  
  1,827       FleetCor Technologies, Inc.*      285,122  
  825       Forrester Research, Inc.      29,717  
  2,317       Gartner, Inc.*      198,752  
  14,124       Genpact, Ltd.*      301,265  
  4,871       Global Cash Access Holdings, Inc.*      37,702  
  2,666       Global Payments, Inc.      275,798  
  2,090       Heartland Payment Systems, Inc.      112,965  
  3,433       Higher One Holdings, Inc.*      10,265  
  3,845       iGATE Corp.*      183,368  
  25,154       International Business Machines Corp.      4,091,549  
  6,178       Jack Henry & Associates, Inc.      399,717  
  4,003       Lionbridge Technologies, Inc.*      24,699  
  1,840       ManTech International Corp., Class A      53,360  
  26,787       MasterCard, Inc., Class A      2,504,048  
  3,726       Maximus, Inc.      244,910  
  3,966       ModusLink Global Solutions, Inc.*^      13,484  
  1,007       NCI, Inc., Class A      10,402  
  14,412       Paychex, Inc.^      675,635  
  2,322       Perficient, Inc.*      44,675  
  840       PFSweb, Inc.*      11,642  
  2,591       Science Applications International Corp.      136,934  
  6,403       Servicesource International, Inc.*      35,024  
  1,241       StarTek, Inc.*      7,322  
  3,283       Sykes Enterprises, Inc.*      79,613  
  4,553       Syntel, Inc.*^      216,176  
  3,701       TeleTech Holdings, Inc.      100,223  
  10,951       Teradata Corp.*^      405,187  
  1,357       The Hackett Group, Inc.      18,225  
  6,995       Total System Services, Inc.      292,181  
  3,021       Unisys Corp.*^      60,390  
  5,853       Vantive, Inc., Class A*      223,526  
  5,190       VeriFone Systems, Inc.*      176,252  
  899       Virtusa Corp.*      46,209  
  36,614       Visa, Inc., Class A      2,458,630  
  20,683       Western Union Co.^      420,485  
 

 

Continued

 

14


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

IT Services, continued

  

  2,362       Wex, Inc.*    $ 269,197  
  47,016       Xerox Corp.      500,250  
     

 

 

 
        23,043,618  
     

 

 

 

 

Leisure Products (0.3%):

  

  864       Arctic Cat, Inc.      28,693  
  5,928       Brunswick Corp.      301,498  
  3,789       Callaway Golf Co.      33,874  
  658       Escalade, Inc.^      12,101  
  5,080       Hasbro, Inc.      379,933  
  1,198       Marine Products Corp.      7,476  
  12,323       Mattel, Inc.^      316,578  
  1,932       Nautilus Group, Inc.*      41,557  
  2,607       Polaris Industries, Inc.      386,123  
  4,759       Vista Outdoor, Inc.*      213,679  
     

 

 

 
        1,721,512  
     

 

 

 

 

Life Sciences Tools & Services (0.7%):

  

  2,368       Affymetrix, Inc.*^      25,859  
  10,000       Agilent Technologies, Inc.      385,800  
  1,365       Bio-Rad Laboratories, Inc., Class A*      205,583  
  1,690       Bio-Techne Corp.      166,414  
  7,817       Bruker Corp.*      159,545  
  2,431       Cambrex Corp.*      106,818  
  3,826       Charles River Laboratories International, Inc.*      269,121  
  1,979       Harvard Bioscience, Inc.*      11,280  
  3,178       Illumina, Inc.*      693,948  
  2,457       Luminex Corp.*      42,408  
  1,117       Mettler-Toledo International, Inc.*      381,411  
  4,623       PAREXEL International Corp.*      297,305  
  3,436       PerkinElmer, Inc.      180,871  
  2,883       Quintiles Transnational Holdings, Inc.*      209,335  
  7,334       Thermo Fisher Scientific, Inc.      951,659  
  2,208       Waters Corp.*      283,463  
     

 

 

 
        4,370,820  
     

 

 

 

 

Machinery (2.9%):

  

  4,467       Accuride Corp.*      17,198  
  6,394       AGCO Corp.^      363,051  
  2,170       Albany International Corp., Class A      86,366  
  14,459       Allison Transmission Holdings, Inc.      423,070  
  1,977       Altra Industrial Motion Corp.      53,735  
  1,445       ARC Group Worldwide, Inc.*^      7,659  
  2,035       Astec Industries, Inc.      85,104  
  3,610       Barnes Group, Inc.      140,754  
  4,549       Blount International, Inc.*      49,675  
  13,810       Caterpillar, Inc.      1,171,365  
  2,289       Chart Industries, Inc.*      81,832  
  1,021       CIRCOR International, Inc.      55,675  
  3,541       CLARCOR, Inc.      220,392  
  5,831       Colfax Corp.*^      269,101  
  1,526       Columbus McKinnon Corp.      38,150  
  2,706       Commercial Vehicle Group, Inc.*      19,510  
  3,811       Crane Co.      223,820  
  4,259       Cummins, Inc.      558,738  
  9,163       Deere & Co.^      889,269  

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Common Stocks, continued

  

 

Machinery, continued

  

  11,159       Donaldson Co., Inc.^    $ 399,492  
  1,924       Douglas Dynamics, Inc.      41,328  
  6,235       Dover Corp.      437,572  
  1,316       EnPro Industries, Inc.      75,302  
  1,981       ESCO Technologies, Inc.      74,109  
  4,690       Federal Signal Corp.      69,928  
  6,370       Flowserve Corp.      335,444  
  694       FreightCar America, Inc.      14,491  
  1,046       Gencor Industries, Inc.*      10,115  
  1,203       Global Brass & Copper Holdings, Inc.      20,463  
  3,341       Graco, Inc.      237,311  
  995       Hardinge, Inc.      9,801  
  7,203       Harsco Corp.^      118,850  
  4,761       Hillenbrand, Inc.      146,163  
  490       Hurco Cos, Inc.      16,964  
  1,063       Hyster-Yale Materials Handling, Inc., Class A^      73,645  
  5,043       IDEX Corp.      396,279  
  8,094       Illinois Tool Works, Inc.      742,948  
  10,352       Ingersoll-Rand plc      697,932  
  5,449       ITT Corp.      227,986  
  1,662       John Bean Technologies Corp.      62,475  
  4,427       Kennametal, Inc.      151,049  
  143       Key Technology, Inc.*      1,888  
  787       L.B. Foster Co., Class A      27,238  
  4,630       Lincoln Electric Holdings, Inc.      281,921  
  1,213       Manitex International, Inc.*^      9,267  
  5,860       Meritor, Inc.*      76,883  
  3,505       Middleby Corp. (The)*      393,366  
  3,785       Mueller Industries, Inc.      131,415  
  15,582       Mueller Water Products, Inc., Class A      141,796  
  1,258       NN, Inc.^      32,104  
  4,854       Nordson Corp.^      378,078  
  158       Omega Flex, Inc.      5,950  
  6,301       Oshkosh Corp.^      267,036  
  8,328       PACCAR, Inc.      531,410  
  3,571       Pall Corp.      444,411  
  6,949       Parker Hannifin Corp.      808,377  
  7,837       Pentair, plc      538,794  
  976       Proto Labs, Inc.*      65,860  
  1,060       RBC Bearings, Inc.*      76,066  
  9,209       Rexnord Corp.*      220,187  
  2,202       Snap-On, Inc.      350,669  
  2,342       SPX Corp.      169,537  
  775       Standex International Corp.      61,946  
  8,868       Stanley Black & Decker, Inc.      933,268  
  2,010       Sun Hydraulics Corp.      76,601  
  953       Supreme Industires, Inc., Class A      8,167  
  1,121       Tennant Co.      73,246  
  8,108       Terex Corp.^      188,511  
  1,720       The Gorman-Rupp Co.^      48,298  
  10,121       The Manitowoc Co., Inc.      198,372  
  5,255       Timken Co.      192,175  
  3,172       Toro Co.      214,998  
  3,413       TriMas Corp.*      101,025  
 

 

Continued

 

15


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  

  14,684       Trinity Industries, Inc.^    $ 388,098  
  5,806       Wabash National Corp.*      72,807  
  2,288       WABCO Holdings, Inc.*      283,071  
  2,486       Wabtec Corp.      234,281  
  1,617       Watts Water Technologies, Inc., Class A      83,841  
  4,666       Woodward, Inc.      256,583  
  935       Xerium Technologies, Inc.*      17,017  
  7,277       Xylem, Inc.      269,758  
     

 

 

 
        17,768,427  
     

 

 

 

 

Marine (0.0%):

  

  3,233       Matson, Inc.      135,915  
     

 

 

 

 

Media (3.3%):

  

  1,468       A.H. Belo Corp, Class A^      8,221  
  1,454       AMC Entertainment Holdings, Inc., Class A      44,609  
  3,683       AMC Networks, Inc., Class A*      301,454  
  13,518       Cablevision Systems Corp., Class A      323,621  
  1,418       Carmike Cinemas, Inc.*      37,634  
  10,884       CBS Corp., Class B      604,062  
  182       CBS Corp., Class A      10,447  
  2,057       Charter Communications, Inc., Class A*^      352,261  
  7,978       Cinemark Holdings, Inc.      320,476  
  1,661       Clear Channel Outdoor Holdings, Inc., Class A      16,826  
  13,322       Comcast Corp., Class A      798,521  
  72,779       Comcast Corp., Class A      4,376,929  
  9,406       Crown Media Holdings, Inc.*^      42,515  
  2,817       Discovery Communications, Inc., Class A*^      93,693  
  5,135       Discovery Communications, Inc., Class C*      159,596  
  5,853       DISH Network Corp., Class A*      396,307  
  2,473       Entercom Communications Corp.*      28,242  
  4,792       Entravision Communications Corp., Class A      39,438  
  6,639       Gannett Co., Inc.*      92,873  
  4,886       Gray Television, Inc.*      76,612  
  4,727       Harte-Hanks, Inc.      28,173  
  16,667       Interpublic Group of Cos., Inc. (The)      321,173  
  192       John Wiley & Sons, Inc., Class B      10,406  
  3,739       John Wiley & Sons, Inc., Class A      203,289  
  1,514       Liberty Broadband Corp., Class A*^      77,169  
  4,310       Liberty Broadband Corp., Class C*      220,500  
  6,525       Liberty Media Corp., Class C*      234,248  
  2,977       Liberty Media Corp.*      107,291  
  4,292       Lions Gate Entertainment Corp.^      159,019  
  9,171       Live Nation, Inc.*      252,111  
  2,403       Madison Square Garden, Inc., Class A*      200,626  
  9,820       Media General, Inc.*^      162,226  
  2,849       Meredith Corp.^      148,575  
  2,689       Morningstar, Inc.      213,910  
  3,726       National CineMedia, Inc.      59,467  
  4,904       News Corp., Class B*      69,833  
  10,825       News Corp., Class A*      157,937  
  1,755       Nexstar Broadcasting Group, Inc.      98,280  
  9,679       Omnicom Group, Inc.      672,594  
  1,419       Reading International, Inc., Class A*^      19,653  
  8,109       Regal Entertainment Group, Class A      169,559  
  3,817       Scripps Networks Interactive, Class A^      249,517  

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Common Stocks, continued

  

 

Media, continued

  

  63,403       Sirius XM Holdings, Inc.*^    $ 236,493  
  2,237       Sizmek, Inc.*      15,883  
  5,277       Starz — Liberty Capital*      235,987  
  13,277       Tegna, Inc.      425,793  
  4,065       The E.W. Scripps Co., Class A      92,885  
  5,102       The New York Times Co., Class A^      69,642  
  2,901       Time Warner Cable, Inc., Class A      516,871  
  16,968       Time Warner, Inc., Class A      1,483,173  
  8,287       Time, Inc.      190,684  
  25,130       Twenty-First Century Fox, Inc.      817,856  
  8,290       Twenty-First Century Fox, Inc., Class B      267,104  
  300       Viacom, Inc., Class A      19,461  
  9,106       Viacom, Inc., Class B      588,612  
  30,570       Walt Disney Co. (The)      3,489,260  
     

 

 

 
        20,409,597  
     

 

 

 

 

Metals & Mining (0.6%):

  

  52,003       Alcoa, Inc.      579,833  
  6,283       Allegheny Technologies, Inc.      189,747  
  799       Ampco-Pittsburgh Corp.      12,081  
  3,952       Carpenter Technology Corp.^      152,863  
  9,476       Commercial Metals Co.^      152,374  
  3,284       Compass Minerals International, Inc.      269,748  
  3,430       Globe Specialty Metals, Inc.      60,711  
  468       Handy & Harman, Ltd.*      16,216  
  943       Haynes International, Inc.      46,509  
  29,166       Hecla Mining Co.      76,707  
  1,359       Materion Corp.      47,905  
  22,005       Newmont Mining Corp.      514,037  
  5,329       Noranda Aluminum Holding Corp.      4,530  
  14,934       Nucor Corp.      658,140  
  4,360       Reliance Steel & Aluminum Co.      263,693  
  3,769       Royal Gold, Inc.      232,133  
  3,772       Southern Copper Corp.^      110,935  
  13,753       Steel Dynamics, Inc.      284,893  
  7,009       Stillwater Mining Co.*^      81,234  
  701       Synalloy Corp.      9,604  
  548       Universal Stainless & Alloy Products, Inc.*^      10,768  
     

 

 

 
        3,774,661  
     

 

 

 

 

Multiline Retail (0.9%):

  

  4,485       Big Lots, Inc.^      201,780  
  4,578       Burlington Stores, Inc.*      234,394  
  3,183       Dillard’s, Inc., Class A^      334,820  
  7,215       Dollar General Corp.      560,894  
  8,223       Dollar Tree, Inc.*      649,535  
  1,212       Gordmans Stores, Inc.*      7,430  
  14,751       Kohl’s Corp.^      923,559  
  9,834       Macy’s, Inc.      663,500  
  7,550       Nordstrom, Inc.      562,475  
  4,464       Sears Holdings Corp.*^      119,189  
  14,447       Target Corp.      1,179,308  
     

 

 

 
        5,436,884  
     

 

 

 
 

 

Continued

 

16


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Multi-Utilities (1.0%):

  

  2,900       Alliant Energy Corp.    $ 167,388  
  6,827       Ameren Corp.      257,241  
  3,774       Avista Corp.      115,673  
  2,740       Black Hills Corp.      119,601  
  9,831       CenterPoint Energy, Inc.      187,084  
  7,809       CMS Energy Corp.      248,639  
  7,661       Consolidated Edison, Inc.      443,418  
  11,101       Dominion Resources, Inc.      742,323  
  5,020       DTE Energy Co.      374,693  
  11,771       MDU Resources Group, Inc.      229,888  
  8,205       NiSource, Inc.      374,066  
  2,865       NorthWestern Corp.      139,669  
  9,105       PG&E Corp.      447,055  
  9,863       Public Service Enterprise Group, Inc.      387,419  
  3,804       SCANA Corp.      192,673  
  4,145       Sempra Energy      410,106  
  15,404       TECO Energy, Inc.      272,035  
  5,394       Vectren Corp.      207,561  
  5,278       WEC Energy Group, Inc.      237,352  
  13,233       Xcel Energy, Inc.      425,838  
     

 

 

 
        5,979,722  
     

 

 

 

 

Oil, Gas & Consumable Fuels (5.9%):

  

  9,197       Abraxas Petroleum Corp.*      27,131  
  332       Adams Resources & Energy, Inc.      14,807  
  6,084       Alon USA Energy, Inc.      114,988  
  15,235       Anadarko Petroleum Corp.      1,189,244  
  3,651       Antero Resources Corp.*^      125,375  
  8,654       Apache Corp.      498,730  
  7,486       Cabot Oil & Gas Corp.      236,108  
  22,441       California Resources Corp.^      135,544  
  6,635       Callon Petroleum Co.*      55,203  
  4,358       Carrizo Oil & Gas, Inc.*      214,588  
  6,161       Cheniere Energy, Inc.*      426,711  
  40,868       Chevron Corp.      3,942,536  
  4,132       Cimarex Energy Co.      455,801  
  23,855       Cobalt International Energy, Inc.*^      231,632  
  3,107       Concho Resources, Inc.*      353,763  
  32,788       ConocoPhillips      2,013,511  
  6,394       CONSOL Energy, Inc.^      139,006  
  10,259       Continental Resources, Inc.*^      434,879  
  3,623       CVR Energy, Inc.^      136,370  
  10,290       Devon Energy Corp.      612,152  
  8,860       DHT Holdings, Inc.      68,842  
  4,152       Diamondback Energy, Inc.*      312,978  
  4,317       Energen Corp.      294,851  
  6,042       Enlink Midstream LLC      187,846  
  14,408       EOG Resources, Inc.      1,261,420  
  8,400       EP Energy Corp., Class A*^      106,932  
  3,986       EQT Corp.      324,221  
  110,717       Exxon Mobil Corp.      9,211,654  
  4,505       Gaslog, Ltd.^      89,875  
  6,091       Gastar Exploration, Inc.*      18,821  
  5,749       Gulfport Energy Corp.*      231,397  
  2,222       Hallador Energy Co.^      18,531  

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Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

  6,004       Hess Corp.    $ 401,548  
  5,485       HollyFrontier Corp.^      234,155  
  158       Isramco, Inc.*^      21,807  
  29,017       Kinder Morgan, Inc.      1,113,963  
  19,908       Kosmos Energy LLC*      167,824  
  15,266       Marathon Oil Corp.      405,160  
  17,758       Marathon Petroleum Corp.      928,921  
  5,710       Matador Resources Co.*^      142,750  
  10,133       Murphy Oil Corp.      421,229  
  12,093       Newfield Exploration Co.*      436,799  
  8,825       Noble Energy, Inc.      376,651  
  14,751       Occidental Petroleum Corp.      1,147,185  
  8,157       ONEOK, Inc.      322,038  
  1,401       Panhandle Oil & Gas, Inc., Class A^      28,987  
  6,440       PBF Energy, Inc., Class A      183,025  
  2,244       PDC Energy, Inc.*      120,368  
  13,235       Phillips 66      1,066,212  
  2,980       Pioneer Natural Resources Co.      413,296  
  6       PrimeEnergy Corp.*      341  
  10,000       QEP Resources, Inc.      185,100  
  7,470       Range Resources Corp.^      368,869  
  3,344       Renewable Energy Group, Inc.*      38,657  
  7,647       Rice Energy, Inc.*      159,287  
  6,330       RSP Permian, Inc.*^      177,936  
  14,497       Scorpio Tankers, Inc.      146,275  
  1,307       SemGroup Corp., Class A      103,880  
  5,633       SM Energy Co.      259,794  
  10,853       Spectra Energy Corp.      353,808  
  6,282       Synergy Resources Corp.*^      71,803  
  3,164       Targa Resources Corp.^      282,292  
  6,407       Teekay Shipping Corp.      274,348  
  9,185       Tesoro Corp.      775,306  
  14,623       Valero Energy Corp.      915,400  
  8,471       Western Refining, Inc.      369,505  
  5,913       Williams Cos., Inc. (The)*      339,347  
  4,391       World Fuel Services Corp.      210,548  
     

 

 

 
        36,449,861  
     

 

 

 

 

Paper & Forest Products (0.3%):

  

  3,411       Boise Cascade Co.*      125,115  
  1,659       Clearwater Paper Corp.*      95,061  
  575       Deltic Timber Corp.      38,893  
  4,768       Domtar Corp.      197,395  
  10,411       International Paper Co.      495,459  
  9,067       KapStone Paper & Packaging Corp.      209,629  
  8,034       Louisiana-Pacific Corp.*^      136,819  
  5,575       Mercer International, Inc.*      76,266  
  1,274       Neenah Paper, Inc.      75,115  
  7,266       Resolute Forest Products*^      81,743  
  2,301       Schweitzer-Mauduit International, Inc.      91,764  
  2,283       Wausau Paper Corp.      20,958  
     

 

 

 
        1,644,217  
     

 

 

 
 

 

Continued

 

17


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Personal Products (0.3%):

  

  1,611       Coty, Inc., Class A    $ 51,504  
  6,576       Estee Lauder Co., Inc. (The), Class A      569,877  
  5,611       Herbalife, Ltd.*      309,110  
  1,755       Inter Parfums, Inc.      59,547  
  923       Medifast, Inc.*      29,831  
  1,236       Natures Sunshine Products, Inc.      16,995  
  4,808       Nu Skin Enterprises, Inc., Class A      226,601  
  723       Nutraceutical International Corp.*      17,887  
  2,385       Revlon, Inc.*      87,553  
  340       United-Guardian, Inc.      6,494  
     

 

 

 
        1,375,399  
     

 

 

 

 

Pharmaceuticals (3.8%):

  

  42,387       AbbVie, Inc.^      2,847,983  
  3,345       Akorn, Inc.*      146,043  
  8,857       Allergan plc*      2,687,745  
  21,399       Bristol-Myers Squibb Co.      1,423,889  
  1,468       Cumberland Pharmaceuticals, Inc.*      10,496  
  5,309       DepoMed, Inc.*^      113,931  
  18,954       Eli Lilly & Co.      1,582,469  
  2,386       Endo International plc*      190,045  
  2,500       Horizon Pharma plc*      86,850  
  2,184       Impax Laboratories, Inc.*^      100,289  
  1,011       Jazz Pharmaceuticals plc*      178,007  
  53,880       Johnson & Johnson Co.      5,251,144  
  3,447       Lannett Co., Inc.*^      204,890  
  3,376       Mallinckrodt plc*      397,423  
  37,761       Merck & Co., Inc.      2,149,734  
  126,225       Pfizer, Inc.      4,232,324  
  1,490       Pozen, Inc.*^      15,362  
  3,554       Prestige Brands Holdings, Inc.*      164,337  
  2,270       Sciclone Pharmaceuticals, Inc.*      22,291  
  1,667       Sucampo Pharmaceuticals, Inc.*^      27,389  
  1,789       Supernus Pharmaceuticals, Inc.*      30,377  
  2,282       Taro Pharmaceutical Industries, Ltd.*      327,901  
  4,939       The Medicines Co.*^      141,305  
  13,963       Zoetis, Inc.      673,296  
     

 

 

 
        23,005,520  
     

 

 

 

 

Professional Services (0.7%):

  

  3,745       CBIZ, Inc.*      36,102  
  1,503       CDI Corp.      19,539  
  1,900       CEB, Inc.      165,414  
  2,185       Dun & Bradstreet Corp.      266,570  
  3,981       Equifax, Inc.      386,515  
  1,564       Exponent, Inc.      70,036  
  1,105       Franklin Covey Co.*      22,420  
  3,151       FTI Consulting, Inc.*      129,947  
  1,304       GP Strategies Corp.*      43,345  
  1,205       Heidrick & Struggles International, Inc.      31,426  
  3,834       Hill International, Inc.*      20,167  
  1,763       Huron Consulting Group, Inc.*      123,569  
  1,472       ICF International, Inc.*      51,314  
  1,963       IHS, Inc., Class A*      252,501  
  974       Insperity, Inc.      49,577  
  2,263       Kforce, Inc.      51,755  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Professional Services, continued

  

  3,332       Korn/Ferry International    $ 115,854  
  4,477       Manpower, Inc.      400,154  
  1,887       Mistras Group, Inc.*      35,815  
  3,651       Navigant Consulting, Inc.*      54,290  
  10,891       Nielsen Holdings NV      487,590  
  3,930       On Assignment, Inc.*      154,370  
  2,125       Resources Connection, Inc.      34,191  
  5,359       Robert Half International, Inc.      297,425  
  4,146       RPX Corp.*      70,067  
  846       The Advisory Board Co.*      46,251  
  1,973       Towers Watson & Co., Class A      248,203  
  2,713       Trueblue, Inc.*      81,119  
  6,330       Verisk Analytics, Inc., Class A*      460,572  
  840       Volt Information Sciences, Inc.*      8,156  
  412       Vse Corp.      22,046  
  633       Willdan Group, Inc.*      7,077  
     

 

 

 
        4,243,377  
     

 

 

 

 

Real Estate Management & Development (0.3%):

  

  4,112       Alexander & Baldwin, Inc.      162,013  
  11,461       CBRE Group, Inc.*      424,056  
  339       Consolidated-Tomoka Land Co.      19,540  
  2,547       Forestar Group, Inc.*^      33,519  
  232       FRP Holdings, Inc.*      7,524  
  318       Griffin Industrial Realty, Inc.      10,189  
  2,287       Howard Hughes Corp. (The)*      328,275  
  1,690       Jones Lang LaSalle, Inc.      288,990  
  2,112       Marcus & Millichap, Inc.*      97,448  
  6,116       Realogy Holdings Corp.*      285,740  
  1,206       Tejon Ranch Co.*^      31,006  
     

 

 

 
        1,688,300  
     

 

 

 

 

Road & Rail (1.2%):

  

  1,254       AMERCO, Inc.      409,945  
  10,088       Avis Budget Group, Inc.*      444,679  
  2,663       Celadon Group, Inc.      55,071  
  4,940       Con-way, Inc.^      189,548  
  1,699       Covenant Transportation Group, Inc., Class A*      42,577  
  18,370       CSX Corp.      599,781  
  2,892       Genesee & Wyoming, Inc., Class A*      220,313  
  6,907       Heartland Express, Inc.^      139,729  
  4,655       J.B. Hunt Transport Services, Inc.      382,129  
  4,667       Kansas City Southern      425,630  
  6,669       Knight Transportation, Inc.      178,329  
  3,371       Landstar System, Inc.      225,419  
  6,806       Norfolk Southern Corp.      594,572  
  5,574       Old Dominion Freight Line, Inc.*      382,404  
  560       Providence & Worcester Railroad Co.      9,710  
  1,696       Quality Distribution, Inc.*      26,220  
  2,916       Roadrunner Transportation System, Inc.*      75,233  
  5,496       Ryder System, Inc.      480,186  
  1,912       Saia, Inc.*      75,122  
  8,442       Swift Transportation Co.*      191,380  
  23,156       Union Pacific Corp.      2,208,388  
  2,010       Universal Truckload Services, Inc.      44,140  
 

 

Continued

 

18


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Road & Rail, continued

  

  1,023       USA Truck, Inc.*    $ 21,718  
  6,273       Werner Enterprises, Inc.^      164,666  
  1,829       YRC Worldwide, Inc.*      23,740  
     

 

 

 
        7,610,629  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.5%):

  

  2,301       Advanced Energy Industries, Inc.*      63,254  
  2,031       Alpha & Omega Semiconductor, Ltd.*      17,751  
  22,065       Amkor Technology, Inc.*      131,949  
  4,628       Analog Devices, Inc.      297,048  
  16,074       Applied Materials, Inc.      308,942  
  14,580       Atmel Corp.      143,686  
  1,761       Audience, Inc.*^      8,611  
  5,859       Avago Technologies, Ltd.      778,837  
  6,461       Axcelis Technologies, Inc.*      19,125  
  1,701       AXT, Inc.*      4,287  
  4,268       Broadcom Corp., Class A      219,759  
  1,455       Cabot Microelectronics Corp.*      68,545  
  1,087       Cascade Microtech, Inc.*      16,550  
  1,238       Cavium, Inc.*      85,187  
  3,276       Cirrus Logic, Inc.*      111,482  
  1,955       Cohu, Inc.      25,865  
  5,853       Cree, Inc.*^      152,354  
  13,168       Cypress Semiconductor Corp.      154,856  
  3,151       Diodes, Inc.*      75,971  
  7,956       Entegris, Inc.*      115,919  
  2,694       Exar Corp.*      26,347  
  6,221       First Solar, Inc.*      292,263  
  3,261       FormFactor, Inc.*      30,001  
  1,914       GSI Technology, Inc.*      9,972  
  4,477       Integrated Device Technology, Inc.*      97,151  
  156,000       Intel Corp.      4,744,739  
  7,454       Intersil Corp., Class A      93,250  
  2,413       IXYS Corp.      36,919  
  6,380       KLA-Tencor Corp.      358,620  
  3,756       Kopin Corp.*      12,958  
  5,824       Kulicke & Soffa Industries, Inc.*      68,199  
  6,758       Lam Research Corp.      549,762  
  6,641       Lattice Semiconductor Corp.*      39,115  
  8,137       Linear Technology Corp.      359,900  
  1,500       MA-COM Technology Solutions Holdings, Inc.*^      57,375  
  14,845       Marvell Technology Group, Ltd.      195,731  
  3,336       Mattson Technology, Inc.*      11,176  
  5,668       Maxim Integrated Products, Inc.      195,971  
  1,712       Micrel, Inc.      23,797  
  7,635       Microchip Technology, Inc.^      362,090  
  37,362       Micron Technology, Inc.*      703,899  
  4,351       Microsemi Corp.*      152,067  
  3,666       MKS Instruments, Inc.      139,088  
  1,348       Nanometrics, Inc.*      21,730  
  1,500       Neophotonics Corp.*      13,695  
  150       NVE Corp.      11,760  
  23,211       NVIDIA Corp.      466,773  
  25,792       ON Semiconductor Corp.*      301,508  
  1,438       PDF Solutions, Inc.*      23,008  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment, continued

  

  1,300       Pericom Semiconductor Corp.    $ 17,095  
  5,010       Photronics, Inc.*      47,645  
  11,280       PMC-Sierra, Inc.*      96,557  
  633       Power Integrations, Inc.      28,599  
  5,177       Rambus, Inc.*^      75,015  
  2,429       Rudolph Technologies, Inc.*      29,172  
  1,920       Sigma Designs, Inc.*      22,906  
  1,276       Silicon Laboratories, Inc.*^      68,917  
  4,996       Skyworks Solutions, Inc.      520,084  
  3,544       SunEdison, Inc.*^      106,001  
  4,678       Sunpower Corp.*      132,902  
  1,692       Synaptics, Inc.*^      146,756  
  12,215       Teradyne, Inc.      235,627  
  3,173       Tessera Technologies, Inc.      120,511  
  28,221       Texas Instruments, Inc.      1,453,663  
  2,037       Ultratech, Inc.*      37,807  
  3,054       Veeco Instruments, Inc.*^      87,772  
  3,038       Xcerra Corp.*      22,998  
  6,925       Xilinx, Inc.      305,808  
     

 

 

 
        15,754,677  
     

 

 

 

 

Software (3.5%):

  

  7,811       ACI Worldwide, Inc.*^      191,916  
  31,639       Activision Blizzard, Inc.      765,980  
  3,757       Adobe Systems, Inc.*      304,355  
  1,009       American Software, Inc.      9,586  
  2,553       Ansys, Inc.*      232,936  
  3,423       Aspen Technology, Inc.*      155,918  
  2,693       Autodesk, Inc.*      134,852  
  3,601       Avg Technologies NV*      97,983  
  2,272       Aware, Inc.      9,156  
  868       Barracuda Networks, Inc.*^      34,390  
  2,184       Blackbaud, Inc.      124,379  
  25,743       CA, Inc.^      754,012  
  13,802       Cadence Design Systems, Inc.*^      271,347  
  3,207       CDK Global, Inc.      173,114  
  4,211       Citrix Systems, Inc.*      295,444  
  1,329       CommVault Systems, Inc.*      56,363  
  10,164       Electronic Arts, Inc.*      675,906  
  2,135       EPIQ Systems, Inc.      36,039  
  1,083       Evolving Systems, Inc.      9,704  
  1,660       FactSet Research Systems, Inc.^      269,767  
  1,493       Fair Isaac Corp.      135,535  
  1,784       FireEye, Inc.*^      87,255  
  2,244       Fortinet, Inc.*      92,745  
  2,143       Guidewire Software, Inc.*      113,429  
  6,066       Intuit, Inc.      611,271  
  4,396       Manhattan Associates, Inc.*      262,221  
  7,565       Mentor Graphics Corp.      199,943  
  174,189       Microsoft Corp.      7,690,443  
  1,803       Monotype Imaging Holdings, Inc.      43,470  
  716       NetSuite, Inc.*^      65,693  
  18,394       Nuance Communications, Inc.*      322,079  
  62,536       Oracle Corp.      2,520,200  
  4,585       Pegasystems, Inc.      104,951  
 

 

Continued

 

19


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Software, continued

  

  3,354       Progress Software Corp.*    $ 92,235  
  5,078       PTC, Inc.*      208,300  
  581       QAD, Inc.      15,356  
  1,800       QLIK Technologies, Inc.*      62,928  
  4,839       Red Hat, Inc.*      367,425  
  1,240       Rosetta Stone, Inc.*^      9,895  
  6,944       Rovi Corp.*^      110,757  
  4,837       Salesforce.com, Inc.*      336,800  
  2,393       SeaChange International, Inc.*      16,775  
  1,994       ServiceNow, Inc.*      148,174  
  2,152       Solarwinds, Inc.*      99,272  
  5,377       Solera Holdings, Inc.      239,599  
  1,618       Splunk, Inc.*      112,645  
  3,974       SS&C Technologies Holdings, Inc.      248,375  
  38,438       Symantec Corp.      893,684  
  1,959       Synchronoss Technologies, Inc.*      89,585  
  4,352       Synopsys, Inc.*      220,429  
  657       Tableau Software, Inc., Class A*      75,752  
  2,827       Take-Two Interactive Software, Inc.*      77,940  
  3,615       Telecommunication Systems, Inc.*      11,966  
  2,229       Telenav, Inc.*      17,943  
  7,228       TiVo, Inc.*      73,292  
  1,274       Tyler Technologies, Inc.*      164,830  
  1,085       Ultimate Software Group, Inc. (The)*      178,309  
  1,855       Verint Systems, Inc.*      112,682  
  1,108       VMware, Inc., Class A*      95,000  
  1,370       Workday, Inc., Class A*      104,654  
  64,584       Zynga, Inc.*      184,710  
     

 

 

 
        21,221,694  
     

 

 

 

 

Specialty Retail (3.4%):

  

  5,776       Aaron’s, Inc.      209,149  
  2,444       Advance Auto Parts, Inc.^      389,305  
  12,744       American Eagle Outfitters, Inc.^      219,452  
  492       America’s Car Mart, Inc.*      24,265  
  3,894       ANN, Inc.*      188,041  
  2,609       Asbury Automotive Group, Inc.*      236,428  
  13,411       Ascena Retail Group, Inc.*      223,360  
  5,613       AutoNation, Inc.*      353,507  
  600       AutoZone, Inc.*      400,140  
  5,007       Barnes & Noble, Inc.*^      129,982  
  6,137       Bebe Stores, Inc.      12,274  
  7,109       Bed Bath & Beyond, Inc.*^      490,379  
  23,835       Best Buy Co., Inc.^      777,259  
  1,657       Big 5 Sporting Goods Corp.      23,546  
  5,037       Cabela’s, Inc., Class A*^      251,749  
  3,318       Caleres, Inc.      105,446  
  5,783       CarMax, Inc.*^      382,892  
  1,987       Cato Corp.      77,016  
  11,622       Chico’s FAS, Inc.      193,274  
  1,991       Christopher & Banks Corp.*      7,984  
  881       Citi Trends, Inc.*      21,320  
  7,047       CST Brands, Inc.      275,256  
  1,097       Destination Maternity Corp.^      12,791  
  2,864       Destination XL Group, Inc.*      14,349  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Specialty Retail, continued

  

  5,400       Dick’s Sporting Goods, Inc.    $ 279,558  
  5,289       DSW, Inc., Class A      176,494  
  6,313       Express, Inc.*      114,328  
  3,099       Five Below, Inc.*^      122,503  
  6,908       Foot Locker, Inc.^      462,905  
  2,397       Francesca’s Holdings Corp.*      32,288  
  9,167       GameStop Corp., Class A^      393,814  
  14,426       Gap, Inc. (The)^      550,640  
  1,571       Genesco, Inc.*      103,733  
  7,035       GNC Holdings, Inc., Class A      312,917  
  1,600       Group 1 Automotive, Inc.      145,328  
  6,442       Guess?, Inc.      123,493  
  1,166       Haverty Furniture Cos., Inc.      25,209  
  1,874       Hibbett Sports, Inc.*^      87,291  
  35,379       Home Depot, Inc. (The)      3,931,668  
  1,036       Kirkland’s, Inc.      28,873  
  4,361       L Brands, Inc.      373,869  
  1,938       Lithia Motors, Inc., Class A      219,304  
  25,957       Lowe’s Cos., Inc.      1,738,340  
  1,427       MarineMax, Inc.*      33,549  
  1,920       Monro Muffler Brake, Inc.      119,347  
  4,166       Murphy USA, Inc.*      232,546  
  4,842       New York & Co.*      12,977  
  2,903       O’Reilly Automotive, Inc.*      656,020  
  4,181       Pacific Sunwear of California, Inc.*      4,766  
  7,245       Penske Automotive Group, Inc.      377,537  
  1,500       Pep Boys—Manny, Moe & Jack*^      18,405  
  1,904       Perfumania Holdings, Inc.*      10,815  
  2,425       Restoration Hardware Holdings, Inc.*^      236,753  
  11,782       Ross Stores, Inc.      572,723  
  9,608       Sally Beauty Holdings, Inc.*      303,421  
  2,956       Select Comfort Corp.*      88,887  
  600       Shoe Carnival, Inc.      17,316  
  2,201       Signet Jewelers, Ltd.      282,256  
  3,293       Sonic Automotive, Inc., Class A      78,472  
  18,382       Staples, Inc.      281,428  
  3,378       Stein Mart, Inc.      35,368  
  289       Tandy Leather Factory, Inc.      2,485  
  1,389       The Children’s Place Retail Stores, Inc.      90,854  
  3,465       The Finish Line, Inc., Class A      96,396  
  2,754       The Men’s Wearhouse, Inc.      176,449  
  4,460       Tiffany & Co.      409,428  
  854       Tilly’s, Inc.*      8,258  
  18,422       TJX Cos., Inc. (The)      1,218,984  
  5,439       Tractor Supply Co.      489,184  
  737       Trans World Entertainment Corp.*      2,697  
  2,124       Ulta Salon, Cosmetics & Fragrance, Inc.*      328,052  
  10,387       Urban Outfitters, Inc.*      363,545  
  1,993       Vitamin Shoppe, Inc.*      74,279  
  1,842       West Marine, Inc.*      17,757  
  3,702       Williams-Sonoma, Inc.      304,564  
  285       Winmark Corp.      28,073  
  2,204       Zumiez, Inc.*      58,693  
     

 

 

 
        21,274,003  
     

 

 

 
 

 

Continued

 

20


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Technology Hardware, Storage & Peripherals (4.0%):

  

  148,970       Apple, Inc.    $ 18,684,561  
  728       Astro-Med, Inc.      10,418  
  2,354       Avid Technology, Inc.*^      31,402  
  4,877       Diebold, Inc.      170,695  
  1,702       Dot Hill Systems Corp.*      10,416  
  2,635       Electronics for Imaging, Inc.*      114,649  
  51,248       EMC Corp.      1,352,435  
  59,827       Hewlett-Packard Co.      1,795,408  
  3,277       Imation Corp.*      13,305  
  4,528       Lexmark International, Inc., Class A^      200,138  
  12,193       NCR Corp.*      367,009  
  11,788       NetApp, Inc.      372,029  
  4,828       QLogic Corp.*      68,509  
  15,955       Quantum Corp.*      26,804  
  13,127       Seagate Technology plc^      623,533  
  2,313       Super Micro Computer, Inc.*      68,419  
  5,795       Western Digital Corp.      454,444  
     

 

 

 
        24,364,174  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.2%):

  

  4,615       Carter’s, Inc.      490,575  
  484       Cherokee, Inc.      13,639  
  9,539       Coach, Inc.^      330,145  
  3,156       Columbia Sportswear Co.^      190,812  
  4,393       Crocs, Inc.*      64,621  
  810       Culp, Inc.      25,110  
  2,620       Deckers Outdoor Corp.*      188,561  
  4,552       Fossil Group, Inc.*      315,727  
  2,068       G-III Apparel Group, Ltd.*      145,484  
  13,867       Hanesbrands, Inc.      462,048  
  6,072       Kate Spade & Co.*      130,791  
  4,434       Lululemon athletica, Inc.*^      289,540  
  7,990       Michael Kors Holdings, Ltd.*      336,299  
  15,106       Nike, Inc., Class B      1,631,750  
  1,259       Oxford Industries, Inc.      110,100  
  600       Perry Ellis International, Inc.*      14,262  
  2,356       PVH Corp.      271,411  
  2,324       Ralph Lauren Corp.      307,605  
  570       Rocky Brands, Inc.      10,659  
  1,867       Skechers U.S.A., Inc., Class A*      204,978  
  3,826       Steven Madden, Ltd.*      163,676  
  700       Superior Uniform Group, Inc.      11,578  
  4,160       Tumi Holdings, Inc.*      85,363  
  4,837       Under Armour, Inc., Class A*      403,599  
  5,997       VF Corp.      418,231  
  6,221       Wolverine World Wide, Inc.      177,174  
     

 

 

 
        6,793,738  
     

 

 

 

 

Thrifts & Mortgage Finance (0.4%):

  

  493       ASB Bancorp, Inc.*      10,678  
  8,629       Astoria Financial Corp.      118,994  
  3,548       Bank Mutual Corp.      27,213  
  1,591       BankFinancial Corp.      18,742  
  6,285       Beneficial Bancorp, Inc.*      78,500  
  1,121       BofI Holding, Inc.*^      118,501  
  6,407       Brookline Bancorp, Inc.      72,335  
  1,094       Cape Bancorp, Inc.      10,349  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Thrifts & Mortgage Finance, continued

  

  11,921       Capitol Federal Financial, Inc.    $ 143,529  
  1,278       Charter Financial Corp.      15,860  
  618       Chicopee Bancorp, Inc.^      10,191  
  2,063       Clifton Bancorp, Inc.      28,861  
  2,791       Dime Community Bancshares      47,280  
  855       ESSA Bancorp, Inc.      10,995  
  9,408       Everbank Financial Corp.      184,867  
  403       Federal Agricultural Mortgage Corp.      11,711  
  408       First Capital, Inc.^      11,045  
  1,138       First Financial Northwest, Inc.^      14,179  
  4,276       Flagstar Bancorp, Inc.*      79,020  
  883       Fox Chase Bancorp, Inc.      14,940  
  4       Greene County Bancorp, Inc.      114  
  702       HF Financial Corp.      10,649  
  155       Hingham Institution for Savings      17,842  
  1,670       HomeStreet, Inc.*      38,109  
  787       HopFed Bancorp, Inc.      9,310  
  613       IF Bancorp, Inc.      10,133  
  3,333       Kearny Financial Corp.*      37,196  
  1,249       Kentucky First Federal Bancorp      10,467  
  750       Lake Shore Bancorp, Inc.      10,073  
  673       Lake Sunapee Bank Group      9,711  
  767       LaPorte Bancorp, Inc.      10,393  
  759       Malvern Bancorp, Inc.*      11,264  
  4,170       Meridian Bancorp, Inc.*      55,920  
  484       Meta Financial Group, Inc.      20,773  
  12,610       New York Community Bancorp, Inc.^      231,772  
  1,311       Northeast Community Bancorp, Inc.      9,780  
  3,608       Northfield Bancorp, Inc.      54,300  
  7,217       Northwest Bancshares, Inc.      92,522  
  687       Ocean Shore Holding Co.^      10,192  
  1,282       Oceanfirst Financial Corp.      23,909  
  503       Oconee Federal Financial Corp.      8,984  
  3,358       Oritani Financial Corp.      53,896  
  1,218       PennyMac Financial Services, Inc., Class A*      22,070  
  679       Provident Financial Holdings      11,366  
  800       Provident Financial Services, Inc.      15,192  
  925       Pulaski Financial Corp.      11,951  
  420       Riverview Bancorp, Inc.      1,798  
  967       SI Financial Group, Inc.      11,256  
  561       Southern Missouri Bancorp, Inc.      10,575  
  733       Territorial Bancorp, Inc.      17,783  
  11,434       TFS Financial Corp.      192,320  
  7,273       TrustCo Bank Corp.      51,129  
  3,739       United Community Financial Corp.      20,004  
  3,669       United Financial Bancorp, Inc.      49,348  
  8,010       Washington Federal, Inc.^      187,034  
  2,625       Waterstone Financial, Inc.^      34,650  
  2,181       Wawlker & Dunlop, Inc.*      58,320  
  2,142       WSFS Financial Corp.      58,584  
     

 

 

 
        2,518,479  
     

 

 

 
 

 

Continued

 

21


AZL DFA U.S. Core Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Tobacco (0.9%):

  

  52,537       Altria Group, Inc.    $ 2,569,584  
  28,027       Philip Morris International, Inc.      2,246,925  
  9,036       Reynolds American, Inc.      674,628  
  6,643       Vector Group, Ltd.      155,845  
     

 

 

 
        5,646,982  
     

 

 

 

 

Trading Companies & Distributors (0.5%):

  

  7,861       Air Lease Corp.^      266,488  
  3,111       Applied Industrial Technologies, Inc.      123,351  
  3,540       Beacon Roofing Supply, Inc.*      117,599  
  1,592       CAI International, Inc.*      32,779  
  9,739       Fastenal Co.      410,791  
  5,211       HD Supply Holdings, Inc.*      183,323  
  2,907       Huttig Building Products, Inc.*      9,128  
  2,054       Kaman Corp., Class A      86,145  
  3,688       MSC Industrial Direct Co., Inc., Class A      257,312  
  1,194       Stock Building Supply Holdings, Inc.*      23,343  
  2,536       TAL International Group, Inc.^      80,138  
  1,007       TransAct Technologies, Inc.*      9,516  
  5,760       United Rentals, Inc.*      504,691  
  1,184       Veritiv Corp.*      43,169  
  2,272       W.W. Grainger, Inc.^      537,668  
  2,481       Watsco, Inc.      306,999  
  84       Watsco, Inc., Class B      10,382  
  2,955       WESCO International, Inc.*^      202,831  
     

 

 

 
        3,205,653  
     

 

 

 

 

Transportation Infrastructure (0.0%):

  

  7,384       WESCO Aircraft Holdings, Inc.*^      111,868  
     

 

 

 

 

Water Utilities (0.1%):

  

  2,327       American States Water Co.      87,007  
  5,047       American Water Works Co., Inc.      245,436  
  10,248       Aqua America, Inc.      250,974  
  491       Artesian Resources Corp.      10,355  
  2,891       California Water Service Group      66,059  
  665       Connecticut Water Service, Inc.^      22,716  
  979       Middlesex Water Co.      22,086  
  669       Pure Cycle Corp.*^      3,479  
  1,234       SJW Corp.      37,871  
  772       The York Water Co.      16,104  
     

 

 

 
        762,087  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Wireless Telecommunication Services (0.2%):

  

  2,055       Boingo Wireless, Inc.*    $ 16,974  
  3,617       SBA Communications Corp., Class A*      415,847  
  2,077       Shenandoah Telecommunications Co.      71,096  
  1,649       Spok Holdings, Inc.      27,769  
  6,397       Telephone & Data Systems, Inc.      188,072  
  6,899       T-Mobile US, Inc.*      267,474  
  1,288       United States Cellular Corp.*      48,519  
     

 

 

 
        1,035,751  
     

 

 

 

 

Total Common Stocks (Cost $622,551,004)

     608,516,673  
     

 

 

 

 

Right (0.0%):

  

 

Real Estate Investment Trusts (0.0%):

  

  4,464       Seritage Growth Properties*       
     

 

 

 

 

Total Right (Cost $—)

      
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (7.5%):

  

$ 45,983,819       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     45,983,819  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $45,983,819)

     45,983,819  
     

 

 

 

 

Unaffiliated Investment Company (0.4%):

  

  2,314,583       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      2,314,583  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $2,314,583)

     2,314,583  
     

 

 

 

 

Total Investment Securities (Cost $670,849,406)(c) — 107.5%

     656,815,075  

 

Net other assets (liabilities) — (7.5)%

     (46,030,654
     

 

 

 

 

Net Assets — 100.0%

   $ 610,784,421  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $45,139,390.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

22


AZL DFA U.S. Core Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 670,849,406  
    

 

 

 

Investment securities, at value*

     $ 656,815,075  

Cash

       2,912  

Interest and dividends receivable

       574,818  

Receivable for capital shares issued

       131,962  

Receivable for investments sold

       471,154  

Reclaims receivable

       854  
    

 

 

 

Total Assets

       657,996,775  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       772,102  

Payable for collateral received on loaned securities

       45,983,819  

Manager fees payable

       277,253  

Administration fees payable

       15,864  

Distribution fees payable

       128,358  

Custodian fees payable

       20,911  

Administrative and compliance services fees payable

       888  

Trustee fees payable

       3,515  

Other accrued liabilities

       9,644  
    

 

 

 

Total Liabilities

       47,212,354  
    

 

 

 

Net Assets

     $ 610,784,421  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 623,268,497  

Accumulated net investment income/(loss)

       1,381,758  

Accumulated net realized gains/(losses) from investment transactions

       168,497  

Net unrealized appreciation/(depreciation) on investments

       (14,034,331 )
    

 

 

 

Net Assets

     $ 610,784,421  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       62,312,866  

Net Asset Value (offering and redemption price per share)

     $ 9.80  
    

 

 

 

 

* Includes securities on loan of $45,139,390.

Statement of Operations

For the Period Ended June 30, 2015 (a)

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,348,864  

Income from securities lending

       2,792  

Foreign withholding tax

       (1,137 )
    

 

 

 

Total Investment Income

       2,350,519  
    

 

 

 

Expenses:

    

Manager fees

       901,174  

Administration fees

       39,548  

Distribution fees

       281,616  

Custodian fees

       22,620  

Administrative and compliance services fees

       960  

Trustee fees

       5,001  

Professional fees

       4,616  

Shareholder reports

       4,760  

Other expenses

       1,348  
    

 

 

 

Total expenses before reductions

       1,261,643  

Less expenses voluntarily waived/reimbursed by the Manager

       (292,882 )
    

 

 

 

Net expenses

       968,761  
    

 

 

 

Net Investment Income/(Loss)

       1,381,758  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       168,497  

Change in net unrealized appreciation/depreciation on investments

       (14,034,331 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (13,865,834 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (12,484,076 )
    

 

 

 

 

(a) For the period April 27, 2015 (commencement of operations) to June 30, 2015.
 

 

See accompanying notes to the financial statements.

 

23


Statement of Changes in Net Assets

 

     AZL DFA U.S. Core Equity Fund
      April 27, 2015
to
June 30, 2015 (a)
     (Unaudited)

Change In Net Assets:

    

Operations:

    

Net investment income/(loss)

     $ 1,381,758  

Net realized gains/(losses) on investment transactions

       168,497  

Change in unrealized appreciation/depreciation on investments

       (14,034,331 )
    

 

 

 

Change in net assets resulting from operations

       (12,484,076 )
    

 

 

 

Capital Transactions:

    

Proceeds from shares issued

       659,030,866  

Value of shares redeemed

       (35,762,369 )
    

 

 

 

Change in net assets resulting from capital transactions

       623,268,497  
    

 

 

 

Change in net assets

       610,784,421  

Net Assets:

    

Beginning of period

        
    

 

 

 

End of period

     $ 610,784,421  
    

 

 

 

Accumulated net investment income/(loss)

     $ 1,381,758  
    

 

 

 

Share Transactions:

    

Shares issued

       65,904,464  

Shares redeemed

       (3,591,598 )
    

 

 

 

Change in shares

       62,312,866  
    

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

24


AZL DFA U.S. Core Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

April 27, 2015
to

June 30, 2015 (a)

     (Unaudited)

Net Asset Value, Beginning of Period

     $ 10.00  
    

 

 

 

Investment Activities:

    

Net Investment Income/(Loss)

       0.02  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.22 )
    

 

 

 

Total from Investment Activities

       (0.20 )
    

 

 

 

Net Asset Value, End of Period

     $ 9.80  
    

 

 

 

Total Return(b)

       (2.00 )%(c)

Ratios to Average Net Assets/Supplemental Data:

    

Net Assets, End of Period (000’s)

     $ 610,784  

Net Investment Income/(Loss)(d)

       1.23 %

Expenses Before Reductions(d) (e)

       1.12 %

Expenses Net of Reductions(d)

       0.86 %

Portfolio Turnover Rate

       3 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

25


AZL DFA U.S. Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when

 

26


AZL DFA U.S. Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $28.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $1,160 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL DFA U.S. Core Equity Fund

         0.80 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.54% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $482 was paid from the Fund relating to these fees and expenses.

 

27


AZL DFA U.S. Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:    Level 1    Level 2    Total
                

Common Stocks+

     $ 608,516,673        $        $ 608,516,673  

Right

                ^        ^

Securities Held as Collateral for Securities on Loan

                45,983,819          45,983,819  

Unaffiliated Investment Company

       2,314,583                   2,314,583  
    

 

 

      

 

 

      

 

 

 

Total Investment Securities

     $ 610,831,256        $ 45,983,819        $ 656,815,075  
    

 

 

      

 

 

      

 

 

 

 

+ 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, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 16,915,497          $ 27,536,760  

 

28


AZL DFA U.S. Core Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $670,849,406. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 13,407,883   

Unrealized depreciation

    (27,442,214
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (14,034,331
 

 

 

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 20015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

29


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

30


Approval of Investment Advisory and Subadvisory Agreement (Unaudited)

The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 36 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.

In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.

The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.

In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.

As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.

The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.

The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.

The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.

The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.

At an “in-person” Board of Trustees meeting held June 11, 2014, the Board authorized the creation of five new series of the Trust, to be managed by Dimensional Fund Advisors LP: AZL DFA U.S. Core Equity Fund, AZL DFA U.S. Small Cap Fund, AZL DFA International Core Equity Fund, AZL DFA Emerging Markets Core Equity Fund, and AZL DFA Five-Year Global Fixed Income Fund (collectively, the “DFA Funds”). The Advisory and Subadvisory Agreements pertaining to the DFA Funds (collectively, the “Agreements”) were approved at the Board of Trustees meeting of June 11, 2014. (The Subadvisory Agreement is between the Manager and Dimensional Fund Advisors LP (“DFA”), the Subadviser to the DFA Funds.)

At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2016. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives to that of the DFA Funds, derived from data compiled by an independent third party provider and other sources believed to be reliable by the

 

31


Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the DFA Funds, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.

An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:

(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser.

The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.

The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.

The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the June 11, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the DFA Funds under the Agreements.

(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. In connection with the Board of Trustees meeting held June 11, 2014, the Manager reported that for funds managed by DFA with investment objectives and policies similar to those of the DFA Funds, for various periods ended March 31, 2014, such funds’ total returns compared favorably to each fund’s benchmark and respective peer group. At the Board of Trustees meeting held June 11, 2014, the Trustees determined that the overall investment performance of such funds was acceptable.

(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the DFA Funds are subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth management fees and total fees after taking expense caps into account. Based upon the information provided, the management fee payable by the DFA Funds to the Manager would range from the 5th percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 28th percentile (AZL DFA International Core Equity Fund). The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the DFA Funds is not unreasonable.

The Manager also supplied information to the Board of Trustees pertaining to total anticipated DFA Funds expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by each Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the DFA Funds ranged from the 1st percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 50th percentile (AZL DFA Emerging Markets Core Equity Fund).

The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the DFA Funds was not unreasonable.

At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. Subsequently, at an in-person meeting held on October 21, 2014, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2014. (The DFA Funds did not commence operations until April 27, 2015.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2015, the Trustees will receive information on the Manager’s level of profitability from its relationship with the DFA Funds.

The Manager, on behalf of the Board of Trustees, endeavors to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager is unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it, including DFA, were negotiated on an “arm’s length” basis, so that arguably, such profitability information should be less relevant. At the June 11, 2014 meeting, the Trustees were provided with certain financial information bearing on the profitability of

 

32


DFA; information regarding the profitability to DFA of the DFA Funds was not available because those Funds had not yet commenced operations. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization.

Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to DFA from being the Subadviser to the DFA Funds was excessive.

(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the DFA Funds does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the DFA Funds had no assets as of June 11, 2014.

The Trustees noted that the Manager has agreed temporarily to reduce the management fee of each DFA Fund and to “cap” DFA Fund expenses at certain levels, each of which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee reductions and expense “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2015, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.

Having taken these factors into account, the Trustees concluded at the June 11, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the DFA Funds was acceptable under the circumstances.

 

33


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® DFA U.S. Small Cap Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 17

Statement of Operations

Page 17

Statement of Changes in Net Assets

Page 18

Financial Highlights

Page 19

Notes to the Financial Statements

Page 20

Other Information

Page 24

Approval of Investment Advisory and Subadvisory Agreement

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 DFA U.S. Small Cap Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL DFA U.S. Small Cap Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
4/27/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
4/27/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
4/27/15 -  6/30/15

AZL DFA U.S. Small Cap Fund

       $ 1,000.00          $ 998.00          $ 1.96            1.10 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15**
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL DFA U.S. Small Cap Fund

       $ 1,000.00          $ 1,019.34          $ 5.51            1.10 %

 

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of the days in the most recent fiscal half-year divided by the number of the days in fiscal year (to reflect one half-year period). Information shown reflects values using the expense ratios for the 65 days of operations during the period, and has been annualized to reflect values for the period April 27, 2015 to June 30, 2015.

 

** Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Financials

      21.4 %

Consumer Discretionary

      17.8  

Industrials

      17.7  

Information Technology

      17.0  

Health Care

      8.9  

Materials

      5.4  

Consumer Staples

      3.9  

Utilities

      3.8  

Energy

      2.9  

Telecommunication Services

      1.1  
   

 

 

 

Total Common Stocks

      99.9  

Right

      ^

Securities Held as Collateral for Securities on Loan

      20.1  
   

 

 

 

Total Investment Securities

      120.0  

Net other assets (liabilities)

      (20.0 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks (99.9%):

  

 

Aerospace & Defense (1.6%):

  

  1,500       AAR Corp.    $ 47,805  
  13,216       Aerojet Rocketdyne Holdings, Inc.*^      272,382  
  4,246       AeroVironment, Inc.*      110,736  
  1,402       Air Industries Group^      14,230  
  1,481       American Science & Engineering, Inc.      64,883  
  5,128       Arotech Corp.*      12,358  
  3,669       Astronics Corp.*      260,095  
  3,937       Astrotech Corp.*^      10,669  
  1,720       Breeze-Eastern Corp.*      19,780  
  685       CPI Aerostructures, Inc.*      6,857  
  4,688       Cubic Corp.      223,055  
  14,847       DigitalGlobe, Inc.*      412,598  
  3,591       Engility Holdings, Inc.*      90,350  
  3,376       Innovative Solutions & Support, Inc.*^      11,141  
  9,336       KLX, Inc.*      411,998  
  11,895       Kratos Defense & Security Solutions, Inc.*      74,939  
  2,710       LMI Aerospace, Inc.*^      27,127  
  6,372       Moog, Inc., Class A*      450,373  
  66       Moog, Inc., Class B*      4,606  
  1,389       National Presto Industries, Inc.^      111,564  
  10,722       TASER International, Inc.*^      357,150  
  633       Tel-Instrument Electronics Corp.*      3,102  
  7,544       The KEYW Holding Corp.*^      70,310  
  8,022       Triumph Group, Inc.      529,371  
     

 

 

 
        3,597,479  
     

 

 

 

 

Air Freight & Logistics (0.6%):

  

  492       Air T, Inc.*      10,312  
  13,145       Air Transport Services Group, Inc.*      137,891  
  2,000       Atlas Air Worldwide Holdings, Inc.*      109,920  
  4,550       Echo Global Logistics, Inc.*^      148,603  
  5,960       Forward Air Corp.      311,470  
  7,031       Hub Group, Inc.*^      283,631  
  2,501       Park-Ohio Holdings Corp.      121,198  
  5,212       Radiant Logistics, Inc.*^      38,100  
  20,084       UTI Worldwide, Inc.*^      200,639  
     

 

 

 
        1,361,764  
     

 

 

 

 

Airlines (0.4%):

  

  3,655       Allegiant Travel Co.      650,151  
  11,276       Hawaiian Holdings, Inc.*^      267,805  
     

 

 

 
        917,956  
     

 

 

 

 

Auto Components (1.4%):

  

  16,245       American Axle & Manufacturing Holdings, Inc.*^      339,683  
  12,162       Cooper Tire & Rubber Co.      411,440  
  3,437       Cooper-Standard Holding, Inc.*^      211,272  
  6,147       Dorman Products, Inc.*^      292,966  
  4,932       Drew Industries, Inc.      286,155  
  18,417       Federal Mogul Holdings Corp.*      209,033  
  7,561       Fox Factory Holding Corp.*      121,581  
  3,880       Fuel Systems Solutions, Inc.*^      29,022  
  8,096       Gentherm, Inc.*      444,552  
  9,677       Modine Manufacturing Co.*      103,834  
  3,617       Motorcar Parts of America, Inc.*      108,836  
  6,439       Remy International, Inc.      142,366  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Auto Components, continued

  

  6,847       Spartan Motors, Inc.^    $ 31,359  
  4,319       Standard Motor Products, Inc.      151,683  
  5,611       Stoneridge, Inc.*      65,705  
  733       Strattec Security Corp.      50,357  
  4,211       Tower International, Inc.*      109,697  
     

 

 

 
        3,109,541  
     

 

 

 

 

Automobiles (0.1%):

  

  4,949       Winnebago Industries, Inc.^      116,747  
     

 

 

 

 

Banks (12.6%):

  

  1,509       1st Constitution Bancorp*      17,338  
  4,983       1st Source Corp.      170,020  
  2,101       Access National Corp.      40,843  
  410       ACNB Corp.^      8,532  
  636       Ameriana Bancorp      13,540  
  1,757       American National Bankshares, Inc.      41,834  
  346       American River Bankshares*      3,225  
  6,527       Ameris Bancorp      165,068  
  1,649       Ames National Corp.^      41,390  
  294       Anchor Bancorp, Inc.*      6,612  
  2,553       Arrow Financial Corp.      69,008  
  31,013       Associated Banc-Corp.^      628,633  
  13       Auburn National Bancorp, Inc.      336  
  7,085       Banc of California, Inc.      97,419  
  2,586       BancFirst Corp.      169,254  
  736       Bancorp of New Jersey, Inc.      8,471  
  20,515       BancorpSouth, Inc.      528,466  
  2,653       Bank of Commerce Holdings      15,202  
  8,604       Bank of Hawaii Corp.^      573,715  
  1,200       Bank of Marin Bancorp      61,044  
  401       Bank of South Carolina Corp.      6,637  
  4,504       Banner Corp.      215,877  
  1,220       Bar Harbor Bankshares      43,225  
  1,367       Bay Bancorp, Inc.*      6,999  
  837       Baylake Corp.      10,588  
  16,299       BBCN Bancorp, Inc.      241,062  
  595       BCB Bancorp, Inc.      7,271  
  5,074       Berkshire Hills Bancorp, Inc.      144,508  
  6,571       BNC Bancorp      127,017  
  16,835       Boston Private Financial Holdings, Inc.      225,757  
  2,370       Bridge Bancorp, Inc.      63,255  
  3,533       Bryn Mawr Bank Corp.      106,555  
  1,659       BSB Bancorp, Inc.*      36,680  
  74       C&F Financial Corp.      2,742  
  1,496       Camden National Corp.      57,895  
  5,718       Capital Bank Financial Corp.*      166,222  
  3,483       Capital City Bank Group, Inc.^      53,185  
  5,943       Cardinal Financial Corp.      129,498  
  694       Carolina Bank Holdings, Inc.*      8,408  
  14,611       Cascade Bancorp*      75,685  
  16,348       Cathay General Bancorp      530,493  
  9,115       Centerstate Banks, Inc.      123,144  
  7,528       Central Pacific Financial Corp.      178,790  
  1,141       Central Valley Community Bancorp      13,498  
  511       Century Bancorp, Inc.      20,777  
 

 

Continued

 

2


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Banks, continued

  

  6,584       Chemical Financial Corp.    $ 217,667  
  940       Chemung Financial Corp.      24,891  
  2,509       Citizens & Northern Corp.^      51,560  
  261       Citizens First Corp.*      3,263  
  718       Citizens Holding Co.      14,920  
  2,767       City Holding Co.^      136,275  
  797       Civista Bancshares, Inc.      8,608  
  2,916       CNB Financial Corp.      53,654  
  993       Coastway Bancorp, Inc.*      11,191  
  7,635       CoBiz Financial, Inc.      99,789  
  69       Codorus Valley Bancorp, Inc.      1,396  
  56       Colony Bankcorp, Inc.*      504  
  12,090       Columbia Banking System, Inc.      393,409  
  154       Community Bank shares of Indiana, Inc.      4,215  
  7,905       Community Bank System, Inc.^      298,572  
  3,296       Community Bankers Trust Corp.*      16,381  
  3,524       Community Trust Bancorp, Inc.      122,882  
  525       Community West Bancshares      3,465  
  1,609       CommunityOne Bancorp*^      17,329  
  6,029       ConnectOne Bancorp, Inc.      129,804  
  3,386       CU Bancorp*      75,034  
  5,436       Customers Bancorp, Inc.*      146,174  
  21,679       CVB Financial Corp.^      381,767  
  130       DNB Financial Corp.      3,294  
  609       Eagle Bancorp Montana, Inc.      6,565  
  6,675       Eagle Bancorp, Inc.*      293,433  
  2,246       Eastern Virginia Bankshares, Inc.      14,172  
  4,068       Enterprise Financial Services Corp.      92,628  
  534       Evans Bancorp, Inc.      12,950  
  33,855       F.N.B. Corp.      484,804  
  1,185       Farmers Capital Bank Corp.*      33,690  
  2,817       Farmers National Banc Corp.      23,240  
  242       Fauquier Bankshares, Inc.      3,845  
  4,354       Fidelity Southern Corp.      75,934  
  2,803       Financial Institutions, Inc.      69,627  
  3,983       First Bancorp      66,436  
  40,945       First Bancorp*      197,355  
  2,165       First Bancorp, Inc.^      42,088  
  16,090       First Busey Corp.      105,711  
  884       First Business Financial Services, Inc.      41,442  
  57       First Capital Bancorp, Inc.      244  
  2,247       First Citizens BancShares, Inc., Class A^      591,051  
  2,100       First Commonwealth Financial Corp.      20,139  
  3,775       First Community Bankshares      68,781  
  3,237       First Connecticut Bancorp, Inc.      51,371  
  11,758       First Financial Bancorp      210,939  
  12,499       First Financial Bankshares, Inc.^      432,965  
  2,573       First Financial Corp.      92,010  
  3,959       First Interstate BancSystem      109,823  
  7,162       First Merchants Corp.      176,901  
  15,325       First Midwest Bancorp, Inc.      290,715  
  3,698       First NBC Bank Holding Co.*      133,128  
  2,085       First Niagara Financial Group, Inc.      19,682  
  28       First Savings Financial Group      833  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Banks, continued

  

  888       First South Bancorp    $ 7,015  
  208       First United Corp.*      1,801  
  347       First West Virginia Bancorp      7,658  
  5,995       Flushing Financial Corp.      125,955  
  35,320       Fulton Financial Corp.      461,279  
  2,665       German American Bancorp, Inc.^      78,484  
  13,638       Glacier Bancorp, Inc.      401,230  
  2,755       Great Southern Bancorp, Inc.      116,096  
  4,164       Guaranty Bancorp      68,748  
  13,653       Hancock Holding Co.^      435,667  
  5,973       Hanmi Financial Corp.      148,369  
  37       Hawthorn Bancshares, Inc.      536  
  4,180       Heartland Financial USA, Inc.      155,580  
  6,099       Heritage Financial Corp.      108,989  
  6,833       Heritage Oaks Bancorp      53,776  
  5,347       Hertiage Commerce Corp.      51,385  
  19,578       Hilltop Holdings, Inc.*      471,634  
  14,540       Home Bancshares, Inc.      531,582  
  4,096       Hometrust Bancshares, Inc.*      68,649  
  1,862       Horizon Bancorp      46,476  
  6,722       IBERIABANK Corp.      458,642  
  5,640       Independent Bank Corp.      264,460  
  3,427       Independent Bank Group, Inc.^      147,018  
  12,421       International Bancshares Corp.      333,752  
  234       Jacksonville Bancorp, Inc.*^      3,054  
  7,529       Lakeland Bancorp, Inc.      89,520  
  3,357       Lakeland Financial Corp.      145,593  
  677       Landmark Bancorp, Inc.      16,424  
  1,512       LCNB Corp.      24,502  
  8,718       LegacyTexas Financial Group, Inc.      263,284  
  5,613       Macatawa Bank Corp.^      29,749  
  1,048       Mackinac Financial Corp.^      11,035  
  4,372       Mainsource Financial Group, Inc.      95,965  
  15,664       MB Financial, Inc.      539,468  
  1,565       MBT Financial Corp.*      8,983  
  3,441       Mercantile Bank Corp.      73,672  
  1,252       Merchants Bancshares, Inc.      41,404  
  2,878       Metro Bancorp, Inc.      75,231  
  303       Middleburg Financial Corp.      5,454  
  1,548       MidWestone Financial Group, Inc.      50,960  
  663       Monarch Financial Holdings, Inc.      8,321  
  892       MutualFirst Financial, Inc.      20,721  
  7,014       National Bank Holdings Corp.      146,102  
  1,309       National Bankshares, Inc.      38,301  
  28,072       National Penn Bancshares, Inc.      316,652  
  8,052       NBT Bancorp, Inc.^      210,721  
  7,298       Newbridge Bancorp      65,171  
  1,136       Northeast Bancorp      11,303  
  1,357       Northrim Bancorp, Inc.^      34,780  
  406       Norwood Financial Corp.^      11,904  
  8,023       OFG Bancorp^      85,605  
  183       Ohio Valley Banc Corp.      4,141  
  2,179       Old Line Bancshares, Inc.      34,624  
  23,331       Old National Bancorp^      337,366  
 

 

Continued

 

3


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Banks, continued

  

  1,004       Old Point Financial Corp.    $ 15,693  
  3,314       Old Second Bancorp, Inc.*      21,872  
  1,398       Orrstown Financial Services, Inc.      22,620  
  3,562       Pacific Continental Corp.      48,194  
  1,718       Pacific Mercantile Bancorp*      13,040  
  4,379       Pacific Premier Bancorp, Inc.*      74,268  
  1,200       Palmetto Bancshares, Inc.^      23,724  
  3,060       Park National Corp.^      267,352  
  8,984       Park Sterling Corp.      64,685  
  1,119       Parke Bancorp, Inc.      14,357  
  3,098       Peapack-Gladstone Financial Corp.      68,838  
  968       Penns Woods Bancorp, Inc.      42,679  
  395       Peoples Bancorp      7,244  
  3,620       Peoples Bancorp, Inc.      84,491  
  7,783       Pinnacle Financial Partners, Inc.      423,162  
  5       Polonia Bancorp, Inc.*      63  
  2,669       Preferred Bank Los Angeles      80,203  
  869       Premier Financial Bancorp, Inc.      13,426  
  15,116       PrivateBancorp, Inc.      601,919  
  1,199       QCR Holdings, Inc.      26,090  
  5,959       Renasant Co.^      194,263  
  2,685       Republic Bancorp, Inc.      69,005  
  7,724       Republic First Bancorp, Inc.*^      26,802  
  6,576       S & T Bancorp, Inc.      194,584  
  320       Salisbury Bancorp, Inc.      9,984  
  4,544       Sandy Spring Bancorp, Inc.      127,141  
  552       SB Financial Group, Inc.      5,846  
  6,664       Seacoast Banking Corp.*      105,291  
  1,252       Select Bancorp, Inc.*      8,889  
  2,539       Shore Bancshares, Inc.*      23,943  
  2,735       Sierra Bancorp      47,343  
  6,039       Simmons First National Corp., Class A      281,901  
  5,228       South State Corp.^      397,276  
  1,376       Southcoast Financial Corp.*      11,118  
  562       Southern First Bancshares, Inc.*      10,060  
  892       Southern National Bancorp      9,883  
  5,016       Southside Bancshares, Inc.^      146,618  
  3,850       Southwest Bancorp      71,649  
  88       Southwest Georgia Financial Corp.      1,232  
  7,208       State Bank Financial Corp.      156,414  
  17,714       Sterling Bancorp^      260,396  
  690       Stewardship Financial Corp.      4,164  
  2,904       Stock Yards Bancorp, Inc.^      109,742  
  2,351       Suffolk Bancorp      60,327  
  682       Summit Financial Group, Inc.      7,645  
  963       Summit State Bank      12,630  
  2,320       Sun Bancorp, Inc.*      44,660  
  625       Sussex Bancorp      7,531  
  4,481       Talmer Bancorp, Inc., Class A      75,057  
  34,497       TCF Financial Corp.      572,995  
  7,999       Texas Capital Bancshares, Inc.*      497,858  
  7,531       The Bancorp, Inc.*      69,888  
  965       The First Bancshares, Inc.      16,067  
  2,791       The First of Long Island Corp.      77,367  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Banks, continued

  

  2,982       Tompkins Financial Corp.    $ 160,193  
  10,421       TowneBank^      169,758  
  4,592       TriCo Bancshares      110,438  
  5,730       Tristate Capital Holdings, Inc.*^      74,089  
  13,556       Trustmark Corp.^      338,629  
  94       Two River Bancorp      859  
  8,136       UMB Financial Corp.^      463,915  
  8,368       Union Bankshares Corp.^      194,472  
  249       Union Bankshares, Inc.      6,506  
  450       United Bancshares, Inc.      7,052  
  13,802       United Bankshares, Inc.      555,254  
  3,015       United Community Banks, Inc.      62,923  
  847       United Security Bancshares*      4,269  
  908       United Security Bancshares, Inc.      7,309  
  38       Unity Bancorp, Inc.      372  
  4,045       Univest Corp.      82,356  
  41,250       Valley National Bancorp^      425,288  
  3,386       Washington Trust Bancorp      133,679  
  435       WashingtonFirst Bankshare, Inc.      7,312  
  127       Wellesley Bank      2,508  
  7,424       WesBanco, Inc.^      252,564  
  3,230       West Bancorp      64,083  
  4,438       Westamerica Bancorp      224,785  
  20,614       Western Alliance Bancorp*      695,928  
  15,835       Wilshire Bancorp, Inc.      199,996  
  9,711       Wintrust Financial Corp.      518,373  
  190       Xenith Bankshares, Inc.*      1,142  
  6,236       Yadkin Financial Corp.*      130,644  
     

 

 

 
        29,103,240  
     

 

 

 

 

Beverages (0.2%):

  

  1,449       Coca-Cola Bottling Co. Consolidated^      218,900  
  3,530       MGP Ingredients, Inc.      59,375  
  5,334       National Beverage Corp.*      119,962  
  985       Willamette Valley Vineyards, Inc.*      6,816  
     

 

 

 
        405,053  
     

 

 

 

 

Biotechnology (1.1%):

  

  5,648       Anthera Pharmaceuticals, Inc.*      48,686  
  1,372       Biospecifics Technologies Corp.*      70,795  
  7,111       Biota Pharmaceuticals, Inc.*      14,720  
  4,008       Celsion Corp.*      9,419  
  7,692       Emergent Biosolutions, Inc.*      253,451  
  3,411       Enanta Pharmaceuticals, Inc.*^      153,461  
  7,434       Fortress Biotech, Inc.*^      24,978  
  592       ImmuCell Corp.*      4,706  
  14,148       Insys Therapeutics, Inc.*^      508,196  
  4,164       Ligand Pharmaceuticals, Inc., Class B*^      420,148  
  16,473       Myriad Genetics, Inc.*^      559,917  
  5,759       Newlink Genetics Corp.*      254,951  
  4,602       Oncogenex Pharmaceutical, Inc.*      10,723  
  30,069       PDL BioPharma, Inc.^      193,344  
  6,973       Targacept, Inc.*      19,455  
  5,663       Tenax Therapeutics, Inc.*      20,896  
     

 

 

 
        2,567,846  
     

 

 

 
 

 

Continued

 

4


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Building Products (1.3%):

  

  9,974       AAON, Inc.    $ 224,614  
  3,236       American Woodmark Corp.*      177,495  
  6,299       Apogee Enterprises, Inc.      331,579  
  6,453       Armstrong World Industries, Inc.*      343,817  
  19,975       Builders FirstSource, Inc.*^      256,479  
  308       Continental Materials Corp.*      4,666  
  2,959       Insteel Industries, Inc.      55,333  
  13,446       NCI Building Systems, Inc.*      202,631  
  3,310       Nortek, Inc.*      275,160  
  3,163       Patrick Industries, Inc.*      120,352  
  9,618       PGT, Inc.*      139,557  
  12,217       Ply Gem Holdings, Inc.*^      144,038  
  6,579       Quanex Building Products Corp.      140,988  
  10,108       Simpson Manufacturing Co., Inc.      343,673  
  6,540       Trex Co., Inc.*^      323,272  
     

 

 

 
        3,083,654  
     

 

 

 

 

Capital Markets (1.6%):

  

  8,841       Cohen & Steers, Inc.^      301,301  
  674       Diamond Hill Investment Group      134,571  
  10,388       Financial Engines, Inc.^      441,282  
  1,290       GAMCO Investors, Inc., Class A      88,636  
  5,280       Greenhill & Co., Inc.      218,222  
  302       Hennessy Advisors, Inc.      5,693  
  7,817       HFF, Inc., Class A      326,203  
  11,065       Interactive Brokers Group, Inc., Class A      459,862  
  3,702       INTL FCStone, Inc.*      123,054  
  21,183       KCG Holdings, Inc.*^      261,186  
  37,431       Ladenburg Thalmann Financial Services, Inc.*^      131,009  
  2,724       Oppenheimer Holdings, Class A      71,587  
  2,624       Pzena Investment Management, Inc.      28,995  
  4,108       Safeguard Scientifics, Inc.*      79,942  
  1,619       Silvercrest Asset Management Group, Inc., Class A^      22,763  
  2,746       U.S. Global Investors, Inc., Class A^      7,634  
  7,236       Walter Investment Management Corp.*^      165,487  
  1,678       Westwood Holdings, Inc.      99,958  
  30,503       WisdomTree Investments, Inc.^      669,999  
     

 

 

 
        3,637,384  
     

 

 

 

 

Chemicals (2.5%):

  

  5,533       A. Schulman, Inc.      241,903  
  6,167       American Vanguard Corp.^      85,105  
  12,413       Axiall Corp.      447,489  
  5,569       Balchem Corp.      310,305  
  12,659       Cabot Corp.      472,053  
  10,693       Calgon Carbon Corp.      207,230  
  1,278       Chase Corp.^      50,801  
  14,398       Chemtura Corp.*      407,607  
  1,539       Core Molding Technologies, Inc.*      35,151  
  8,570       Futurefuel Corp.      110,296  
  10,258       H.B. Fuller Co.      416,680  
  2,133       Hawkins, Inc.      86,152  
  3,915       Innophos Holdings, Inc.      206,086  
  4,476       Innospec, Inc.      201,599  
  14,475       Intrepid Potash, Inc.*^      172,832  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Chemicals, continued

  

  2,259       KMG Chemicals, Inc.^    $ 57,469  
  6,900       Kraton Performance Polymers, Inc.*      164,772  
  14,416       Kronos Worldwide, Inc.^      157,999  
  4,373       LSB Industries, Inc.*      178,593  
  6,222       Minerals Technologies, Inc.      423,905  
  893       Northern Technologies International Corp.*      14,377  
  17,830       Olin Corp.^      480,518  
  9,435       Omnova Solutions, Inc.*      70,668  
  2,538       Quaker Chemical Corp.      225,476  
  200       Sensient Technologies Corp.      13,668  
  4,494       Stepan Co.      243,170  
  279       TOR Minerals International, Inc.*      1,744  
  4,945       Trecora Resources*      74,670  
  11,730       Tronox, Ltd., Class A      171,610  
     

 

 

 
        5,729,928  
     

 

 

 

 

Commercial Services & Supplies (3.1%):

  

  11,496       ABM Industries, Inc.      377,874  
  20,950       ACCO Brands Corp.*      162,782  
  675       Acme United Corp.      12,218  
  1,580       AMREP Corp.*      8,058  
  9,470       ARC Document Solutions, Inc.*      72,067  
  9,672       Brady Corp., Class A^      239,285  
  8,149       Casella Waste Systems, Inc.*      45,716  
  5,329       CECO Environmental Corp.      60,378  
  13,422       Cenveo, Inc.*      28,455  
  325       CompX International, Inc.      3,705  
  24,802       Covanta Holding Corp.      525,554  
  535       Ecology and Environment, Inc., Class A      5,575  
  4,057       G&K Services, Inc., Class A      280,501  
  11,123       Herman Miller, Inc.      321,788  
  9,540       HNI Corp.^      487,971  
  13,810       Interface, Inc.      345,941  
  4,059       Intersections, Inc.*      12,461  
  7,526       Kimball International, Inc., Class B      91,516  
  10,221       Knoll, Inc.      255,832  
  5,746       Matthews International Corp., Class A      305,342  
  4,949       McGrath Rentcorp      150,598  
  8,332       Mobile Mini, Inc.      350,277  
  6,959       MSA Safety, Inc.      337,581  
  3,596       Multi-Color Corp.      229,712  
  2,566       NL Industries, Inc.*      19,014  
  2,198       Perma-Fix Environmental Services, Inc.*      8,374  
  6,932       Quad Graphics, Inc.      128,311  
  4,036       SP Plus Corp.*      105,380  
  17,925       Steelcase, Inc., Class A      338,962  
  3,787       Team, Inc.*      152,427  
  10,769       Tetra Tech, Inc.      276,117  
  10,001       The Brink’s Co.      294,329  
  6,115       Trc Companies, Inc.*      62,067  
  2,902       UniFirst Corp.      324,589  
  4,727       US Ecology, Inc.^      230,299  
  1,974       Versar, Inc.*      7,778  
  3,364       Virco Manufacturing Co.*      9,587  
 

 

Continued

 

5


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Commercial Services & Supplies, continued

  

  16,399       West Corp.    $ 493,610  
     

 

 

 
        7,162,031  
     

 

 

 

 

Communications Equipment (1.8%):

  

  10,421       ADTRAN, Inc.      169,341  
  3,564       Alliance Fiber Optic Products, Inc.^      66,112  
  254       Bel Fuse, Inc., Class A      5,248  
  5,844       CalAmp Corp.*^      106,711  
  10,549       Calix, Inc.*      80,278  
  24,124       Ciena Corp.*^      571,256  
  1,808       ClearOne, Inc.^      23,332  
  316       Communications Systems, Inc.      3,321  
  6,496       EMCORE Corp.*      39,106  
  22,610       Finisar Corp.*^      404,041  
  16,449       Harmonic, Inc.*      112,347  
  6,247       InterDigital, Inc.^      355,392  
  15,902       Ixia*      197,821  
  3,225       KVH Industries, Inc.*      43,376  
  6,491       NETGEAR, Inc.*      194,860  
  3,837       Numerex Corp., Class A*^      32,768  
  131       Optical Cable Corp.      451  
  7,906       Plantronics, Inc.      445,187  
  27,301       Polycom, Inc.*      312,323  
  900       RELM Wireless Corp.*      4,437  
  16,249       Ruckus Wireless, Inc.*^      168,015  
  11,725       Ubiquiti Networks, Inc.^      374,203  
  8,776       ViaSat, Inc.*^      528,842  
     

 

 

 
        4,238,768  
     

 

 

 

 

Construction & Engineering (1.1%):

  

  5,777       Ameresco, Inc., Class A*^      44,194  
  2,944       Argan, Inc.      118,732  
  8,169       Comfort Systems USA, Inc.      187,479  
  7,616       Dycom Industries, Inc.*^      448,202  
  11,205       Emcor Group, Inc.      535,262  
  7,950       Furmanite Corp.*      64,554  
  7,950       Granite Construction, Inc.      282,305  
  2,141       Integrated Electrical Services, Inc.*      15,201  
  27,929       KBR, Inc.      544,056  
  4,198       MYR Group, Inc.*      129,970  
  1,267       NV5 Holdings, Inc.*      30,737  
  5,590       Orion Marine Group, Inc.*      40,360  
     

 

 

 
        2,441,052  
     

 

 

 

 

Construction Materials (0.2%):

  

  15,892       Headwaters, Inc.*      289,552  
  771       U.S. Lime & Minerals, Inc.      44,811  
  2,901       US Concrete, Inc.*      109,919  
     

 

 

 
        444,282  
     

 

 

 

 

Consumer Finance (0.8%):

  

  1,660       Asta Funding, Inc.*      13,911  
  2,191       Atlanticus Holdings Corp.*      7,734  
  5,694       Cash America International, Inc.      149,126  
  5,088       Consumer Portfolio Services, Inc.*^      31,800  
  4,740       Encore Capital Group, Inc.*^      202,588  
  10,502       EZCORP, Inc., Class A*      78,030  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Consumer Finance, continued

  

  4,963       First Cash Financial Services, Inc.*    $ 226,263  
  5,380       Imperial Holdings, Inc.*      31,150  
  6,892       Nelnet, Inc.      298,493  
  1,556       Nicholas Financial, Inc.*      19,792  
  8,412       PRA Group, Inc.*^      524,151  
  2,057       QC Holdings, Inc.      3,847  
  2,553       Regional Mgmt Corp.*      45,597  
  2,325       The First Marblehead Corp.*^      13,392  
  1,920       World Acceptance Corp.*^      118,099  
     

 

 

 
        1,763,973  
     

 

 

 

 

Containers & Packaging (0.2%):

  

  1,065       AEP Industries, Inc.*      58,788  
  1,383       Greif, Inc., Class B      56,012  
  4,389       Greif, Inc., Class A^      157,345  
  6,167       Myers Industries, Inc.      117,173  
  1,431       UFP Technologies, Inc.*^      29,937  
     

 

 

 
        419,255  
     

 

 

 

 

Distributors (0.4%):

  

  12       AMCON Distributing Co.      955  
  4,263       Core Markt Holdngs Co., Inc.      252,582  
  813       Educational Development Corp.      3,862  
  8,789       Pool Corp.      616,811  
  710       The Coast Distribution System, Inc.*      2,592  
  4,313       VOXX International Corp.*      35,712  
  2,157       Weyco Group, Inc.^      64,322  
     

 

 

 
        976,836  
     

 

 

 

 

Diversified Consumer Services (0.9%):

  

  3,469       American Public Education, Inc.*      89,223  
  9,431       Cambium Learning Group, Inc.*      40,270  
  2,216       Capella Education Co.      118,933  
  13,892       Career Education Corp.*      45,844  
  4,450       Carriage Services, Inc.      106,266  
  1,795       Collectors Universe, Inc.      35,792  
  9,229       Grand Canyon Education, Inc.*      391,309  
  7,950       K12, Inc.*      100,568  
  2,382       Liberty Tax, Inc.      58,955  
  1,526       National American University Holdings, Inc.      4,441  
  14,222       Sotheby’s^      643,402  
  2,612       Steiner Leisure*      140,473  
  2,208       Strayer Education, Inc.*      95,165  
  5,156       Universal Technical Institute, Inc.      44,342  
     

 

 

 
        1,914,983  
     

 

 

 

 

Diversified Financial Services (0.2%):

  

  1,274       California First National Bancorp      17,186  
  8,611       Gain Capital Holdings, Inc.^      82,321  
  500       MarketAxess Holdings, Inc.      46,385  
  2,591       Marlin Business Services, Inc.      43,736  
  6,056       Newstar Financial, Inc.*      66,616  
  4,690       PICO Holdings, Inc.*      69,037  
  4,650       Resource America, Inc., Class A      39,107  
  2,849       Tiptree Financial, Inc., Class A^      20,655  
     

 

 

 
        385,043  
     

 

 

 
 

 

Continued

 

6


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Diversified Telecommunication Services (0.7%):

  

  3,043       Atlantic Tele-Network, Inc.    $ 210,210  
  38,567       Cincinnati Bell, Inc.*      147,326  
  8,904       Cogent Communications Group, Inc.      301,311  
  5,399       FairPoint Communications, Inc.*      98,370  
  1,495       Fusion Telecommunications International, Inc.*      3,184  
  7,905       General Communication, Inc., Class A*      134,464  
  2,168       Hawaiian Telcom Holdco, Inc.*      56,585  
  4,421       IDT Corp.      79,932  
  6,657       Inteliquent, Inc.      122,489  
  19,966       Iridium Communications, Inc.*^      181,491  
  4,669       Lumos Networks Corp.      69,055  
  14,348       Orbcomm, Inc.*      96,849  
     

 

 

 
        1,501,266  
     

 

 

 

 

Electric Utilities (1.0%):

  

  8,605       ALLETE, Inc.      399,186  
  7,820       El Paso Electric Co.      271,041  
  8,314       Empire District Electric Co.^      181,245  
  3,043       Genie Energy, Ltd., Class B      31,860  
  1,728       IDACORP, Inc.^      97,010  
  6,312       MGE Energy, Inc.^      244,464  
  7,596       Otter Tail Power Co.^      202,054  
  16,161       PNM Resources, Inc.      397,561  
  14,977       Portland General Electric Co.^      496,637  
  2,808       Unitil Corp.      92,720  
     

 

 

 
        2,413,778  
     

 

 

 

 

Electrical Equipment (1.0%):

  

  1,815       Allied Motion Technologies, Inc.      40,765  
  547       American Electric Technologies, Inc.*      2,790  
  5,308       AZZ, Inc.      274,954  
  4,188       Encore Wire Corp.      185,487  
  8,133       EnerSys      571,668  
  411       Espey Manufacturing & Electronics Corp.      10,686  
  9,178       Franklin Electric Co., Inc.^      296,724  
  9,772       General Cable Corp.      192,802  
  3,487       Global Power Equipment Group, Inc.^      27,059  
  29,540       GrafTech International, Ltd.*      146,518  
  4,871       LSI Industries, Inc.      45,495  
  53       Pioneer Power Solutions, Inc.*      379  
  2,209       Power Solutions International, Inc.*      119,330  
  4,427       Powersecure International, Inc.*      65,343  
  1,064       Preformed Line Products Co.      40,134  
  75       Servotronics, Inc.      489  
  515       SL Industries, Inc.*      19,884  
  5,936       Thermon Group Holdings, Inc.*      142,880  
  3,104       Ultralife Corp.*      13,006  
     

 

 

 
        2,196,393  
     

 

 

 

 

Electronic Equipment, Instruments & Components (3.1%):

  

  2,011       ADDvantage Technologies Group, Inc.*      4,686  
  6,004       Anixter International, Inc.*      391,161  
  29,976       AVX Corp.      403,476  
  2,620       Badger Meter, Inc.^      166,344  
  8,487       Checkpoint Systems, Inc.      86,398  
  4,622       Coherent, Inc.*      293,405  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components, continued

  

  4,974       Control4 Corp.*^    $ 44,219  
  4,147       CUI Global, Inc.*^      20,984  
  8,630       Daktronics, Inc.      102,352  
  1,365       Data I/O Corp.*      4,668  
  3,765       DTS, Inc.*      114,795  
  4,881       Electro Rent Corp.      53,008  
  6,222       Electro Scientific Industries, Inc.      32,790  
  7,067       Fabrinet*      132,365  
  3,308       FARO Technologies, Inc.*      154,484  
  4,726       FEI Co.      391,927  
  640       Frequency Electronics, Inc.*      7,219  
  6,936       GSI Group, Inc.*      104,248  
  2,274       Identiv, Inc.*^      13,394  
  646       IEC Electronics Corp.*      2,907  
  12,345       II-VI, Inc.*      234,308  
  199       IntriCon Corp.*      1,457  
  7,287       Itron, Inc.*^      250,964  
  9,073       KEMET Corp.*      26,130  
  17,046       Knowles Corp.*^      308,533  
  4,518       Littlelfuse, Inc.      428,712  
  2,151       LRAD Corp.*      4,280  
  6,951       Mercury Computer Systems, Inc.*      101,763  
  710       Mesa Labs, Inc.^      63,119  
  7,970       Methode Electronics, Inc., Class A      218,777  
  604       MOCON, Inc.      9,634  
  2,841       MTS Systems Corp.      195,887  
  4,940       Multi-Fineline Electronix, Inc.*      107,988  
  2,608       Napco Security Technologies, Inc.*      14,944  
  7,964       Newport Corp.*      150,997  
  4,239       OSI Systems, Inc.*      300,079  
  3,068       PAR Technology Corp.*      15,064  
  4,132       Park Electrochemical Corp.      79,169  
  1,176       PCM, Inc.*      11,795  
  1,875       Perceptron, Inc.*      19,800  
  4,197       Planar Systems, Inc.*      18,299  
  6,457       Plexus Corp.*      283,333  
  7,482       RadiSys Corp.*      19,154  
  1,727       RF Industries, Ltd.      7,340  
  5,365       Rofin-Sinar Technologies, Inc.*      148,074  
  3,621       Rogers Corp.*      239,493  
  14,481       Sanmina Corp.*      291,937  
  5,440       ScanSource, Inc.*      207,046  
  706       Sutron Corp.*      5,966  
  7,020       SYNNEX Corp.      513,793  
  300       Tech Data Corp.*      17,268  
  17,962       TTM Technologies, Inc.*      179,440  
  989       Wayside Technology Group, Inc.      19,602  
  3,952       Wireless Telecom Group, Inc.*      8,576  
     

 

 

 
        7,027,551  
     

 

 

 

 

Energy Equipment & Services (0.6%):

  

  4,145       Era Group, Inc.*      84,890  
  483       Exterran Holdings, Inc.      15,770  
  16,065       Forum Energy Technologies, Inc.*      325,798  
  2,888       Gulf Island Fabrication, Inc.      32,259  
 

 

Continued

 

7


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Energy Equipment & Services, continued

  

  5,319       Matrix Service Co.*    $ 97,231  
  53,080       McDermott International, Inc.*^      283,447  
  2,488       Natural Gas Services Group*      56,776  
  24,893       Parker Drilling Co.*      82,645  
  2,591       PHI, Inc.*      77,782  
  22,013       Rowan Cos. plc, Class A      464,694  
     

 

 

 
        1,521,292  
     

 

 

 

 

Food & Staples Retailing (0.8%):

  

  5,068       Chefs’ Warehouse, Inc.*^      107,644  
  5,892       Fairway Group Holdings Corp.*^      20,976  
  2,697       Ingles Markets, Inc., Class A      128,836  
  10,518       Liberator Medical Holdings, Inc.      23,876  
  4,576       Natural Grocers by Vitamin Cottage, Inc.*^      112,661  
  5,604       PriceSmart, Inc.^      511,308  
  200       SpartanNash Co.      6,508  
  58,157       Supervalu, Inc.*      470,490  
  8,542       The Fresh Market, Inc.*^      274,540  
  1,964       Village Super Market, Inc.      62,239  
  5,498       Weis Markets, Inc.      231,741  
     

 

 

 
        1,950,819  
     

 

 

 

 

Food Products (1.8%):

  

  9,772       B&G Foods, Inc.^      278,795  
  3,316       Calavo Growers, Inc.      172,200  
  8,616       Cal-Maine Foods, Inc.      449,755  
  1,318       Coffee Holding Co., Inc.*      6,564  
  19,645       Dean Foods Co.      317,660  
  5,914       Diamond Foods, Inc.*^      185,581  
  3,338       Farmer Brothers Co.*      78,443  
  300       Fresh Del Monte Produce, Inc.      11,598  
  122       Golden Enterprises, Inc.      498  
  3,984       Inventure Foods, Inc.*^      40,438  
  3,823       J & J Snack Foods Corp.      423,091  
  5,357       Lancaster Colony Corp.      486,683  
  2,855       Limoneira Co.^      63,467  
  9,889       Post Holdings, Inc.*^      533,315  
  1,220       Rocky Mountain Chocolate Factory, Inc.      16,067  
  3,983       Sanderson Farms, Inc.^      299,362  
  12       Seneca Foods Corp, Class B*      357  
  1,801       Seneca Foods Corp., Class A*      50,014  
  13,338       Snyders-Lance, Inc.      430,417  
  6,833       Tootsie Roll Industries, Inc.^      220,774  
     

 

 

 
        4,065,079  
     

 

 

 

 

Gas Utilities (1.5%):

  

  2,993       Chesapeake Utilities Corp.      161,173  
  1,008       Delta Natural Gas Co., Inc.      20,261  
  2,109       Gas Natural, Inc.      21,723  
  16,484       New Jersey Resources Corp.      454,134  
  5,313       Northwest Natural Gas Co.      224,102  
  9,305       ONE Gas, Inc.^      396,021  
  15,594       Piedmont Natural Gas Co., Inc.      550,624  
  79       RGC Resources, Inc.      1,580  
  12,453       South Jersey Industries, Inc.      307,963  
  8,894       Southwest Gas Corp.      473,250  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Gas Utilities, continued

  

  7,750       The Laclede Group, Inc.^    $ 403,465  
  9,681       WGL Holdings, Inc.      525,581  
     

 

 

 
        3,539,877  
     

 

 

 

 

Health Care Equipment & Supplies (3.4%):

  

  4,119       Abaxis, Inc.^      212,046  
  2,680       Analogic Corp.      211,452  
  7,252       AngioDynamics, Inc.*      118,933  
  2,934       Anika Therapeutics, Inc.*      96,910  
  354       Atrion Corp.      138,878  
  2,493       BioLife Solutions, Inc.*^      4,861  
  8,629       Cantel Medical Corp.      463,118  
  1,944       Chembio Diagnostics, Inc.*      9,545  
  283       CONMED Corp.      16,490  
  5,741       CryoLife, Inc.      64,758  
  5,124       Cyberonics, Inc.*      304,673  
  4,362       Cynosure, Inc., Class A*      168,286  
  5,289       Derma Sciences, Inc.*^      37,869  
  1,118       Elctromed, Inc.*      2,068  
  2,798       Exactech, Inc.*      58,282  
  14,587       Globus Medical, Inc., Class A*      374,448  
  4,562       Greatbatch, Inc.*      245,983  
  10,229       Haemonetics Corp.*      423,071  
  8,629       Halyard Health, Inc.*^      349,475  
  11,449       Hill-Rom Holdings, Inc.      622,025  
  2,860       ICU Medical, Inc.*      273,588  
  7,090       Integra LifeSciences Holdings Corp.*      477,653  
  6,191       Invacare Corp.      133,911  
  2,006       IRIDEX Corp.*      16,550  
  249       Kewaunee Scientific CP      4,094  
  3,577       LeMaitre Vascular, Inc.      43,139  
  10,495       Masimo Corp.*      406,576  
  7,819       Meridian Bioscience, Inc.      145,746  
  9,510       Merit Medical Systems, Inc.*      204,845  
  6,702       Natus Medical, Inc.*      285,237  
  7,599       Neogen Corp.*      360,497  
  9,424       NuVasive, Inc.*      446,509  
  3,810       Orthofix International NV*      126,187  
  11,743       RTI Surgical, Inc.*      75,860  
  561       Span-America Medical System, Inc.      10,334  
  2,611       Surmodics, Inc.*      61,150  
  11,148       Thoratec Corp.*      496,867  
  754       Utah Medical Products, Inc.      44,961  
  3,061       Vascular Solutions, Inc.*      106,278  
     

 

 

 
        7,643,153  
     

 

 

 

 

Health Care Providers & Services (2.6%):

  

  5,952       Aceto Corp.      146,598  
  3,936       AdCare Health Systems, Inc.      13,619  
  2,250       Addus HomeCare Corp.*      62,685  
  6,742       Air Methods Corp.*^      278,714  
  2,215       Alliance HealthCare Services, Inc.*      41,398  
  1,924       Almost Family, Inc.*      76,787  
  7,211       Amedisys, Inc.*      286,493  
  9,648       AMN Healthcare Services, Inc.*      304,780  
  5,570       Bio-Reference Laboratories, Inc.*      229,763  
 

 

Continued

 

8


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  13,756       BioScrip, Inc.*^    $ 49,934  
  5,519       BioTelemetry, Inc.*      52,044  
  6,359       Capital Senior Living Corp.*      155,796  
  2,965       Chemed Corp.^      388,712  
  4,148       CorVel Corp.*      132,819  
  7,772       ExamWorks Group, Inc.*      303,885  
  9,962       Five Star Quality Care, Inc.*      47,818  
  6,921       Hanger Orthopedic Group, Inc.*^      162,228  
  6,560       Healthways, Inc.*      78,589  
  3,529       InfuSystems Holdings, Inc.*      11,258  
  3,166       IPC Healthcare, Inc.*      175,365  
  3,640       LHC Group, Inc.*      139,230  
  440       LifePoint Hospitals, Inc.*      38,258  
  5,769       Magellan Health Services, Inc.*      404,234  
  2,314       National Healthcare Corp.      150,387  
  680       National Research Corp., Class B      22,977  
  2,076       National Research Corp.      29,500  
  12,624       Owens & Minor, Inc.^      429,215  
  5,921       PharMerica Corp.*      197,169  
  3,184       Providence Service Corp.*      140,988  
  1,080       Psychemedics Corp.      16,016  
  8,932       RadNet, Inc.*      59,755  
  24,503       Select Medical Holdings Corp.      396,949  
  7,920       Surgical Care Affiliates, Inc.*      303,970  
  5,085       The Ensign Group, Inc.      259,640  
  4,896       Triple-S Management Corp., Class B*      125,631  
  2,494       U.S. Physical Therapy, Inc.      136,571  
  16,336       Universal American Financial Corp.*      165,320  
  25       USMD Holdings, Inc.*      212  
     

 

 

 
        6,015,307  
     

 

 

 

 

Health Care Technology (0.6%):

  

  33,773       Allscripts Healthcare Solutions, Inc.*      462,015  
  558       Arrhythmia Research Technology, Inc.*      3,499  
  2,265       Computer Programs & Systems, Inc.      120,996  
  10,487       MedAssets, Inc.*      231,343  
  19,671       Merge Healthcare, Inc.*      94,421  
  7,444       Omnicell, Inc.*      280,713  
  12,253       Quality Systems, Inc.      203,032  
  3,415       Simulations Plus, Inc.      21,412  
     

 

 

 
        1,417,431  
     

 

 

 

 

Hotels, Restaurants & Leisure (3.7%):

  

  19,237       Belmond, Ltd., Class A*      240,270  
  422       Biglari Holdings, Inc.*      174,603  
  5,212       BJ’s Restaurants, Inc.*      252,521  
  25,040       Bloomin’ Brands, Inc.      534,604  
  4,423       Bob Evans Farms, Inc.      225,794  
  3,066       Bravo Brio Restaurant Group, Inc.*      41,544  
  3,778       Buffalo Wild Wings, Inc.*      591,975  
  7,247       Carrols Restaurant Group, Inc.*      75,369  
  4,585       Century Casinos, Inc.*      28,886  
  3,316       Chuy’s Holdings, Inc.*^      88,836  
  13,086       ClubCorp Holdings, Inc.      312,494  
  4,785       Del Frisco’s Restaurant Group, Inc.*      89,145  
  17,503       Denny’s Corp.*      203,210  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Hotels, Restaurants & Leisure, continued

  

  15,900       Diamond Resorts International, Inc.*^    $ 501,645  
  3,946       DineEquity, Inc.      391,009  
  3,712       Dover Motorsports, Inc.      8,204  
  1,421       Famous Dave’s of America, Inc.*^      28,491  
  4,681       Fiesta Restaurant Group, Inc.*^      234,050  
  378       Flanigan’s Enterprises, Inc.^      9,337  
  567       Frisch’s Restaurants, Inc.      19,034  
  11,024       Interval Leisure Group, Inc.      251,898  
  3,569       Jamba, Inc.*^      55,284  
  11,400       Krispy Kreme Doughnuts, Inc.*      219,564  
  5,681       Luby’s, Inc.*      27,553  
  6,852       Marriott Vacations Worldwide Corp.      628,671  
  416       Minor International, ADR      8,773  
  906       Nathans Famous, Inc.      33,576  
  5,627       Noodles & Co.*^      82,154  
  9,230       Papa John’s International, Inc.      697,880  
  4,612       Popeyes Louisiana Kitchen, Inc.*      276,674  
  2,069       RCI Hospitality Holdings, Inc.*      24,621  
  3,993       Red Lion Hotels Corp.*      30,586  
  2,920       Red Robin Gourmet Burgers*      250,594  
  6,932       Ruth’s Hospitality Group, Inc.      111,744  
  17,979       SeaWorld Entertainment, Inc.      331,533  
  10,875       Sonic Corp.      313,200  
  7,036       Speedway Motorsports, Inc.      159,365  
  14,784       Texas Roadhouse, Inc.      553,365  
  8,965       The Cheesecake Factory, Inc.      488,906  
  4,346       Town Sports International Holdings, Inc.*      12,603  
     

 

 

 
        8,609,565  
     

 

 

 

 

Household Durables (1.8%):

  

  1,790       Cavco Industries, Inc.*      135,038  
  5,391       Ethan Allen Interiors, Inc.^      141,999  
  300       Helen of Troy, Ltd.*      29,247  
  27,174       Hovnanian Enterprises, Inc., Class A*      72,283  
  5,530       iRobot Corp.*^      176,296  
  18,017       KB Home^      299,082  
  1,138       Koss Corp.*      2,629  
  10,610       La-Z-Boy, Inc.      279,467  
  4,723       Libbey, Inc.      195,202  
  2,704       Lifetime Brands, Inc.      39,938  
  8,939       M.D.C. Holdings, Inc.^      267,902  
  5,003       M/I Homes, Inc.*      123,424  
  8,542       Meritage Corp.*      402,243  
  723       P & F Industries, Inc., Class A*      6,174  
  5,555       Skullcandy, Inc.*      42,607  
  1,301       Skyline Corp.*      3,825  
  52,612       Standard Pacific Corp.*      468,773  
  3,040       Stanley Furniture Co., Inc.*      9,029  
  6,650       Taylor Morrison Home Corp., Class A*      135,394  
  3,024       The Dixie Group, Inc.*^      31,752  
  10,188       The Ryland Group, Inc.^      472,417  
  28,470       TRI Pointe Homes, Inc.*      435,591  
  2,986       Universal Electronics, Inc.*      148,822  
  5,711       William Lyon Homes, Class A*      146,601  
  5,830       Zagg, Inc.*      46,174  
     

 

 

 
        4,111,909  
     

 

 

 
 

 

Continued

 

9


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Household Products (0.4%):

  

  38,032       HRG Group, Inc.*    $ 494,416  
  1,767       Ocean Bio-Chem, Inc.*      6,308  
  1,013       Oil-Dri Corp.      30,775  
  1,770       Orchids Paper Products Co.      42,604  
  2,773       WD-40 Co.      241,695  
     

 

 

 
        815,798  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.4%):

  

  24,688       Atlantic Power Corp.      76,039  
  9,784       Ormat Technologies, Inc.^      368,661  
  13,511       Pattern Energy Group, Inc.^      383,442  
     

 

 

 
        828,142  
     

 

 

 

 

Industrial Conglomerates (0.1%):

  

  7,539       Raven Industries, Inc.      153,268  
     

 

 

 

 

Insurance (3.4%):

  

  8,603       Ambac Financial Group, Inc.*      143,154  
  15,887       American Equity Investment Life Holding Co.      428,631  
  5,143       American National Insurance Co.      526,232  
  3,531       Amerisafe, Inc.      166,169  
  12,573       Aspen Insurance Holdings, Ltd.      602,247  
  180       Baldwin & Lyons, Inc., Class A      4,140  
  10,012       Citizens, Inc.*^      74,690  
  4,636       Crawford & Co., Class A      35,280  
  3,701       Crawford & Co.      31,199  
  2,891       Donegal Group, Inc., Class A      44,030  
  3,537       EMC Insurance Group, Inc.      88,673  
  6,923       Employers Holdings, Inc.      157,706  
  9,194       Endurance Specialty Holdings, Ltd.^      604,046  
  3,110       Enstar Group, Ltd.*      481,895  
  2,805       Federated National Holding Co.      67,881  
  4,344       First Acceptance Corp.*      13,901  
  1,050       Global Indemnity plc*      29,484  
  5,938       Greenlight Capital Re, Ltd.*      173,211  
  3,907       Hallmark Financial Services, Inc.*      44,462  
  2,122       HCI Group, Inc.      93,814  
  3,033       Independence Holding Co.      40,005  
  407       Investors Title Co.      28,852  
  1,954       Kansas City Life Insurance Co.      89,317  
  1,473       Kingstone Co., Inc.      11,195  
  14,105       Maiden Holdings, Ltd.      222,577  
  33,471       MBIA, Inc.*      201,161  
  1,171       Mercury General Corp.^      65,166  
  2,707       National Interstate Corp.^      73,955  
  630       National Western Life Insurance Co., Class A      150,879  
  4,777       Onebeacon Insurance Group, Ltd.      69,314  
  9,433       Primerica, Inc.      430,994  
  10,527       ProAssurance Corp.      486,453  
  7,978       RLI Corp.      409,989  
  7,764       StanCorp Financial Group, Inc.      587,035  
  5,641       State Auto Financial Corp.      135,102  
  4,387       Stewart Information Services Corp.      174,603  
  21,301       Symetra Financial Corp.      514,845  
  204       The National Security Group, Inc.      3,160  
  4,299       United Insurance Holdings Co.^      66,806  
  7,025       Universal Insurance Holdings, Inc.      170,005  
     

 

 

 
        7,742,258  
     

 

 

 
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Internet & Catalog Retail (0.6%):

  

  5,568       1-800 Flowers.com, Inc., Class A*    $ 58,241  
  2,452       Blue Nile, Inc.*      74,516  
  3,666       CafePress, Inc.*      16,497  
  3,872       Gaiam, Inc., Class A*^      25,323  
  1,377       Geeknet, Inc.*      27,457  
  14,324       Liberty TripAdvisor Holdings, Inc., Class A*      461,520  
  5,809       Nutri/System, Inc.      144,528  
  4,500       Overstock.com, Inc.*^      101,430  
  4,061       PetMed Express, Inc.^      70,133  
  7,148       Shutterfly, Inc.*      341,746  
     

 

 

 
        1,321,391  
     

 

 

 

 

Internet Software & Services (2.1%):

  

  8,035       Actua Corp.*      114,579  
  6,561       Cimpress NV*      552,174  
  10,225       DealerTrack Holdings, Inc.*      642,029  
  3,938       Demand Media, Inc.*^      25,046  
  22,941       EarthLink Holdings Corp.      171,828  
  30,381       Endurance International Group Holdings, Inc.*      627,672  
  6,136       Envestnet, Inc.*      248,079  
  6,758       GTT Communications, Inc.*^      161,313  
  12,029       Internap Network Services Corp.*      111,268  
  1,072       Internet Patents Corp.*      3,237  
  11,399       Intralinks Holdings, Inc.*      135,762  
  4,991       Inuvo, Inc.*      15,272  
  20,076       Limelight Networks, Inc.*      79,099  
  6,655       Marchex, Inc.      32,942  
  18,228       Monster Worldwide, Inc.*^      119,211  
  12,232       NIC, Inc.      223,601  
  8,938       QuinStreet, Inc.*      57,650  
  1,839       Qumu Corp.*      15,153  
  7,302       RealNetworks, Inc.*      39,504  
  2,319       Reis, Inc.      51,435  
  12,212       RetailMeNot, Inc.*      217,740  
  6,137       Shutterstock, Inc.*^      359,875  
  5,449       Synacor, Inc.*      8,773  
  6,723       TechTarget*      60,036  
  2,980       Travelzoo, Inc.*      33,614  
  8,928       Tremor Video, Inc.*^      25,980  
  10,240       Web.com Group, Inc.*      248,013  
  7,261       WebMD Health Corp.*      321,518  
  7,728       Xoom Corp.*^      162,713  
  6,743       YuMe, Inc.*^      36,547  
     

 

 

 
        4,901,663  
     

 

 

 

 

IT Services (2.4%):

  

  13,666       Acxiom Corp.*      240,248  
  9,220       Blackhawk Network Holdings, Inc.*      379,864  
  300       CACI International, Inc., Class A*      24,267  
  8,610       Cardtronics, Inc.*^      319,001  
  368       Cartesian, Inc.*      1,244  
  2,101       Cass Information Systems, Inc.      118,118  
  12,401       CIBER, Inc.*      42,783  
  6,937       CSG Systems International, Inc.      219,625  
  758       CSP, Inc.      5,264  
  4,471       Datalink Corp.*      39,971  
 

 

Continued

 

10


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

IT Services, continued

  

  6,861       Essendant, Inc.    $ 269,294  
  10,280       Euronet Worldwide, Inc.*      634,275  
  6,724       Exlservice Holdings, Inc.*      232,516  
  3,658       Forrester Research, Inc.      131,761  
  12,959       Global Cash Access Holdings, Inc.*      100,303  
  6,299       Heartland Payment Systems, Inc.      340,461  
  3,433       Higher One Holdings, Inc.*      10,265  
  2,498       Innodata, Inc.*      6,570  
  2,231       JetPay Corp.*      6,091  
  13,312       Lionbridge Technologies, Inc.*      82,135  
  4,432       ManTech International Corp., Class A      128,528  
  10,553       ModusLink Global Solutions, Inc.*^      35,880  
  1,690       NCI, Inc., Class A      17,458  
  10,760       NeuStar, Inc., Class A*^      314,300  
  7,061       Perficient, Inc.*      135,854  
  3,459       PFSweb, Inc.*      47,942  
  8,772       Science Applications International Corp.      463,600  
  17,035       Servicesource International, Inc.*      93,181  
  719       StarTek, Inc.*      4,242  
  8,310       Sykes Enterprises, Inc.*      201,518  
  9,446       TeleTech Holdings, Inc.      255,798  
  6,015       The Hackett Group, Inc.      80,781  
  9,346       Unisys Corp.*^      186,827  
  5,980       Virtusa Corp.*      307,372  
     

 

 

 
        5,477,337  
     

 

 

 

 

Leisure Products (0.6%):

  

  2,626       Arctic Cat, Inc.      87,209  
  2,916       Escalade, Inc.^      53,625  
  1,779       Marine Products Corp.      11,101  
  6,427       Nautilus Group, Inc.*      138,245  
  12,347       Smith & Wesson Holding Corp.*      204,837  
  3,759       Sturm, Ruger & Co., Inc.^      215,955  
  3,712       Summer Infant, Inc.*      7,498  
  12,661       Vista Outdoor, Inc.*      568,479  
     

 

 

 
        1,286,949  
     

 

 

 

 

Life Sciences Tools & Services (0.3%):

  

  17,848       Affymetrix, Inc.*^      194,900  
  173       Bioanalytical Systems, Inc.*^      348  
  6,754       Cambrex Corp.*      296,770  
  7,018       Harvard Bioscience, Inc.*      40,003  
  8,017       Luminex Corp.*      138,373  
  6,014       pSivida Corp.*      22,673  
     

 

 

 
        693,067  
     

 

 

 

 

Machinery (4.2%):

  

  9,507       Accuride Corp.*      36,602  
  5,474       Albany International Corp., Class A      217,865  
  4,780       Altra Industrial Motion Corp.      129,920  
  1,974       ARC Group Worldwide, Inc.*      10,462  
  806       Art’s-Way Manufacturing Co.      3,772  
  4,615       Astec Industries, Inc.      192,999  
  10,769       Barnes Group, Inc.      419,883  
  9,682       Blount International, Inc.*      105,727  
  5,532       Chart Industries, Inc.*      197,769  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Machinery, continued

  

  3,222       CIRCOR International, Inc.    $ 175,696  
  928       CLARCOR, Inc.      57,759  
  4,061       Columbus McKinnon Corp.      101,525  
  5,999       Commercial Vehicle Group, Inc.*      43,253  
  4,549       Douglas Dynamics, Inc.      97,713  
  5,136       EnPro Industries, Inc.      293,882  
  4,907       ESCO Technologies, Inc.      183,571  
  13,278       Federal Signal Corp.      197,975  
  2,463       FreightCar America, Inc.      51,427  
  1,177       Gencor Industries, Inc.*      11,382  
  4,267       Global Brass & Copper Holdings, Inc.      72,582  
  5,126       Greenbrier Cos, Inc.      240,153  
  2,648       Hardinge, Inc.      26,083  
  14,768       Harsco Corp.      243,672  
  12,001       Hillenbrand, Inc.      368,431  
  1,304       Hurco Cos, Inc.      45,144  
  2,514       Hyster-Yale Materials Handling, Inc., Class A      174,170  
  5,895       John Bean Technologies Corp.      221,593  
  15,005       Kennametal, Inc.      511,970  
  143       Key Technology, Inc.*      1,888  
  2,094       L.B. Foster Co., Class A      72,473  
  2,164       Lindsay Corp.^      190,237  
  3,228       Manitex International, Inc.*^      24,662  
  20,017       Meritor, Inc.*      262,623  
  11,220       Mueller Industries, Inc.      389,558  
  32,910       Mueller Water Products, Inc., Class A      299,481  
  3,826       NN, Inc.      97,640  
  158       Omega Flex, Inc.      5,950  
  4,130       PMFG, Inc.*      26,556  
  5,359       Proto Labs, Inc.*      361,625  
  4,258       RBC Bearings, Inc.*      305,554  
  18,885       Rexnord Corp.*      451,540  
  2,576       Standex International Corp.      205,900  
  4,988       Sun Hydraulics Corp.      190,093  
  1,746       Supreme Industires, Inc., Class A      14,963  
  466       Taylor Devices, Inc.*      5,844  
  3,131       Tecumseh Products Co.*      7,734  
  3,528       Tennant Co.      230,520  
  17,714       Terex Corp.^      411,851  
  5,229       The Gorman-Rupp Co.^      146,830  
  23,280       The Manitowoc Co., Inc.      456,288  
  12,067       Titan International, Inc.^      129,600  
  8,325       TriMas Corp.*      246,420  
  4,007       Valmont Industries, Inc.^      476,311  
  15,131       Wabash National Corp.*      189,743  
  4,945       Watts Water Technologies, Inc., Class A      256,398  
  572       WSI Industries, Inc.      3,678  
  3,110       Xerium Technologies, Inc.*      56,602  
     

 

 

 
        9,951,542  
     

 

 

 

 

Marine (0.2%):

  

  9,208       Matson, Inc.      387,104  
     

 

 

 

 

Media (1.9%):

  

  3,904       A.H. Belo Corp, Class A^      21,862  
  3,570       AMC Entertainment Holdings, Inc., Class A      109,528  
 

 

Continued

 

11


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Media, continued

  

  2,527       Ballantyne Strong, Inc.*    $ 11,852  
  478       Beasley Broadcast Group, Inc., Class A      2,213  
  5,030       Carmike Cinemas, Inc.*      133,496  
  27,534       Central Eurpoean Media Enterprises*      60,024  
  20,852       Crown Media Holdings, Inc.*      94,251  
  229       Daily Journal Corp.*^      45,001  
  16,597       DreamWorks Animation SKG, Inc., Class A*^      437,829  
  6,578       Entercom Communications Corp.*      75,121  
  12,748       Entravision Communications Corp., Class A      104,916  
  12,998       Gray Television, Inc.*      203,809  
  12,577       Harte-Hanks, Inc.      74,959  
  3,107       Hemisphere Media Group*      36,973  
  2,441       Insignia Systems, Inc.*      6,664  
  11,327       Lee Enterprises, Inc.*^      37,719  
  23,524       Media General, Inc.*^      388,616  
  6,983       Meredith Corp.^      364,163  
  13,351       National CineMedia, Inc.      213,082  
  5,349       Nexstar Broadcasting Group, Inc.      299,544  
  8,158       Radio One, Inc., Class D*^      25,861  
  4,315       Reading International, Inc., Class A*^      59,763  
  15,202       Sinclair Broadcast Group, Inc., Class A^      424,288  
  5,951       Sizmek, Inc.*      42,252  
  860       Spanish Broadcasting System, Inc., Class A*      5,805  
  14,420       The E.W. Scripps Co., Class A      329,497  
  32,739       The New York Times Co., Class A^      446,887  
  19,926       Time, Inc.      458,497  
  207       Value Line, Inc.      2,149  
     

 

 

 
        4,516,621  
     

 

 

 

 

Metals & Mining (1.2%):

  

  2,124       Ampco-Pittsburgh Corp.      32,115  
  9,101       Carpenter Technology Corp.^      352,027  
  28,144       Coeur d’Alene Mines Corp.*^      160,702  
  19,950       Commercial Metals Co.      320,796  
  7,012       Compass Minerals International, Inc.      575,967  
  14,656       Globe Specialty Metals, Inc.      259,411  
  1,659       Handy & Harman, Ltd.*      57,484  
  2,509       Haynes International, Inc.      123,744  
  77,591       Hecla Mining Co.      204,064  
  11,542       Horsehead Holding Corp.*^      135,272  
  4,433       Materion Corp.      156,263  
  14,177       Noranda Aluminum Holding Corp.      12,050  
  21,462       Stillwater Mining Co.*^      248,745  
  1,789       Synalloy Corp.      24,509  
  1,458       Universal Stainless & Alloy Products, Inc.*^      28,650  
     

 

 

 
        2,691,799  
     

 

 

 

 

Multiline Retail (0.5%):

  

  10,701       Big Lots, Inc.^      481,438  
  800       Fred’s, Inc.^      15,432  
  4,032       Gordmans Stores, Inc.*^      24,716  
  67,868       J.C. Penney Co., Inc.*      574,842  
     

 

 

 
        1,096,428  
     

 

 

 

 

Multi-Utilities (0.5%):

  

  11,208       Avista Corp.      343,525  
  7,967       Black Hills Corp.      347,760  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Multi-Utilities, continued

  

  8,085       NorthWestern Corp.    $ 394,144  
     

 

 

 
        1,085,429  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.3%):

  

  21,749       Abraxas Petroleum Corp.*      64,160  
  885       Adams Resources & Energy, Inc.      39,471  
  13,791       Alon USA Energy, Inc.^      260,650  
  901       Barnwell Industries, Inc.*      2,135  
  12,862       Callon Petroleum Co.*      107,012  
  9,708       Carrizo Oil & Gas, Inc.*      478,022  
  18,173       Clean Energy Fuel Corp.*      102,132  
  4,250       Delek US Holdings, Inc.      156,485  
  17,477       DHT Holdings, Inc.      135,796  
  15,405       Gaslog, Ltd.^      307,330  
  16,205       Gastar Exploration, Inc.*      50,073  
  5,913       Hallador Energy Co.^      49,314  
  72       Isramco, Inc.*^      9,937  
  15,192       Matador Resources Co.*^      379,800  
  19,881       Nordic American Tankers, Ltd.      282,907  
  5,278       Pacific Ethanol, Inc.*^      54,469  
  3,313       Panhandle Oil & Gas, Inc., Class A^      68,546  
  18,217       PBF Energy, Inc., Class A      517,728  
  7,959       PDC Energy, Inc.*      426,921  
  14,765       Penn Virginia Corp.*^      64,671  
  6       PrimeEnergy Corp.*      341  
  8,896       Renewable Energy Group, Inc.*      102,838  
  23,969       Rice Energy, Inc.*      499,275  
  16,077       RSP Permian, Inc.*^      451,924  
  30,817       Scorpio Tankers, Inc.      310,944  
  17,223       Ship Finance International^      281,079  
  19,990       Synergy Resources Corp.*^      228,486  
  20,316       Teekay Tankers, Ltd.^      134,289  
     

 

 

 
        5,566,735  
     

 

 

 

 

Paper & Forest Products (1.3%):

  

  8,404       Boise Cascade Co.*      308,259  
  3,920       Clearwater Paper Corp.*      224,616  
  2,743       Deltic Timber Corp.      185,537  
  11,817       Domtar Corp.      489,223  
  17,018       KapStone Paper & Packaging Corp.      393,456  
  32,496       Louisiana-Pacific Corp.*^      553,406  
  12,185       Mercer International, Inc.*      166,691  
  3,188       Neenah Paper, Inc.      187,964  
  800       P.H. Glatfelter Co.      17,592  
  19,331       Resolute Forest Products*^      217,474  
  6,120       Schweitzer-Mauduit International, Inc.      244,066  
  10,121       Wausau Paper Corp.      92,911  
     

 

 

 
        3,081,195  
     

 

 

 

 

Personal Products (0.5%):

  

  1,214       CCA Industries, Inc.*      3,824  
  6,057       Elizabeth Arden, Inc.*^      86,373  
  6,225       Inter Parfums, Inc.      211,214  
  537       Mannatech, Inc.*      9,612  
  2,454       Medifast, Inc.*      79,313  
  1,387       Natural Alternatives International, Inc.*      7,857  
 

 

Continued

 

12


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Personal Products, continued

  

  3,757       Natures Sunshine Products, Inc.    $ 51,659  
  1,924       Nutraceutical International Corp.*      47,600  
  7,643       Revlon, Inc.*      280,575  
  340       United-Guardian, Inc.      6,494  
  2,498       Usana Health Sciences, Inc.*^      341,377  
     

 

 

 
        1,125,898  
     

 

 

 

 

Pharmaceuticals (0.9%):

  

  3,415       Cumberland Pharmaceuticals, Inc.*      24,417  
  13,834       DepoMed, Inc.*^      296,878  
  8,459       Endocyte, Inc.*^      43,902  
  2,063       Juniper Pharmaceuticals, Inc.*      18,876  
  7,262       Lannett Co., Inc.*^      431,653  
  2,617       Lipocine, Inc.*      22,454  
  6,341       Pozen, Inc.*^      65,376  
  10,807       Prestige Brands Holdings, Inc.*      499,716  
  10,064       Sciclone Pharmaceuticals, Inc.*      98,828  
  8,872       Sucampo Pharmaceuticals, Inc.*^      145,767  
  9,517       Supernus Pharmaceuticals, Inc.*      161,599  
  12,528       The Medicines Co.*^      358,426  
     

 

 

 
        2,167,892  
     

 

 

 

 

Professional Services (2.0%):

  

  9,962       CBIZ, Inc.*      96,034  
  3,999       CDI Corp.      51,987  
  6,695       CEB, Inc.      582,867  
  5,264       Exponent, Inc.      235,722  
  3,358       Franklin Covey Co.*      68,134  
  7,585       FTI Consulting, Inc.*      312,805  
  3,469       GP Strategies Corp.*      115,310  
  3,665       Heidrick & Struggles International, Inc.      95,583  
  10,200       Hill International, Inc.*      53,652  
  4,139       Huron Consulting Group, Inc.*      290,103  
  3,916       ICF International, Inc.*      136,512  
  5,180       Insperity, Inc.      263,662  
  6,020       Kforce, Inc.      137,677  
  10,428       Korn/Ferry International      362,582  
  666       Mastech Holdings, Inc.*      5,934  
  5,737       Mistras Group, Inc.*      108,888  
  8,912       Navigant Consulting, Inc.*      132,521  
  10,729       On Assignment, Inc.*      421,435  
  7,538       Resources Connection, Inc.      121,286  
  11,029       RPX Corp.*      186,390  
  8,536       The Advisory Board Co.*      466,663  
  8,247       Trueblue, Inc.*      246,585  
  4,212       Volt Information Sciences, Inc.*      40,899  
  1,098       Vse Corp.      58,754  
  1,576       Willdan Group, Inc.*      17,620  
     

 

 

 
        4,609,605  
     

 

 

 

 

Real Estate Management & Development (0.6%):

  

  9,258       Alexander & Baldwin, Inc.      364,764  
  395       CKX Lands, Inc.      5,577  
  1,201       Consolidated-Tomoka Land Co.      69,226  
  6,777       Forestar Group, Inc.*^      89,185  
  232       FRP Holdings, Inc.*      7,524  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Real Estate Management & Development, continued

  

  376       Griffin Industrial Realty, Inc.    $ 12,047  
  10       J.W. Mays, Inc.*      530  
  7,491       Marcus & Millichap, Inc.*      345,635  
  1,035       Maui Land & Pineapple Co.*      5,879  
  308       Stratus Properties, Inc.*      4,411  
  4,276       Tejon Ranch Co.*^      109,936  
  16,200       The St. Joe Co.*^      251,586  
  256       Transcontinental Realty Investors, Inc.*      2,880  
     

 

 

 
        1,269,180  
     

 

 

 

 

Road & Rail (1.3%):

  

  4,878       Celadon Group, Inc.      100,877  
  10,521       Con-way, Inc.^      403,691  
  3,190       Covenant Transportation Group, Inc., Class A*      79,941  
  15,909       Heartland Express, Inc.^      321,839  
  15,032       Knight Transportation, Inc.      401,956  
  7,452       Landstar System, Inc.      498,316  
  927       Providence & Worcester Railroad Co.      16,074  
  5,639       Quality Distribution, Inc.*      87,179  
  7,758       Roadrunner Transportation System, Inc.*      200,156  
  4,517       Saia, Inc.*      177,473  
  4,455       Universal Truckload Services, Inc.      97,832  
  2,419       USA Truck, Inc.*      51,355  
  14,837       Werner Enterprises, Inc.^      389,471  
  6,083       YRC Worldwide, Inc.*      78,957  
     

 

 

 
        2,905,117  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (3.4%):

  

  8,642       Advanced Energy Industries, Inc.*      237,569  
  5,402       Alpha & Omega Semiconductor, Ltd.*      47,213  
  46,961       Amkor Technology, Inc.*      280,827  
  4,684       Audience, Inc.*^      22,905  
  12,388       Axcelis Technologies, Inc.*      36,668  
  2,342       AXT, Inc.*      5,902  
  4,923       Cabot Microelectronics Corp.*      231,923  
  3,306       Cascade Microtech, Inc.*      50,334  
  1,570       CEVA, Inc.*      30,505  
  13,315       Cirrus Logic, Inc.*      453,108  
  5,200       Cohu, Inc.      68,796  
  9,165       Diodes, Inc.*      220,968  
  4,487       DSP Group, Inc.*      46,351  
  29,989       Entegris, Inc.*      436,940  
  9,555       Exar Corp.*      93,448  
  11,568       FormFactor, Inc.*      106,426  
  4,679       GSI Technology, Inc.*      24,378  
  26,616       Integrated Device Technology, Inc.*      577,566  
  28,319       Intersil Corp., Class A      354,271  
  1,349       inTest Corp.*      5,882  
  6,419       IXYS Corp.      98,211  
  13,324       Kopin Corp.*      45,968  
  14,663       Kulicke & Soffa Industries, Inc.*      171,704  
  23,909       Lattice Semiconductor Corp.*      140,824  
  11,407       MA-COM Technology Solutions Holdings, Inc.*^      436,318  
  14,794       Mattson Technology, Inc.*      49,560  
  11,387       Micrel, Inc.      158,279  
  9,410       MKS Instruments, Inc.      357,015  
 

 

Continued

 

13


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment, continued

  

  4,780       Nanometrics, Inc.*    $ 77,054  
  6,621       Neophotonics Corp.*      60,450  
  977       NVE Corp.      76,597  
  6,377       PDF Solutions, Inc.*      102,032  
  13,328       Photronics, Inc.*      126,749  
  40,602       PMC-Sierra, Inc.*      347,553  
  6,096       Power Integrations, Inc.      275,417  
  24,793       Rambus, Inc.*      359,251  
  5,208       Rubicon Technology, Inc.*^      12,655  
  6,462       Rudolph Technologies, Inc.*      77,609  
  740       Sevcon, Inc.*      7,504  
  6,811       Sigma Designs, Inc.*      81,255  
  8,344       Silicon Laboratories, Inc.*^      450,658  
  3,100       Synaptics, Inc.*^      268,879  
  11,751       Tessera Technologies, Inc.      446,302  
  5,417       Ultratech, Inc.*      100,540  
  7,356       Veeco Instruments, Inc.*      211,411  
  10,777       Xcerra Corp.*      81,582  
     

 

 

 
        7,953,357  
     

 

 

 

 

Software (3.2%):

  

  24,306       ACI Worldwide, Inc.*^      597,197  
  5,151       American Software, Inc.      48,935  
  11,265       Avg Technologies NV*      306,521  
  2,785       Aware, Inc.      11,224  
  9,555       Barracuda Networks, Inc.*^      378,569  
  10,209       Blackbaud, Inc.      581,402  
  2,350       BSQUARE Corp.*      15,933  
  8,996       CommVault Systems, Inc.*      381,520  
  6,916       Ebix, Inc.      225,531  
  7,572       EPIQ Systems, Inc.      127,815  
  2,049       Evolving Systems, Inc.      18,359  
  6,648       Fair Isaac Corp.      603,504  
  4,113       GlobalSCAPE, Inc.      13,532  
  26,478       Mentor Graphics Corp.      699,813  
  7,496       Monotype Imaging Holdings, Inc.      180,729  
  8,242       NetScout Systems, Inc.*      302,234  
  14,948       Pegasystems, Inc.      342,160  
  10,797       Progress Software Corp.*      296,918  
  15       QAD, Inc., Class B      324  
  3,092       QAD, Inc.      81,722  
  4,358       Rosetta Stone, Inc.*^      34,777  
  15,730       Rovi Corp.*^      250,894  
  6,367       SeaChange International, Inc.*      44,633  
  8,399       Synchronoss Technologies, Inc.*      384,086  
  16,684       Take-Two Interactive Software, Inc.*      459,977  
  10,992       Telecommunication Systems, Inc.*      36,384  
  7,906       Telenav, Inc.*      63,643  
  17,128       TiVo, Inc.*      173,678  
  7,598       VASCO Data Security International, Inc.*^      229,384  
  155,589       Zynga, Inc.*      444,985  
     

 

 

 
        7,336,383  
     

 

 

 

 

Specialty Retail (4.7%):

  

  14,303       Aaron’s, Inc.      517,912  
  1,746       America’s Car Mart, Inc.*      86,113  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Specialty Retail, continued

  

  9,749       ANN, Inc.*    $ 470,779  
  4,766       Asbury Automotive Group, Inc.*      431,895  
  33,017       Ascena Retail Group, Inc.*      549,898  
  12,419       Barnes & Noble, Inc.*^      322,397  
  16,326       Bebe Stores, Inc.      32,652  
  4,407       Big 5 Sporting Goods Corp.      62,623  
  9,601       Caleres, Inc.      305,120  
  5,462       Cato Corp.      211,707  
  32,987       Chico’s FAS, Inc.      548,574  
  7,062       Christopher & Banks Corp.*      28,319  
  3,126       Citi Trends, Inc.*      75,649  
  7,852       Conn’s, Inc.*      311,724  
  2,917       Destination Maternity Corp.^      34,012  
  10,159       Destination XL Group, Inc.*      50,897  
  2,510       DSW, Inc., Class A      83,759  
  17,004       Express, Inc.*      307,942  
  9,642       Five Below, Inc.*^      381,148  
  8,504       Francesca’s Holdings Corp.*      114,549  
  4,262       Genesco, Inc.*      281,420  
  744       Group 1 Automotive, Inc.      67,578  
  14,990       Guess?, Inc.      287,358  
  4,137       Haverty Furniture Cos., Inc.      89,442  
  5,671       hhgregg, Inc.*^      18,941  
  4,521       Hibbett Sports, Inc.*^      210,588  
  3,444       Kirkland’s, Inc.      95,984  
  5,111       Lithia Motors, Inc., Class A      578,361  
  5,062       MarineMax, Inc.*      119,008  
  6,126       Mattress Firm Holding Corp.*^      373,380  
  6,751       Monro Muffler Brake, Inc.      419,642  
  12,880       New York & Co.*      34,518  
  3,283       Outerwall, Inc.      249,869  
  14,231       Pacific Sunwear of California, Inc.*      16,223  
  1,138       Pep Boys — Manny, Moe & Jack*      13,963  
  441       Perfumania Holdings, Inc.*      2,505  
  18,625       Pier 1 Imports, Inc.^      235,234  
  10,939       Select Comfort Corp.*      328,936  
  8,058       Sonic Automotive, Inc., Class A      192,022  
  8,986       Stein Mart, Inc.      94,083  
  289       Tandy Leather Factory, Inc.      2,485  
  9,614       The Buckle, Inc.^      440,033  
  4,022       The Children’s Place Retail Stores, Inc.      263,079  
  9,179       The Container Store Group, Inc.*^      154,850  
  9,277       The Finish Line, Inc., Class A      258,086  
  10,445       The Men’s Wearhouse, Inc.      669,211  
  10,599       The Tile Shop Holdings, Inc.*      150,400  
  2,271       Tilly’s, Inc.*      21,961  
  737       Trans World Entertainment Corp.*      2,697  
  5,026       Vitamin Shoppe, Inc.*      187,319  
  4,901       West Marine, Inc.*      47,246  
  1,010       Winmark Corp.      99,485  
  5,963       Zumiez, Inc.*      158,795  
     

 

 

 
        11,092,371  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (1.0%):

  

  1,308       Astro-Med, Inc.      18,717  
  7,830       Avid Technology, Inc.*^      104,452  
 

 

Continued

 

14


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Technology Hardware, Storage & Peripherals, continued

  

  1,901       Concurrent Computer Corp.    $ 11,786  
  11,446       Diebold, Inc.      400,610  
  12,075       Dot Hill Systems Corp.*      73,899  
  8,656       Eastman Kodak Co.*      145,421  
  9,346       Electronics for Imaging, Inc.*      406,644  
  8,718       Imation Corp.*      35,395  
  11,474       Lexmark International, Inc., Class A^      507,152  
  17,874       QLogic Corp.*      253,632  
  53,057       Quantum Corp.*      89,136  
  8,348       Super Micro Computer, Inc.*      246,934  
  1,590       TransAct Technologies, Inc.      10,621  
  7,142       USA Technologies, Inc.*^      19,283  
     

 

 

 
        2,323,682  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.2%):

  

  1,716       Cherokee, Inc.      48,357  
  15,584       Crocs, Inc.*      229,241  
  2,461       Culp, Inc.      76,291  
  5,790       Deckers Outdoor Corp.*      416,706  
  9,732       G-III Apparel Group, Ltd.*      684,645  
  3,570       Oxford Industries, Inc.      312,197  
  1,515       Rocky Brands, Inc.      28,331  
  7,466       Sequential Brands Group, Inc.*^      114,155  
  13,793       Steven Madden, Ltd.*      590,065  
  12,125       Tumi Holdings, Inc.*      248,805  
  844       Wolverine World Wide, Inc.      24,037  
     

 

 

 
        2,772,830  
     

 

 

 

 

Thrifts & Mortgage Finance (2.2%):

  

  885       ASB Bancorp, Inc.*      19,169  
  22,103       Astoria Financial Corp.      304,800  
  1,803       Atlantic Coast Financial Corp.*      8,023  
  9,437       Bank Mutual Corp.      72,382  
  4,231       BankFinancial Corp.      49,841  
  3,050       Bear State Financial, Inc.*      28,487  
  14,798       Beneficial Bancorp, Inc.*      184,827  
  3,331       BofI Holding, Inc.*^      352,120  
  14,118       Brookline Bancorp, Inc.      159,392  
  2,307       Cape Bancorp, Inc.      21,824  
  27,426       Capitol Federal Financial, Inc.      330,209  
  3,400       Charter Financial Corp.      42,194  
  202       Chicopee Bancorp, Inc.      3,331  
  280       Citizens Community Bancorp, Inc.      2,565  
  5,487       Clifton Bancorp, Inc.      76,763  
  7,424       Dime Community Bancshares      125,763  
  1,537       ESSA Bancorp, Inc.      19,766  
  22,161       Everbank Financial Corp.      435,464  
  242       First Capital, Inc.      6,551  
  808       First Federal of Northern Michigan Bancorp, Inc.      5,163  
  3,028       First Financial Northwest, Inc.^      37,729  
  11,375       Flagstar Bancorp, Inc.*      210,210  
  2,348       Fox Chase Bancorp, Inc.      39,728  
  574       FS Bancorp, Inc.      12,381  
  195       Guaranty Federal Bankshares, Inc.      2,870  
  681       Hamilton Bancorp, Inc.*      9,377  
  1,425       HF Financial Corp.      21,617  
Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Thrifts & Mortgage Finance, continued

  

  245       Hingham Institution for Savings    $ 28,202  
  629       HMN Financial, Inc.*      7,416  
  1,064       Home Bancorp, Inc.^      26,855  
  43       Home Federal Bancorp, Inc.      863  
  4,444       HomeStreet, Inc.*      101,412  
  1,446       HopFed Bancorp, Inc.      17,106  
  869       IF Bancorp, Inc.      14,365  
  8,274       Kearny Financial Corp.*      92,338  
  390       Kentucky First Federal Bancorp      3,268  
  832       Lake Sunapee Bank Group      12,006  
  812       LaPorte Bancorp, Inc.      11,003  
  594       Madison County Financial, Inc.      12,468  
  940       Malvern Bancorp, Inc.*      13,950  
  11,095       Meridian Bancorp, Inc.*      148,784  
  1,286       Meta Financial Group, Inc.      55,195  
  594       MSB Financial Corp.*      7,865  
  716       Naugatuck Valley Financial Corp.*      7,604  
  2,499       Northeast Community Bancorp, Inc.      18,643  
  8,836       Northfield Bancorp, Inc.      132,982  
  17,169       Northwest Bancshares, Inc.      220,107  
  1,278       Ocean Shore Holding Co.^      18,959  
  3,412       Oceanfirst Financial Corp.      63,634  
  198       Oconee Federal Financial Corp.      3,536  
  8,223       Oritani Financial Corp.      131,979  
  4,321       PennyMac Financial Services, Inc., Class A*      78,297  
  1,806       Provident Financial Holdings      30,232  
  1,683       Prudential Bancorp, Inc.      24,404  
  2,120       Pulaski Financial Corp.      27,390  
  430       River Valley Bancorp      9,933  
  420       Riverview Bancorp, Inc.      1,798  
  2,488       Security National Financial Corp., Class A*      16,744  
  671       Severn Bancorp, Inc.*      3,228  
  1,709       SI Financial Group, Inc.      19,893  
  707       Southern Missouri Bancorp, Inc.      13,327  
  1,949       Territorial Bancorp, Inc.      47,283  
  17,842       TrustCo Bank Corp.      125,429  
  25       United Community Bancorp      345  
  9,946       United Community Financial Corp.      53,211  
  8,899       United Financial Bancorp, Inc.      119,692  
  19,266       Washington Federal, Inc.      449,860  
  6,983       Waterstone Financial, Inc.^      92,176  
  5,802       Wawlker & Dunlop, Inc.*      155,145  
  580       Wayne Savings Bancshares, Inc.      7,766  
  12       Wolverine Bancorp, Inc.      303  
  5,302       WSFS Financial Corp.      145,010  
  35       WVS Financial Corp.      415  
     

 

 

 
        5,154,967  
     

 

 

 

 

Tobacco (0.2%):

  

  21,830       Vector Group, Ltd.      512,132  
     

 

 

 

 

Trading Companies & Distributors (0.7%):

  

  311       AeroCentury Corp.*      2,637  
  6,962       Applied Industrial Technologies, Inc.      276,043  
  8,776       Beacon Roofing Supply, Inc.*      291,538  
  4,236       CAI International, Inc.*      87,219  
 

 

Continued

 

15


AZL DFA U.S. Small Cap Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares                
    
Fair Value
 

 

Common Stocks, continued

  

 

Trading Companies & Distributors, continued

  

  1,463       Envirostar, Inc.    $ 6,540  
  5,238       Huttig Building Products, Inc.*      16,447  
  5,554       Kaman Corp., Class A      232,935  
  5,292       Stock Building Supply Holdings, Inc.*      103,459  
  6,157       TAL International Group, Inc.      194,561  
  10,705       Textainer Group Holdings, Ltd.^      278,437  
  4,279       Titan Machinery, Inc.*      63,030  
  577       TransAct Technologies, Inc.*      5,453  
  2,875       Veritiv Corp.*      104,823  
     

 

 

 
        1,663,122  
     

 

 

 

 

Transportation Infrastructure (0.1%):

  

  18,401       WESCO Aircraft Holdings, Inc.*^      278,775  
     

 

 

 

 

Water Utilities (0.4%):

  

  7,960       American States Water Co.      297,623  
  1,634       Artesian Resources Corp.      34,461  
  10,190       California Water Service Group      232,842  
  2,211       Connecticut Water Service, Inc.^      75,528  
  2,985       Consolidated Water Co., Ltd.      37,611  
  3,255       Middlesex Water Co.      73,433  
  669       Pure Cycle Corp.*^      3,479  
  3,711       SJW Corp.      113,891  
  2,569       The York Water Co.      53,589  
     

 

 

 
        922,457  
     

 

 

 
Shares or
Principal
Amount
               
    
Fair Value
 

 

Common Stocks, continued

  

 

Wireless Telecommunication Services (0.4%):

  

  7,288       Boingo Wireless, Inc.*    $ 60,199  
  4,912       Shenandoah Telecommunications Co.      168,138  
  4,387       Spok Holdings, Inc.      73,877  
  18,257       Telephone & Data Systems, Inc.      536,756  
     

 

 

 
        838,970  
     

 

 

 

 

Total Common Stocks (Cost $230,502,778)

     229,913,699  
     

 

 

 

 

Right (0.0%):

  

 

Health Care Providers & Services (0.0%):

  

  13,756       BioScrip, Inc.*(a)      49,934  
     

 

 

 

 

Total Right (Cost $—)

     49,934  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (20.1%):

  

$ 46,243,178       Allianz Variable Insurance Products Securities Lending Collateral
Trust(b)
     46,243,178  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $46,243,178)

     46,243,178  
     

 

 

 

 

Total Investment Securities (Cost $276,745,956)(c) — 120.0%

     276,206,811  

 

Net other assets (liabilities) — (20.0)%

     (46,046,961
     

 

 

 

 

Net Assets — 100.0%

   $ 230,159,850  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $45,353,487.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.02% of the net assets of the fund.

 

(b) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

16


AZL DFA U.S. Small Cap Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 276,745,956  
    

 

 

 

Investment securities, at value*

     $ 276,206,811  

Interest and dividends receivable

       157,118  

Receivable for capital shares issued

       41,230  

Receivable for investments sold

       838,869  
    

 

 

 

Total Assets

       277,244,028  
    

 

 

 

Liabilities:

    

Cash overdraft

       600,626  

Payable for collateral received on loaned securities

       46,243,178  

Manager fees payable

       136,244  

Administration fees payable

       5,329  

Distribution fees payable

       48,658  

Custodian fees payable

       32,638  

Administrative and compliance services fees payable

       820  

Trustee fees payable

       3,262  

Other accrued liabilities

       13,423  
    

 

 

 

Total Liabilities

       47,084,178  
    

 

 

 

Net Assets

     $ 230,159,850  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 230,536,676  

Accumulated net investment income/(loss)

       175,451  

Accumulated net realized gains/(losses) from investment transactions

       (13,132 )

Net unrealized appreciation/(depreciation) on investments

       (539,145 )
    

 

 

 

Net Assets

     $ 230,159,850  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       23,053,218  

Net Asset Value (offering and redemption price per share)

     $ 9.98  
    

 

 

 

 

* Includes securities on loan of $45,353,487.

Statement of Operations

For the Period Ended June 30, 2015 (a)

(Unaudited)

 

Investment Income:

    

Dividends

     $ 636,549  

Income from securities lending

       4,751  

Foreign withholding tax

       (77 )
    

 

 

 

Total Investment Income

       641,223  
    

 

 

 

Expenses:

    

Manager fees

       359,915  

Administration fees

       10,927  

Distribution fees

       105,857  

Custodian fees

       33,408  

Administrative and compliance services fees

       839  

Trustee fees

       4,355  

Professional fees

       4,016  

Shareholder reports

       8,607  

Other expenses

       1,362  
    

 

 

 

Total expenses before reductions

       529,286  

Less expenses voluntarily waived/reimbursed by the Manager

       (63,514 )
    

 

 

 

Net expenses

       465,772  
    

 

 

 

Net Investment Income/(Loss)

       175,451  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       (13,132 )

Change in net unrealized appreciation/depreciation on investments

       (539,145 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (552,277 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (376,826 )
    

 

 

 

 

(a) For the period April 27, 2015 (commencement of operations) to June 30, 2015.
 

 

See accompanying notes to the financial statements.

 

17


Statement of Changes in Net Assets

 

     AZL DFA U.S. Small Cap Fund
      April 27, 2015
to
June 30, 2015 (a)
     (Unaudited)

Change In Net Assets:

    

Operations:

    

Net investment income/(loss)

     $ 175,451  

Net realized gains/(losses) on investment transactions

       (13,132 )

Change in unrealized appreciation/depreciation on investments

       (539,145 )
    

 

 

 

Change in net assets resulting from operations

       (376,826 )
    

 

 

 

Capital Transactions:

    

Proceeds from shares issued

       245,057,556  

Value of shares redeemed

       (14,520,880 )
    

 

 

 

Change in net assets resulting from capital transactions

       230,536,676  
    

 

 

 

Change in net assets

       230,159,850  

Net Assets:

    

Beginning of period

        
    

 

 

 

End of period

     $ 230,159,850  
    

 

 

 

Accumulated net investment income/(loss)

     $ 175,451  
    

 

 

 

Share Transactions:

    

Shares issued

       24,506,109  

Shares redeemed

       (1,452,891 )
    

 

 

 

Change in shares

       23,053,218  
    

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

18


AZL DFA U.S. Small Cap Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      April 27, 2015
to
June 30, 2015 (a)
     (Unaudited)

Net Asset Value, Beginning of Period

     $ 10.00  
    

 

 

 

Investment Activities:

    

Net Investment Income/(Loss)

       0.01  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.03 )
    

 

 

 

Total from Investment Activities

       (0.02 )
    

 

 

 

Net Asset Value, End of Period

     $ 9.98  
    

 

 

 

Total Return(b)

       (0.20 )%(c)

Ratios to Average Net Assets/Supplemental Data:

    

Net Assets, End of Period (000’s)

     $ 230,160  

Net Investment Income/(Loss)(d)

       0.41 %

Expenses Before Reductions(d) (e)

       1.25 %

Expenses Net of Reductions(d)

       1.10 %

Portfolio Turnover Rate

       4 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

19


AZL DFA U.S. Small Cap Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when

 

20


AZL DFA U.S. Small Cap Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $26.3 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,355 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Dimensional Fund Advisors LP (“DFA”), DFA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL DFA U.S. Small Cap Fund

         0.85 %          1.35 %

 

* The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $179 was paid from the Fund relating to these fees and expenses.

 

21


AZL DFA U.S. Small Cap Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 229,913,699          $          $ 229,913,699  

Right

                    49,934            49,934  

Securities Held as Collateral for Securities on Loan

                    46,243,178            46,243,178  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 229,913,699          $ 46,293,112          $ 276,206,811  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL DFA U.S. Small Cap Fund

       $ 8,904,864          $ 12,951,964  

 

22


AZL DFA U.S. Small Cap Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $276,745,956. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 9,698,102  

Unrealized depreciation

    (10,237,247
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (539,145
 

 

 

 

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

23


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

24


Approval of Investment Advisory and Subadvisory Agreement (Unaudited)

The Allianz Variable Insurance Products Trust (the “Trust”) is a manager-of-managers fund, which consists of 36 separate investment portfolios or series (together the “Funds,” and each individually a “Fund”). That means that the Trust’s Manager (Allianz Investment Management LLC) is responsible for monitoring the various Subadvisers that have day-to-day responsibility for the decisions made for each of the Funds of the Trust. The Trust’s Manager is responsible for determining, in the first instance, which investment advisers to consider recommending for selection as a Subadviser.

In reviewing the services provided by the Manager and the terms of the investment management agreement, the Board receives and reviews information related to the Manager’s experience and expertise in the variable insurance marketplace. Currently, the Funds are offered only through variable annuities and variable life insurance policies, and not in the retail fund market. In addition, the Board receives information regarding the Manager’s expertise with regard to portfolio diversification and asset allocation requirements within variable insurance products issued by Allianz Life Insurance Company of North America and its subsidiary, Allianz Life Insurance Company of New York. Currently, the Funds are offered only through Allianz Life and Allianz of New York variable products.

The Trust’s Manager has adopted policies and procedures to assist it in the process of analyzing each potential Subadviser with expertise in particular asset classes for purposes of making the recommendation that a specific investment adviser be selected. The Trust’s Board reviews and considers the information provided by the Manager in deciding which investment advisers to select. After an investment adviser becomes a Subadviser, a similarly rigorous process is instituted by the Manager to monitor the investment performance and other responsibilities of the Subadviser. The Manager reports to the Trust’s Board on its analysis at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Manager will add or remove a particular Subadviser from a “watch” list that it maintains. Watch list criteria include, for example: (a) Fund performance over various time periods; (b) Fund risk issues, such as changes in key personnel involved with Fund management, changes in investment philosophy or process, or “capacity” concerns; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Subadviser. The Manager may place a Fund on the watch list for other reasons, and if so, will explain its rationale to the Trustees. Funds which are on the watch list are subject to special scrutiny of the Manager and the Board of Trustees. Funds may be removed from such watch list, if for example, performance improves or regulatory matters are satisfactorily resolved. However, in some situations where Funds have been on the watch list, the Manager has recommended the retention of a new Subadviser, and the Board of Trustees has subsequently approved new Subadvisory Agreements with such Subadvisers.

In assessing the Manager’s and Subadvisers’ (collectively, the “Advisory Organizations”), performance of their obligations, the Board considers whether there has occurred a circumstance or event that would constitute a reason for it to not renew an advisory contract. In this regard, the Board is mindful of the potential disruption of a Fund’s operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew a contract.

As required by the Investment Company Act of 1940 (“1940 Act”), the Trust’s Board has reviewed and approved the Trust’s Investment Management Agreement with the Manager (the “Advisory Agreement”) and portfolio management agreements (the “Subadvisory Agreements”) with the Subadvisers. The Board’s decision to approve these contracts reflects the exercise of its business judgment on whether to approve new arrangements and continue the existing arrangements. During its review of these contracts, the Board considers many factors, among the most material of which are: the Fund’s investment objectives and long term performance; the Advisory Organizations’ management philosophy, personnel, and processes, including their compliance history and the adequacy of their compliance processes; the preferences and expectations of Fund shareholders (and underlying contract owners) and their relative sophistication; the continuing state of competition in the mutual fund industry; and comparable fees in the mutual fund industry.

The Board also considers the compensation and benefits received by the Advisory Organizations. This includes fees received for services provided to the Fund by affiliated persons of the Advisory Organizations and research services received by the Advisory Organizations from brokers that execute Fund trades, as well as advisory fees. The Board considered the fact that: (1) the Manager and the Trust are parties to an Administrative Service Agreement and a Compliance Services Agreement, under which the Manager is compensated by the Trust for performing certain administrative and compliance services including providing an employee of the Manager or one of its affiliates to act as the Trust’s Chief Compliance Officer; and (2) Allianz Life Financial Services, LLC, an affiliated person of the Manager, is a registered securities broker-dealer and receives (along with its affiliated persons) payments made by the Trust pursuant to Rule 12b-1.

The Board is aware that various courts have interpreted provisions of the 1940 Act and have indicated in their decisions that the following factors may be relevant to an adviser’s compensation: the nature and quality of the services provided by the adviser, including the performance of the fund; the adviser’s cost of providing the services; the extent to which the adviser may realize “economies of scale” as the fund grows larger; any indirect benefits that may accrue to the adviser and its affiliates as a result of the adviser’s relationship with the fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts bearing on the adviser’s service and fee. The Trust’s Board is aware of these factors and takes them into account in its review of the Trust’s advisory contracts.

The Board considered and weighed these circumstances in light of its experience in governing the Trust and working with the Advisory Organizations on matters relating to the Funds, and is assisted in its deliberations by the advice of legal counsel to the Independent Trustees. In this regard, the Board requests and receives a significant amount of information about the Funds and the Advisory Organizations. Some of this information is provided at each regular meeting of the Board; additional information is provided in connection with the particular meeting or meetings at which the Board’s formal review of an advisory contract occurs. In between regularly scheduled meetings, the Board may receive information on particular matters as the need arises. Thus, the Board’s evaluation of an advisory contract is informed by reports covering such matters as: an Advisory Organization’s investment philosophy, personnel, and processes; the Fund’s short- and long-term performance (in absolute terms as well as in relationship to its benchmark(s), certain competitor or “peer group” funds and similar funds managed by the particular Subadviser), and comments on the reasons for performance; the Fund’s expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund’s portfolio securities; the nature and extent of the advisory and other services provided to the Fund by the Advisory Organizations and their affiliates; compliance and audit reports concerning the Funds and the companies that service them; and relevant developments in the mutual fund industry and how the Funds and/or Advisory Organizations are responding to them.

The Board also receives financial information about Advisory Organizations, including reports on the compensation and benefits the Advisory Organizations derive from their relationships with the Funds. These reports cover not only the fees under the advisory contracts, but also fees, if any, received for providing other services to the Funds. The reports also discuss any indirect or “fall out” benefits an Advisory Organization may derive from its relationship with the Funds.

At an “in-person” Board of Trustees meeting held June 11, 2014, the Board authorized the creation of five new series of the Trust, to be managed by Dimensional Fund Advisors LP: AZL DFA U.S. Core Equity Fund, AZL DFA U.S. Small Cap Fund, AZL DFA International Core Equity Fund, AZL DFA Emerging Markets Core Equity Fund, and AZL DFA Five-Year Global Fixed Income Fund (collectively, the “DFA Funds”). The Advisory and Subadvisory Agreements pertaining to the DFA Funds (collectively, the “Agreements”) were approved at the Board of Trustees meeting of June 11, 2014. (The Subadvisory Agreement is between the Manager and Dimensional Fund Advisors LP (“DFA”), the Subadviser to the DFA Funds.)

At such meeting the Board also approved an Expense Limitation Agreement between the Manager and the Trust for the period ending April 30, 2016. In connection with such meeting, the Trustees requested and evaluated extensive materials from the Manager, including performance and expense information for other investment companies with similar investment objectives to that of the DFA Funds, derived from data compiled by an independent third party provider and other sources believed to be reliable by the

 

25


Manager. Prior to voting, the Trustees reviewed the proposed approval of the Agreements with management and with experienced counsel who are independent of the Manager. At least annually, the Board receives from experienced counsel who are independent of the Manager a memorandum discussing the legal standards for the Board’s consideration of proposed investment management agreements. The independent (“disinterested”) Trustees also discussed the proposed approvals in a private session with such counsel at which no representatives of the Manager were present. In reaching their determinations relating to the approval of the Agreements in respect of the DFA Funds, the Trustees considered all factors they believed relevant. The Board based its decision to approve the Agreements on the totality of the circumstances and relevant factors, and with a view to past and future long-term considerations. Not all of the factors and considerations discussed above and below are necessarily relevant to every Fund, and the Board did not assign relative weights to factors discussed herein or deem any one or group of them to be controlling in and of themselves.

An SEC Rule requires that shareholder reports include a discussion of certain factors relating to the selection of investment advisers and the approval of advisory fees. The “factors” enumerated by the SEC are set forth below in italics, as well as the Board’s conclusions regarding such factors:

(1) The nature, extent and quality of services provided by the Manager and Subadvisers. The Trustees noted that the Manager, subject to the control of the Board of Trustees, administers each Fund’s business and other affairs. Under the Advisory Agreement, the Manager holds the sole and exclusive responsibility to provide, or arrange for other to provide, the management of the Funds’ assets and the placement of orders for the purchase and sale of the securities of the Funds. As the Trust is a manager of managers fund, the Manager is authorized, under the Advisory Agreement, to retain one or more Subadvisers for each Fund to handle day-to-day management of the Funds’ investment portfolios; the Manager is responsible for determining, in the first instance, which investment advisers to recommend to the Board of Trustees for selection as a Subadviser.

The Trustees were aware that, notwithstanding the retention of the Subadvisers to handle day-to-day portfolio management, the Manager remains responsible for substantial other matters, including continuously monitoring compliance by each Subadviser with the investment policies and restrictions of the respective Funds, with such other limitations or directions of the Board of Trustees, and with all legal requirements under federal or state law or regulation. The Manager also is responsible primarily to provide statistical information and other data to the Trustees regarding the Funds’ portfolio investments and to make available to the Funds’ administrator such information as is necessary for the conduct of its duties.

The Trustees also noted that the Manager provides the Trust and each Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by any others retained by the Trust on behalf of the Funds) and executive and other personnel as are necessary for the operation of the Trust and the Funds. Except for the Trust’s Chief Compliance Officer, the Manager pays all of the compensation of Trustees and officers of the Trust who are employees of the Manager or its affiliates.

The Trustees considered the scope and quality of services provided by the Manager and the Subadvisers and noted that the scope of such services provided had expanded as a result of recent regulatory and other developments. The Trustees noted that, for example, the Manager and Subadvisers are responsible for maintaining and monitoring their own compliance programs, and these compliance programs are continuously refined and enhanced in light of new regulatory requirements. The Trustees considered the capabilities and resources which the Manager has dedicated to performing services on behalf of the Trust and its Funds. The quality of administrative and other services, including the Manager’s role in coordinating the activities of the Trust’s other service providers, also were considered. The Trustees concluded at the June 11, 2014 meeting that, overall, they were satisfied with the nature, extent and quality of services expected to be provided to the Trust and to the DFA Funds under the Agreements.

(2) The investment performance of the Funds, the Manager and the Subadvisers. In connection with every in-person quarterly Board of Trustees meeting, Trustees receive extensive information on the performance results of each of the Funds. This includes, for example, performance information on all of the Funds for the previous quarter, and previous one, three and five-year periods, and since inception. (For Funds which have been in existence for less than five years, Trustees may receive performance information on comparable funds managed by the particular Subadviser for periods prior to the creation of a particular Fund.) Such performance information includes information on absolute total return, performance versus Subadvisers’ comparable fund(s), performance versus the appropriate benchmark(s), and performance versus peer groups. In connection with the Board of Trustees meeting held June 11, 2014, the Manager reported that for funds managed by DFA with investment objectives and policies similar to those of the DFA Funds, for various periods ended March 31, 2014, such funds’ total returns compared favorably to each fund’s benchmark and respective peer group. At the Board of Trustees meeting held June 11, 2014, the Trustees determined that the overall investment performance of such funds was acceptable.

(3) The costs of services to be provided and profits to be realized by the Manager and the Subadvisers and their affiliates from their relationship with the Funds. The Manager supplied information to the Board of Trustees pertaining to the level of investment advisory fees to which the DFA Funds are subject. The Manager has agreed to temporarily “cap” Fund expenses at certain levels, and information was provided to Trustees setting forth management fees and total fees after taking expense caps into account. Based upon the information provided, the management fee payable by the DFA Funds to the Manager would range from the 5th percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 28th percentile (AZL DFA International Core Equity Fund). The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Board has concluded that the advisory fee to be paid to the Manager by the DFA Funds is not unreasonable.

The Manager also supplied information to the Board of Trustees pertaining to total anticipated DFA Funds expenses (which includes advisory fees, the 25 basis point 12b-1 fee paid by each Fund, and other Fund expenses). As noted above, the Manager has agreed to “cap” Fund expenses at certain levels. Based upon the information provided, the overall total expense ratio ranking for the DFA Funds ranged from the 1st percentile (AZL DFA Five-Year Global Fixed Income Fund) to the 50th percentile (AZL DFA Emerging Markets Core Equity Fund).

The Manager has committed to providing the Funds with a high quality of service and working to reduce Fund expenses over time, particularly as the Funds grow larger. The Trustees concluded therefore that the anticipated total expense ratio for the DFA Funds was not unreasonable.

At Board of Trustees meetings held October 16, 2013 and October 22, 2013, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2013. Subsequently, at an in-person meeting held on October 21, 2014, the Manager provided information concerning the profitability of the Manager’s investment advisory activities for the period from 2011 through June 30, 2014. (The DFA Funds did not commence operations until April 27, 2015.) The Trustees recognized that it is difficult to make comparisons of profitability from investment company advisory agreements because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocation of expenses and the adviser’s capital structure and cost of capital. In considering profitability information, the Trustees considered the possible effect of certain fall-out benefits to the Manager and its affiliates. The Trustees focused on profitability of the Manager’s relationships with the Funds before taxes and distribution expenses. The Trustees recognized that the Manager should, in the abstract, be entitled to earn a reasonable level of profits for the services it provides to each Fund and, based on their review, concluded that they were satisfied that the Manager’s level of profitability from its relationship with the Funds was not excessive. It is expected that at Board of Trustees meetings to be held in October, 2015, the Trustees will receive information on the Manager’s level of profitability from its relationship with the DFA Funds.

The Manager, on behalf of the Board of Trustees, endeavors to obtain information on the profitability of each Subadviser in connection with its relationship with the Fund or Funds which it subadvises. The Manager is unable to obtain meaningful profitability information from some of the unaffiliated Subadvisers. The Manager assured the Board of Trustees that the Agreements with the Subadvisers which are not affiliated with it, including DFA, were negotiated on an “arm’s length” basis, so that arguably, such profitability information should be less relevant. At the June 11, 2014 meeting, the Trustees were provided with certain financial information bearing on the profitability of

 

26


DFA; information regarding the profitability to DFA of the DFA Funds was not available because those Funds had not yet commenced operations. Trustees recognized the difficulty of allocating costs to multiple advisory accounts and products of a large advisory organization.

Based upon the information provided, the Trustees determined that there was no evidence that the anticipated profitability to DFA from being the Subadviser to the DFA Funds was excessive.

(4) and (5) The extent to which economies of scale would be realized as the Funds grow, and whether fee levels reflect these economies of scale. The Trustees noted that the advisory fee schedule for the DFA Funds does not contain breakpoints that reduce the fee rate on assets above specified levels, although the Subadvisory Agreement has such “breakpoints.” The Trustees recognized that breakpoints may be an appropriate way for the Manager to share its economies of scale, if any, with Funds that have substantial assets. However, they also recognized that there may not be a direct relationship between any economies of scale realized by Funds and those realized by the Manager as assets increase. The Trustees do not believe there is a uniform methodology for establishing breakpoints that give effect to Fund-specific service provided by the Manager. The Trustees noted that in the fund industry as a whole, as well as among funds similar to the Funds, there is no uniformity or pattern in the fees and asset levels at which breakpoints (if any) apply. Depending on the age, size, and other characteristics of a particular fund and its manager’s cost structure, different conclusions can be drawn as to whether there are economies of scale to be realized at any particular level of assets, notwithstanding the intuitive conclusion that such economies exist, or will be realized at some level of total assets. Moreover, because different managers have different cost structures and service models, it is difficult to draw meaningful conclusions from the breakpoints that may have been adopted by other funds. The Trustees also noted that the advisory agreements for many funds do not have breakpoints at all, or if breakpoints exist, they may be at asset levels significantly greater than those of the individual Funds. The Trustees also noted that the DFA Funds had no assets as of June 11, 2014.

The Trustees noted that the Manager has agreed temporarily to reduce the management fee of each DFA Fund and to “cap” DFA Fund expenses at certain levels, each of which has the effect of reducing expenses as would the implementation of advisory fee breakpoints. The Manager has committed to continue to consider the continuation of fee reductions and expense “caps” and/or advisory fee breakpoints as the Funds grow larger. The Board receives quarterly reports on the level of Fund assets. It expects to consider whether or not to approve the Agreements at a meeting to be held prior to December 31, 2015, and will at that time, or prior thereto, consider: (a) the extent to which economies of scale can be realized, and (b) whether the advisory fee should be modified to reflect such economies of scale, if any.

Having taken these factors into account, the Trustees concluded at the June 11, 2014 meeting that the absence of breakpoints in the advisory fee rate schedule for the DFA Funds was acceptable under the circumstances.

 

27


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Enhanced Bond Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 14

Statement of Operations

Page 14

Statements of Changes in Net Assets

Page 15

Financial Highlights

Page 16

Notes to the Financial Statements

Page 17

Other Information

Page 23

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Enhanced Bond Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Enhanced Bond Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Enhanced Bond Index Fund

       $ 1,000.00          $ 998.20          $ 3.27            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Enhanced Bond Index Fund

       $ 1,000.00          $ 1,021.52          $ 3.31            0.66 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

U.S. Government Agency Mortgages

      35.6 %

Corporate Bonds

      21.5  

U.S. Treasury Obligations

      15.7  

Money Markets

      15.5  

Asset Backed Securities

      10.9  

Yankee Dollars

      9.7  

Securities Held as Collateral for Securities on Loan

      8.5  

Collateralized Mortgage Obligations

      7.5  

Municipal Bonds

      1.5  

Preferred Stocks

      0.1  
   

 

 

 

Total Investment Securities

      126.5  

Net other assets (liabilities)

      (26.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Asset Backed Securities (10.9%):

  

$ 2,608,182       American Homes 4 Rent LLC, Class A, Series 2014-SFR3, 3.68%, 12/17/36(a)    $ 2,664,026  
  81,778       Auto ABS Compartiment, Class A, Series 2012-2, 2.80%, 4/27/25(a)      91,530  
  2,157,211       Chrysler Capital Auto Receivables Trust, Class A3, Series 2013-BA, 0.85%, 5/15/18(a)      2,159,032  
  1,270,000       Chrysler Capital Auto Receivables Trust, Class B, Series 2013-BA, 1.78%, 6/17/19(a)      1,270,359  
  2,210,000       Citibank Credit Card Issuance Trust, Class A1, Series 2014-A1, 2.88%, 1/23/23      2,275,836  
  1,029,103       CNH Equipment Trust, Class A3,
Series 2013-A, 0.69%, 6/15/18
     1,029,767  
  1,640,000       Colony American Homes, Class A, Series 2015-1A, 1.39%, 7/17/32(a) (b)      1,631,359  
  2,840,000       Credit Acceptance Auto Loan Trust, Class A, Series 2014-1A, 1.55%, 10/15/21(a)      2,840,676  
  3,190,000       Credit Acceptance Auto Loan Trust, Class A, Series 2014-2A, 1.88%, 3/15/22(a)      3,200,489  
  268,485       First Investors Auto Owner Trust, Class A2, Series 2013-1A, 0.90%, 10/15/18(a)      268,408  
  620,633       Ford Credit Auto Owner Trust, Class A3, Series 2013-A, 0.55%, 7/15/17      620,740  
  2,025,000       Ford Credit Floorplan Master Owner Trust, Class A, Series 2012-2, 1.92%, 1/15/19      2,050,730  
  3,290,000       Golden Credit Card Trust, Class A, Series 2014-1A, 0.53%, 3/15/19(a) (b)      3,286,428  
  2,190,000       GoldenTree Loan Opportunities VII, Ltd., Class A, Series 2013-7A, 1.41%,
4/25/25(a) (b)
     2,164,049  
  2,340,000       Invitation Homes Trust, Class A, Series 2014-SFR2, 1.29%,
9/17/31(a) (b)
     2,316,261  
  2,140,000       Nextgear Floorplan Master Owner Trust, Class A, Series 2014-1A, 1.92%, 10/15/19(a)      2,147,244  
  1,830,000       Nissan Master Owner Trust Receivables, Class A, Series 2013-A, 0.49%, 2/15/18(b)      1,830,000  
  2,205,000       Nomad CLO, Ltd., Class A1, Series 2013-1A, 1.45%, 1/15/25(a) (b)      2,190,467  
  2,975,000       OneMain Financial Issuance Trust, Class A, Series 2014-2A, 2.47%, 9/18/24(a)      2,990,797  
  1,875,000       OneMain Financial Issuance Trust, Class A, Series 2015-1A, 3.19%, 3/18/26(a)      1,901,644  
  1,735,000       PFS Financing Corp., Class A, Series 2013-AA, 0.74%, 2/15/18(a) (b)      1,733,352  
  190,843       Prestige Auto Receivables Trust, Class A2, Series 2013-1A, 1.09%, 2/15/18(a)      190,928  
  2,300,000       Prestige Auto Receivables Trust, Class C, Series 2014-1A, 2.39%, 5/15/20(a)      2,306,721  
  2,470,000       Progress Residential Trust, Class A, Series 2015-SFR1, 1.59%,
2/17/32(a) (b)
     2,471,093  
  2,075,000       Progress Residential Trust, Class A, Series 2015-SFR2, 2.74%, 6/12/32      2,059,108  
  14,736       Santander Drive Auto Receivables Trust, Class C, Series 2011-3, 3.09%, 5/15/17      14,749  
  283,090       Santander Drive Auto Receivables Trust, Class B, Series 2012-5, 1.56%, 8/15/18      283,387  
  2,605,000       Santander Drive Auto Receivables Trust, Class E, Series 2012-2A, 5.95%, 4/15/19(a)      2,715,957  
    
Principal
Amount
           Fair Value  

 

Asset Backed Securities, continued

  
$ 1,200,000       Santander Drive Auto Receivables Trust, Class C, Series 2012-6, 1.94%, 4/16/18    $ 1,205,304  
  1,785,000       Santander Drive Auto Receivables Trust, Class B, Series 2013-2, 1.33%, 3/15/18      1,787,158  
  1,900,000       Santander Drive Auto Receivables Trust, Class C, Series 2013-4, 3.25%, 1/15/20      1,944,620  
  2,075,000       Santander Drive Auto Receivables Trust, Class B, Series 2013-A, 1.89%, 10/15/19(a)      2,088,537  
  688,270       Santander Drive Auto Receivables Trust, Class R, Series 2014-S6, 1.43%, 12/16/19(a)      689,936  
  3,330,203       Silver Bay Realty 2014-1 Trust, Class A, Series 2014-1, 1.18%, 9/17/31(a) (b)      3,289,617  
  253,275       SLM Student Loan Trust, Class A2, Series 2004-B, 0.49%, 6/15/21(b)      251,920  
  1,676,245       SLM Student Loan Trust, Class A4, Series 2006-A, 0.48%, 12/15/23(b)      1,658,396  
  440,750       SLM Student Loan Trust, Class A1, Series 2012-A, 1.59%, 4/15/16(a) (b)      444,421  
  2,190,000       Springleaf Funding Trust, Class A, Series 2015-AA, 3.16%, 11/15/24(a)      2,216,691  
  2,121,381       Sway Residential Trust, Class A, Series 2014-1, 1.48%, 1/17/20(a) (b)      2,113,090  
  3,970,000       Synchrony Credit Card Master Note Trust, Class A, Series 2015-1, 2.37%, 3/15/23      4,003,804  
     

 

 

 

 

Total Asset Backed Securities (Cost $72,156,595)

     72,398,631  
     

 

 

 

 

Collateralized Mortgage Obligations (7.5%):

  
  1,307,846       Banc of America Commercial Mortgage, Inc., Class A1A, Series 2007-3, 5.58%, 6/10/49(b)      1,396,219  
  79,557       Banc of America Large Loan, Class A4B, Series 2010-UB4, 5.11%, 12/20/41(a) (b)      79,476  
  50,000       Bear Stearns Commercial Mortgage Securities, Inc., Class AM, Series 2005-PW10, 5.45%,
12/15/15(b)
     50,752  
  1,569,986       Bear Stearns Commercial Mortgage Securities, Inc., Class A1A, Series 2006-PW14, 5.19%, 12/11/38      1,640,604  
  2,802,868       Bear Stearns Commercial Mortgage Securities, Inc., Class A1A, Series 2007-PW15, 5.32%, 2/11/44      2,942,829  
  625,000       Bear Stearns Commercial Mortgage Securities, Inc., Class AM, Series 2007-PW16, 5.71%, 6/1/40(b)      669,330  
  2,540,000       BHMS Mortgage Trust, Class AFL, Series 2014-ATLS, 1.68%,
7/5/33(a) (b)
     2,524,625  
  1,170,000       Citigroup Commercial Mortgage Trust, Class A, Series 2014-388G, 0.94%, 6/15/33(a) (b)      1,163,671  
  32,159,035       Comm 2015-CCRE23 Mortgage Trust, 3.51%, 5/10/48(b)      2,185,978  
  2,017,070       Commercial Mortgage Loan Trust, Class A1A, Series 2008-LS1, 6.04%, 12/10/49(b)      2,174,609  
  590,000       Commercial Mortgage Pass-Through Certificates, Class AM, Series 2006-C8, 5.35%, 12/10/16      620,741  
  575,000       Commercial Mortgage Trust, Class A4, Series 2014-UBS3, 3.82%, 6/10/47      599,213  
 

 

Continued

 

2


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  

$ 1,205,000       Commercial Mortgage Trust, Class A3, Series 2014-CR21, 3.53%, 12/10/47    $ 1,232,783  
  428,000       Commercial Mortgage Trust, Class B, Series 2012-LTRT, 3.80%, 10/5/30(a)      430,278  
  1,893,346       Commercial Mortgage Trust, Class A, Series 2013-FL3, 1.70%, 10/13/28(a) (b)      1,893,028  
  1,510,000       Commercial Mortgage Trust, Class C, Series 2014-CR17, 4.74%, 5/10/47(b)      1,557,816  
  1,975,000       Commercial Mortgage Trust, Class A, Series 2014-TWC, 1.04%, 2/13/32(a) (b)      1,968,931  
  2,245,000       Commerical Mortgage Trust, Class B, Series 2014-FL5, 2.34%, 10/15/31(a) (b)      2,245,015  
  855,000       Credit Suisse Commercial Mortgage Trust, Class AM, Series 2006-C5, 5.34%, 12/15/39      897,305  
  100,000       Credit Suisse Mortgage Capital Certificates, Class AM, Series 2006-C3, 5.81%, 6/15/16(b)      103,825  
  1,940       Credit Suisse Mortgage Capital Certificates, Class A2, Series 2007-C2, 5.45%, 1/15/49(b)      1,942  
  1,806,336       DBRR Trust, Class A, Series 2013-EZ3, 1.64%, 12/18/49(a) (b)      1,814,804  
  3,595,000       GAHR Commercial Mortgage Trust, Class AFL1, Series 2015-NRF, 1.49%, 12/15/16(a) (b)      3,594,456  
  10,626,304       GS Mortgage Securities Trust, Class XA, Series 2013-GC10, 1.72%, 2/10/46(b)      965,283  
  1,100,000       GS Mortgage Securities Trust, Class A, Series 2012-SHOP, 2.93%, 6/5/31(a)      1,129,905  
  8,834       GS Mortgage Securities Trust, Class XA, Series 2014-GC20, 1.37%, 4/10/47(b)      636  
  1,065,000       GS Mortgage Securities Trust, Class B, Series 2014-GC22, 4.39%, 6/10/47      1,098,750  
  1,500,000       Hilton USA Trust, Class AFX, Series 2013-HLT, 2.66%, 11/5/30(a)      1,490,507  
  1,580,000       JPMBB Commercial Mortgage Securities Trust, Class A4, Series 2014-C22, 3.80%, 9/15/47      1,638,732  
  599,108       JPMorgan Chase Commercial Mortgage Securities Corp., Class A, Series 2012-WLDN, 3.90%, 5/5/30(a)      621,607  
  16,412       JPMorgan Chase Commercial Mortgage Securities Corp., Class XA, Series 2013-LC11, 1.56%, 4/15/46(b)      1,327  
  969,851       Lanark Master Issuer plc, Class 1A, Series 2012-2A, 1.68%,
12/22/54(a) (b)
     974,572  
  1,200,000       LB Commercial Conduit Mortgage Trust, Class AM, Series 2007-C3, 5.90%, 7/15/44(b)      1,295,536  
  1,458,352       Merrill Lynch Mortgage Trust, Class A1A, Series 2007-C1, 5.84%, 6/12/50(b)      1,522,978  
  546,048       ML-CFC Commercial Mortgage Trust, Class A1A, Series 2006-4, 5.17%, 12/12/49(b)      570,044  
  1,395,000       Morgan Stanley BAML Trust, Class C, Series 2013-C13, 4.89%, 11/15/46(b)      1,466,053  
  1,170,712       Morgan Stanley Capital I Trust, Class A1A, Series 2007-IQ13, 5.31%, 3/15/44      1,227,552  
  483,645       Morgan Stanley Re-REMIC Trust, Class A, Series 2012-XA, 2.00%, 7/28/49(a)      483,403  
    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  

$ 605,912       RBSCF Trust, Class WBTA, Series 2010-RR3, 5.95%,
4/16/17(a) (b)
   $ 624,111  
  1,220,000       Sfave Commercial Mortgage Securities Trust, Class A2A, Series 2015-5AVE, 3.66%,
1/5/35(a) (b)
     1,147,221  
  298,911       STRIPS, Class A, Series 2012-1A, 1.50%, 12/25/44(a)      295,922  
  18,293,553       WF-RBS Commercial Mortgage Trust, Class XA, Series 2014-C20, 1.23%, 5/15/47(b)      1,282,707  
     

 

 

 

 

Total Collateralized Mortgage Obligations (Cost $50,231,811)

     49,625,076  
     

 

 

 

 

Corporate Bonds (21.5%):

  

 

Aerospace & Defense (0.3%):

  

  345,000       Boeing Co. (The), 2.85%, 10/30/24, Callable 7/30/24 @ 100      337,744  
  80,000       Boeing Co. (The), 3.30%, 3/1/35, Callable 9/1/34 @ 100      72,645  
  40,000       Boeing Co. (The), 3.50%, 3/1/45, Callable 9/1/44 @ 100      35,378  
  280,000       Lockheed Martin Corp., 2.90%, 3/1/25, Callable 12/1/24 @ 100      268,967  
  185,000       Lockheed Martin Corp., 3.60%, 3/1/35, Callable 9/1/34 @ 100^      171,096  
  135,000       Lockheed Martin Corp., 3.80%, 3/1/45, Callable 9/1/44 @ 100      120,347  
  300,000       Northrop Grumman Corp., 3.85%, 4/15/45, Callable 10/15/44 @ 100      263,963  
  960,000       United Technologies Corp., 1.78%, 5/4/18(b)      962,952  
     

 

 

 
        2,233,092  
     

 

 

 

 

Air Freight & Logistics (0.1%):

  

  500,000       FedEx Corp., 3.88%, 8/1/42^      432,809  
     

 

 

 

 

Airlines (0.1%):

  
  695,000       American Airlines 15-1, Series A, 3.38%, 5/1/27      686,313  
     

 

 

 

 

Banks (4.3%):

  
  1,650,000       Bank of America Corp., 1.50%, 10/9/15^      1,653,787  
  430,000       Bank of America Corp., Series 1, 3.75%, 7/12/16      440,810  
  1,315,000       Bank of America Corp., 0.54%, 10/14/16(b)      1,310,141  
  820,000       Bank of America Corp., 5.63%, 10/14/16      864,321  
  1,050,000       Bank of America Corp., Series L, 1.35%, 11/21/16^      1,049,786  
  1,065,000       Bank of America Corp., 1.35%, 3/22/18, MTN(b)      1,074,694  
  747,000       Bank of America Corp., 2.60%, 1/15/19      755,135  
  1,709,000       Bank of America Corp., Series L, 2.25%, 4/21/20, MTN^      1,677,895  
  585,000       Bank of America Corp., 4.00%, 1/22/25, MTN^      569,962  
  1,020,000       Bank of America Corp., Series L, 3.95%, 4/21/25^      982,454  
  345,000       Bank of America Corp., 5.00%, 1/21/44, MTN      358,208  
  455,000       BB&T Corp., 2.63%, 6/29/20, Callable 5/29/20 @ 100, MTN^      456,010  
  1,185,000       Capital One NA, Series BKNT, 1.65%, 2/5/18, Callable 1/5/18 @ 100^      1,175,913  
 

 

Continued

 

3


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Banks, continued

  

$ 1,260,000       Citigroup, Inc., 1.30%, 4/1/16    $ 1,262,974  
  2,580,000       Citigroup, Inc., 1.80%, 2/5/18      2,573,781  
  1,230,000       Citigroup, Inc., 2.40%, 2/18/20^      1,214,770  
  170,000       Citigroup, Inc., 4.95%, 11/7/43      176,243  
  330,000       Discover Bank, Series BKNT, 3.10%, 6/4/20, Callable 5/4/20 @ 100      329,672  
  1,205,000       HSBC USA, Inc., 1.70%, 3/5/18^      1,201,685  
  2,290,000       HSBC USA, Inc., 2.35%, 3/5/20      2,271,274  
  1,350,000       JPMorgan Chase & Co., Series G, 0.90%, 2/26/16^(b)      1,351,843  
  1,095,000       JPMorgan Chase & Co., 2.20%, 10/22/19^      1,085,352  
  1,180,000       JPMorgan Chase & Co., 2.25%, 1/23/20, Callable 12/23/19 @ 100      1,159,567  
  125,000       JPMorgan Chase & Co., 4.50%, 1/24/22      133,959  
  260,000       JPMorgan Chase & Co., 4.95%, 6/1/45      252,737  
  1,565,000       Wells Fargo & Co., 1.25%, 7/20/16      1,571,632  
  1,105,000       Wells Fargo & Co., 3.00%, 2/19/25^      1,058,302  
  535,000       Wells Fargo & Co., 3.90%, 5/1/45      481,475  
     

 

 

 
        28,494,382  
     

 

 

 

 

Biotechnology (0.4%):

  

  559,000       Amgen, Inc., 2.13%, 5/1/20, Callable 5/1/20 @ 100^      547,369  
  450,000       Amgen, Inc., 3.63%, 5/15/22, Callable 2/15/22 @ 100      458,482  
  320,000       Amgen, Inc., 3.13%, 5/1/25, Callable 2/1/25 @ 100      302,765  
  395,000       Amgen, Inc., 5.38%, 5/15/43, Callable 11/15/42 @ 100      419,164  
  255,000       Amgen, Inc., 4.40%, 5/1/45, Callable 11/1/44 @ 100      234,979  
  385,000       Celgene Corp., 3.25%, 8/15/22      380,737  
  230,000       Gilead Sciences, Inc., 4.80%, 4/1/44, Callable 10/1/43 @ 100      236,721  
     

 

 

 
        2,580,217  
     

 

 

 

 

Capital Markets (2.2%):

  

  205,000       Bank of New York Mellon Corp. (The), Series G, 3.00%, 2/24/25, Callable 7/17/15 @ 100      198,611  
  630,000       Bank of New York Mellon Corp. (The), Series E, 4.95%, 12/29/49, Callable 6/20/20 @ 100(b)      625,275  
  1,045,000       Ford Motor Credit Co. LLC, 1.72%, 12/6/17      1,039,574  
  370,000       General Electric Capital Corp., 4.38%, 9/16/20      402,897  
  905,000       Goldman Sachs Group, Inc. (The), 0.73%, 3/22/16^(b)      904,418  
  1,175,000       Goldman Sachs Group, Inc. (The), 2.38%, 1/22/18      1,192,872  
  915,000       Goldman Sachs Group, Inc. (The), 1.48%, 4/30/18(b)      924,652  
  1,962,000       Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18      2,008,161  
  192,000       Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19^      194,376  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Capital Markets, continued

  

$ 610,000       Goldman Sachs Group, Inc. (The), 2.60%, 4/23/20, Callable 3/23/20 @ 100^    $ 606,943  
  705,000       Goldman Sachs Group, Inc. (The), 3.75%, 5/22/25, Callable 2/22/25 @ 100      695,724  
  360,000       Goldman Sachs Group, Inc. (The), 4.80%, 7/8/44, Callable 1/8/44 @ 100      355,368  
  225,000       Goldman Sachs Group, Inc. (The), 5.15%, 5/22/45      217,064  
  311,000       Morgan Stanley, 1.88%, 1/5/18      311,825  
  414,000       Morgan Stanley, 2.13%, 4/25/18      416,798  
  1,460,000       Morgan Stanley, 2.80%, 6/16/20^      1,461,552  
  870,000       Morgan Stanley, 3.75%, 2/25/23      879,692  
  515,000       Morgan Stanley, 4.30%, 1/27/45      481,214  
  1,740,000       State Street Capital Trust IV, 1.29%, 6/15/37, Callable 8/10/15 @ 100^(b)      1,518,149  
  256,980       SteelRiver Transmission Co. LLC, 4.71%, 6/30/17(a)      267,459  
     

 

 

 
        14,702,624  
     

 

 

 

 

Chemicals (0.2%):

  

  233,000       Dow Chemical Co. (The), 4.25%, 10/1/34, Callable 4/1/34 @ 100      218,866  
  265,000       Dow Chemical Co. (The), 4.38%, 11/15/42, Callable 5/15/42 @ 100      241,416  
  555,000       Eastman Chemical Co., 2.40%, 6/1/17      564,137  
  410,000       Eastman Chemical Co., 2.70%, 1/15/20, Callable 12/15/19 @ 100      408,670  
  70,000       Eastman Chemical Co., 4.65%, 10/15/44, Callable 4/15/44 @ 100      66,317  
     

 

 

 
        1,499,406  
     

 

 

 

 

Commercial Services & Supplies (0.1%):

  

  535,000       Republic Services, Inc., 3.20%, 3/15/25, Callable 12/15/24 @ 100      514,566  
  140,000       Waste Management, Inc., 3.90%, 3/1/35, Callable 9/1/34 @ 100      128,367  
     

 

 

 
        642,933  
     

 

 

 

 

Communications Equipment (0.3%):

  

  770,000       Cisco Systems, Inc., 2.45%, 6/15/20      775,482  
  135,000       Harris Corp., 2.70%, 4/27/20, Callable 3/27/20 @ 100      133,276  
  740,000       QUALCOMM, Inc., 3.45%, 5/20/25, Callable 2/20/25 @ 100      721,117  
     

 

 

 
        1,629,875  
     

 

 

 

 

Consumer Finance (0.5%):

  

  1,135,000       American Express Credit Corp., 1.13%, 6/5/17^      1,130,726  
  280,000       American Express Credit Corp., 2.38%, 5/26/20, Callable 4/25/20 @ 100      277,992  
  975,000       Capital One Bank USA NA, Series BKNT, 1.15%, 11/21/16, Callable 10/21/16 @ 100      971,552  
  290,000       Capital One Bank USA NA, 1.30%, 6/5/17, Callable 5/5/17 @ 100      288,202  
  265,000       Santander Holdings USA, 2.65%, 4/17/20, Callable 3/17/20 @ 100      260,524  
 

 

Continued

 

4


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Consumer Finance, continued

  

$ 125,000       Synchrony Financial, 2.70%, 2/3/20, Callable 1/3/20 @ 100    $ 123,477  
     

 

 

 
        3,052,473  
     

 

 

 

 

Diversified Financial Services (0.7%):

  

  1,090,000       Daimler Finance NA LLC, 1.88%, 1/11/18^(a)      1,092,375  
  685,000       Daimler Finance NA LLC, 2.45%, 5/18/20(a)      680,576  
  1,090,000       General Electric Capital Corp., 0.98%, 4/2/18^(b)      1,103,366  
  1,510,000       JPMorgan Chase & Co., 2.75%, 6/23/20, Callable 5/23/20 @ 100^      1,511,609  
     

 

 

 
        4,387,926  
     

 

 

 

 

Diversified Telecommunication Services (1.1%):

  

  860,000       AT&T, Inc., 0.90%, 2/12/16^      860,040  
  317,000       AT&T, Inc., 2.30%, 3/11/19      317,256  
  3,000,000       AT&T, Inc., 3.74%, 11/27/22, Callable 5/27/16 @ 73.11(a)(c)      2,284,164  
  750,000       Verizon Communications, Inc., 2.63%, 2/21/20      748,314  
  550,000       Verizon Communications, Inc., 2.45%, 11/1/22, Callable 8/1/22 @ 100      516,331  
  1,195,000       Verizon Communications, Inc., 5.15%, 9/15/23      1,308,335  
  1,005,000       Verizon Communications, Inc., 4.40%, 11/1/34, Callable 5/1/34 @ 100      930,388  
  525,000       Verizon Communications, Inc., 5.01%, 8/21/54      481,733  
     

 

 

 
        7,446,561  
     

 

 

 

 

Education (0.1%):

  

  700,000       Massachusetts Institute of Technology, 4.68%, 7/1/14      703,656  
     

 

 

 

 

Electric Utilities (0.6%):

  

  125,000       Alabama Power Co., 2.80%, 4/1/25, Callable 1/1/25 @ 100      119,814  
  425,000       Alabama Power Co., 4.15%, 8/15/44, Callable 2/15/44 @ 100      406,737  
  430,000       Carolina Power & Light Co., 4.10%, 3/15/43, Callable 9/15/42 @ 100      411,209  
  355,000       DTE Electric Co., Series A, 4.00%, 4/1/43, Callable 10/1/42 @ 100      337,085  
  195,000       DTE Electric Co., 3.70%, 3/15/45, Callable 9/15/44 @ 100      176,280  
  900,000       DTE Energy Co., Series F, 3.85%, 12/1/23, Callable 9/1/23 @ 100      933,737  
  135,000       Exelon Corp., 2.85%, 6/15/20, Callable 5/15/20 @ 100      135,783  
  180,000       Oncor Electric Delivery Co. LLC, 7.00%, 9/1/22      221,451  
  350,000       PPL Capital Funding, Inc., 5.00%, 3/15/44, Callable 9/15/43 @ 100      367,785  
  220,000       Southern California Edison Co., Series 06-E, 5.55%, 1/15/37      255,860  
  185,000       Virginia Electric & Power Co., Series A, 6.00%, 5/15/37      224,703  
  25,000       Virginia Electric & Power Co., 6.35%, 11/30/37      31,884  
  200,000       Virginia Electric & Power Co., 4.00%, 1/15/43, Callable 7/15/42 @ 100      186,898  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Electric Utilities, continued

  

$ 245,000       Virginia Electric & Power Co., Series B, 4.20%, 5/15/45, Callable 11/15/44 @ 100^    $ 236,753  
     

 

 

 
        4,045,979  
     

 

 

 

 

Electrical Equipment (0.4%):

  

  840,000       Eaton Corp., 1.50%, 11/2/17      839,426  
  255,000       Eaton Corp., 4.00%, 11/2/32      246,820  
  1,720,000       General Electric Co., 2.70%, 10/9/22      1,681,412  
     

 

 

 
        2,767,658  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.0%):

  

  111,000       Agilent Technologies, Inc., 6.50%, 11/1/17      122,556  
     

 

 

 

 

Food & Staples Retailing (0.1%):

  

  130,000       CVS Health Corp., 5.30%, 12/5/43, Callable 6/5/43 @ 100^      141,659  
  305,000       Wal-Mart Stores, Inc., 4.00%, 4/11/43, Callable 10/11/42 @ 100      291,026  
     

 

 

 
        432,685  
     

 

 

 

 

Food Products (0.2%):

  

  1,425,000       Wm. Wrigley Jr. Co., 1.40%, 10/21/16(a)      1,428,647  
     

 

 

 

 

Health Care Equipment & Supplies (0.4%):

  

  210,000       Baxter International, Inc., 3.20%, 6/15/23, Callable 8/10/15 @ 100      214,880  
  170,000       Becton, Dickinson & Co., 1.80%, 12/15/17      170,021  
  125,000       Becton, Dickinson & Co., 2.68%, 12/15/19      125,095  
  270,000       Becton, Dickinson & Co., 3.88%, 5/15/24, Callable 2/15/24 @ 100      271,051  
  180,000       Becton, Dickinson & Co., 3.73%, 12/15/24, Callable 9/15/24 @ 100      179,394  
  165,000       Boston Scientific Corp., 2.85%, 5/15/20      163,836  
  525,000       Boston Scientific Corp., 3.85%, 5/15/25      509,382  
  245,000       Medtronic, Inc., 3.50%, 3/15/25(a)      244,164  
  665,000       Medtronic, Inc., 4.63%, 3/15/45(a)      673,211  
     

 

 

 
        2,551,034  
     

 

 

 

 

Health Care Providers & Services (0.5%):

  

  380,000       Aetna, Inc., 4.13%, 11/15/42, Callable 5/15/42 @ 100      336,731  
  410,000       CIGNA Corp., 3.25%, 4/15/25, Callable 1/15/25 @ 100      393,280  
  325,000       Memorial Sloan-Kettering, Series 2015, 4.20%, 7/1/55      293,478  
  725,000       UnitedHealth Group, Inc., 1.40%, 10/15/17      725,811  
  410,000       UnitedHealth Group, Inc., 4.25%, 3/15/43, Callable 9/15/42 @ 100^      387,426  
  325,000       WellPoint, Inc., 3.30%, 1/15/23      312,356  
  455,000       WellPoint, Inc., 3.50%, 8/15/24, Callable 5/15/24 @ 100      437,040  
  300,000       WellPoint, Inc., 5.10%, 1/15/44      293,231  
     

 

 

 
        3,179,353  
     

 

 

 

 

Hotels, Restaurant & Leisure (0.0%):

  

  120,000       McDonald’s Corp., 4.60%, 5/26/45      117,073  
     

 

 

 

 

Household Products (0.0%):

  

  160,000       Kimberly-Clark Corp., 2.65%, 3/1/25      154,661  
     

 

 

 
 

 

Continued

 

5


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Independent Power and Renewable Electricity Producers (0.8%):

  

$ 220,000       Carolina Power & Light Co., 5.70%, 4/1/35    $ 258,545  
  65,000       Florida Power & Light Co., 5.95%, 2/1/38      79,391  
  845,000       Florida Power Corp., 6.40%, 6/15/38      1,087,054  
  40,000       MidAmerican Energy Holdings Co., 5.95%, 5/15/37      46,281  
  450,000       MidAmerican Energy Holdings Co., 6.50%, 9/15/37      552,060  
  850,000       PacifiCorp, 5.65%, 7/15/18      948,694  
  395,000       PacifiCorp, 5.75%, 4/1/37      465,822  
  630,000       PacifiCorp, 4.10%, 2/1/42, Callable 8/1/41 @ 100      603,076  
  350,000       Progress Energy Carolinas, Inc., 5.30%, 1/15/19^      390,049  
  865,000       Public Service Electric & Gas Co., 2.38%, 5/15/23, Callable 2/15/23 @ 100      824,373  
     

 

 

 
        5,255,345  
     

 

 

 

 

Insurance (0.8%):

  

  410,000       ACE INA Holdings, Inc., 4.15%, 3/13/43^      390,297  
  690,000       American International Group, Inc., 4.13%, 2/15/24      715,995  
  526,000       American International Group, Inc., 4.38%, 1/15/55, Callable 7/15/54 @ 100      468,475  
  410,000       Hartford Financial Services Group, Inc. (The), 4.30%, 4/15/43      388,127  
  1,125,000       MetLife, Inc., 6.75%, 6/1/16^      1,183,507  
  310,000       MetLife, Inc., 4.05%, 3/1/45      284,732  
  445,000       MetLife, Inc., Series C, 5.25%, 12/31/49, Callable 6/15/20 @ 100(b)      441,106  
  905,000       New York Life Global Funding, 1.65%, 5/15/17(a)      914,216  
  90,000       Prudential Financial, Inc., Series D, 4.75%, 9/17/15, MTN      90,696  
  720,000       Prudential Financial, Inc., 3.50%, 5/15/24^      711,786  
     

 

 

 
        5,588,937  
     

 

 

 

 

IT Services (0.1%):

  

  450,000       MasterCard, Inc., 3.38%, 4/1/24      459,342  
     

 

 

 

 

Machinery (0.1%):

  

  605,000       Deere & Co., 2.60%, 6/8/22, Callable 3/8/22 @ 100^      595,310  
     

 

 

 

 

Media (1.0%):

  

  195,000       Comcast Corp., 3.38%, 8/15/25, Callable 5/15/25 @ 100      192,427  
  875,000       Comcast Corp., 4.20%, 8/15/34, Callable 2/15/34 @ 100      843,905  
  145,000       Comcast Corp., 4.40%, 8/15/35, Callable 2/15/35 @ 100^      143,981  
  200,000       Comcast Corp., 6.50%, 11/15/35      248,847  
  283,000       Comcast Corp., 4.60%, 8/15/45, Callable 2/15/45 @ 100      280,571  
  575,000       Cox Communications, Inc., 4.70%, 12/15/42(a)      491,902  
  575,000       DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.50%, 3/1/16      583,958  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Media, continued

  

$ 150,000       DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 4.45%, 4/1/24, Callable 1/1/24 @ 100    $ 153,497  
  185,000       DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.95%, 1/15/25, Callable 10/15/24 @ 100      181,377  
  66,000       Discovery Communications, Inc., 4.88%, 4/1/43      59,869  
  1,135,000       NBCUniversal Enterprise, Inc., 0.96%, 4/15/18(a) (b)      1,140,154  
  280,000       NBCUniversal Media LLC, 5.15%, 4/30/20      314,457  
  816,000       NBCUniversal Media LLC, 4.45%, 1/15/43      784,254  
  525,000       Omnicom Group, Inc., 5.90%, 4/15/16      544,167  
  813,000       Scripps Networks Interactive, Inc., 2.70%, 12/15/16      829,234  
     

 

 

 
        6,792,600  
     

 

 

 

 

Metals & Mining (0.2%):

  

  470,000       Freeport-McMoRan, Inc., 4.00%, 11/14/21^      461,528  
  340,000       Freeport-McMoRan, Inc., 5.40%, 11/14/34, Callable 5/14/34 @ 100^      293,300  
  625,000       Southern Copper Corp., 5.88%, 4/23/45      594,500  
     

 

 

 
        1,349,328  
     

 

 

 

 

Multi-Utilities (0.1%):

  

  555,000       Duke Energy Carolinas LLC, 3.75%, 6/1/45, Callable 12/1/44 @ 100^      506,126  
  470,000       Northwest Florida Timber Finance LLC, 4.75%, 3/4/29(a)      422,513  
     

 

 

 
        928,639  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.3%):

  

  2,025,000       Anadarko Petroleum Corp., 6.38%, 9/15/17      2,222,242  
  225,000       Continental Resources, Inc., 4.90%, 6/1/44, Callable 12/1/43 @ 100      189,497  
  690,000       El Paso Pipeline Partners LP, 5.00%, 10/1/21, Callable 7/1/21 @ 100      730,119  
  216,000       El Paso Pipeline Partners Operating Co. LLC, 6.50%, 4/1/20      245,961  
  220,000       El Paso Pipeline Partners Operating Co. LLC, 4.30%, 5/1/24, Callable 2/1/24 @ 100      217,106  
  1,390,000       Energy Transfer Partners LP, 6.50%, 2/1/42, Callable 8/1/41 @ 100      1,431,903  
  500,000       Enterprise Products Operating LLC, 3.90%, 2/15/24, Callable 11/15/23 @ 100^      502,077  
  370,000       Enterprise Products Operating LLC, 3.75%, 2/15/25, Callable 11/15/24 @ 100      362,627  
  200,000       Enterprise Products Operating LLC, 4.85%, 8/15/42, Callable 2/15/42 @ 100      190,059  
  430,000       Enterprise Products Operating LLC, 5.10%, 2/15/45, Callable 8/15/44 @ 100      418,236  
  1,415,000       Enterprise Products Operating LLC, Series A, 8.38%, 8/1/66, Callable 8/1/16 @ 100      1,482,212  
  125,000       Enterprise Products Operating LP, 1.65%, 5/7/18      124,875  
 

 

Continued

 

6


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 135,000       Enterprise Products Operating LP, 4.90%, 5/15/46, Callable 0 @ 100    $ 127,152  
  530,000       EOG Resources, Inc., 2.45%, 4/1/20, Callable 3/1/20 @ 100      533,680  
  520,000       EOG Resources, Inc., 3.90%, 4/1/35, Callable 10/1/34 @ 100      492,257  
  925,000       Kinder Morgan (Delaware), Inc., 3.05%, 12/1/19, Callable 11/1/19 @ 100      923,976  
  165,000       Kinder Morgan Energy Partners LP, 3.95%, 9/1/22, Callable 6/1/22 @ 100      161,355  
  60,000       Kinder Morgan Energy Partners LP, 3.50%, 9/1/23, Callable 6/1/23 @ 100^      55,935  
  220,000       Kinder Morgan Energy Partners LP, 4.15%, 2/1/24^      213,480  
  445,000       Kinder Morgan Energy Partners LP, 5.40%, 9/1/44, Callable 5/15/24 @ 100      404,245  
  668,000       Marathon Petroleum Corp., 4.75%, 9/15/44, Callable 3/15/44 @ 100      609,681  
  515,000       Noble Energy, Inc., 5.25%, 11/15/43, Callable 5/15/43 @ 100      501,744  
  620,000       Phillips 66, 4.65%, 11/15/34, Callable 5/15/34 @ 100      606,535  
  335,000       Plains All American Pipeline LP, 4.90%, 2/15/45, Callable 8/15/44 @ 100^      315,845  
  380,000       Sunoco Logistics Partner LP, 3.45%, 1/15/23, Callable 10/15/22 @ 100      359,618  
  260,000       Sunoco Logistics Partner LP, 5.35%, 5/15/45, Callable 11/15/44 @ 100      237,357  
  520,000       Williams Partners LP, 4.00%, 11/15/21      524,869  
  870,000       Williams Partners LP, 3.60%, 3/15/22, Callable 1/15/22 @ 100      844,724  
  220,000       Williams Partners LP, 4.50%, 11/15/23, Callable 8/15/23 @ 100      221,016  
  120,000       Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100      118,022  
     

 

 

 
        15,368,405  
     

 

 

 

 

Paper & Forest Products (0.2%):

  

  821,000       International Paper Co., 3.65%, 6/15/24, Callable 3/15/24 @ 100^      809,184  
  191,000       International Paper Co., 4.80%, 6/15/44, Callable 12/15/43 @ 100^      177,115  
     

 

 

 
        986,299  
     

 

 

 

 

Pharmaceuticals (1.0%):

  

  795,000       Abbvie, Inc., 2.00%, 11/6/18      795,351  
  535,000       Abbvie, Inc., 4.40%, 11/6/42      506,208  
  480,000       AbbVie, Inc., 2.50%, 5/14/20, Callable 4/14/20 @ 100      475,076  
  40,000       AbbVie, Inc., 2.90%, 11/6/22      38,732  
  190,000       AbbVie, Inc., 3.60%, 5/14/25, Callable 2/14/25 @ 100      187,795  
  425,000       AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100      415,779  
  120,000       AbbVie, Inc., 4.70%, 5/14/45, Callable 11/14/44 @ 100      118,036  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Pharmaceuticals, continued

  

$ 325,000       Baxalta, Inc., 4.00%, 6/23/25, Callable 3/23/25 @ 100(a)    $ 322,583  
  205,000       Eli Lilly & Co., 3.70%, 3/1/45, Callable 9/1/44 @ 100      185,977  
  1,020,000       Merck & Co., Inc., 0.64%, 5/18/18(b)      1,023,472  
  160,000       Merck & Co., Inc., 2.35%, 2/10/22      154,751  
  450,000       Merck & Co., Inc., 3.70%, 2/10/45, Callable 8/10/44 @ 100      402,016  
  265,000       Mylan, Inc., 5.40%, 11/29/43, Callable 5/29/43 @ 100^      271,031  
  710,000       Pfizer, Inc., 3.40%, 5/15/24^      715,588  
  125,000       Pfizer, Inc., 4.30%, 6/15/43      122,144  
  995,000       Watson Pharmaceuticals, Inc., 1.88%, 10/1/17      996,190  
     

 

 

 
        6,730,729  
     

 

 

 

 

Property & Casualty Insurance (0.1%):

  

  325,000       ACE INA Holdings, Inc., 3.35%, 5/15/24      325,450  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.4%):

  

  315,000       American Tower Corp., 4.00%, 6/1/25      307,880  
  130,000       ERP Operating LP, 3.38%, 6/1/25, Callable 3/1/25 @ 100^      127,294  
  380,000       ERP Operating LP, 4.50%, 7/1/44, Callable 1/1/44 @ 100      370,182  
  115,000       ERP Operating LP, 4.50%, 6/1/45, Callable 12/1/44 @ 100^      111,705  
  1,225,000       HCP, Inc., 3.88%, 8/15/24, Callable 5/15/24 @ 100      1,195,403  
  385,000       Simon Property Group LP, 3.38%, 3/15/22, Callable 12/15/21 @ 100      390,776  
  295,000       Simon Property Group LP, 3.38%, 10/1/24, Callable 7/1/24 @ 100^      293,103  
     

 

 

 
        2,796,343  
     

 

 

 

 

Road & Rail (0.2%):

  

  445,000       Burlington North Santa Fe LLC, 4.90%, 4/1/44, Callable 10/1/43 @ 100      460,718  
  130,000       Burlington North Santa Fe LLC, 4.15%, 4/1/45, Callable 10/1/44 @ 100      119,900  
  95,000       Union Pacific Corp., 3.38%, 2/1/35, Callable 8/1/34 @ 100      84,454  
  484,000       Union Pacific Corp., 3.88%, 2/1/55, Callable 8/1/54 @ 100      425,621  
  487,629       Union Pacific Railroad Co., Series 14-1, 3.23%, 5/14/26      491,835  
     

 

 

 
        1,582,528  
     

 

 

 

 

Software (0.3%):

  

  260,000       Microsoft Corp., 3.50%, 2/12/35, Callable 8/12/34 @ 100      237,691  
  280,000       Microsoft Corp., 3.75%, 2/12/45, Callable 8/12/44 @ 100^      252,459  
  401,000       Oracle Corp., 3.40%, 7/8/24, Callable 4/8/24 @ 100      402,023  
  635,000       Oracle Corp., 4.30%, 7/8/34, Callable 1/8/34 @ 100      626,200  
 

 

Continued

 

7


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Software, continued

  

$ 195,000       Oracle Corp., 4.50%, 7/8/44, Callable 1/8/44 @ 100    $ 193,332  
  450,000       Oracle Corp., 4.38%, 5/15/55, Callable 11/15/54 @ 100      418,139  
     

 

 

 
        2,129,844  
     

 

 

 

 

Specialty Retail (0.1%):

  

  215,000       Home Depot, Inc. (The), 4.40%, 3/15/45, Callable 9/15/44 @ 100      214,690  
  155,000       Home Depot, Inc. (The), 4.25%, 4/1/46, Callable 10/1/45 @ 100      150,510  
  510,000       Lowe’s Cos., Inc., 5.00%, 9/15/43, Callable 3/15/43 @ 100      550,244  
     

 

 

 
        915,444  
     

 

 

 

 

Technology (0.1%):

  

  405,000       California Institute of Technology, 4.32%, 8/1/45      404,842  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.3%):

  

  875,000       Apple, Inc., 2.00%, 5/6/20^      869,929  
  410,000       Apple, Inc., 3.45%, 5/6/24      418,091  
  230,000       Apple, Inc., 2.50%, 2/9/25      215,671  
  340,000       Apple, Inc., 3.45%, 2/9/45      288,158  
     

 

 

 
        1,791,849  
     

 

 

 

 

Tobacco (0.3%):

  
  330,000       Altria Group, Inc., 5.38%, 1/31/44      349,042  
  445,000       Lorillard, Inc., 3.75%, 5/20/23, Callable 2/20/23 @ 100      432,508  
  155,000       Philip Morris International, Inc., 4.50%, 3/20/42      151,029  
  20,000       Philip Morris International, Inc., 3.88%, 8/21/42      17,755  
  425,000       Philip Morris International, Inc., 4.88%, 11/15/43      439,725  
  170,000       Reynolds American, Inc., 3.25%, 6/12/20      172,193  
  390,000       Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100      397,340  
  90,000       Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/12/45 @ 100      94,401  
     

 

 

 
        2,053,993  
     

 

 

 

 

Trading Companies & Distributors (0.1%):

  

  825,000       GATX Corp., 2.50%, 7/30/19      817,056  
     

 

 

 

 

Wireless Telecommunication (0.1%):

  

  720,000       AT&T, Inc., 2.45%, 6/30/20, Callable 5/30/20 @ 100      705,794  
     

 

 

 

 

Wireless Telecommunication Services (0.3%):

  

  316,000       AT&T, Inc., 2.38%, 11/27/18      318,766  
  665,000       AT&T, Inc., 3.00%, 6/30/22, Callable 4/30/22 @ 100      642,100  
  170,000       AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100      156,279  
  122,000       AT&T, Inc., 5.35%, 9/1/40      120,111  
  310,000       AT&T, Inc., 4.75%, 5/15/46, Callable 5/15/46 @ 100      282,092  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Wireless Telecommunication Services, continued

  

$ 535,000       Crown Castle Towers LLC, 6.11%, 1/15/20(a)    $ 609,158  
     

 

 

 
        2,128,506  
     

 

 

 

 

Total Corporate Bonds (Cost $144,848,852)

     142,998,496  
     

 

 

 

 

Preferred Stock(0.1%):

  

 

Diversified Financial Services (0.1%):

  

  590,000       JPMorgan Chase Capital XXI, Series U, 1.23%, 2/2/37, Callable 8/10/15 @ 100, MTN(b)      491,913  
     

 

 

 

 

Total Preferred Stock (Cost $493,899)

     491,913  
     

 

 

 

 

Yankee Dollars (9.7%):

  

 

Banks (4.0%):

  

  1,965,000       Asian Development Bank, Series G, 0.75%, 1/11/17      1,968,340  
  1,045,000       Barclays Bank plc, 2.75%, 11/8/19      1,037,472  
  210,000       Barclays Bank plc, 5.14%, 10/14/20^      228,265  
  790,000       Barclays Bank plc, 3.75%, 5/15/24      793,440  
  675,000       BPCE SA, 5.70%, 10/22/23(a)      711,528  
  430,000       BPCE SA, 4.50%, 3/15/25(a)      415,814  
  790,000       Caixa Economica Federal, 2.38%, 11/6/17(a)      760,375  
  645,000       Commonwealth Bank of Australia NY, Series G, 2.30%, 3/12/20      644,377  
  565,000       Credit Agricole SA, 4.38%, 3/17/25(a)      541,225  
  710,000       HSBC Holdings plc, 5.25%, 3/14/44      736,462  
  1,115,000       ING Bank NV, 3.75%, 3/7/17(a)      1,158,523  
  630,000       ING Bank NV, 1.80%, 3/16/18(a)      630,391  
  314,000       ING Bank NV, 5.80%, 9/25/23(a)      342,858  
  1,914,000       KFW, 0.50%, 7/15/16      1,914,553  
  1,856,000       Kommunalbanken AS, 0.41%, 10/31/16(a) (b)      1,857,005  
  805,000       Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV, Series G, 1.50%, 2/12/18(a)      810,578  
  1,185,000       Nordea Bank AB, 2.38%, 4/4/19(a)      1,196,165  
  555,000       Nordea Eiendomskreditt AS, 2.13%, 9/22/16(a)      563,203  
  2,610,000       Oesterreichische Kontrollbank AG, Series G, 1.13%, 7/6/15      2,610,000  
  386,000       Oriental Republic of Uruguay, 4.50%, 8/14/24      405,300  
  1,020,000       Rabobank Nederland NY, 2.25%, 1/14/20      1,014,923  
  2,670,000       Royal Bank of Canada, 2.20%, 9/23/19      2,689,649  
  305,000       Societe Generale SA, 4.25%, 4/14/25(a)      286,779  
  1,010,000       Standard Chartered plc, 2.25%, 4/17/20(a)      992,032  
  650,000       Swedbank AB, 2.20%, 3/4/20(a)      645,659  
  420,000       UBS AG Stamford CT, 2.35%, 3/26/20      417,077  
  1,490,000       Westpac Banking Corp., 2.45%, 11/28/16^(a)      1,521,355  
     

 

 

 
        26,893,348  
     

 

 

 

 

Capital Markets (0.9%):

  

  470,000       Credit Agricole SA, 2.75%, 6/10/20(a)      469,694  
  770,000       Credit Suisse AG, 1.70%, 4/27/18      764,634  
  1,035,000       Credit Suisse Group AG, 2.75%, 3/26/20(a)      1,022,014  
  530,000       Credit Suisse Group Funding, Ltd., 4.88%, 5/15/45(a)      509,952  
  1,355,000       Credit Suisse Guernsey, Ltd., 2.60%, 5/27/16(a)      1,376,703  
  1,155,000       Deutsche Bank AG, 1.88%, 2/13/18      1,151,466  
  330,000       Deutsche Bank AG, 3.70%, 5/30/24^      325,887  
     

 

 

 
        5,620,350  
     

 

 

 
 

 

Continued

 

8


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Chemicals (0.0%):

  

$ 145,000       Agrium, Inc., 4.13%, 3/15/35, Callable 9/15/34 @ 100^    $ 129,655  
     

 

 

 

 

Diversified Financial Services (1.0%):

  

  2,190,000       CDP Financial, Inc., 4.40%,
11/25/19(a)
     2,396,075  
  3,685,000       NRAM plc, 5.63%, 6/22/17(a)      3,992,975  
  215,000       Shell International Finance BV, 2.13%, 5/11/20^      214,538  
     

 

 

 
        6,603,588  
     

 

 

 

 

Government (0.1%):

  

  689,000       Province of Manitoba Canada, 3.05%, 5/14/24      708,383  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.2%):

  

  1,595,000       Carnival Corp., 1.20%, 2/5/16      1,597,000  
     

 

 

 

 

Insurance (0.1%):

  

  185,000       Aon plc, 4.60%, 6/14/44, Callable 3/14/44 @ 100      176,502  
  310,000       Manulife Financial Corp., 3.40%, 9/17/15      311,587  
     

 

 

 
        488,089  
     

 

 

 

 

Internet & Catalog Retail (0.1%):

  

  885,000       Alibaba Group Holding, Ltd., 2.50%, 11/28/19, Callable 10/28/19
@ 100^(a)
     875,339  
     

 

 

 

 

Machinery (0.0%):

  

  106,000       Ingersoll-Rand Luxembourg Finance SA, 3.55%, 11/1/24, Callable 8/1/24 @ 100      103,717  
     

 

 

 

 

Media (0.1%):

  

  370,000       British Sky Broadcasting Group plc, 3.75%, 9/16/24(a)      361,214  
     

 

 

 

 

Multi-National (0.7%):

  

  1,885,000       African Development Bank, 0.75%, 10/18/16      1,888,840  
  2,790,000       FMS Wertmanagement, 1.63%, 11/20/18      2,815,788  
     

 

 

 
        4,704,628  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.4%):

  

  945,000       BP Capital Markets plc, 0.79%, 5/10/18(b)      941,808  
  575,000       BP Capital Markets plc, 4.74%, 3/11/21      634,491  
  555,000       Ecopetrol SA, 4.13%, 1/16/25      512,154  
  525,000       Ensco plc, 4.50%, 10/1/24, Callable 7/1/24 @ 100^      501,562  
  55,000       Ensco plc, 5.75%, 10/1/44, Callable 4/1/44 @ 100^      49,014  
  774,000       Petrobras Global Finance BV, 6.25%, 3/17/24^      747,275  
  1,080,000       Petrobras International Finance Co., 3.88%, 1/27/16^      1,084,611  
  50,000       Petroleos Mexicanos, 8.00%, 5/3/19      58,580  
  107,000       Petroleos Mexicanos, 6.00%, 3/5/20^      119,573  
  490,000       Petroleos Mexicanos, 6.50%, 6/2/41      509,600  
  473,000       Petroleos Mexicanos, 5.63%,
1/23/46(a)
     441,640  
  280,000       Shell International Finance BV, 4.13%, 5/11/35      274,097  
  295,000       Shell International Finance BV, 4.55%, 8/12/43      301,441  
  465,000       Shell International Finance BV, 4.38%, 5/11/45^      458,988  
  800,000       Statoil ASA, 2.45%, 1/17/23      770,982  
  1,100,000       Statoil ASA, 3.70%, 3/1/24^      1,136,918  
    
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 175,000       TransCanada Pipelines, Ltd., 4.63%, 3/1/34, Callable 12/1/33 @ 100    $ 173,513  
  175,000       Transocean, Inc., 3.80%, 10/15/22, Callable 7/15/22 @ 100      131,688  
     

 

 

 
        8,847,935  
     

 

 

 

 

Personal Products (0.1%):

  

  670,000       Takeda Pharmaceutical Co., Ltd., 1.63%, 3/17/17(a)      674,551  
     

 

 

 

 

Pharmaceuticals (0.4%):

  

  675,000       Actavis Funding SCS, 3.00%, 3/12/20, Callable 2/12/20 @ 100      676,530  
  185,000       Actavis Funding SCS, 3.85%, 6/15/24, Callable 3/15/24 @ 100      182,770  
  625,000       Actavis Funding SCS, 4.55%, 3/15/35, Callable 9/15/34 @ 100      594,233  
  345,000       Actavis Funding SCS, 4.85%, 6/15/44, Callable 12/15/43 @ 100      332,854  
  160,000       Actavis Funding SCS, 4.75%, 3/15/45, Callable 9/15/44 @ 100      152,329  
  600,000       Teva Pharmaceutical Finance BV, 2.95%, 12/18/22^      579,608  
     

 

 

 
        2,518,324  
     

 

 

 

 

Sovereign Bonds (0.6%):

  

  620,000       Canada Government, 1.63%, 2/27/19      625,641  
  1,039,000       Federal Republic of Brazil, 4.88%, 1/22/21      1,085,755  
  868,000       Republic of Colombia, 4.00%, 2/26/24^      863,660  
  281,000       Republic of Peru, 5.63%, 11/18/50      313,315  
  869,000       Republic of Turkey, 4.25%, 4/14/26      828,296  
  262,000       United Mexican States, 3.50%, 1/21/21^      267,240  
     

 

 

 
        3,983,907  
     

 

 

 

 

Total Yankee Dollars (Cost $64,321,068)

     64,110,028  
     

 

 

 

 

Municipal Bonds (1.5%):

  

 

California (0.3%):

  

  557,000       University of California Revenue, 4.77%, 5/15/15      505,433  
  170,000       University of California Revenue, 4.86%, 5/15/12      156,585  
  360,000       California State Health Facilities Financing Authority Revenue, Series A, 5.00%, 8/15/52, Callable 8/15/23 @ 100      384,448  
  700,000       California State, GO, 5.00%, 9/1/42, Callable 9/1/22 @ 100      778,540  
     

 

 

 
        1,825,006  
     

 

 

 

 

Illinois (0.2%):

  

  1,320,000       Illinois State, GO, 5.50%, 7/1/24, Callable 7/1/23 @ 100      1,452,317  
     

 

 

 

 

Nevada (0.2%):

  

  1,100,000       Las Vegas Valley Nevada Water District, GO, 5.00%, 6/1/39, Callable 12/1/24 @ 100      1,219,108  
     

 

 

 

 

Massachusetts (0.1%):

  

  450,000       Massachusetts State School Building Authority Sales Tax Revenue, Series B, 5.00%, 10/15/41, Callable 10/15/21 @ 100      495,968  
     

 

 

 
 

 

Continued

 

9


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Municipal Bonds, continued

  

 

Missouri (0.1%):

  

$ 460,000       Metropolitan Saint Louis Sewer District West Water System Revenue, Series A, 5.00%, 5/1/42, Callable 5/1/22 @ 100    $ 506,202  
     

 

 

 

 

New Jersey (0.3%):

  

  2,005,000       New Jersey State Transportation Trust Fund Authority Revenue, Series AA, 5.00%, 6/15/36, Callable 6/15/23 @ 100      2,025,891  
  420,000       New Jersey State Health Care Facilities Financing Authority Revenue, 5.00%, 7/1/44      445,901  
     

 

 

 
        2,471,792  
     

 

 

 

 

New York (0.3%):

  

  895,000       New York State Urban Development Corp. Revenue, Series E, 5.00%, 3/15/24, Callable 3/15/23 @ 100      1,065,829  
  670,000       New York City Municipal Finance Authority Water & Sewer System Revenue, Series EE, 5.00%, 6/15/47, Callable 6/15/23 @ 100      733,791  
     

 

 

 
        1,799,620  
     

 

 

 

 

Total Municipal Bonds (Cost $9,845,284)

     9,770,013  
     

 

 

 

 

U.S. Government Agency Mortgages (35.6%):

  

 

Federal Farm Credit Bank (0.3%)

  

  2,120,000       2.35%, 4/24/23, Callable 7/17/15 @ 100      2,073,163  
     

 

 

 

 

Federal Home Loan Mortgage Corporation (7.4%)

  

  1,299,000       1.00%, 9/27/17      1,303,089  
  871,804       Class BW, Series 3738, 3.50%, 10/15/28      901,774  
  591,000       4.47%, 9/15/29(c)      360,152  
  190,000       6.75%, 3/15/31      272,360  
  197,000       4.74%, 3/15/31(c)      111,059  
  185,246       5.00%, 7/1/35, Pool #G01838      205,895  
  139,837       5.00%, 7/1/35, Pool #G01840      155,523  
  445,858       6.00%, 4/1/39, Pool #G07613      507,605  
  92,314       4.50%, 7/1/40, Pool #A93010      99,930  
  82,980       4.00%, 10/1/40, Pool #A95923      88,440  
  91,287       4.00%, 11/1/40, Pool #A95144      97,289  
  79,483       4.00%, 11/1/40, Pool #A94977      84,159  
  87,015       4.00%, 11/1/40, Pool #A94779      92,724  
  122,111       3.08%, 3/1/41, Pool #1B8062(b)      129,082  
  1,661,168       5.50%, 6/1/41, Pool #G07553      1,858,530  
  81,279       4.00%, 10/1/41, Pool #Q03841      86,636  
  300,718       5.00%, 10/1/41, Pool #G07642      332,947  
  166,257       4.00%, 10/1/41, Pool #Q04022      177,207  
  2,870,131       5.00%, 11/1/41, Pool #G07962      3,177,122  
  1,478,593       Class BU, Series 4150, 4.00%, 2/15/42      1,592,814  
  513,486       3.50%, 4/1/42, Pool #C03811      530,453  
  260,634       2.03%, 7/1/42, Pool #2B0646(b)      269,061  
  1,100,000       3.00%, 7/15/42      1,110,313  
  537,892       3.00%, 1/1/43, Pool #Q14866      536,419  
  91,983       3.50%, 2/1/43, Pool #Q15442      95,169  
  356,056       3.00%, 3/1/43, Pool #Q16403      355,083  
  527,342       3.00%, 3/1/43, Pool #Q16673      525,769  
  616,307       3.00%, 3/1/43, Pool #Q16567      614,559  
  171,897       3.00%, 4/1/43, Pool #Q17095      171,405  
  365,273       3.50%, 7/1/43, Pool #Q20021      377,928  
  356,496       3.50%, 7/1/43, Pool #Q20206      368,293  
    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal Home Loan Mortgage Corporation, continued

  

$ 2,100,000       3.50%, 7/15/43    $ 2,178,586  
  819,994       3.50%, 8/1/43, Pool #V80355      848,403  
  1,962,751       3.00%, 8/1/43, Pool #G07550      1,957,131  
  7,400,000       3.50%, 8/15/43      7,592,948  
  162,701       4.00%, 9/1/43, Pool #Q21579      173,615  
  764,205       4.50%, 12/1/43, Pool #Q23779      826,558  
  44,509       3.50%, 1/1/44, Pool #Q24368      45,985  
  34,796       3.50%, 4/1/44, Pool #Q25812      35,950  
  290,113       4.00%, 4/1/44, Pool #Q25643      309,230  
  91,025       3.50%, 5/1/44, Pool #Q26362      94,044  
  32,674       3.50%, 5/1/44, Pool #Q26452      33,756  
  50,581       3.50%, 5/1/44, Pool #Q26218      52,336  
  23,576       3.50%, 5/1/44, Pool #Q25988      24,358  
  47,062       3.50%, 6/1/44, Pool #Q26707      48,619  
  40,827       3.50%, 7/1/44, Pool #Q27319      42,241  
  332,707       4.50%, 7/1/44, Pool #Q27375      359,703  
  2,800,000       4.00%, 7/15/44      2,979,375  
  3,300,000       4.50%, 7/15/44      3,563,536  
  700,000       5.50%, 7/15/44      784,492  
  190,452       3.50%, 8/1/44, Pool #Q27843      196,764  
  1,007,949       4.00%, 8/1/44, Pool #G07786      1,076,703  
  2,975,000       4.00%, 8/15/44      3,139,380  
  85,414       3.50%, 9/1/44, Pool #Q28604      88,379  
  184,940       3.50%, 9/1/44, Pool #Q28605      191,073  
  220,866       4.50%, 10/1/44, Pool #Q29187      239,609  
  28,736       4.00%, 2/1/45, Pool #Q31128      30,460  
  70,375       4.00%, 2/1/45, Pool #Q31338      74,531  
  1,325,000       3.00%, 7/15/45      1,317,081  
  4,030,000       3.50%, 7/15/45      4,145,862  
     

 

 

 
        49,039,497  
     

 

 

 

 

Federal National Mortgage Association (23.8%)

  

  177,762       5.50%, 1/1/18, Pool #680928      183,681  
  149,452       4.00%, 7/1/19, Pool #AE0968      156,660  
  18,523       Class NT, Series 2009-70, 4.00%, 8/25/19      19,092  
  166,457       5.50%, 3/1/20, Pool #888557      173,972  
  332,955       4.00%, 7/1/24, Pool #AL1938      355,772  
  559,118       5.50%, 5/1/25, Pool #AE0378      586,356  
  382,398       5.50%, 7/1/25, Pool #AE0096      429,050  
  104,411       5.50%, 9/1/25, Pool #AL4903      109,355  
  3,142,090       3.50%, 12/1/25, Pool #AH1359      3,331,681  
  440,146       4.00%, 9/1/26, Pool #AL2683      470,461  
  4,407,338       4.00%, 5/1/27, Pool #AL5956      4,664,534  
  1,700,000       2.00%, 7/25/28      1,672,185  
  2,779,408       3.50%, 9/1/28, Pool #AL4245      2,946,803  
  865,109       3.50%, 10/1/28, Pool #AV0198      912,617  
  1,120,547       3.50%, 11/1/28, Pool #AV1360      1,187,719  
  680,940       Class CD, Series 2011-56, 3.50%, 1/25/29      701,459  
  784,267       3.50%, 2/1/29, Pool #AL4922      831,355  
  895,040       3.00%, 4/1/29, Pool #AW0937      930,162  
  645,161       3.00%, 5/1/29, Pool #AW2544      670,851  
  1,177,763       3.00%, 6/1/29, Pool #AS2676      1,224,050  
  100,000       4.50%, 7/25/29      104,183  
  1,100,000       5.00%, 7/25/29      1,149,627  
  2,666,744       3.50%, 8/1/29, Pool #AL5884      2,827,121  
 

 

Continued

 

10


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal National Mortgage Association, continued

  

$ 858,849       3.50%, 9/1/29, Pool #AL5806    $ 910,474  
  580,596       3.50%, 9/1/29, Pool #AX0105      612,480  
  830,472       3.00%, 9/1/29, Pool #AS3220      863,159  
  97,580       3.50%, 10/1/29, Pool #AX2741      103,459  
  3,748,731       3.50%, 12/1/29, Pool #AL6161      3,979,677  
  2,605,000       5.67%, 1/15/30(c)      1,551,262  
  3,901,000       5.20%, 5/15/30(c)      2,305,986  
  3,675,000       3.00%, 7/25/30      3,807,329  
  10,800,000       2.50%, 7/25/30      10,930,829  
  331,886       5.50%, 1/1/33, Pool #676661      374,372  
  223,127       5.50%, 5/1/33, Pool #555424      251,599  
  453,299       5.00%, 7/1/33, Pool #709212      501,902  
  153,168       5.00%, 7/1/34, Pool #725589      169,888  
  519,389       5.50%, 2/1/35, Pool #735989      585,519  
  44,261       6.00%, 4/1/35, Pool #735504      50,637  
  1,224,994       5.50%, 9/1/36, Pool #995113      1,381,181  
  95,258       5.50%, 2/1/38, Pool #961545      106,798  
  43,204       6.00%, 3/1/38, Pool #889529      49,441  
  234,125       5.50%, 5/1/38, Pool #889441      262,699  
  137,534       6.00%, 5/1/38, Pool #889466      157,775  
  324,464       5.50%, 5/1/38, Pool #889692      363,897  
  224,317       5.50%, 6/1/38, Pool #995018      251,547  
  61,501       5.50%, 9/1/38, Pool #889995      68,951  
  152,558       6.00%, 10/1/38, Pool #889983      173,525  
  269,149       4.50%, 4/1/39, Pool #930922      293,084  
  278,819       4.50%, 5/1/39, Pool #AL1472      304,902  
  155,587       5.50%, 10/1/39, Pool #AD0362      175,077  
  157,172       5.50%, 12/1/39, Pool #AD0571      177,676  
  987,610       6.00%, 4/1/40, Pool #AL4141      1,122,097  
  93,320       4.50%, 4/1/40, Pool #AD4038      101,884  
  195,756       6.50%, 5/1/40, Pool #AL1704      224,809  
  487,390       4.50%, 7/1/40, Pool #AD7127      527,102  
  229,493       4.50%, 7/1/40, Pool #AB1226      248,675  
  109,412       6.00%, 9/1/40, Pool #AE0823      124,064  
  2,680,000       Class CY, Series 2010-136, 4.00%, 12/25/40      2,830,699  
  151,111       2.90%, 2/1/41, Pool #AH6958(b)      159,131  
  217,308       6.00%, 6/1/41, Pool #AL4142      247,068  
  119,523       4.50%, 7/1/41, Pool #AB3314      129,479  
  279,519       3.27%, 7/1/41, Pool #AL0533(b)      297,807  
  96,150       4.50%, 9/1/41, Pool #AI8961      105,481  
  88,917       3.50%, 1/1/42, Pool #AK2073      91,737  
  161,904       4.00%, 5/1/42, Pool #AT6144      173,471  
  77,555       3.50%, 6/1/42, Pool #AL2168      80,265  
  74,533       3.50%, 6/1/42, Pool #AO3107      77,085  
  337,706       2.02%, 7/1/42, Pool #AP0006(b)      349,949  
  81,945       2.24%, 7/1/42, Pool #AO6482(b)      84,889  
  797,397       4.50%, 9/1/42, Pool #AL2482      863,498  
  100,237       4.00%, 9/1/42, Pool #AX3706      106,725  
  92,700       3.50%, 10/1/42, Pool #AQ0393      96,134  
  311,092       3.00%, 12/1/42, Pool #AB7425      311,606  
  368,227       3.00%, 12/1/42, Pool #AB7271      368,835  
  934,768       3.00%, 1/1/43, Pool #AB7458      936,311  
  993,584       3.00%, 1/1/43, Pool #AB7567      995,221  
  628,469       3.00%, 1/1/43, Pool #AB7755      629,506  
  907,892       3.00%, 1/1/43, Pool #AB7497      909,246  
    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal National Mortgage Association, continued

  

$ 456,185       3.50%, 2/1/43, Pool #AL2935    $ 472,007  
  350,176       3.00%, 2/1/43, Pool #AB7762      350,754  
  347,970       3.00%, 2/1/43, Pool #AB8558      348,490  
  676,954       3.00%, 3/1/43, Pool #AR9194      678,068  
  638,017       3.00%, 3/1/43, Pool #AB8701      638,972  
  143,335       3.00%, 3/1/43, Pool #AR7568      143,438  
  241,489       3.00%, 3/1/43, Pool #AR9218      241,775  
  168,735       3.00%, 3/1/43, Pool #AR7576      168,857  
  83,912       3.00%, 3/1/43, Pool #AB8712      84,051  
  222,624       3.00%, 3/1/43, Pool #AB8830      222,956  
  267,917       3.00%, 4/1/43, Pool #AR8630      268,110  
  108,626       3.00%, 4/1/43, Pool #AT2037      108,738  
  82,908       3.00%, 4/1/43, Pool #AB9033      83,007  
  179,924       3.00%, 4/1/43, Pool #AT2043      180,081  
  323,463       3.00%, 4/1/43, Pool #AT2040      323,796  
  170,435       3.00%, 4/1/43, Pool #AB8924      170,611  
  178,278       3.00%, 4/1/43, Pool #AB8923      178,434  
  591,737       3.00%, 4/1/43, Pool #AB9016      592,531  
  308,080       3.00%, 5/1/43, Pool #AB9462      308,398  
  258,190       3.00%, 5/1/43, Pool #AT6654      258,536  
  436,960       3.00%, 5/1/43, Pool #AB9173      437,479  
  684,667       3.00%, 5/1/43, Pool #AT2719      685,480  
  261,452       3.00%, 5/1/43, Pool #AL3759      261,843  
  23,408       3.00%, 6/1/43, Pool #AB9564      23,432  
  368,566       3.00%, 6/1/43, Pool #AB9662      368,946  
  122,069       3.00%, 6/1/43, Pool #AT7676      122,138  
  330,123       3.50%, 7/1/43, Pool #AT8464      341,739  
  775,204       3.50%, 7/1/43, Pool #AL4010      801,711  
  952,358       3.50%, 7/1/43, Pool #AT7940      987,637  
  311,898       3.50%, 7/1/43, Pool #AT4327      323,452  
  1,200,000       2.50%, 7/25/43      1,151,220  
  181,177       3.50%, 8/1/43, Pool #AU0613      187,350  
  22,029       3.50%, 8/1/43, Pool #AU3032      22,804  
  89,438       3.50%, 8/1/43, Pool #AU3270      92,500  
  91,178       3.50%, 8/1/43, Pool #AU3267      94,544  
  181,539       3.50%, 8/1/43, Pool #AU0570      187,742  
  879,402       3.50%, 8/1/43, Pool #AS0209      909,453  
  22,357       3.50%, 8/1/43, Pool #AT7333      23,143  
  35,474       3.50%, 9/1/43, Pool #AT7267      36,720  
  38,381       3.50%, 10/1/43, Pool #AU7247      39,802  
  899,980       3.50%, 12/1/43, Pool #AL4682      933,248  
  166,489       3.50%, 1/1/44, Pool #AS1539      172,308  
  2,283,105       2.92%, 1/1/44, Pool #AV7743(b)      2,364,768  
  164,152       3.50%, 1/1/44, Pool #AS1703      169,923  
  103,396       3.50%, 1/1/44, Pool #AS1453      107,216  
  199,158       4.00%, 3/1/44, Pool #AV6577      212,668  
  350,142       4.00%, 5/1/44, Pool #AW1007      373,138  
  222,668       4.00%, 5/1/44, Pool #AS2488      237,271  
  47,030       3.50%, 6/1/44, Pool #AW6405      48,682  
  22,066       3.50%, 6/1/44, Pool #AS2591      22,844  
  34,222       3.50%, 6/1/44, Pool #AV8080      35,424  
  51,763       3.50%, 7/1/44, Pool #AW9544      53,582  
  49,047       4.00%, 7/1/44, Pool #AW7055      52,014  
  5,300,000       5.00%, 7/25/44      5,854,843  
  9,300,000       4.50%, 7/25/44      10,054,171  
 

 

Continued

 

11


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal National Mortgage Association, continued

  

$ 31,100,000       4.00%, 7/25/44    $ 32,949,839  
  216,313       3.50%, 8/1/44, Pool #AS3034      224,331  
  347,844       3.50%, 8/1/44, Pool #AS3031      360,093  
  2,870,902       4.00%, 8/1/44, Pool #AL5601      3,077,159  
  23,663       3.50%, 8/1/44, Pool #AW4287      24,413  
  21,584       3.50%, 8/1/44, Pool #AW9207      22,269  
  46,750       3.50%, 9/1/44, Pool #AW8188      48,485  
  46,512       3.50%, 9/1/44, Pool #AW8191      48,152  
  105,523       3.50%, 9/1/44, Pool #AX0830      109,440  
  28,762       4.00%, 12/1/44, Pool #AX6255      30,829  
  298,769       4.00%, 12/1/44, Pool #AX9372      319,499  
  29,035       4.00%, 12/1/44, Pool #AY0299      31,121  
  300,750       4.00%, 1/1/45, Pool #AY0367      321,617  
  97,275       4.00%, 1/1/45, Pool #AX8713      104,025  
  39,050       4.00%, 2/1/45, Pool #AY1866      41,856  
  197,310       4.00%, 2/1/45, Pool #AY2693      209,406  
  50,656       4.00%, 5/1/45, Pool #AY8218      53,776  
  99,844       4.00%, 5/1/45, Pool #AY9770      107,019  
  9,102,500       3.50%, 7/25/45      9,380,552  
  2,300,000       6.00%, 7/25/45      2,612,241  
  5,300,000       4.00%, 8/25/45      5,602,823  
     

 

 

 
        157,888,435  
     

 

 

 

 

Government National Mortgage Association (4.1%)

  

  48,611       4.50%, 9/15/33, Pool #615516      53,236   
  170,603       5.00%, 12/15/33, Pool #783571      190,311  
  50,559       6.50%, 8/20/38, Pool #4223      58,784  
  58,195       6.50%, 10/15/38, Pool #673213      67,511  
  28,920       6.50%, 11/20/38, Pool #4292      33,708  
  57,317       6.50%, 12/15/38, Pool #782510      68,159  
  540,954       5.00%, 1/15/39, Pool #782557      599,853  
  379,615       5.00%, 4/15/39, Pool #782619      421,398  
  37,201       5.00%, 6/15/39, Pool #782696      41,594  
  305,265       5.00%, 10/20/39, Pool #4559      339,985  
  80,735       4.50%, 1/15/40, Pool #728627      87,713  
  212,722       5.00%, 5/15/40, Pool #782958      235,787  
  237,057       4.50%, 7/15/40, Pool #745793      257,574   
  44,184       4.00%, 9/20/40, Pool #G24800      47,344  
  405,231       4.50%, 10/15/40, Pool #783609      440,443  
  82,555       4.00%, 10/20/40, Pool #G24833      88,459  
  1,153,170       4.00%, 12/20/40, Pool #G24882      1,235,642  
  866,348       4.00%, 1/20/41, Pool #004922      928,308  
  122,747       4.50%, 2/15/41, Pool #738019      133,527  
  14,818       4.00%, 2/20/41, Pool #4945      15,876  
  21,996       5.00%, 4/20/41, Pool #5018      24,499  
  48,367       5.00%, 6/20/41, Pool #5083      53,871  
  371,342       4.50%, 6/20/41, Pool #783590      405,198  
  24,670       5.00%, 7/20/41, Pool #5116      27,477  
  837,573       4.50%, 7/20/41, Pool #5115      913,937  
  248,522       4.50%, 7/20/41, Pool #783584      271,180  
  263,521       4.50%, 11/15/41, Pool #783610      286,338  
  170,397       3.50%, 10/20/42, Pool #MA0462      177,356  
  170,005       3.50%, 1/20/43, Pool #MA0699      176,957  
  80,536       4.00%, 7/20/43, Pool #MA1158      85,751  
  500,000       5.00%, 7/15/44      553,269  
Shares or
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Government National Mortgage Association, continued

  

$ 400,000       4.50%, 7/15/44    $ 434,312  
  56,595       4.00%, 8/20/44, Pool #AJ2723      60,756  
  28,242       4.00%, 8/20/44, Pool #AJ4687      30,320  
  24,602       4.00%, 8/20/44, Pool #AI4166      26,527  
  75,676       4.00%, 8/20/44, Pool #AI4167      81,257  
  8,083,659       3.50%, 5/20/45, Pool #MA2826      8,433,112  
  200,000       3.50%, 7/20/45      207,570  
  6,400,000       3.00%, 7/20/45      6,460,499  
  1,800,000       4.00%, 7/20/45      1,907,543  
  900,000       4.50%, 7/20/45      970,453  
     

 

 

 
        26,933,394  
     

 

 

 

 
 

Total U.S. Government Agency Mortgages
(Cost $235,198,069)

     235,934,489  
     

 

 

 

 

U.S. Treasury Obligations (15.7%):

  

 

U.S. Treasury Bonds (2.2%)

  

  5,285,000       4.75%, 2/15/37^      6,847,790  
  15,000       2.50%, 2/15/45      13,201  
  7,660,000       3.00%, 5/15/45^      7,506,800  
     

 

 

 
        14,367,791  
     

 

 

 

 

U.S. Treasury Inflation Index Notes (0.5%)

  

  3,375,000       0.25%, 1/15/25      3,306,824  
     

 

 

 

 

U.S. Treasury Notes (13.0%)

  

  6,075,000       0.63%, 5/31/17^      6,074,052  
  5,235,000       0.63%, 6/30/17      5,232,953  
  4,170,000       0.63%, 11/30/17^      4,152,082  
  4,390,000       2.63%, 1/31/18^      4,587,892  
  1,890,000       1.13%, 6/15/18^      1,897,088  
  2,460,000       1.38%, 12/31/18^      2,474,029  
  6,385,000       1.50%, 12/31/18      6,447,854  
  14,145,000       1.63%, 6/30/20      14,143,897  
  10,765,000       1.88%, 5/31/22      10,645,573  
  15,980,000       2.13%, 6/30/22      16,047,420  
  10,575,000       2.13%, 5/15/25^      10,383,326  
  3,490,000       4.25%, 5/15/39^      4,211,449  
     

 

 

 
        86,297,615  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $104,868,009)

     103,972,230  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (8.5%):

  

  56,612,623       Allianz Variable Insurance Products Securities Lending Collateral Trust(d)      56,612,623  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $56,612,623)

     56,612,623  
     

 

 

 

 

Unaffiliated Investment Company (15.5%):

  

  102,932,019       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c)      102,932,019  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $102,932,019)

     102,932,019  
     

 

 

 

 

Total Investment Securities (Cost
$841,508,229)(e) — 126.5%

     838,845,518  

 

Net other assets (liabilities) — (26.5)%

     (175,618,653
     

 

 

 

 

Net Assets — 100.0%

   $ 663,226,867  
     

 

 

 
 

 

Continued

 

12


AZL Enhanced Bond Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

GO—General Obligation

MTN—Medium Term Note

REMIC—Real Estate Mortgage Investment Conduit

Re-REMIC—Restructured Real Estate Mortgage Investment Conduit

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $55,004,897.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(b) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

Securities Sold Short (-3.5%):

 

Security Description    Coupon
Rate
  Maturity
Date
   Par
Amount
     Proceeds
Received
     Fair Value      Unrealized
Appreciation/
Deprecation
 

Federal Home Loan Mortgage Corporation

   5.00%   7/15/44    $ (700,000 )    $ (775,905    $ (770,765 )    $ 5,140  

Federal Home Loan Mortgage Corporation

   5.00%   8/15/44      (2,200,000 )      (2,417,938      (2,420,688 )      (2,750 )

Federal National Mortgage Association

   5.50%   8/25/44      (1,400,000 )      (1,569,203      (1,571,062 )      (1,859 )

Federal National Mortgage Association

   3.00%   7/25/43      (300,000 )      (298,523      (298,880 )      (357 )

Federal National Mortgage Association

   3.50%   7/25/30      (14,700,000 )      (15,482,017      (15,503,218 )      (21,201 )

Federal National Mortgage Association

   4.00%   7/25/29      (2,100,000 )      (2,203,359      (2,202,703 )      656  

Federal National Mortgage Association

   5.50%   7/25/45      (500,000 )      (565,078      (561,563 )      3,515  
          

 

 

    

 

 

    

 

 

 
      $ (23,312,023    $ (23,328,879 )    $ (16,856 )
          

 

 

    

 

 

    

 

 

 

Futures Contracts

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

Euro-Bund September Futures

     Short         9/8/15         (13    $ (2,202,653    $ (5,919

U.S. Treasury 30-Year Bond September Futures

     Short         9/21/15         (5      (754,219      14,040  

U.S. Treasury 5-Year Note September Futures

     Short         9/30/15         (55      (6,559,180      (7,372

Ultra Long Term U.S. Treasury Bond September Futures

     Long         9/21/15         57         8,781,563        (214,716

U.S. Treasury 10-Year Note September Futures

     Long         9/21/15         173         21,827,734        (141,499

Euro-BTP Italian Government Bond September Futures

     Long         9/8/15         16         2,322,328        10,764  

U.S. Treasury 2-Year Note September Futures

     Long         9/30/15         81         17,733,938        26,170  
              

 

 

 

Total

               $ (318,532
              

 

 

 

 

See accompanying notes to the financial statements.

 

13


AZL Enhanced Bond Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 841,508,229  
    

 

 

 

Investment securities, at value*

     $ 838,845,518  

Cash

       7,007  

Interest and dividends receivable

       2,986,326  

Receivable for investments sold

       122,064,468  

Receivable for variation margin on futures contracts

       2,324,761  

Prepaid expenses

       1,356  
    

 

 

 

Total Assets

       966,229,436  
    

 

 

 

Liabilities:

    

Foreign currency, at value (cost $2,206,585)

       2,203,983  

Payable for investments purchased

       220,463,337  

Payable for capital shares redeemed

       10,557  

Payable for collateral received on loaned securities

       56,612,623  

Securities sold short (Proceeds received $23,312,023)

       23,328,879  

Payable for variation margin on futures contracts

       15,021  

Manager fees payable

       188,934  

Administration fees payable

       20,863  

Distribution fees payable

       134,953  

Custodian fees payable

       9,113  

Administrative and compliance services fees payable

       9  

Trustee fees payable

       1,452  

Other accrued liabilities

       12,845  
    

 

 

 

Total Liabilities

       303,002,569  
    

 

 

 

Net Assets

     $ 663,226,867  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 627,283,737  

Accumulated net investment income/(loss)

       21,452,899  

Accumulated net realized gains/(losses) from investment transactions

       17,485,728  

Net unrealized appreciation/(depreciation) on investments

       (2,995,497 )
    

 

 

 

Net Assets

     $ 663,226,867  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       59,669,922  

Net Asset Value (offering and redemption price per share)

     $ 11.11  
    

 

 

 

 

* Includes securities on loan of $55,004,897.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Interest

     $ 9,971,320  

Dividends

       17  

Income from securities lending

       127,381  
    

 

 

 

Total Investment Income

       10,098,718  
    

 

 

 

Expenses:

    

Manager fees

       1,496,442  

Administration fees

       164,339  

Distribution fees

       1,068,889  

Custodian fees

       25,075  

Administrative and compliance services fees

       5,115  

Trustee fees

       19,732  

Professional fees

       21,638  

Shareholder reports

       4,217  

Other expenses

       10,495  
    

 

 

 

Total expenses

       2,815,942  
    

 

 

 

Net Investment Income/(Loss)

       7,282,776  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       8,070,084  

Net realized gains/(losses) on futures contracts

       2,301,147  

Net realized gains/(losses) on forward currency contracts

       34,876  

Change in net unrealized appreciation/depreciation on investments

       (12,914,593 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (2,508,486 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 4,774,290  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

14


Statements of Changes in Net Assets

 

     AZL Enhanced Bond Index Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 7,282,776        $ 13,049,920  

Net realized gains/(losses) on investment transactions

       10,406,107          17,046,934  

Change in unrealized appreciation/depreciation on investments

       (12,914,593 )        15,133,180  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       4,774,290          45,230,034  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (8,934,761 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (8,934,761 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       107,526,209          188,396,560  

Proceeds from dividends reinvested

                8,934,761  

Value of shares redeemed

       (398,499,395 )        (73,114,167 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (290,973,186 )        124,217,154  
    

 

 

      

 

 

 

Change in net assets

       (286,198,896 )        160,512,427  

Net Assets:

         

Beginning of period

       949,425,763          788,913,336  
    

 

 

      

 

 

 

End of period

     $ 663,226,867        $ 949,425,763  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 21,452,899        $ 14,170,123  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       9,578,132          17,171,705  

Dividends reinvested

                818,202  

Shares redeemed

       (35,220,917 )        (6,635,017 )
    

 

 

      

 

 

 

Change in shares

       (25,642,785 )        11,354,890  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

15


AZL Enhanced Bond Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 11.13       $ 10.67       $ 11.17       $ 11.02       $ 10.51       $ 10.04  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.19         0.14         0.05         0.09         0.11         0.15  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.21 )       0.43         (0.31 )       0.38         0.65         0.41  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       (0.02 )       0.57         (0.26 )       0.47         0.76         0.56  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.11 )       (0.12 )       (0.13 )       (0.13 )       (0.03 )

Net Realized Gains

                       (0.12 )       (0.19 )       (0.12 )       (0.06 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.11 )       (0.24 )       (0.32 )       (0.25 )       (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 11.11       $ 11.13       $ 10.67       $ 11.17       $ 11.02       $ 10.51  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       (0.18 )%(b)       5.35 %       (2.32 )%       4.22 %       7.28 %       5.62 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 663,227       $ 949,426       $ 788,913       $ 503,548       $ 341,219       $ 205,572  

Net Investment Income/(Loss)(c)

       1.70 %       1.49 %       1.14 %       1.35 %       1.69 %       2.01 %

Expenses Before Reductions(c) (d)

       0.66 %       0.65 %       0.66 %       0.68 %       0.69 %       0.71 %

Expenses Net of Reductions(c)

       0.66 %       0.65 %       0.66 %       0.68 %       0.69 %       0.70 %

Portfolio Turnover Rate(e)

       197 %(b)       564 %       663 %       385 %       407 %       700 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

16


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Securities Purchased on a When-Issued Basis

The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.

Short Sales

The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.

 

17


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $99.6 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $12,449 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The Fund had no open forward currency contracts as of June 30, 2015.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $60.2 million as of June 30, 2015. The monthly average notional amount for these contracts was $68.7 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

 

18


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 

Primary Risk Exposure

  Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 

Interest Rate Risk Exposure

       
Interest Rate Contracts   Receivable for variation margin on futures contracts   $ 50,974      Payable for variation margin on futures contracts*   $ 369,506   

 

* 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, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in Income
 

Foreign Currency Risk Exposure

      
Foreign Currency Contracts   Net realized gains/(losses) on forward currency contracts/Change in unrealized appreciation/depreciation on investments    $ 34,876      $ (18,515
Currency Contracts   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments      (205,640     119,919   

Interest Rate Risk Exposure

      
Interest Rate Contracts   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments      2,506,787        (968,076

Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.

The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2015. 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, 2015.

As of June 30, 2015, the Fund’s derivative assets and liabilities by type are as follows:

 

        Assets      Liabilities

Derivative Financial Instruments:

             

Futures contracts

       $ 2,324,761          $ 15,021  

Forward currency contracts

                     
      

 

 

        

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

         2,324,761            15,021  

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

         (2,324,761 )          (15,021 )
      

 

 

        

 

 

 

Total assets and liabilities subject to a MNA

       $          $  
      

 

 

        

 

 

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Financial Management, Inc. (“BlackRock Financial”), BlackRock Financial provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The

 

19


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (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, 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, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Enhanced Bond Index Fund

         0.35 %          0.70 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $5,110 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for

 

20


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
     

Asset Backed Securities

       $          $ 72,398,631          $ 72,398,631  

Collateralized Mortgage Obligations

                    49,625,076            49,625,076  

Corporate Bonds+

                    142,998,496            142,998,496  

Municipal Bonds

                    9,770,013            9,770,013  

Preferred Stock

                    491,913            491,913  

U.S. Government Agency Mortgages

                    235,934,489            235,934,489  

U.S. Treasury Obligations

                    103,972,230            103,972,230  

Yankee Dollars+

                    64,110,028            64,110,028  

Securities Held as Collateral for Securities on Loan

                    56,612,623            56,612,623  

Unaffiliated Investment Company

         102,932,019                       102,932,019  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         102,932,019            735,913,499            838,845,518  
      

 

 

        

 

 

        

 

 

 

Securities Sold Short

                    (23,328,879 )          (23,328,879 )

Other Financial Instruments:*

                    

Futures Contracts

         (318,532 )                     (318,532 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 102,613,487          $ 712,584,620          $ 815,198,107  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 1,468,275,993          $ 1,813,578,632  

For the period ended June 30, 2015, purchases and sales on long-term U.S. government securities were as follows:

 

        Purchases      Sales

AZL Enhanced Bond Index Fund

       $ 270,016,211          $ 238,377,980  

 

21


AZL Enhanced Bond Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition, adjustable and fixed rate mortgage-related securities are subject to call risk. When interest rates decline, borrowers may pay off their mortgages sooner than expected. This can reduce the returns of a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $842,314,056. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 3,936,879  

Unrealized depreciation

    (7,405,417
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (3,468,538
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Enhanced Bond Index Fund

       $ 8,934,761          $          $ 8,934,761  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Enhanced Bond Index Fund

       $ 20,614,173          $ 1,944,153          $          $ 8,610,514          $ 31,168,840  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

22


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

23


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Federated Clover Small Value Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

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 Federated Clover Small Value Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Federated Clover Small Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Federated Clover Small Value Fund

       $ 1,000.00          $ 1,010.40          $ 5.18            1.04 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Federated Clover Small Value Fund

       $ 1,000.00          $ 1,019.64          $ 5.21            1.04 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      40.4 %

Industrials

      12.4  

Consumer Discretionary

      11.4  

Information Technology

      8.2  

Health Care

      7.5  

Energy

      5.4  

Utilities

      5.1  

Consumer Staples

      3.1  

Materials

      3.0  
   

 

 

 

Total Common Stocks

      96.5  

Securities Held as Collateral for Securities on Loan

      29.0  

Money Market

      3.6  
   

 

 

 

Total Investment Securities

      129.1  

Net other assets (liabilities)

      (29.1 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Federated Clover Small Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (96.5%):

  

 

Aerospace & Defense (2.1%):

  

  55,625       Curtiss-Wright Corp.^    $ 4,029,475  
  70,225       Hexcel Corp.^      3,492,992  
     

 

 

 
        7,522,467  
     

 

 

 

 

Auto Components (1.5%):

  

  107,950       Remy International, Inc.      2,386,775  
  50,375       Tenneco, Inc.*^      2,893,540  
     

 

 

 
        5,280,315  
     

 

 

 

 

Banks (15.5%):

  

  42,525       Ameris Bancorp^      1,075,457  
  107,868       Capital Bank Financial Corp.*^      3,135,723  
  198,953       Flushing Financial Corp.^      4,180,003  
  287,325       Great Western Bancorp, Inc.^      6,927,405  
  293,400       Hilltop Holdings, Inc.*^      7,068,005  
  433,823       Investors Bancorp, Inc.^      5,336,023  
  91,800       Opus Bank^      3,321,324  
  213,325       Popular, Inc.*      6,156,560  
  219,428       Synovus Financial Corp.      6,762,771  
  163,625       Talmer Bancorp, Inc., Class A      2,740,719  
  325,125       TCF Financial Corp.^      5,400,326  
  224,350       Umpqua Holdings Corp.^      4,036,057  
     

 

 

 
        56,140,373  
     

 

 

 

 

Chemicals (1.0%):

  

  207,450       Ferro Corp.*^      3,481,011  
     

 

 

 

 

Commercial Services & Supplies (2.6%):

  

  46,300       Mobile Mini, Inc.^      1,946,452  
  252,150       R.R. Donnelley & Sons Co.^      4,394,975  
  26,500       UniFirst Corp.^      2,964,025  
     

 

 

 
        9,305,452  
     

 

 

 

 

Communications Equipment (1.9%):

  

  167,925       Ciena Corp.*^      3,976,464  
  49,350       ViaSat, Inc.*^      2,973,831  
     

 

 

 
        6,950,295  
     

 

 

 

 

Construction & Engineering (0.9%):

  

  168,425       KBR, Inc.^      3,280,919  
     

 

 

 

 

Containers & Packaging (0.8%):

  

  91,000       Berry Plastics Group, Inc.*^      2,948,400  
     

 

 

 

 

Diversified Consumer Services (0.4%):

  

  160,125       Bridgepoint Education, Inc.*^      1,530,795  
     

 

 

 

 

Diversified Financial Services (1.0%):

  

  137,925       PHH Corp.*^      3,590,188  
     

 

 

 

 

Electric Utilities (1.4%):

  

  151,650       Portland General Electric Co.^      5,028,714  
     

 

 

 

 

Electrical Equipment (0.8%):

  

  143,200       General Cable Corp.^      2,825,336  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.6%):

  

  34,050       Anixter International, Inc.*      2,218,358  
     

 

 

 

 

Energy Equipment & Services (1.9%):

  

  76,250       Exterran Holdings, Inc.^      2,489,563  
  828,500       McDermott International, Inc.*^      4,424,190  
     

 

 

 
        6,913,753  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing (1.5%):

  

  345,575       Rite AID Corp.*    $ 2,885,551  
  39,800       United Natural Foods, Inc.*^      2,534,464  
     

 

 

 
        5,420,015  
     

 

 

 

 

Gas Utilities (1.6%):

  

  114,225       Atmos Energy Corp.      5,857,458  
     

 

 

 

 

Health Care Equipment & Supplies (3.0%):

  

  67,100       Alere, Inc.*      3,539,525  
  63,325       Hill-Rom Holdings, Inc.^      3,440,447  
  143,975       Wright Medical Group, Inc.*^      3,780,784  
     

 

 

 
        10,760,756  
     

 

 

 

 

Health Care Providers & Services (3.9%):

  

  97,675       Capital Senior Living Corp.*^      2,393,038  
  53,150       IPC Healthcare, Inc.*^      2,943,979  
  57,025       Magellan Health Services, Inc.*^      3,995,741  
  53,375       Owens & Minor, Inc.^      1,814,750  
  36,475       WellCare Health Plans, Inc.*^      3,094,173  
     

 

 

 
        14,241,681  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.5%):

  

  240,450       Belmond, Ltd., Class A*      3,003,220  
  77,850       Diamond Resorts International, Inc.*^      2,456,168  
     

 

 

 
        5,459,388  
     

 

 

 

 

Household Durables (1.9%):

  

  78,475       La-Z-Boy, Inc.      2,067,032  
  25,275       Tempur-Pedic International, Inc.*^      1,665,623  
  214,125       TRI Pointe Homes, Inc.*      3,276,112  
     

 

 

 
        7,008,767  
     

 

 

 

 

Household Products (0.7%):

  

  25,775       Spectrum Brands Holdings, Inc.^      2,628,792  
     

 

 

 

 

Insurance (7.5%):

  

  109,675       American Equity Investment Life Holding Co.^      2,959,032  
  76,604       Argo Group International Holdings, Ltd.      4,266,842  
  338,050       CNO Financial Group, Inc.^      6,203,217  
  155,975       Fidelity & Guaranty Life^      3,685,689  
  84,900       First American Financial Corp.^      3,159,129  
  50,900       Hanover Insurance Group, Inc. (The)^      3,768,127  
  176,325       Maiden Holdings, Ltd.^      2,782,409  
     

 

 

 
        26,824,445  
     

 

 

 

 

IT Services (1.2%):

  

  76,575       Evertec, Inc.      1,626,453  
  127,400       Unisys Corp.*^      2,546,726  
     

 

 

 
        4,173,179  
     

 

 

 

 

Machinery (3.1%):

  

  87,475       Barnes Group, Inc.^      3,410,650  
  195,000       Mueller Water Products, Inc., Class A^      1,774,500  
  113,450       The Manitowoc Co., Inc.^      2,223,620  
  68,925       Woodward, Inc.^      3,790,186  
     

 

 

 
        11,198,956  
     

 

 

 

 

Media (2.6%):

  

  62,875       Carmike Cinemas, Inc.*^      1,668,702  
  103,075       Eros International Plc*^      2,589,244  
  99,975       Lions Gate Entertainment Corp.^      3,704,074  
 

 

Continued

 

2


AZL Federated Clover Small Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

               
    
Fair Value
 

 

Common Stocks, continued

  

 

Media, continued

  

  59,125       Sinclair Broadcast Group, Inc., Class A^    $ 1,650,179  
     

 

 

 
        9,612,199  
     

 

 

 

 

Metals & Mining (0.5%):

  

  160,275       Stillwater Mining Co.*^      1,857,587  
     

 

 

 

 

Multiline Retail (0.7%):

  

  56,425       Big Lots, Inc.^      2,538,561  
     

 

 

 

 

Multi-Utilities (0.9%):

  

  187,900       TECO Energy, Inc.^      3,318,314  
     

 

 

 

 

Oil, Gas & Consumable Fuels (3.5%):

  

  129,350       Newfield Exploration Co.*^      4,672,122  
  69,000       PDC Energy, Inc.*^      3,701,160  
  104,450       Teekay Shipping Corp.      4,472,549  
     

 

 

 
        12,845,831  
     

 

 

 

 

Paper & Forest Products (0.7%):

  

  43,550       Clearwater Paper Corp.*^      2,495,415  
     

 

 

 

 

Pharmaceuticals (0.6%):

  

  72,800       The Medicines Co.*^      2,082,808  
     

 

 

 

 

Professional Services (1.6%):

  

  24,750       Dun & Bradstreet Corp.^      3,019,500  
  63,450       FTI Consulting, Inc.*^      2,616,678  
     

 

 

 
        5,636,178  
     

 

 

 

 

Real Estate Investment Trusts (0.6%):

  

  109,575       STAG Industrial, Inc.^      2,191,500  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (11.4%):

  

  227,675       Colony Financial, Inc.^      5,156,838  
  69,750       EPR Properties^      3,820,905  
  212,175       FelCor Lodging Trust, Inc.      2,096,289  
  238,325       First Potomac Realty Trust^      2,454,748  
  107,875       LaSalle Hotel Properties^      3,825,248  
  456,400       Lexington Realty Trust^      3,870,272  
  260,387       New Residential Investment Corp.      3,968,297  
  352,562       NorthStar Realty Finance Corp.      5,605,735  
  172,700       Starwood Property Trust, Inc.^      3,725,139  
  117,385       Starwood Waypoint Residential Trust^      2,789,068  
  61,675       Sun Communities, Inc.^      3,813,365  
     

 

 

 
        41,125,904  
     

 

 

 

 

Road & Rail (0.6%):

  

  98,900       Swift Transportation Co.*^      2,242,063  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (3.4%):

  

  302,300       Atmel Corp.^      2,979,166  
  277,175       Brooks Automation, Inc.^      3,173,653  

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment, continued

  

  98,675       Fairchild Semiconductor International, Inc.*^    $ 1,714,972  
  59,725       MKS Instruments, Inc.^      2,265,967  
  69,325       Veeco Instruments, Inc.*^      1,992,401  
     

 

 

 
        12,126,159  
     

 

 

 

 

Software (0.6%):

  

  35,475       Verint Systems, Inc.*^      2,154,929  
     

 

 

 

 

Specialty Retail (2.0%):

  

  180,950       Ascena Retail Group, Inc.*^      3,013,722  
  63,500       The Men’s Wearhouse, Inc.^      4,068,445  
     

 

 

 
        7,082,167  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):

  

  1,077,266       Quantum Corp.*      1,809,807  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.8%):

  

  40,875       Deckers Outdoor Corp.*      2,941,774  
     

 

 

 

 

Thrifts & Mortgage Finance (4.4%):

  

  230,525       Provident Financial Services, Inc.^      4,377,670  
  343,300       Radian Group, Inc.^      6,440,307  
  188,675       WSFS Financial Corp.^      5,160,261  
     

 

 

 
        15,978,238  
     

 

 

 

 

Tobacco (0.9%):

  

  134,012       Vector Group, Ltd.^      3,143,922  
     

 

 

 

 

Trading Companies & Distributors (0.7%):

  

  35,825       WESCO International, Inc.*^      2,459,028  
     

 

 

 

 

Water Utilities (1.2%):

  

  172,150       Aqua America, Inc.      4,215,954  
     

 

 

 

 

Total Common Stocks (Cost $309,041,887)

     348,448,151  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (29.0%):

  

$ 104,653,840       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     104,653,840  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $104,653,840)

     104,653,840  
     

 

 

 

 

Unaffiliated Investment Company (3.6%):

  

  13,093,142      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      13,093,142  
     

 

 

 

 

Total Unaffiliated Investment Company
(Cost $13,093,142)

     13,093,142  
     

 

 

 

 

Total Investment Securities (Cost $426,788,869)(c) — 129.1%

     466,195,133   

 

Net other assets (liabilities) — (29.1)%

     (105,168,702
     

 

 

 

 

Net Assets — 100.0%

   $ 361,026,431  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $102,331,134.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

3


AZL Federated Clover Small Value Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 426,788,869  
    

 

 

 

Investment securities, at value*

     $ 466,195,133  

Interest and dividends receivable

       700,887  

Prepaid expenses

       796  
    

 

 

 

Total Assets

       466,896,816  
    

 

 

 

Liabilities:

    

Cash overdraft

       2  

Payable for investments purchased

       638,336  

Payable for capital shares redeemed

       253,215  

Payable for collateral received on loaned securities

       104,653,840  

Manager fees payable

       228,695  

Administration fees payable

       8,480  

Distribution fees payable

       76,232  

Custodian fees payable

       2,111  

Administrative and compliance services fees payable

       132  

Trustee fees payable

       950  

Other accrued liabilities

       8,392  
    

 

 

 

Total Liabilities

       105,870,385  
    

 

 

 

Net Assets

     $ 361,026,431  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 252,830,686  

Accumulated net investment income/(loss)

       7,763,923  

Accumulated net realized gains/(losses) from investment transactions

       61,025,558  

Net unrealized appreciation/(depreciation) on investments

       39,406,264  
    

 

 

 

Net Assets

     $ 361,026,431  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       16,099,335  

Net Asset Value (offering and redemption price per share)

     $ 22.42  
    

 

 

 

 

* Includes securities on loan of $102,331,134.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 4,783,945  

Income from securities lending

       147,523  

Foreign withholding tax

       (1,176 )
    

 

 

 

Total Investment Income

       4,930,292  
    

 

 

 

Expenses:

    

Manager fees

       1,474,446  

Administration fees

       49,946  

Distribution fees

       491,482  

Custodian fees

       3,915  

Administrative and compliance services fees

       1,095  

Trustee fees

       4,363  

Professional fees

       5,267  

Shareholder reports

       5,638  

Other expenses

       3,026  
    

 

 

 

Total expenses

       2,039,178  
    

 

 

 

Net Investment Income/(Loss)

       2,891,114  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       10,840,106  

Change in net unrealized appreciation/depreciation on investments

       (9,003,994 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       1,836,112  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 4,727,226  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL Federated Clover Small Value Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,891,114        $ 2,350,024  

Net realized gains/(losses) on investment transactions

       10,840,106          53,397,943  

Change in unrealized appreciation/depreciation on investments

       (9,003,994 )        (23,855,458 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       4,727,226          31,892,509  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (3,659,066 )

From net realized gains

                (52,470,818 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (56,129,884 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       1,453,121          9,136,593  

Proceeds from dividends reinvested

                56,129,884  

Value of shares redeemed

       (67,703,616 )        (100,368,050 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (66,250,495 )        (35,101,573 )
    

 

 

      

 

 

 

Change in net assets

       (61,523,269 )        (59,338,948 )

Net Assets:

         

Beginning of period

       422,549,700          481,888,648  
    

 

 

      

 

 

 

End of period

     $ 361,026,431        $ 422,549,700  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 7,763,923        $ 4,872,809  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       65,166          378,828  

Dividends reinvested

                2,559,502  

Shares redeemed

       (3,006,632 )        (4,260,773 )
    

 

 

      

 

 

 

Change in shares

       (2,941,466 )        (1,322,443 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL Federated Clover Small Value Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 22.19       $ 23.66       $ 18.14       $ 15.96       $ 16.72       $ 13.27  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.23         0.15         0.20         0.15         0.11         0.09  

Net Realized and Unrealized Gains/(Losses) on Investments

       (h)       1.60         5.58         2.13         (0.77 )       3.48  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.23         1.75         5.78         2.28         (0.66 )       3.57  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.21 )       (0.16 )       (0.10 )       (0.10 )       (0.12 )

Net Realized Gains

               (3.01 )       (0.10 )                        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (3.22 )       (0.26 )       (0.10 )       (0.10 )       (0.12 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 22.42       $ 22.19       $ 23.66       $ 18.14       $ 15.96       $ 16.72  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.04 %(b)       7.54 %       32.00 %       14.32 %       (3.92 )%       27.11 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 361,026       $ 422,550       $ 481,889       $ 261,731       $ 199,020       $ 234,305  

Net Investment Income/(Loss)(c)

       1.47 %       0.53 %       1.27 %       0.96 %       0.60 %       0.59 %

Expenses Before Reductions(c) (d)

       1.04 %       1.03 %       1.08 %       1.07 %       1.09 %       1.08 %

Expenses Net of Reductions(c)

       1.04 %       1.03 %       1.01 %       0.99 %       1.09 %       1.08 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(g)

       1.04 %       1.03 %       1.08 %       1.07 %       1.09 %       1.08 %

Portfolio Turnover Rate

       37 %(b)       74 %       97 %(e)       156 %(f)       15 %       23 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Cost of purchase and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 140%.

 

(f) Effective February 24, 2012, the Subadviser changed from Franklin Advisory Services LLC to Federated Global Investment Management Corp. Costs of purchases and proceeds from sales of portfolio securities associated with the change in Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2012 as compared to prior years.

 

(g) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements.

 

(h) Represents less than $0.005.

 

See accompanying notes to the financial statements.

 

6


AZL Federated Clover Small Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Federated Clover Small Value Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL Federated Clover Small Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $112.2 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $14,485 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Federated Global Investment Management Corp. (“Federated”), Federated provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Federated Clover Small Value Fund

         0.75 %          1.35 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.

” Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

 

8


AZL Federated Clover Small Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,200 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 348,448,151          $          $ 348,448,151  

Securities Held as Collateral for Securities on Loan

                    104,653,840            104,653,840  

Unaffiliated Investment Company

         13,093,142                       13,093,142  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 361,541,293          $ 104,653,840          $ 466,195,133  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL Federated Clover Small Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Federated Clover Small Value Fund

       $ 138,967,157          $ 205,103,851  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $428,204,142. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 48,531,519  

Unrealized depreciation

    (10,540,528
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 37,990,991   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Federated Clover Small Value Fund

       $ 11,915,520          $ 44,214,364          $ 56,129,884  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Federated Clover Small Value Fund

       $ 16,612,828          $ 41,703,679          $          $ 45,152,012          $ 103,468,519  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Franklin Templeton Founding Strategy Plus Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 23

Statement of Operations

Page 23

Statements of Changes in Net Assets

Page 24

Financial Highlights

Page 25

Notes to the Financial Statements

Page 26

Other Information

Page 34

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Franklin Templeton Founding Strategy Plus Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Franklin Templeton Founding Strategy Plus Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Franklin Templeton Founding Strategy Plus Fund

       $ 1,000.00          $ 1,005.80          $ 5.17            1.04 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Franklin Templeton Founding Strategy Plus Fund

       $ 1,000.00          $ 1,019.64          $ 5.21            1.04 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Common Stocks

      59.1 %

Foreign Bonds

      14.0  

Securities Held as Collateral for Securities on Loan

      8.2  

Corporate Bonds

      6.6  

Money Markets

      5.8  

Yankee Dollars

      4.1  

U.S. Government Agency Mortgages

      3.6  

U.S. Treasury Obligations

      1.4  

Equity-Linked Securities

      1.0  

Preferred Stocks

      0.6  

Floating Rate Loans

      0.6  

Convertible Bonds

      0.6  

Convertible Preferred Stocks

      0.3  

Municipal Bonds

      0.1  
   

 

 

 

Total Investment Securities

      106.0  

Net other assets (liabilities)

      (6.0 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 
 

 

1


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
    
Shares
           Fair Value  

 

Common Stocks (59.1%):

  

 

Aerospace & Defense (1.0%):

  

  91,580       BAE Systems plc    $ 649,850  
  19,530       BE Aerospace, Inc.^      1,072,197  
  6,360       Boeing Co. (The)      882,259  
  15,858       Huntington Ingalls Industries, Inc.      1,785,452  
  9,765       KLX, Inc.*      430,929  
  7,200       Lockheed Martin Corp.      1,338,480  
  10,370       Raytheon Co.      992,202  
  2,000       United Technologies Corp.      221,860  
     

 

 

 
        7,373,229  
     

 

 

 

 

Air Freight & Logistics (0.1%):

  

  7,860       United Parcel Service, Inc., Class B      761,713  
     

 

 

 

 

Airlines (0.3%):

  

  205,190       Deutsche Lufthansa AG, Registered Shares*      2,644,626  
     

 

 

 

 

Auto Components (0.3%):

  

  22,441       Compagnie Generale des Establissements Michelin SCA, Class B      2,355,512  
     

 

 

 

 

Automobiles (1.5%):

  

  37,000       Ford Motor Co.      555,370  
  137,382       General Motors Co.      4,578,942  
  12,609       Hero MotoCorp, Ltd.      499,407  
  14,526       Hyundai Motor Co.      1,768,611  
  276,700       Nissan Motor Co., Ltd.      2,874,560  
  14,200       Toyota Motor Corp.      949,830  
     

 

 

 
        11,226,720  
     

 

 

 

 

Banks (7.3%):

  

  85,800       Bangkok Bank Public Co., Ltd.      451,153  
  31,000       Bank of America Corp.      527,620  
  492,980       Barclays plc      2,015,702  
  39,100       BNP Paribas SA      2,357,150  
  40,792       CIT Group, Inc.      1,896,420  
  124,720       Citigroup, Inc.      6,889,533  
  69,953       Citizens Financial Group, Inc.      1,910,416  
  9,886       Columbia Banking System, Inc.      321,690  
  51,180       Commerzbank AG*      653,898  
  159,870       Credit Agricole SA      2,374,806  
  115,800       DBS Group Holdings, Ltd.      1,777,291  
  260,152       HSBC Holdings plc      2,349,267  
  266,059       ING Groep NV      4,411,153  
  106,460       JPMorgan Chase & Co.      7,213,730  
  76,126       KB Financial Group, Inc.      2,503,918  
  47,762       PNC Financial Services Group, Inc.      4,568,435  
  9,100       Royal Bank of Canada      556,581  
  7,304       Societe Generale      340,721  
  60,150       Standard Chartered plc      962,050  
  97,963       SunTrust Banks, Inc.      4,214,368  
  380,159       UniCredit SpA      2,550,157  
  60,611       Wells Fargo & Co.      3,408,763  
     

 

 

 
        54,254,822  
     

 

 

 

 

Beverages (0.5%):

  

  42,014       PepsiCo, Inc.      3,921,587  
     

 

 

 
    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Biotechnology (0.6%):

  

  24,280       Amgen, Inc.    $ 3,727,465  
  1,251       FCB Financial Holdings, Inc., Class A*      39,782  
  5,470       Gilead Sciences, Inc.      640,428  
     

 

 

 
        4,407,675  
     

 

 

 

 

Capital Markets (0.7%):

  

  101,907       Credit Suisse Group AG      2,800,895  
  67,040       Morgan Stanley      2,600,482  
     

 

 

 
        5,401,377  
     

 

 

 

 

Chemicals (1.5%):

  

  12,000       Agrium, Inc.^      1,271,399  
  25,368       AkzoNobel NV      1,853,310  
  10,000       BASF SE      878,662  
  66,470       Dow Chemical Co. (The)      3,401,270  
  35,000       E.I. du Pont de Nemours & Co.      2,238,250  
  15,000       LyondellBasell Industries NV, Class A      1,552,800  
  16,000       Mosaic Co. (The)      749,600  
     

 

 

 
        11,945,291  
     

 

 

 

 

Commercial Services & Supplies (0.3%):

  

  230       CEVA Group plc*      169,941  
  28,550       Republic Services, Inc., Class A      1,118,303  
  432,608       Serco Group plc      800,876  
  16,210       Waste Management, Inc.      751,334  
     

 

 

 
        2,840,454  
     

 

 

 

 

Communications Equipment (1.4%):

  

  240,929       Cisco Systems, Inc.      6,615,910  
  176,604       Nokia Oyj      1,196,420  
  48,386       Nokia Oyj, ADR      331,444  
  92,786       Nokia Oyj, ADR      635,584  
  7,000       QUALCOMM, Inc.      438,410  
  145,920       Telefonaktiebolaget LM Ericsson, B Shares      1,511,270  
     

 

 

 
        10,729,038  
     

 

 

 

 

Construction & Engineering (0.2%):

  

  32,800       FLSmidth & Co. A/S      1,582,731  
     

 

 

 

 

Construction Materials (0.7%):

  

  120,048       CRH plc      3,385,056  
  21,112       Holcim, Ltd., Registered Shares      1,561,146  
     

 

 

 
        4,946,202  
     

 

 

 

 

Consumer Finance (0.3%):

  

  44,980       Ally Financial, Inc.*      1,008,901  
  17,260       Capital One Financial Corp.      1,518,363  
     

 

 

 
        2,527,264  
     

 

 

 

 

Containers & Packaging (0.3%):

  

  47,384       MeadWestvaco Corp.      2,236,051  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  7,063       Cengage Learning Holdings II LP*      195,998  
     

 

 

 

 

Diversified Telecommunication Services (1.8%):

  

  61,170       AT&T, Inc.^      2,172,758  
  10,000       CenturyLink, Inc.      293,800  
  28,592       China Telecom Corp., Ltd., ADR^      1,687,786  
 

 

Continued

 

2


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Diversified Telecommunication Services, continued

  

  403,330       Koninklijke (Royal) KPN NV    $ 1,547,738  
  572,220       Singapore Telecommunications, Ltd.      1,779,551  
  227,929       Telefonica SA      3,247,907  
  84,310       Telstra Corp., Ltd.      397,212  
  56,133       Verizon Communications, Inc.      2,616,360  
     

 

 

 
        13,743,112  
     

 

 

 

 

Electric Utilities (1.5%):

  

  15,000       American Electric Power Co., Inc.      794,550  
  30,897       Duke Energy Corp.      2,181,946  
  85,050       Exelon Corp.^      2,672,271  
  16,000       FirstEnergy Corp.      520,800  
  16,670       NextEra Energy, Inc.      1,634,160  
  22,920       PPL Corp.      675,452  
  65,960       Southern Co. (The)^      2,763,725  
     

 

 

 
        11,242,904  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.1%):

  

  49,730       Flextronics International, Ltd.*      562,446  
     

 

 

 

 

Energy Equipment & Services (1.0%):

  

  73,039       Baker Hughes, Inc.      4,506,506  
  26,413       Halliburton Co.      1,137,608  
  57,450       Noble Corp. plc^      884,156  
  12,000       Schlumberger, Ltd.      1,034,280  
  15,040       Technip-Coflexip SA      931,453  
     

 

 

 
        8,494,003  
     

 

 

 

 

Food & Staples Retailing (1.9%):

  

  40,406       CVS Health Corp.      4,237,781  
  30,053       Kroger Co. (The)^      2,179,143  
  57,540       Metro AG      1,813,660  
  579,804       Tesco plc      1,934,798  
  49,823       Walgreens Boots Alliance, Inc.      4,207,054  
     

 

 

 
        14,372,436  
     

 

 

 

 

Gas Utilities (0.0%):

  

  2,870       AGL Resources, Inc.      133,627  
     

 

 

 

 

Health Care Equipment & Supplies (1.9%):

  

  105,040       Getinge AB, B Shares^      2,528,065  
  125,800       Medtronic plc      9,321,780  
  29,241       Stryker Corp.      2,794,562  
     

 

 

 
        14,644,407  
     

 

 

 

 

Health Care Providers & Services (0.1%):

  

  6,936       CIGNA Corp.      1,123,632  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.0%):

  

  5,000       Las Vegas Sands Corp.^      262,850  
     

 

 

 

 

Household Products (0.2%):

  

  9,153       Energizer Holdings, Inc.      1,204,077  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.2%):

  

  14,547       Dynegy, Inc.*      425,500  
  61,463       NRG Energy, Inc.^      1,406,273  
     

 

 

 
        1,831,773  
     

 

 

 
    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Industrial Conglomerates (0.5%):

  

  99,820       General Electric Co.    $ 2,652,217  
  14,360       Siemens AG, Registered Shares      1,445,939  
     

 

 

 
        4,098,156  
     

 

 

 

 

Insurance (3.8%):

  

  27,677       ACE, Ltd.      2,814,197  
  186,850       AEGON NV      1,371,736  
  5,223       Alleghany Corp.*      2,448,333  
  34,703       Allstate Corp. (The)      2,251,184  
  136,796       American International Group, Inc.      8,456,729  
  137,936       Aviva plc      1,068,956  
  90,313       AXA SA      2,275,630  
  67,211       MetLife, Inc.      3,763,144  
  23,740       Swiss Re AG^      2,100,429  
  980       White Mountains Insurance Group, Ltd.      641,841  
  72,510       XL Group plc      2,697,372  
  500       XL Group plc      18,600  
     

 

 

 
        29,908,151  
     

 

 

 

 

Internet Software & Services (0.2%):

  

  2,670       Google, Inc., Class A*      1,441,907  
     

 

 

 

 

IT Services (0.3%):

  

  220,535       Xerox Corp.      2,346,492  
     

 

 

 

 

Life Sciences Tools & Services (0.1%):

  

  34,300       QIAGEN NV*      845,226  
     

 

 

 

 

Machinery (0.5%):

  

  26,948       Caterpillar, Inc.      2,285,730  
  123,064       CNH Industrial NV      1,121,359  
  3,788       Federal Signal Corp.      56,479  
  41,856       Navistar International Corp.*^      947,201  
     

 

 

 
        4,410,769  
     

 

 

 

 

Marine (0.3%):

  

  1,295       A.P. Moeller — Maersk A/S, Class B      2,349,548  
     

 

 

 

 

Media (3.7%):

  

  145,107       British Sky Broadcasting Group plc      2,366,530  
  47,115       CBS Corp., Class B      2,614,883  
  71,930       Comcast Corp., Class A^      4,311,484  
  35,690       DIRECTV, Inc., Class A*      3,311,675  
  83,860       News Corp., Class A*      1,223,517  
  162,339       Reed Elsevier plc      2,642,785  
  24,571       Time Warner Cable, Inc., Class A      4,377,814  
  19,939       Time Warner, Inc., Class A      1,742,868  
  5,216       Tribune Co.#*(a) (b)       
  407       Tribune Media Co., Class A      21,730  
  709       Tribune Publishing Co.      11,018  
  66,690       Twenty-First Century Fox, Inc.      2,170,426  
  118,424       Twenty-First Century Fox, Inc., Class B      3,815,621  
     

 

 

 
        28,610,351  
     

 

 

 

 

Metals & Mining (1.5%):

  

  65,240       BHP Billiton plc      1,281,270  
  127,985       Freeport-McMoRan Copper & Gold, Inc.^      2,383,081  
  33,460       Goldcorp, Inc.      542,052  
 

 

Continued

 

3


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Metals & Mining, continued

  

  105,428       Mining and Metallurgical Co. Norilsk Nickel, ADR    $ 1,787,005  
  9,185       POSCO      1,822,460  
  67,180       Rio Tinto plc, Registered Shares, ADR^      2,768,487  
  65,240       South32, Ltd.*      88,143  
  53,005       ThyssenKrupp AG      1,378,866  
     

 

 

 
        12,051,364  
     

 

 

 

 

Multiline Retail (0.9%):

  

  24,178       Macy’s, Inc.^      1,631,290  
  163,380       Marks & Spencer Group plc      1,377,506  
  48,740       Target Corp.      3,978,646  
     

 

 

 
        6,987,442  
     

 

 

 

 

Multi-Utilities (0.9%):

  

  20,000       Dominion Resources, Inc.^      1,337,400  
  55,430       PG&E Corp.      2,721,613  
  22,060       Public Service Enterprise Group, Inc.      866,517  
  11,070       Sempra Energy      1,095,266  
  3,650       TECO Energy, Inc.      64,459  
  27,390       Xcel Energy, Inc.      881,410  
     

 

 

 
        6,966,665  
     

 

 

 

 

Oil, Gas & Consumable Fuels (5.4%):

  

  13,280       Anadarko Petroleum Corp.      1,036,637  
  60,704       Apache Corp.      3,498,372  
  83,779       BG Group plc      1,393,905  
  418,075       BP plc      2,758,453  
  80,765       BP plc, ADR      3,227,369  
  29,300       Canadian Oil Sands, Ltd.      236,972  
  126,830       Chesapeake Energy Corp.^      1,416,691  
  30,620       Chevron Corp.      2,953,911  
  33,229       CONSOL Energy, Inc.^      722,398  
  7,500       Devon Energy Corp.      446,175  
  108,249       ENI SpA      1,919,894  
  6,800       Exxon Mobil Corp.      565,760  
  155,100       Galp Energia SGPS SA      1,817,270  
  1,899,100       Kunlun Energy Co., Ltd.      1,921,099  
  84,406       Marathon Oil Corp.      2,240,135  
  22,280       Murphy Oil Corp.^      926,180  
  5,000       Occidental Petroleum Corp.      388,850  
  202,726       Petroleo Brasileiro SA, ADR*^      1,654,244  
  54,908       Royal Dutch Shell plc, B Shares      1,561,247  
  460       Royal Dutch Shell plc, A Shares      12,930  
  56,209       Royal Dutch Shell plc, ADR      3,204,475  
  91,883       Royal Dutch Shell plc, A Shares      2,616,491  
  22,490       Spectra Energy Corp.      733,174  
  5,000       Suncor Energy, Inc.      137,732  
  54,930       Total SA      2,672,402  
  23,740       Total SA, ADR^      1,167,296  
  28,663       Whiting Petroleum Corp.*^      963,077  
  20,000       Williams Cos., Inc. (The)*      1,147,800  
     

 

 

 
        43,340,939  
     

 

 

 
    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Paper & Forest Products (0.4%):

  

  58,048       International Paper Co.    $ 2,762,504  
     

 

 

 

 

Personal Products (0.0%):

  

  60,193       Avon Products, Inc.^      376,808  
     

 

 

 

 

Pharmaceuticals (6.1%):

  

  5,957       Allergan plc*      1,807,711  
  8,000       Bristol-Myers Squibb Co.      532,320  
  85,531       Eli Lilly & Co.      7,140,983  
  134,712       GlaxoSmithKline plc      2,803,715  
  37,001       Hospira, Inc.*      3,282,359  
  10,000       Johnson & Johnson Co.      974,600  
  136,114       Merck & Co., Inc.      7,748,969  
  21,830       Merck KGaA      2,174,058  
  162,360       Pfizer, Inc.      5,443,931  
  11,900       Roche Holding AG      3,341,860  
  22,400       Sanofi-Aventis SA      2,209,632  
  35,000       Sanofi-Aventis SA, ADR      1,733,550  
  134,618       Teva Pharmaceutical Industries, Ltd., ADR      7,955,924  
     

 

 

 
        47,149,612  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.1%):

  

  2,556       Alexander’s, Inc.^      1,047,960  
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  2,292       Forestar Group, Inc.*^      30,163  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (1.5%):

  

  15,757       Altera Corp.      806,758  
  49,140       Intel Corp.      1,494,594  
  6,733       Samsung Electronics Co., Ltd.      7,650,291  
  19,910       Texas Instruments, Inc.      1,025,564  
     

 

 

 
        10,977,207  
     

 

 

 

 

Software (2.5%):

  

  68,648       CA, Inc.^      2,010,700  
  287,388       Microsoft Corp.      12,688,180  
  14,870       Oracle Corp.      599,261  
  12,060       SAP AG      840,231  
  140,618       Symantec Corp.      3,269,369  
     

 

 

 
        19,407,741  
     

 

 

 

 

Specialty Retail (0.6%):

  

  28,252       Best Buy Co., Inc.^      921,298  
  525,554       Kingfisher plc      2,862,599  
  75,597       Office Depot, Inc.*      654,670  
     

 

 

 
        4,438,567  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (1.4%):

  

  33,069       Apple, Inc.      4,147,679  
  148,880       Hewlett-Packard Co.      4,467,889  
  166,600       Konica Minolta Holdings, Inc.      1,950,158  
     

 

 

 
        10,565,726  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.2%):

  

  35,410       Michael Kors Holdings, Ltd.*      1,490,407  
     

 

 

 
 

 

Continued

 

4


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Tobacco (1.4%):

  

  44,997       Altria Group, Inc.    $ 2,200,803  
  62,277       British American Tobacco plc      3,346,413  
  48,728       Imperial Tobacco Group plc      2,352,103  
  13,457       Philip Morris International, Inc.      1,078,848  
  24,060       Reynolds American, Inc.      1,796,320  
     

 

 

 
        10,774,487  
     

 

 

 

 

Wireless Telecommunication Services (1.1%):

  

  49,000       China Mobile, Ltd.      626,689  
  16,700       SoftBank Group Corp.      982,974  
  172,550       Turkcell Iletisim Hizmetleri AS, ADR      1,982,600  
  1,227,719       Vodafone Group plc      4,476,193  
     

 

 

 
     8,068,456  
     

 

 

 

 

Total Common Stocks (Cost $399,684,269)

     457,412,205  
     

 

 

 

 

Preferred Stocks (0.6%):

  

 

Automobiles (0.2%):

  

  5,955       Volkswagen AG, Preferred Shares^      1,380,288  
     

 

 

 

 

Banks (0.1%):

  

  32,000       Goldman Sachs Group, Inc.(c)      852,288  
     

 

 

 

 

Capital Markets (0.0%):

  

  10,000       Morgan Stanley, Series I      254,600  
     

 

 

 

 

Diversified Financial Services (0.1%):

  

  85,000       Citigroup, Inc.(c)      1,286,050  
     

 

 

 

 

Metals & Mining (0.1%):

  

  20,000       Alcoa, Inc., Series 1^      790,600  
     

 

 

 

 

Multi-Utilities (0.1%):

  

  9,300       Dominion Resources, Inc.^      434,310  
     

 

 

 

 

Total Preferred Stocks (Cost $5,432,185)

     4,998,136  
     

 

 

 

 

Convertible Preferred Stocks (0.3%):

  

 

Banks (0.2%):

  

  800       Bank of America Corp., Series L      889,600  
  416       Wells Fargo & Co., Series L, Class A, 0.03%      488,800  
     

 

 

 
        1,378,400  
     

 

 

 

 

Commercial Services & Supplies (0.0%):

  

  6       CEVA Group plc, Series A-1      6,000  
  49       CEVA Group plc, Series A-2      35,927  
     

 

 

 
        41,927  
     

 

 

 

 

Multi-Utilities (0.0%):

  

  2,500       Dominion Resources, Inc., Series B      134,450  
  2,500       Dominion Resources, Inc., Series A      133,900  
     

 

 

 
        268,350  
     

 

 

 

 

Pharmaceuticals (0.1%):

  

  500       Actavis plc, Series A      521,290  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.0%):

  

  2,500       FelCor Lodging Trust, Inc., Series A, 30.78%^      63,360  
     

 

 

 

 

Total Convertible Preferred Stocks (Cost $1,923,266)

     2,273,327  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Convertible Bonds (0.6%):

  

 

Automobiles (0.4%):

  

$ 1,000,000       Fiat Chrysler Automobiles NV, Series FCAU, 7.88%, 12/15/16    $ 1,261,250  
  1,500,000       Volkswagen International Finance NV, 5.50%, 11/9/15+(c)      2,067,161  
     

 

 

 
        3,328,411  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.2%):

  

  2,000,000       Cobalt International Energy, Inc., 3.13%, 5/15/24^      1,451,250  
     

 

 

 

 

Total Convertible Bonds (Cost $4,922,091)

     4,779,661  
     

 

 

 

 

Floating Rate Loans (0.6%):

  

 

Diversified Financial Services (0.1%):

  

  3,860,813       Lehman Brothers Holdings, Inc., 0.00%, 12/31/49(d)      509,627  
     

 

 

 

 

Electric Utilities (0.0%):

  

  149,307       Texas Competitive Electric Holdings Co. LLC, 4.65%, 10/10/17(d)^^      85,598  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.1%):

  

  367,155       Caesars Entertainment Operating Co., Inc., 9.75%, 3/1/17(d)^^      318,507  
  89,801       Caesars Entertainment Operating Co., Inc., 4.45%, 1/28/18(d)^^      79,609  
  429,156       Caesars Entertainment Operating Co., Inc., 5.45%, 1/28/18(d)^^      383,871  
     

 

 

 
        781,987  
     

 

 

 

 

Machinery (0.1%):

  

  483,718       Navistar International Corp., 5.75%, 8/17/17(d)      484,022  
     

 

 

 

 

Media (0.1%):

  

  43,560       Cengage Learning Acquisitions, Inc., 7.00%, 3/31/20(d)      43,560  
  430,631       iHeartcommunications, Inc., 6.91%, 1/30/19(d)      397,063  
  138,444       iHeartcommunications, Inc., 7.66%, 7/30/19(d)      129,194  
     

 

 

 
        569,817  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

  1,000,000       Fieldwood Energy LLC, 8.38%, 9/30/20(d)      763,751  
  25,502       NGPL PipeCo LLC, 6.75%,
9/15/17(d)
     24,341  
  459,113       Walter Energy, Inc., 7.25%,
4/1/18(d)^^
     245,538  
     

 

 

 
        1,033,630  
     

 

 

 

 

Specialty Retail (0.1%):

  

  58,125       Toys “R” US, 7.25%, 10/24/19(d)      57,980  
  46,875       Toys “R” US, 0.00%, 10/24/19(d)      46,758  
  879,383       Toys “R” US, 9.75%, 4/24/20(d)      825,521  
     

 

 

 
     930,259  
     

 

 

 

 

Total Floating Rate Loans (Cost $6,162,365)

     4,394,940  
     

 

 

 
 

 

Continued

 

5


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds (6.6%):

  

 

Aerospace & Defense (0.0%):

  

$ 100,000       TransDigm Group, Inc., 6.00%, 7/15/22, Callable 7/15/17 @ 105    $ 98,750  
  100,000       TransDigm Group, Inc., 6.50%, 7/15/24, Callable 7/15/19 @ 103      98,750  
     

 

 

 
        197,500  
     

 

 

 

 

Auto Components (0.2%):

  

  1,600,000       Goodyear Tire & Rubber Co., 6.50%, 3/1/21, Callable 3/1/16 @ 104.88      1,694,000  
     

 

 

 

 

Automobiles (0.1%):

  

  400,000       Chrysler GP / Chrysler CG Co. Issuer, 8.25%, 6/15/21, Callable 6/15/16 @ 104      436,000  
     

 

 

 

 

Banks (0.2%):

  

  500,000       Bank of America Corp., Series AA, 6.10%, 12/29/49, Callable 3/17/25 @ 100^(d)      493,750  
  250,000       JPMorgan Chase & Co., Series 1, 7.90%, 4/29/49, Callable 4/30/18 @ 100(d)      264,438  
  1,000,000       JPMorgan Chase & Co., Series Q, 5.15%, 12/29/49, Callable 5/1/23 @ 100, Perpetual Bond(d)      951,600  
  200,000       Wells Fargo & Co., Series S, 5.90%, 12/31/49, Callable 6/15/24 @ 100(d)      200,500  
     

 

 

 
        1,910,288  
     

 

 

 

 

Capital Markets (0.1%):

  

  400,000       Morgan Stanley, Series J, 5.55%, 12/29/49, Callable
7/15/20 @ 100(d)
     397,100  
     

 

 

 

 

Consumer Finance (0.1%):

  

  500,000       OneMain Financial Holdings, Inc., 7.25%, 12/15/21, Callable 12/15/17 @ 103.63(c)      518,125  
     

 

 

 

 

Diversified Financial Services (0.2%):

  

  1,500,000       Citigroup, Inc., Series O, 5.87%, 12/29/49, Callable 3/27/20 @ 100^(d)      1,503,300  
     

 

 

 

 

Diversified Telecommunication Services (0.2%):

  

  1,700,000       Verizon Communications, Inc., 5.15%, 9/15/23      1,861,230  
     

 

 

 

 

Electric Utilities (0.1%):

  

  330,000       NGL Energy Partners LP, 6.88%, 10/15/21, Callable 10/15/16 @ 105.16^      343,200  
  200,000       NRG Yield Operating LLC, 5.38%, 8/15/24, Callable
8/15/19 @ 103^(c)
     201,500  
     

 

 

 
        544,700  
     

 

 

 

 

Food & Staples Retailing (0.2%):

  

  500,000       Cott Beverages, Inc., 5.38%, 7/1/22, Callable 7/1/17 @ 104.03      485,000  
  300,000       JBS USA LLC / JBS USA Finance Corp., 8.25%, 2/1/20, Callable 8/1/15 @ 106(c)      318,000  
  161,000       JBS USA LLC / JBS USA Finance Corp., 7.25%, 6/1/21, Callable 8/1/15 @ 105.44(c)      169,654  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Food & Staples Retailing, continued

  

$ 200,000       US Foods, Inc., 8.50%, 6/30/19, Callable 8/1/15 @ 106    $ 208,500  
     

 

 

 
        1,181,154  
     

 

 

 

 

Health Care Providers & Services (0.4%):

  

  100,000       Community Health Systems, Inc., 5.13%, 8/1/21, Callable 2/1/17 @ 104      101,875  
  300,000       Community Health Systems, Inc., 6.88%, 2/1/22, Callable 2/1/18 @ 103^      316,500  
  800,000       HCA, Inc., 7.50%, 2/15/22      919,000  
  500,000       HCA, Inc., 5.88%, 5/1/23      531,250  
  1,400,000       Tenet Healthcare Corp., 8.13%, 4/1/22      1,530,900  
     

 

 

 
        3,399,525  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.1%):

  

  500,000       MGM Resorts International, 10.00%, 11/1/16^      545,000  
  200,000       MGM Resorts International, 6.75%, 10/1/20^      212,000  
     

 

 

 
        757,000  
     

 

 

 

 

Household Products (0.2%):

  

  300,000       Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 7.88%, 8/15/19, Callable 8/15/15 @ 104^      312,375  
  200,000       Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 9.88%, 8/15/19, Callable 8/15/15 @ 105      210,000  
  500,000       Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 5.75%, 10/15/20, Callable 10/15/15 @ 104      512,500  
  600,000       Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 8.25%, 2/15/21, Callable 2/15/16 @ 104      622,500  
     

 

 

 
        1,657,375  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.6%):

  

  1,000,000       AES Corp., 4.88%, 5/15/23, Callable 5/15/18 @ 102^      940,000  
  350,000       Calpine Corp., 7.88%, 1/15/23, Callable 1/15/17 @ 103.94(c)      378,000  
  500,000       Calpine Corp., 5.38%, 1/15/23, Callable 10/15/18 @ 103^      491,250  
  500,000       Calpine Corp., 5.75%, 1/15/25, Callable 10/15/19 @ 103^      486,250  
  1,000,000       Dynegy, Inc., 6.75%, 11/1/19, Callable 5/1/17 @ 103.38(c)      1,040,500  
  2,581,000       Texas Competitive Electric Holdings Co. LLC, 11.50%, 10/1/20, Callable 4/1/16 @ 106(c)^^      1,574,409  
     

 

 

 
        4,910,409  
     

 

 

 

 

Machinery (0.0%):

  

  400,000       Navistar International Corp., 8.25%, 11/1/21, Callable 8/1/15 @ 104^      380,000  
     

 

 

 
 

 

Continued

 

6


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Media (1.1%):

  

$ 325,000       Cablevision Systems Corp., 8.63%, 9/15/17    $ 354,250  
  100,000       Cablevision Systems Corp., 7.75%, 4/15/18^      108,000  
  500,000       CCO Holdings LLC / CCO Holdings Capital Corp., 6.50%, 4/30/21, Callable 8/10/15 @ 104.88      523,125  
  700,000       CSC Holdings LLC, 6.75%, 11/15/21      738,500  
  175,000       Cumulus Media Holdings, Inc., 7.75%, 5/1/19, Callable 8/1/15 @ 104^      160,563  
  1,000,000       Dish DBS Corp., 5.88%, 7/15/22      980,000  
  500,000       Dish DBS Corp., 5.00%, 3/15/23      462,500  
  2,048,000       iHeartcommunications, Inc., 9.00%, 12/15/19, Callable 7/15/15 @ 105^      1,951,743  
  1,000,000       iHeartcommunications, Inc., 9.00%, 3/1/21, Callable 3/1/16 @ 105      905,000  
  1,500,000       iHeartCommunications, Inc., 9.00%, 9/15/22, Callable 9/15/22 @ 106.75      1,353,750  
  200,000       Sirius XM Radio, Inc., 6.00%, 7/15/24, Callable 7/15/19 @ 103^(c)      202,000  
  1,000,000       Univision Communications, Inc., 5.13%, 5/15/23, Callable 5/15/18 @ 102.56(c)      970,000  
  100,000       Visant Corp., 10.00%, 10/1/17, Callable 8/1/15 @ 105^      79,700  
     

 

 

 
        8,789,131  
     

 

 

 

 

Multiline Retail (0.2%):

  

  800,000       Family Tree Escrow LLC, 5.75%, 3/1/23, Callable
3/1/18 @ 104.31(c)
     836,000  
  431,853       J.C. Penney Co., Inc., 6.00%, 5/22/18(d)      430,618  
     

 

 

 
        1,266,618  
     

 

 

 

 

Oil Gas & Consumable Fuels (0.1%):

  

  500,000       Energy Transfer Equity, 5.50%, 6/1/27, Callable 3/1/27 @ 100^      498,750  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.3%):

  

  200,000       Alpha Natural Resources, Inc., 7.50%, 8/1/20, Callable 8/1/16 @ 106(c)      50,000  
  200,000       Antero Resources Finance Corp., 5.38%, 11/1/21, Callable 11/1/16 @ 104      192,000  
  250,000       Arch Coal, Inc., 7.00%, 6/15/19, Callable 8/1/15 @ 104^      36,250  
  750,000       Arch Coal, Inc., 7.25%, 6/15/21, Callable 6/15/16 @ 104      105,000  
  500,000       Bill Barrett Corp., 7.00%, 10/15/22, Callable 10/15/17 @ 103.5^      452,500  
  800,000       California Resources Corp., 6.00%, 11/15/24, Callable 8/15/24 @ 100      688,000  
  245,000       Chesapeake Energy Corp., 6.50%, 8/15/17^      250,819  
  200,000       Chesapeake Energy Corp., 7.25%, 12/15/18^      206,000  
  1,700,000       Chesapeake Energy Corp., 5.75%, 3/15/23^      1,538,499  
  500,000       CONSOL Energy, Inc., 5.88%, 4/15/22, Callable 4/15/17 @ 104.41      425,000  
  350,000       Denbury Resources, Inc., 5.50%, 5/1/22, Callable 5/1/17 @ 104      312,375  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 500,000       Energy XXI Gulf Coast, Inc., 9.25%, 12/15/17, Callable 8/1/15 @ 105    $ 266,250  
  400,000       Energy XXI Gulf Coast, Inc., 11.00%, 3/15/20, Callable 3/15/20 @ 100^(c)      350,000  
  500,000       Halcon Resources Corp., 9.75%, 7/15/20, Callable 7/15/16 @ 105^      336,250  
  400,000       Halcon Resources Corp., 8.88%, 5/15/21, Callable 11/15/16 @ 104^      263,000  
  1,300,000       Kinder Morgan (Delaware), Inc., 5.63%, 11/15/23, Callable 8/15/23 @ 100(c)      1,382,860  
  100,000       Linn Energy LLC / Linn Energy Finance Corp., 8.63%, 4/15/20, Callable 8/1/15 @ 104.31^      82,021  
  225,000       Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC, 10.75%, 10/1/20, Callable 10/1/16 @ 105^      94,500  
  469,000       NGPL PipeCo LLC, 9.63%, 6/1/19, Callable 8/1/15 @ 107^(c)      474,863  
  200,000       Peabody Energy Corp., 6.25%, 11/15/21^      68,000  
  1,000,000       Peabody Energy Corp., 10.00%, 3/15/22, Callable 3/15/18 @ 107.5^(c)      620,000  
  100,000       Rice Energy, Inc., 6.25%, 5/1/22, Callable 5/1/17 @ 104.69^      99,250  
  300,000       Sabine Pass Liquefaction LLC, 5.75%, 5/15/24, Callable 2/15/24 @ 100^      298,875  
  713,000       Samson Investment Co., 9.75%, 2/15/20, Callable 2/15/16 @ 105      40,998  
  900,000       Sanchez Energy Corp., 7.75%, 6/15/21, Callable 6/15/17 @ 104^      895,499  
  500,000       SandRidge Energy, Inc., 8.75%, 1/15/20, Callable 8/1/15 @ 104.38      270,000  
  300,000       SandRidge Energy, Inc., 7.50%, 3/15/21, Callable 3/15/16 @ 103.75^      131,250  
  400,000       W&T Offshore, Inc., 8.50%, 6/15/19, Callable 8/1/15 @ 104      277,500  
  256,000       Walter Energy, Inc., 9.50%, 10/15/19, Callable 10/15/16 @ 107^(c)^^      138,240  
  223,510       Walter Energy, Inc., 11.00%, 4/1/20, Callable 4/1/17 @ 106(c)^^      11,176  
     

 

 

 
        10,356,975  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.2%):

  

  1,000,000       iStar Financial, Inc., 5.00%, 7/1/19, Callable 7/1/16 @ 102.5      986,250  
  100,000       Outfront Media Capital LLC, 5.25%, 2/15/22, Callable 2/15/17 @ 103.94      101,250  
  100,000       Outfront Media Capital LLC, 5.63%, 2/15/24, Callable 2/15/19 @ 102.81      102,250  
     

 

 

 
        1,189,750  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.0%):

  

  320,000       Freescale Semiconductor, Inc., 10.75%, 8/1/20, Callable 8/1/15 @ 105^      338,400  
     

 

 

 
 

 

Continued

 

7


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Software (0.4%):

  

$ 500,000       BMC Software Finance, Inc., 8.13%, 7/15/21, Callable 7/15/16 @ 106(c)    $ 405,000  
  1,389,000       First Data Corp., 8.25%, 1/15/21, Callable 1/15/16 @ 104(c)      1,465,395  
  600,000       First Data Corp., 12.63%, 1/15/21, Callable 1/15/16 @ 113^      693,000  
  141,000       First Data Corp., 8.75%, 1/15/22, Callable 1/15/16 @ 104(c)      149,901  
     

 

 

 
        2,713,296  
     

 

 

 

 

Specialty Retail (0.1%):

  

  400,000       Academy, Ltd., 9.25%, 8/1/19, Callable 8/1/15 @ 106.94(c)      420,280  
     

 

 

 

 

Trading Companies & Distributors (0.0%):

  

  250,000       HD Supply, Inc., 5.25%, 12/15/21, Callable 12/15/17 @ 104(c)      253,438  
     

 

 

 

 

Wireless Telecommunication Services (0.5%):

  

  333,483       Avaya, Inc., 4.67%, 10/26/17(d)      330,565  
  82,013       Avaya, Inc., 6.50%, 3/31/18(d)      81,512  
  339,000       Avaya, Inc., 7.00%, 4/1/19, Callable 8/1/15 @ 104(c)      331,373  
  1,326,000       Avaya, Inc., 10.50%, 3/1/21, Callable 3/1/17 @ 108(c)      1,093,949  
  100,000       Frontier Communications Corp., 8.50%, 4/15/20      104,550  
  500,000       Sprint Communications, Inc., 9.00%, 11/15/18(c)      564,630  
  500,000       Sprint Nextel Corp., 11.50%, 11/15/21      588,750  
  900,000       T-Mobile USA, Inc., 6.54%, 4/28/20, Callable 4/28/16 @ 103.27      942,291  
     

 

 

 
        4,037,620  
     

 

 

 

 

Total Corporate Bonds (Cost $54,150,599)

     51,211,964  
     

 

 

 

 

Equity-Linked Securities (1.0%):

  

 

Banks (0.4%):

  

  7,000       Barclays Bank plc, 6.00%(c)      553,910  
  6,000       Credit Suisse NY, 0.00%(c)      350,280  
  13,000       Deutsche AG, Series 0006,
8.00%(c)
     440,960  
  60,000       Goldman Sachs Group, Inc. (The), 0.00%(c)      1,021,920  
  8,000       JPMorgan Chase & Co., 7.00%(c)      647,680  
     

 

 

 
        3,014,750  
     

 

 

 

 

Capital Markets (0.1%):

  

  27,000       Bank of America Corp., 7.00%(c)      704,079  
     

 

 

 

 

Diversified Financial Services (0.4%):

  

  20,000       Citigroup, Inc., 6.00%(c)      641,600  
  13,000       Citigroup, Inc., 7.00%(c)      512,460  
  13,000       Citigroup, Inc., 1.75%*(c)      1,630,720  
     

 

 

 
        2,784,780  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.1%):

  

  30,000       Bank of America Corp., 0.00%(c)      910,200  
     

 

 

 

 

Total Equity-Linked Securities (Cost $7,681,221)

     7,413,809  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds (14.0%):

  

 

Chemicals (0.0%):

  
$ 100,000       Kerling plc, 10.63%, 2/1/17, Callable 2/1/17 @ 103+(c)    $ 113,978  
     

 

 

 

 

Sovereign Bonds (14.0%):

  

  4,840,000       Bank Negara Monetary Notes, Series 3314, 3.07%, 7/16/15+(e)      1,281,867  
  1,290,000       Bank Negara Monetary Notes, Series 3314, 2.83%, 7/16/15+(e)      341,655  
  540,000       Bank Negara Monetary Notes, Series 3514, 3.01%, 8/4/15+(e)      142,790  
  510,000       Bank Negara Monetary Notes, Series 3714, 3.26%, 8/11/15+(e)      134,779  
  2,510,000       Bank Negara Monetary Notes, Series 3714, 2.95%, 8/11/15+(e)      663,325  
  560,000       Bank Negara Monetary Notes, Series 4014, 3.16%, 8/18/15+(e)      147,906  
  370,000       Bank Negara Monetary Notes, Series 4314, 3.32%, 9/8/15+(e)      97,552  
  320,000       Bank Negara Monetary Notes, Series 4714, 3.15%, 9/22/15+(e)      84,271  
  400,000       Bank Negara Monetary Notes, Series 5014, 3.19%, 10/1/15+(e)      105,259  
  120,000       Bank Negara Monetary Notes, Series 5414, 3.23%,
10/27/15+(e)
     31,509  
  520,000       Bank Negara Monetary Notes, Series 5714, 3.20%, 11/3/15+(e)      136,458  
  870,000       Bank Negara Monetary Notes, Series 6014, 3.04%,
11/12/15+(e)
     228,167  
  250,000       Bank Negara Monetary Notes, Series 6214, 3.19%,
11/24/15+(e)
     65,498  
  75,000       Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%,
8/15/16+(f)
     64,853  
  3,790,000       Brazil Nota do Tesouro Nacional, Series NTNF, 3.43%,
1/1/17+(e)(f)
     1,158,518  
  230,000       Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/18+(f)      197,892  
  4,910,000       Brazil Nota do Tesouro Nacional, Series NTNF, 2.27%, 1/1/19+(f)      1,459,445  
  630,000       Brazil Nota do Tesouro Nacional, Series NTNF, 1.93%,
1/1/21+(e)(f)
     182,333  
  910,000       Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 8/15/22+(f)      780,376  
  1,790,000       Brazil Nota do Tesouro Nacional, Series NTNF, 1.69%, 1/1/23+(f)      507,402  
  140,000       Brazil Nota do Tesouro Nacional, Series NTNB, 0.00%, 5/15/45+(f)      119,239  
  141,790,000       Hungary Government Bond, Series 18/B, 4.00%, 4/25/18+      526,760  
  333,880,000       Hungary Government Bond, Series 18/A, 5.50%, 12/20/18+      1,305,511  
  204,600,000       Hungary Government Bond, Series 19/A, 6.50%, 6/24/19+      828,195  
 

 

Continued

 

8


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 9,040,000       Hungary Government Bond, Series 20/A, 7.50%, 11/12/20+    $ 38,967  
  19,760,000       Hungary Government Bond, Series 22/A, 7.00%, 6/24/22+      84,102  
  387,060,000       Hungary Government Bond, Series 23/A, 6.00%, 11/24/23+      1,579,844  
  15,660,000       Hungary Government Bond, Series 25/B, 5.50%, 6/24/25+      62,379  
  1,985,000,000       Indonesia Goverment, Series FR43, 10.25%, 7/15/22+      163,675  
  17,651,000,000       Indonesia Government, Series FR69, 7.88%, 4/15/19+      1,312,583  
  462,000,000       Indonesia Government, Series FR36, 11.50%, 9/15/19+      38,564  
  1,896,000,000       Indonesia Government, Series FR31, 11.00%, 11/15/20+      158,567  
  9,951,000,000       Indonesia Government, Series FR34, 12.80%, 6/15/21+      900,211  
  2,105,000,000       Indonesia Government, Series FR53, 8.25%, 7/15/21+      157,461  
  5,092,000,000       Indonesia Government, Series FR16, 7.00%, 5/15/22+      355,443  
  6,160,000,000       Indonesia Government, Series FR63, 5.63%, 5/15/23+      390,321  
  36,093,000,000       Indonesia Government, Series FR70, 8.38%, 3/15/24+      2,708,763  
  3,200,000,000       Indonesia Government, Series FR44, 10.00%, 9/15/24+      264,289  
  248,000,000       Indonesia Government, Series FR56, 8.38%, 9/15/26+      18,615  
  3,300,000,000       Indonesia Government, Series FR47, 10.00%, 2/15/28+      277,079  
  1,012,000,000       Indonesia Government, Series FR71, 9.00%, 3/15/29+      80,019  
  16,550,000,000       Indonesia Government, Series FR68, 8.38%, 3/15/34+      1,238,456  
  5,150,000,000       Indonesia Treasury Bill, Series 112, 6.35%, 1/7/16+(e)      374,211  
  3,177,000,000       Indonesia Treasury Bill, Series 114, 6.15%, 2/4/16+(e)      229,726  
  812,240       Irish Government, 5.40%, 3/13/25+      1,205,838  
  144,500,000       Korea Monetary Stab Bond, Series JU07, 1.60%, 7/7/15+(e)      129,540  
  489,000,000       Korea Monetary Stab Bond, Series 0721, 1.93%,
7/21/15+(e)
     438,085  
  2,757,580,000       Korea Monetary Stab Bond, Series 1508, 2.80%, 8/2/15+      2,475,430  
  161,520,000       Korea Monetary Stab Bond, Series 0804, 1.95%, 8/4/15+(e)      144,623  
  336,600,000       Korea Monetary Stab Bond, Series 0908, 1.54%, 9/8/15+(e)      300,937  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 6,041,000,000       Korea Monetary Stab Bond, Series 1510, 2.81%, 10/2/15+    $ 5,434,034  
  111,100,000       Korea Monetary Stab Bond, Series 1006, 1.64%, 10/6/15+(e)      99,208  
  508,900,000       Korea Monetary Stab Bond, Series 1510, 2.13%, 10/8/15+      459,250  
  2,862,700,000       Korea Monetary Stab Bond, Series 1512, 2.90%, 12/2/15+      2,581,297  
  527,900,000       Korea Monetary Stab Bond, Series 1215, 1.49%, 12/15/15+(e)      469,962  
  211,700,000       Korea Monetary Stab Bond, Series 1602, 2.78%, 2/2/16+      191,154  
  3,507,350,000       Korea Monetary Stab Bond, Series 1604, 2.80%, 4/2/16+      3,173,330  
  242,100,000       Korea Monetary Stab Bond, Series 1605, 1.74%, 5/9/16+      217,634  
  1,246,900,000       Korea Monetary Stab Bond, Series 1606, 2.79%, 6/2/16+      1,130,066  
  202,000,000       Korea Monetary Stab Bond, Series 1606, 1.62%, 6/9/16+      181,134  
  1,750,600,000       Korea Monetary Stab Bond, Series 1608, 2.46%, 8/2/16+      1,583,499  
  426,200,000       Korea Monetary Stab Bond, Series 1610, 2.22%, 10/2/16+      384,769  
  982,700,000       Korea Monetary Stab Bond, Series 1612, 2.07%, 12/2/16+      886,122  
  350,300,000       Korea Monetary Stab Bond, Series 1702, 1.96%, 2/2/17+      315,500  
  2,224,930,000       Korea Treasury Bond, Series 1512, 2.75%, 12/10/15+      2,005,398  
  1,695,200,000       Korea Treasury Bond, Series 1606, 2.75%, 6/10/16+      1,536,132  
  1,335,910,000       Korea Treasury Bond, Series 1612, 3.00%, 12/10/16+      1,220,439  
  160,000       Letra do Tesouro Nacional, Series LTN, 11.32%, 10/1/15+(e)(f)      49,730  
  2,050,000       Letra do Tesouro Nacional, Series LTN, 11.91%, 1/1/16+(e)(f)      616,001  
  2,140,000       Letra do Tesouro Nacional, Series LTN, 12.92%, 7/1/16+(e)(f)      602,045  
  150,000       Letra do Tesouro Nacional, Series LTN, 12.15%, 10/1/16+(e)(f)      40,820  
  3,160,000       Letra do Tesouro Nacional, Series LTN, 13.41%, 1/1/17+(e)(f)      834,768  
  1,820,000       Letra do Tesouro Nacional, Series LTN, 14.77%, 1/1/18+(e)(f)      428,843  
  2,710,000       Malaysia Government, Series 1/06, 4.26%, 9/15/16+      728,371  
  2,080,000       Malaysia Government, Series 0207, 3.81%, 2/15/17+      557,540  
  4,930,000       Malaysia Government, Series 0214, 3.39%, 3/15/17+      1,313,278  
 

 

Continued

 

9


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 210,000       Malaysia Treasury Bill, Series 1715, 2.96%, 7/10/15+(e)    $ 55,650  
  130,000       Malaysia Treasury Bill, Series 3114, 2.94%, 7/24/15+(e)      34,410  
  240,000       Malaysia Treasury Bill, Series 1915, 2.91%, 7/24/15+(e)      63,525  
  270,000       Malaysia Treasury Bill, Series 0615, 2.95%, 7/31/15+(e)      71,419  
  430,000       Malaysia Treasury Bill, Series 0915, 3.14%, 8/14/15+(e)      113,617  
  340,000       Malaysia Treasury Bill, Series 0915, 2.90%, 8/14/15+(e)      89,837  
  40,000       Malaysia Treasury Bill, Series 1215, 2.91%, 9/4/15+(e)      10,551  
  790,000       Malaysia Treasury Bill, Series 2315, 2.76%, 9/4/15+(e)      208,377  
  140,000       Malaysia Treasury Bill, Series 1315, 2.96%, 9/11/15+(e)      36,901  
  280,000       Malaysia Treasury Bill, Series 1615, 2.97%, 9/25/15+(e)      73,722  
  270,000       Malaysia Treasury Bill, Series 1815, 2.96%, 10/9/15+(e)      71,012  
  310,000       Malaysia Treasury Bill, Series 2015, 2.91%, 10/23/15+(e)      81,437  
  710,000       Malaysia Treasury Bill, Series 182D, 2.77%, 12/11/15+(e)      185,773  
  50,000       Malaysia Treasury Bill, Series 0515, 3.21%, 1/22/16+(e)      13,030  
  170,000       Malaysia Treasury Bill, Series 1415, 2.93%, 3/18/16+(e)      44,081  
  500,000       Malaysia Treasury Bill, Series 2115, 2.93%, 4/29/16+(e)      129,293  
  130,000       Malaysia Treasury Bill, Series 2315, 2.76%, 5/27/16+(e)      33,539  
  11,975,000       Malaysian Government, Series 0110, 3.84%, 8/12/15+      3,178,516  
  3,805,000       Malaysian Government, Series 2/05, 4.72%, 9/30/15+      1,012,778  
  22,640,000       Malaysian Government, Series 0312, 3.20%, 10/15/15+      6,010,437  
  26,226,000       Malaysian Government, Series 0113, 3.17%, 7/15/16+      6,964,271  
  12,010,000       Mexican Cetes, Series BI, 0.00%, 7/23/15+(g)      76,278  
  55,210,000       Mexican Cetes, Series BI, 0.00%, 9/17/15+(g)      348,934  
  24,829,000       Mexican Cetes, Series BI, 0.00%, 9/24/15+(g)      156,793  
  43,457,000       Mexican Cetes, Series BI, 0.00%, 10/1/15+(g)      274,325  
  13,312,000       Mexican Cetes, Series BI, 0.00%, 10/15/15+(g)      83,925  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 2,778,000       Mexican Cetes, Series BI, 0.00%, 10/29/15+(g)    $ 17,484  
  21,820,000       Mexican Cetes, Series BI, 0.00%, 11/12/15+(g)      137,208  
  31,031,000       Mexican Cetes, Series BI, 0.00%, 11/26/15+(g)      194,793  
  60,708,000       Mexican Cetes, Series BI, 0.00%, 12/10/15+(g)      380,735  
  18,438,000       Mexican Cetes, Series BI, 0.00%, 1/7/16+(g)      115,345  
  4,107,000       Mexican Cetes, Series BI, 0.00%, 2/4/16+(g)      25,606  
  41,533,000       Mexican Cetes, Series BI, 0.00%, 3/3/16+(g)      258,395  
  188,500,000       Mexican Cetes, Series BI, 0.00%, 3/31/16+(g)      1,168,288  
  24,383,000       Mexican Cetes, Series BI, 0.00%, 4/14/16+(g)      151,047  
  28,768,000       Mexican Cetes, Series BI, 0.00%, 4/28/16+(g)      177,805  
  67,619,000       Mexican Cetes, Series BI, 0.00%, 5/26/16+(g)      416,724  
  66,997,000       Mexican Cetes, Series BI, 983.92%, 6/23/16+(g)      411,654  
  1,913,734       Mexican Udibonos, 5.00%, 6/16/16+(d) (g)      127,658  
  1,627,810       Mexican Udibonos, 3.50%, 12/14/17+(d) (g)      110,138  
  983,028       Mexican Udibonos, 4.00%, 6/13/19+(d) (g)      67,770  
  792,765       Mexican Udibonos, 2.50%, 12/10/20+(d) (g)      51,165  
  21,310,000       Mexico Bonos Desarr, Series M 10, 8.00%, 12/17/15+(d) (g)      1,385,480  
  30,746,000       Mexico Bonos Desarr, Series M, 6.25%, 6/16/16+(d) (g)      2,008,248  
  8,717,000       Mexico Bonos Desarr, Series M 10, 7.25%, 12/15/16+(d) (g)      581,260  
  1,010,000       Monetary Authority of Singapore Bill, Series 84, 0.99%, 7/3/15+(e)      750,066  
  490,000       Monetary Authority of Singapore Bill, Series 84, 0.59%,
7/10/15+(e)
     363,846  
  50,000       Monetary Authority of Singapore Bill, Series 87, 0.66%,
7/20/15+(e)
     37,120  
  2,640,000       Monetary Authority of Singapore Bill, Series 84, 0.98%,
7/31/15+(e)
     1,959,463  
  2,290,000       Monetary Authority of Singapore Bill, Series 84, 0.89%,
8/14/15+(e)
     1,699,132  
  1,690,000       Monetary Authority of Singapore Bill, Series 84, 0.89%,
8/21/15+(e)
     1,253,750  
  10,000       Nota do Tesouro Nacional, Series NTNB, 0.00%, 5/15/19+(f)      8,438  
  720,000       Nota do Tesouro Nacional, Series NTNB, 0.00%, 5/15/23+(f)      606,030  
  86,310,000       Philippine Government International Bond, Series 7-48, 7.00%, 1/27/16+      1,960,852  
  46,170,000       Philippine Government International Bond, Series 3-20, 1.63%, 4/25/16+      1,017,354  
 

 

Continued

 

10


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Foreign Bonds, continued

  

 

Sovereign Bonds, continued

  

$ 1,830,000       Philippine Government International Bond, Series 1042, 9.13%, 9/4/16+    $ 43,526  
  440,000       Philippine Treasury Bill, Series 364, 1.43%, 7/8/15+(e)      9,757  
  16,300,000       Philippine Treasury Bill, Series 364, 1.57%, 8/5/15+(e)      360,613  
  520,000       Philippine Treasury Bill, Series 364, 1.28%, 8/5/15+(e)      11,511  
  1,800,000       Philippine Treasury Bill, Series 364, 1.49%, 9/2/15+(e)      39,781  
  3,580,000       Philippine Treasury Bill, 1.49%, 10/7/15+(e)      78,949  
  1,120,000       Philippine Treasury Bill, Series 364, 1.36%, 11/4/15+(e)      24,665  
  2,780,000       Philippine Treasury Bill, Series 364, 1.43%, 12/2/15+(e)      61,079  
  2,850,000       Philippine Treasury Bill, Series 364, 1.43%, 2/3/16+(e)      62,481  
  2,250,000       Philippine Treasury Bill, Series 364, 1.43%, 3/2/16+(e)      49,264  
  1,146,000       Poland Government Bond, Series 0715, 2.91%, 7/25/15+(e)      304,616  
  15,863,000       Poland Government Bond, Series 1015, 6.25%, 10/24/15+      4,281,036  
  7,419,000       Poland Government Bond, Series 0116, 2.95%, 1/25/16+(e)      1,956,457  
  3,145,000       Poland Government Bond, Series 0416, 5.00%, 4/25/16+      858,800  
  6,340,000       Poland Government Bond, Series 0716, 2.88%, 7/25/16+(e)      1,655,154  
  12,465,000       Poland Government Bond, Series 1016, 4.75%, 10/25/16+      3,441,708  
  3,343,000       Poland Government Bond, Series 0117, 2.01%, 1/25/17+(d)      889,118  
  160,000       Poland Government Bond, Series 0417, 4.75%, 4/25/17+      44,679  
  3,391,000       Poland Government Bond, Series 0121, 2.01%, 1/25/21+(d)      889,704  
  15,500       Portugal Obrigacoes do Tesouro, 4.95%, 10/25/23+(c)      20,234  
  38,700       Portugal Obrigacoes do Tesouro, 5.65%, 2/15/24+(c)      52,577  
  2,250,000       Portugal Obrigacoes do Tesouro, 3.88%, 2/15/30+(c)      2,643,769  
  158,000       Republic of Hungary, 4.38%, 7/4/17+(c)      187,444  
  260,000       Republic of Hungary, 5.75%, 6/11/18+(c)      327,256  
  70,000       Republic of Hungary, 6.00%, 1/11/19+      90,077  
  350,000       Singapore Government, 1.13%, 4/1/16+      260,349  
  100,000       Ukraine Government, 4.95%, 10/13/15+(c)      57,407  
     

 

 

 
     108,326,908  
     

 

 

 

 

Total Foreign Bonds (Cost $119,487,388)

     108,440,886  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars (4.1%):

  

 

Aerospace & Defense (0.0%):

  
$ 300,000       Bombardier, Inc., 7.50%, 3/15/25, Callable 3/15/20 @ 103.75^(c)    $ 272,250  
     

 

 

 

 

Construction & Engineering (0.1%):

  

  400,000       Abengoa Finance SAU, 8.88%, 11/1/17^(c)      416,000  
     

 

 

 

 

Construction Materials (0.1%):

  

  300,000       Cemex SAB de C.V., 5.88%, 3/25/19, Callable
3/25/16 @ 103^(c)
     307,410  
  500,000       Cemex SAB de C.V., 7.25%, 1/15/21, Callable 1/15/18 @ 104(c)      527,600  
     

 

 

 
        835,010  
     

 

 

 

 

Containers & Packaging (0.2%):

  

  700,000       Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.25%, 1/31/19, Callable 1/31/16 @ 103(c)      712,250  
  800,000       Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc., 6.75%, 1/31/21, Callable 1/31/17 @ 103(c)      818,000  
     

 

 

 
        1,530,250  
     

 

 

 

 

Diversified Telecommunication Services (0.0%):

  

  400,000       Intelsat Jackson Holding SA, 5.50%, 8/1/23, Callable 8/1/18 @ 102.75      354,200  
     

 

 

 

 

Energy Equipment & Services (0.0%):

  

  300,000       CGGVeritas, 6.50%, 6/1/21, Callable 6/1/16 @ 103      249,000  
     

 

 

 

 

Hotels Restaurants & Leisure (0.5%):

  

  2,600,000       International Game Technology, 6.25%, 2/15/22, Callable 8/15/21 @ 100(c)      2,482,999  
  2,600,000       International Game Technology, 6.50%, 2/15/25, Callable 8/15/24 @ 100(c)      2,405,000  
     

 

 

 
        4,887,999  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):

  

  1,000,000       InterGen NV, 7.00%, 6/30/23, Callable 6/30/18 @ 103.5(c)      890,000  
     

 

 

 

 

Marine (0.1%):

  

  200,000       Stena AB, 7.00%, 2/1/24(c)      193,000  
  400,000       Stena International SA, 5.75%, 3/1/24^(c)      372,000  
     

 

 

 
        565,000  
     

 

 

 

 

Media (0.3%):

  

  500,000       Altice Financing SA, 6.63%, 2/15/23, Callable
2/15/18 @ 103.75(c)
     496,400  
  300,000       Altice SA, 7.75%, 5/15/22, Callable 5/15/17 @ 106(c)      290,250  
  500,000       Altice SA, 7.63%, 2/15/25, Callable 2/15/20 @ 103.81(c)      470,000  
  500,000       Numericable Group SA, 6.00%, 5/15/22, Callable 5/15/17 @ 105(c)      492,813  
     

 

 

 
        1,749,463  
     

 

 

 
 

 

Continued

 

11


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Metals & Mining (0.2%):

  

$ 230,000       First Quantum Minerals, Ltd., 6.75%, 2/15/20, Callable 2/15/17 @ 103^(c)    $ 222,525  
  230,000       First Quantum Minerals, Ltd., 7.00%, 2/15/21, Callable 2/15/18 @ 103.5(c)      219,938  
  1,000,000       FMG Resources Pty, Ltd., 9.75%, 3/1/22, Callable
3/1/18 @ 109.75^(c)
     1,032,500  
     

 

 

 
        1,474,963  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.0%):

  

  200,000       Niska Gas Storage Canada ULC / Niska Gas Storage Canada Finance Corp., 6.50%, 4/1/19, Callable 10/1/16 @ 103.25^      188,000  
     

 

 

 

 

Pharmaceuticals (0.2%):

  

  800,000       VRX Escrow Corp., 5.88%, 5/15/23, Callable 5/15/23 @ 102.94(c)      820,000  
  600,000       VRX Escrow Corp., 6.13%, 4/15/25, Callable
4/15/20 @ 103(c)
     617,250  
     

 

 

 
        1,437,250  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.1%):

  

  500,000       Algeco Scotsman Global Finance plc, 8.50%, 10/15/18, Callable 10/15/15 @ 104^(c)      482,500  
     

 

 

 

 

Sovereign Bonds (1.9%):

  

  200,000       Financing of Infrastructure, 7.40%, 4/20/18(c)      97,500  
  394,000       Republic of Hungary, 4.13%, 2/19/18      410,056  
  1,077,000       Republic of Hungary, 6.25%, 1/29/20      1,206,240  
  542,000       Republic of Hungary, 6.38%, 3/29/21      614,899  
  800,000       Republic of Hungary, 5.38%, 2/21/23      865,360  
  240,000       Republic of Iceland, 5.88%, 5/11/22(c)      270,991  
  100,000       Republic of Lithuania, 7.38%, 2/11/20(c)      118,830  
  230,000       Republic of Lithuania, 7.38%, 2/11/20(c)      273,309  
  150,000       Republic of Lithuania, 6.13%, 3/9/21(c)      172,628  
  1,550,000       Republic of Portugal, 5.13%, 10/15/24(c)      1,581,124  
  200,000       Republic of Serbia, 5.25%, 11/21/17(c)      206,620  
  300,000       Republic of Serbia, 4.88%, 2/25/20(c)      302,820  
  320,000       Republic of Serbia, 7.25%, 9/28/21(c)      358,400  
  1,400,000       Republic of Slovenia, 5.50%, 10/26/22(c)      1,552,530  
  1,025,000       Republic of Slovenia, 5.85%, 5/10/23(c)      1,159,736  
  200,000       Ukraine Government, 6.25%, 6/17/16(c)      99,000  
  100,000       Ukraine Government, 6.58%, 11/21/16(c)      49,500  
  3,340,000       Ukraine Government, 9.25%, 7/24/17(c)      1,606,539  
  1,400,000       Ukraine Government, 6.75%, 11/14/17(c)      688,800  
  620,000       Ukraine Government, 7.75%, 9/23/20(c)      305,350  
  1,430,000       Ukraine Government, 7.95%, 2/23/21(c)      743,600  
  1,240,000       Ukraine Government, 7.80%, 11/28/22(c)      638,600  
  2,400,000       Ukraine Government, 7.50%, 4/17/23(c)      1,248,000  
     

 

 

 
        14,570,432  
     

 

 

 

 

Wireless Telecommunication Services (0.3%):

  

  500,000       Telecom Italia SpA, 5.30%, 5/30/24(c)      498,125  
  1,000,000       Virgin Media Secured Finance plc, 5.50%, 1/15/25, Callable 1/15/19 @ 103(c)      1,003,750  
Shares,
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Wireless Telecommunication Services continued

  

$ 500,000       Wind Acquisition Finance SA, 7.38%, 4/23/21, Callable 4/23/17 @ 104(c)    $ 505,626  
     

 

 

 
        2,007,501  
     

 

 

 

 

Total Yankee Dollars (Cost $35,119,804)

     31,909,818  
     

 

 

 

 

Municipal Bond (0.1%):

  

 

Puerto Rico (0.1%):

  
  869,000       Puerto Rico Commonwealth, GO, Series A, 8.00%, 7/1/35, Callable 7/1/20 @ 100      586,575  
     

 

 

 

 

Total Municipal Bond (Cost $738,296)

     586,575  
     

 

 

 

 

U.S. Treasury Obligations (1.4%):

  

 

U.S. Treasury Bills (1.4%)

  
  1,000,000       0.11%, 7/2/15(e)      999,999  
  1,000,000       0.09%, 7/9/15^(e)      1,000,003  
  1,000,000       0.08%, 7/23/15(e)      999,997  
  1,000,000       0.06%, 8/6/15^(e)      1,000,000  
  2,000,000       0.07%, 8/27/15^(e)      2,000,016  
  1,000,000       0.10%, 10/8/15^(e)      999,966  
  3,000,000       0.08%, 11/19/15(e)      2,999,676  
  1,000,000       0.09%, 11/27/15^(e)      999,855  
     

 

 

 
        10,999,512  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $10,998,169)

     10,999,512  
     

 

 

 

 

U.S. Government Agency Mortgages (3.6%):

  
  28,000,000       Federal Home Loan Bank, 0.00%, 7/1/15(e)      28,000,000  
     

 

 

 

 

Total U.S. Government Agency Mortgages (Cost $28,000,000)

     28,000,000  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (8.2%):

  
  63,072,534       Allianz Variable Insurance Products Securities Lending Collateral Trust(h)      63,072,534  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $63,072,534)

     63,072,534  
     

 

 

 

 

Unaffiliated Investment Company (5.8%):

  
  45,043,255       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (e)      45,043,255  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $45,043,255)

     45,043,255  
     

 

 

 

 

Total Investment Securities (Cost $782,415,441)(i) — 106.0%

     820,536,622  

 

Net other assets (liabilities) — (6.0)%

     (46,775,824
     

 

 

 

 

Net Assets — 100.0%

   $ 773,760,798  
     

 

 

 
 

 

Continued

 

12


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

ADR — American Depositary Receipt

GO — General Obligation

MTN — Medium Term Note

 

# Security issued in connection with a pending litigation settlement.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $59,693,615.

 

+ The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

 

^^ Defaulted Bond.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.00% of the net assets of the fund.

 

(b) Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2015. The total of all such securities represent 0.00% of the net assets of the fund.

 

(c) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(d) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(e) The rate represents the effective yield at June 30, 2015.

 

(f) Principal amount is stated in 1,000 Brazilian Real Units.

 

(g) Principal amount is stated in 100 Mexican Peso Units.

 

(h) 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, 2015.

 

(i) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Australia

     0.1

Bermuda

     0.1

Brazil

     1.1

Canada

     0.6

China

     0.2

Denmark

     0.5

Finland

     0.3

France

     2.3

Germany

     1.7

Hong Kong

     0.5

Hungary

     1.0

Iceland

     %NM 

India

     0.1

Indonesia

     1.1

Ireland

     %NM 

Ireland (Republic of)

     1.0

Israel

     1.0

Italy

     0.6

Japan

     0.8

Korea, Republic Of

     1.2

Lithuania

     0.1

Luxembourg

     0.3
Country    Percentage  

Malaysia

     3.0

Mauritania

     %NM 

Mexico

     1.2

Netherlands

     2.2

Philippines

     0.5

Poland

     1.7

Portugal

     0.7

Republic of Korea (South)

     3.6

Russian Federation

     0.2

Serbia (Republic of)

     0.1

Singapore

     1.3

Slovenia

     0.3

Spain

     0.5

Sweden

     0.6

Switzerland

     1.5

Thailand

     0.1

Turkey

     0.2

Ukraine

     0.6

United Kingdom

     7.2

United States

     59.9
  

 

 

 
     100.0
  

 

 

 
 

 

NM Not meaningful, amount is less than 0.05%.

 

Continued

 

13


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Securities Sold Short (-0.0%):

 

Security Description    Proceeds
Received
   Fair Value    Unrealized
Appreciation/
Deprecation
 

Chemours Co. (The)

   $(109,332)    $(106,232)    $ 3,100  
  

 

  

 

  

 

 

 
   $(109,332)    $(106,232)    $ 3,100  
  

 

  

 

  

 

 

 

Forward Currency Contracts

At June 30, 2015, the Fund’s open forward currency contracts were as follows:

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Short Contracts:

                 

British Pound

   Bank of America    8/19/15      3,784,226      $ 5,782,030      $ 5,942,816      $ (160,786

British Pound

   Barclays Bank    8/19/15      43,796        67,642        68,778        (1,136

British Pound

   Credit Suisse First Boston    8/19/15      2,568,042        3,929,473        4,032,899        (103,426

British Pound

   Deutsche Bank    8/19/15      168,403        252,731        264,463        (11,732

British Pound

   HSBC Bank    8/19/15      2,603,250        3,984,413        4,088,189        (103,776

British Pound

   State Street    8/19/15      272,192        406,903        427,456        (20,553

Chilean Peso

   Deutsche Bank    7/6/15      59,668,000        94,262        93,319        943  

Chilean Peso

   Morgan Stanley    7/6/15      12,570,000        19,866        19,659        207  

Chilean Peso

   Deutsche Bank    7/7/15      9,164,000        14,477        14,331        146  

European Euro

   Barclays Bank    7/16/15      82,000        112,001        91,425        20,576  

European Euro

   Morgan Stanley    7/16/15      277,000        378,205        308,839        69,366  

European Euro

   Deutsche Bank    7/17/15      514,000        698,912        573,088        125,824  

European Euro

   Bank of America    7/20/15      643,897        714,098        717,946        (3,848

European Euro

   Bank of America    7/20/15      10,350        11,263        11,540        (277

European Euro

   Bank of America    7/20/15      56,821        64,827        63,355        1,472  

European Euro

   Barclays Bank    7/20/15      181,182        233,599        202,018        31,581  

European Euro

   Credit Suisse First Boston    7/20/15      9,555        10,750        10,654        96  

European Euro

   Credit Suisse First Boston    7/20/15      22,843        26,101        25,470        631  

European Euro

   Credit Suisse First Boston    7/20/15      121,024        130,015        134,942        (4,927

European Euro

   Credit Suisse First Boston    7/20/15      463,150        519,259        516,413        2,846  

European Euro

   Credit Suisse First Boston    7/20/15      46,043        52,555        51,338        1,217  

European Euro

   Deutsche Bank    7/20/15      12,345        13,886        13,765        121  

European Euro

   Deutsche Bank    7/20/15      1,997,668        2,354,060        2,227,402        126,658  

European Euro

   HSBC Bank    7/20/15      12,344        13,904        13,764        140  

European Euro

   HSBC Bank    7/20/15      9,554        10,744        10,653        91  

European Euro

   HSBC Bank    7/20/15      906,459        1,013,817        1,010,703        3,114  

European Euro

   HSBC Bank    7/20/15      10,350        11,252        11,540        (288

European Euro

   JPMorgan Chase    7/20/15      910,000        1,233,568        1,014,651        218,917  

European Euro

   State Street    7/20/15      28,411        32,386        31,678        708  

European Euro

   State Street    7/20/15      12,344        13,892        13,764        128  

European Euro

   State Street    7/20/15      31,235        33,614        34,827        (1,213

European Euro

   State Street    7/20/15      91,177        97,925        101,662        (3,737

European Euro

   State Street    7/20/15      1,718,731        1,977,043        1,916,388        60,655  

European Euro

   Deutsche Bank    7/21/15      470,000        637,250        524,058        113,192  

European Euro

   Deutsche Bank    7/22/15      71,000        96,269        79,167        17,102  

European Euro

   Morgan Stanley    7/22/15      366,000        495,469        408,101        87,368  

European Euro

   Deutsche Bank    7/23/15      93,795        127,062        104,586        22,476  

European Euro

   Deutsche Bank    7/27/15      207,975        280,467        231,914        48,553  

European Euro

   Goldman Sachs    7/27/15      197,000        265,783        219,676        46,107  

European Euro

   Citibank    7/28/15      60,360        81,421        67,309        14,112  

European Euro

   Barclays Bank    7/29/15      19,995        26,919        22,297        4,622  

European Euro

   Deutsche Bank    7/29/15      9,978        13,442        11,127        2,315  

European Euro

   JPMorgan Chase    7/31/15      380,000        510,895        423,763        87,132  

 

Continued

 

14


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

European Euro

   Barclays Bank    8/4/15      97,592      $ 130,904      $ 108,838      $ 22,066  

European Euro

   HSBC Bank    8/4/15      380,000        509,970        423,788        86,182  

European Euro

   UBS Warburg    8/4/15      380,000        509,960        423,788        86,172  

European Euro

   Barclays Bank    8/5/15      229,000        307,839        255,392        52,447  

European Euro

   JPMorgan Chase    8/5/15      269,500        362,305        300,559        61,746  

European Euro

   Citibank    8/10/15      44,168        59,067        49,262        9,805  

European Euro

   Deutsche Bank    8/11/15      180,000        241,192        200,762        40,430  

European Euro

   JPMorgan Chase    8/11/15      239,500        320,780        267,125        53,655  

European Euro

   Goldman Sachs    8/12/15      61,000        81,907        68,037        13,870  

European Euro

   Morgan Stanley    8/14/15      66,000        82,431        73,616        8,815  

European Euro

   Morgan Stanley    8/17/15      66,000        88,607        73,619        14,988  

European Euro

   Barclays Bank    8/18/15      237,000        318,058        264,363        53,695  

European Euro

   Deutsche Bank    8/20/15      133,000        178,396        148,360        30,036  

European Euro

   JPMorgan Chase    8/20/15      263,000        352,913        293,374        59,539  

European Euro

   Barclays Bank    8/26/15      75,988        101,112        84,771        16,341  

European Euro

   Deutsche Bank    8/31/15      28,980        38,330        32,332        5,998  

European Euro

   Deutsche Bank    9/2/15      49,000        64,753        54,669        10,084  

European Euro

   Deutsche Bank    9/8/15      137,800        181,789        153,758        28,031  

European Euro

   JPMorgan Chase    9/8/15      1,125,000        1,463,738        1,255,282        208,456  

European Euro

   Barclays Bank    9/21/15      19,406        25,254        21,658        3,596  

European Euro

   Deutsche Bank    9/23/15      229,000        295,742        255,578        40,164  

European Euro

   Barclays Bank    9/24/15      45,864        59,136        51,188        7,948  

European Euro

   Citibank    9/28/15      13,451        17,348        15,013        2,335  

European Euro

   Deutsche Bank    9/28/15      107,000        137,798        119,428        18,370  

European Euro

   Barclays Bank    9/29/15      200,000        255,361        223,233        32,128  

European Euro

   HSBC Bank    9/30/15      180,000        229,362        200,914        28,448  

European Euro

   Deutsche Bank    10/8/15      192,660        209,797        215,077        (5,280

European Euro

   Deutsche Bank    10/9/15      420,000        532,791        468,877        63,914  

European Euro

   HSBC Bank    10/13/15      73,000        79,202        81,501        (2,299

European Euro

   Barclays Bank    10/14/15      1,688,000        2,156,167        1,884,613        271,554  

European Euro

   JPMorgan Chase    10/14/15      3,156,000        4,032,528        3,523,601        508,927  

European Euro

   Deutsche Bank    10/15/15      320,000        406,096        357,279        48,817  

European Euro

   Barclays Bank    10/16/15      1,172,000        1,494,886        1,308,559        186,327  

European Euro

   Barclays Bank    10/22/15      3,724,000        4,771,244        4,158,375        612,869  

European Euro

   Deutsche Bank    10/26/15      319,000        404,923        356,235        48,688  

European Euro

   Barclays Bank    10/27/15      175,515        222,899        196,006        26,893  

European Euro

   Deutsche Bank    11/3/15      7,376        9,342        8,238        1,104  

European Euro

   Barclays Bank    11/6/15      49,418        62,081        55,198        6,883  

European Euro

   Citibank    11/9/15      1,793,000        2,245,060        2,002,806        242,254  

European Euro

   Goldman Sachs    11/9/15      317,570        357,536        354,730        2,806  

European Euro

   Citibank    11/12/15      1,801,000        2,257,337        2,011,854        245,483  

European Euro

   JPMorgan Chase    11/12/15      278,508        348,984        311,115        37,869  

European Euro

   Citibank    11/13/15      136,787        153,171        152,804        367  

European Euro

   Goldman Sachs    11/13/15      142,000        158,618        158,628        (10

European Euro

   New York Global Securities    11/13/15      56,000        62,609        62,557        52  

European Euro

   Deutsche Bank    11/16/15      335,703        420,116        375,033        45,083  

European Euro

   Goldman Sachs    11/16/15      87,000        98,057        97,193        864  

European Euro

   Bank of America    11/18/15      1,792,687        2,042,248        2,002,790        39,458  

European Euro

   Citibank    11/18/15      19,606        22,475        21,904        571  

European Euro

   Credit Suisse First Boston    11/18/15      34,500        38,733        38,543        190  

European Euro

   Credit Suisse First Boston    11/18/15      69,147        75,463        77,251        (1,788

European Euro

   Deutsche Bank    11/18/15      312,096        349,126        348,674        452  

European Euro

   Deutsche Bank    11/18/15      138,294        150,805        154,502        (3,697

European Euro

   Deutsche Bank    11/18/15      941,004        1,072,189        1,051,289        20,900  

European Euro

   HSBC Bank    11/18/15      58,436        65,237        65,285        (48

European Euro

   HSBC Bank    11/18/15      1,019,805        1,160,747        1,139,326        21,421  

 

Continued

 

15


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

European Euro

   State Street    11/18/15      259,692      $ 291,072      $ 290,128      $ 944  

European Euro

   State Street    11/18/15      28,003        30,984        31,285        (301

European Euro

   Deutsche Bank    11/19/15      93,863        117,333        104,866        12,467  

European Euro

   Deutsche Bank    11/20/15      1,113,000        1,396,993        1,243,489        153,504  

European Euro

   JPMorgan Chase    11/23/15      289,000        324,403        322,901        1,502  

European Euro

   Goldman Sachs    12/1/15      760,000        830,361        849,276        (18,915

European Euro

   Deutsche Bank    12/4/15      100,000        124,770        111,753        13,017  

European Euro

   Scotia McLeod    12/9/15      76,800        94,873        85,834        9,039  

European Euro

   Bank of America    12/15/15      433,000        538,414        483,989        54,425  

European Euro

   JPMorgan Chase    12/15/15      97,000        121,088        108,422        12,666  

European Euro

   Deutsche Bank    12/17/15      525,093        655,631        586,948        68,683  

European Euro

   Deutsche Bank    1/7/16      312,372        374,665        349,337        25,328  

European Euro

   Barclays Bank    1/21/16      97,000        113,209        108,520        4,689  

European Euro

   Deutsche Bank    1/26/16      992,000        1,143,677        1,109,959        33,718  

European Euro

   HSBC Bank    1/28/16      3,401,418        3,851,000        3,806,085        44,915  

European Euro

   Deutsche Bank    1/29/16      2,630,000        3,000,699        2,942,971        57,728  

European Euro

   Deutsche Bank    2/3/16      2,280,000        2,590,764        2,551,664        39,100  

European Euro

   Deutsche Bank    2/9/16      1,411,000        1,623,920        1,579,377        44,543  

European Euro

   Goldman Sachs    2/9/16      181,000         208,060         202,599         5,461  

European Euro

   Goldman Sachs    2/17/16      17,000        19,532        19,033        499  

European Euro

   JPMorgan Chase    2/17/16      30,000        34,442        33,587        855  

European Euro

   Barclays Bank    2/22/16      210,000        240,696        235,142        5,554  

European Euro

   Bank of America    2/26/16      76,694        87,572        85,885        1,687  

European Euro

   Barclays Bank    2/26/16      170,862        194,976        191,339        3,637  

European Euro

   Deutsche Bank    2/26/16      277,730        316,418        311,014        5,404  

European Euro

   Deutsche Bank    3/7/16      43,000        48,452        48,166        286  

European Euro

   Barclays Bank    3/9/16      141,063        157,150        158,020        (870

European Euro

   Deutsche Bank    3/9/16      660,000        733,689        739,336        (5,647

European Euro

   HSBC Bank    3/9/16      15,000        16,679        16,803        (124

European Euro

   Citibank    3/10/16      1,704,605        1,870,463        1,909,560        (39,097

European Euro

   Morgan Stanley    3/10/16      43,000        47,134        48,170        (1,036

European Euro

   Deutsche Bank    3/14/16      134,000        142,851        150,128        (7,277

European Euro

   Barclays Bank    3/16/16      10,012        10,714        11,218        (504

European Euro

   Citibank    3/16/16      10,643        11,404        11,925        (521

European Euro

   JPMorgan Chase    3/16/16      15,000        16,063        16,806        (743

European Euro

   Barclays Bank    3/23/16      9,076        9,751        10,171        (420

European Euro

   Deutsche Bank    3/23/16      173,000        185,906        193,869        (7,963

European Euro

   Deutsche Bank    3/29/16      8,760,075        9,644,927        9,818,371        (173,444

European Euro

   Barclays Bank    3/30/16      200,000        221,057        224,168        (3,111

European Euro

   Deutsche Bank    3/31/16      4,566        5,012        5,118        (106

European Euro

   Goldman Sachs    3/31/16      130,000        142,792        145,713        (2,921

European Euro

   Barclays Bank    4/1/16      17,912        19,559        20,078        (519

European Euro

   Deutsche Bank    4/13/16      77,961        84,419        87,415        (2,996

European Euro

   New York Global Securities    4/13/16      37,000        39,709        41,487        (1,778

European Euro

   JPMorgan Chase    4/14/16      99,000        105,793        111,008        (5,215

European Euro

   Deutsche Bank    4/15/16      370,000        393,606        414,889        (21,283

European Euro

   HSBC Bank    4/18/16      78,849        84,014        88,422        (4,408

European Euro

   JPMorgan Chase    4/21/16      5,188        5,652        5,818        (166

European Euro

   Barclays Bank    4/22/16      16,935        18,336        18,993        (657

European Euro

   Barclays Bank    4/29/16      11,783        12,878        13,218        (340

European Euro

   State Street    4/29/16      380,000        418,494        426,262        (7,768

European Euro

   Barclays Bank    5/5/16      228,900        257,415        256,808        607  

European Euro

   Barclays Bank    5/9/16      112,000        125,485        125,669        (184

European Euro

   Barclays Bank    5/18/16      266,076        305,615        298,621        6,994  

European Euro

   JPMorgan Chase    5/20/16      327,027        375,334        367,047        8,287  

European Euro

   Barclays Bank    5/23/16      363,741        407,945        408,287        (342

 

Continued

 

16


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

European Euro

   Deutsche Bank    5/23/16      130,000      $ 145,668      $ 145,921      $ (253

European Euro

   JPMorgan Chase    5/26/16      172,504        193,380        193,646        (266

European Euro

   Barclays Bank    5/31/16      72,758        79,353        81,686        (2,333

European Euro

   Barclays Bank    6/6/16      237,868        264,610        267,099        (2,489

European Euro

   HSBC Bank    6/6/16      1,113,075        1,261,826        1,249,859        11,967  

European Euro

   Deutsche Bank    6/13/16      285,500        323,443        320,645        2,798  

European Euro

   Deutsche Bank    6/15/16      124,000        141,303        139,272        2,031  

European Euro

   Barclays Bank    6/22/16      28,929        33,221        32,498        723  

European Euro

   Deutsche Bank    6/22/16      420,000        482,328        471,816        10,512  

Japanese Yen

   Deutsche Bank    7/13/15      26,073,000        257,181        213,103        44,078  

Japanese Yen

   HSBC Bank    7/16/15      5,640,000        48,587        46,099        2,488  

Japanese Yen

   Standard Charter    7/16/15      7,340,000        62,966        59,995        2,971  

Japanese Yen

   Deutsche Bank    7/21/15      38,540,000        331,427        315,033        16,394  

Japanese Yen

   Morgan Stanley    7/23/15      50,187,445        497,122        410,252        86,870  

Japanese Yen

   Citibank    7/24/15      74,785,000        739,991        611,330        128,661  

Japanese Yen

   JPMorgan Chase    7/24/15      115,000,000        1,137,319        940,068        197,251  

Japanese Yen

   JPMorgan Chase    7/27/15      40,100,000        396,794        327,810        68,984  

Japanese Yen

   Barclays Bank    7/29/15      8,700,000        85,754        71,123        14,631  

Japanese Yen

   Citibank    8/5/15      46,922,100        458,559        383,620        74,939  

Japanese Yen

   Barclays Bank    8/11/15      2,240,000        21,980        18,315        3,665  

Japanese Yen

   Citibank    8/11/15      2,240,000        21,988        18,315        3,673  

Japanese Yen

   Deutsche Bank    8/12/15      2,240,000        22,072        18,315        3,757  

Japanese Yen

   Citibank    8/17/15      35,630,000        298,967        291,338        7,629  

Japanese Yen

   JPMorgan Chase    8/26/15      4,000,000        33,557        32,710        847  

Japanese Yen

   JPMorgan Chase    8/31/15      22,800,000        220,423        186,462        33,961  

Japanese Yen

   Barclays Bank    9/18/15      2,251,755        21,121        18,422        2,699  

Japanese Yen

   JPMorgan Chase    9/29/15      2,255,332        20,760        18,455        2,305  

Japanese Yen

   Deutsche Bank    10/7/15      399,565,980        3,656,016        3,270,188        385,828  

Japanese Yen

   Standard Charter    10/7/15      329,300,000        3,039,926        2,695,106        344,820  

Japanese Yen

   HSBC Bank    10/9/15      163,800,000        1,520,221        1,340,657        179,564  

Japanese Yen

   Barclays Bank    10/13/15      82,900,000        769,901        678,574        91,327  

Japanese Yen

   Deutsche Bank    10/13/15      81,800,000        760,152        669,570        90,582  

Japanese Yen

   Morgan Stanley    10/16/15      68,447,040        572,577        560,308        12,269  

Japanese Yen

   JPMorgan Chase    10/19/15      33,615,000        318,032        275,191        42,841  

Japanese Yen

   JPMorgan Chase    10/20/15      63,490,000        600,520        519,777        80,743  

Japanese Yen

   Barclays Bank    10/22/15      26,770,000        251,574        219,169        32,405  

Japanese Yen

   Deutsche Bank    10/28/15      20,662,500        192,523        169,189        23,334  

Japanese Yen

   JPMorgan Chase    11/5/15      91,650,000        825,862        750,586        75,276  

Japanese Yen

   Barclays Bank    11/6/15      536,000,000        4,752,193        4,389,777        362,416  

Japanese Yen

   Citibank    11/12/15      99,753,000        870,469        817,076        53,393  

Japanese Yen

   HSBC Bank    11/12/15      3,336,000        29,243        27,325        1,918  

Japanese Yen

   JPMorgan Chase    11/12/15      36,450,000        320,265        298,562        21,703  

Japanese Yen

   Goldman Sachs    11/13/15      7,475,000        62,465        61,229        1,236  

Japanese Yen

   New York Global Securities    11/13/15      5,588,000        46,692        45,772        920  

Japanese Yen

   Citibank    11/16/15      5,587,000        46,687        45,767        920  

Japanese Yen

   Deutsche Bank    11/16/15      45,848,000        399,738        375,574        24,164  

Japanese Yen

   Bank of America    11/18/15      84,777,550        714,283        694,506        19,777  

Japanese Yen

   Deutsche Bank    11/18/15      6,194,000        53,406        50,742        2,664  

Japanese Yen

   Citibank    11/19/15      7,667,000        66,206        62,810        3,396  

Japanese Yen

   Citibank    11/20/15      8,613,000        74,314        70,562        3,752  

Japanese Yen

   HSBC Bank    11/24/15      1,616,000        13,824        13,240        584  

Japanese Yen

   Goldman Sachs    12/1/15      48,990,000        395,537        401,448        (5,911

Japanese Yen

   HSBC Bank    12/9/15      76,900,000        614,193        630,270        (16,077

Japanese Yen

   Morgan Stanley    12/16/15      41,392,500        350,514        339,305        11,209  

Japanese Yen

   Deutsche Bank    12/21/15      69,210,000        592,450        567,396        25,054  

Japanese Yen

   HSBC Bank    12/21/15      69,320,000        592,732        568,298        24,434  

 

Continued

 

17


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Japanese Yen

   Barclays Bank    12/22/15      34,730,000      $ 293,720      $ 284,729      $ 8,991  

Japanese Yen

   Citibank    12/22/15      54,180,000        458,841        444,188        14,653  

Japanese Yen

   Deutsche Bank    1/7/16      5,989,000        50,284        49,121        1,163  

Japanese Yen

   Goldman Sachs    1/8/16      23,997,000        202,652        196,826        5,826  

Japanese Yen

   Citibank    1/14/16      1,520,000        12,821        12,469        352  

Japanese Yen

   Standard Charter    1/14/16      4,550,000        38,618        37,326        1,292  

Japanese Yen

   Barclays Bank    1/15/16      101,530,000        864,137        832,926        31,211  

Japanese Yen

   JPMorgan Chase    1/15/16      66,000,000        559,626        541,447        18,179  

Japanese Yen

   JPMorgan Chase    1/20/16      33,615,000        289,314        275,808        13,506  

Japanese Yen

   Goldman Sachs    1/27/16      7,610,000        65,057        62,452        2,605  

Japanese Yen

   HSBC Bank    1/28/16      9,353,364        79,931        76,761        3,170  

Japanese Yen

   Deutsche Bank    1/29/16      128,714,781        1,100,179        1,056,364        43,815  

Japanese Yen

   JPMorgan Chase    2/8/16      100,100,000        858,086        821,757        36,329  

Japanese Yen

   Societe Generale    2/8/16      100,170,000        858,539        822,331        36,208  

Japanese Yen

   Barclays Bank    2/9/16      100,180,000        858,617        822,437        36,180  

Japanese Yen

   Citibank    2/9/16      5,590,000        47,924        45,892        2,032  

Japanese Yen

   JPMorgan Chase    2/9/16      100,400,000        860,215        824,243        35,972  

Japanese Yen

   Goldman Sachs    2/12/16      3,771,000        32,000        30,961        1,039  

Japanese Yen

   HSBC Bank    2/12/16      53,860,000        457,220        442,206        15,014  

Japanese Yen

   JPMorgan Chase    2/12/16      53,831,000        456,983        441,968        15,015  

Japanese Yen

   Citibank    2/16/16      71,350,000        600,140        585,871        14,269  

Japanese Yen

   JPMorgan Chase    2/16/16      35,730,000        301,525        293,387        8,138  

Japanese Yen

   Goldman Sachs    2/17/16      36,744,860        311,585        301,729        9,856  

Japanese Yen

   JPMorgan Chase    2/17/16      37,560,000        317,932        308,423        9,509  

Japanese Yen

   Barclays Bank    2/25/16      17,870,000        151,412        146,772        4,640  

Japanese Yen

   HSBC Bank    2/25/16      4,020,000        34,078        33,018        1,060  

Japanese Yen

   Barclays Bank    2/26/16      35,700,000        300,771        293,225        7,546  

Japanese Yen

   Deutsche Bank    2/29/16      11,991,000        101,498        98,497        3,001  

Japanese Yen

   JPMorgan Chase    3/3/16      9,700,000        81,858        79,685        2,173  

Japanese Yen

   HSBC Bank    3/4/16      4,600,000        38,696        37,790        906  

Japanese Yen

   Barclays Bank    3/9/16      64,145,400        537,835        527,043        10,792  

Japanese Yen

   Citibank    3/16/16      2,260,084        18,815        18,573        242  

Japanese Yen

   JPMorgan Chase    3/16/16      44,142,850        367,618        362,767        4,851  

Japanese Yen

   Citibank    3/22/16      46,322,000        385,131        380,740        4,391  

Japanese Yen

   Morgan Stanley    3/22/16      7,060,000        58,690        58,029        661  

Japanese Yen

   Deutsche Bank    3/24/16      20,538,000        171,050        168,820        2,230  

Japanese Yen

   Barclays Bank    3/28/16      25,522,830        215,463        209,819        5,644  

Japanese Yen

   Citibank    4/13/16      3,500,000        29,298        28,786        512  

Japanese Yen

   Barclays Bank    4/18/16      32,710,000        276,232        269,064        7,168  

Japanese Yen

   JPMorgan Chase    4/21/16      44,080,000        373,825        362,622        11,203  

Japanese Yen

   Citibank    5/18/16      84,652,200        715,935        696,923        19,012  

Japanese Yen

   Bank of America    5/19/16      84,522,875        710,670        695,878        14,792  

Japanese Yen

   Barclays Bank    5/19/16      84,752,500         712,445         697,768         14,677  

Japanese Yen

   HSBC Bank    5/19/16      84,820,600        716,481        698,329        18,152  

Japanese Yen

   JPMorgan Chase    5/20/16      5,564,000        46,848        45,810        1,038  

Japanese Yen

   Citibank    6/8/16      51,300,000        416,411        422,594        (6,183

Japanese Yen

   Barclays Bank    6/10/16      60,420,000        486,567        497,750        (11,183

Japanese Yen

   Citibank    6/10/16      95,140,000        766,794        783,779        (16,985

Japanese Yen

   HSBC Bank    6/10/16      64,350,000        519,098        530,126        (11,028

Japanese Yen

   Deutsche Bank    6/13/16      21,300,000        172,965        175,488        (2,523

Japanese Yen

   JPMorgan Chase    6/13/16      59,620,000        483,668        491,201        (7,533

Japanese Yen

   Citibank    6/16/16      2,416,000        19,698        19,907        (209

Japanese Yen

   JPMorgan Chase    6/16/16      25,100,000        204,551        206,813        (2,262

Japanese Yen

   Deutsche Bank    6/22/16      69,330,000        567,349        571,347        (3,998

Japanese Yen

   Barclays Bank    6/30/16      16,411,000        133,844        135,292        (1,448

Korean Won

   Bank of America    8/12/15      716,530,426        645,506        642,233        3,273  

 

Continued

 

18


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Korean Won

   Credit Suisse First Boston    8/12/15      10,068,033      $ 9,127      $ 9,024      $ 103  

Korean Won

   Credit Suisse First Boston    8/12/15      855,228,811        768,906        766,549        2,357  

Korean Won

   HSBC Bank    8/12/15      49,524,147        44,436        44,389        47  

Korean Won

   HSBC Bank    8/12/15      46,239,652        41,699        41,445        254  

Korean Won

   HSBC Bank    8/12/15      100,343,694        89,401        89,939        (538

Korean Won

   HSBC Bank    8/12/15      102,874,173        91,852        92,207        (355

Korean Won

   HSBC Bank    8/12/15      147,595,089        131,927        132,291        (364

Korean Won

   HSBC Bank    8/12/15      49,309,178        44,499        44,196        303  

Korean Won

   HSBC Bank    8/12/15      914,119,273        821,923        819,333        2,590  

Korean Won

   HSBC Bank    8/12/15      91,864,518        83,068        82,339        729  

Korean Won

   HSBC Bank    9/30/15      317,000,000        290,754        284,174        6,580  

Malaysian Ringgit

   JPMorgan Chase    7/2/15      988,250        302,873        262,066        40,807  

Malaysian Ringgit

   Deutsche Bank    7/3/15      177,180        54,303        46,973        7,330  

Phillipine Peso

   JPMorgan Chase    7/1/15      9,520,000        211,556        211,180        376  

Phillipine Peso

   Deutsche Bank    7/20/15      28,970,800        642,867        641,913        954  

Phillipine Peso

   JPMorgan Chase    9/25/15      3,020,000        66,822        66,684        138  
           

 

 

    

 

 

    

 

 

 
            $ 147,200,093      $ 139,671,243      $ 7,528,850  
           

 

 

    

 

 

    

 

 

 

Long Contracts:

                 

Brazilian Real

   Deutsche Bank    10/30/15      435,000        159,985        134,027        (25,958

British Pound

   Bank of America    8/19/15      260,606        403,193        409,260        6,067  

British Pound

   Credit Suisse First Boston    8/19/15      44,464        68,115        69,827        1,712  

British Pound

   Credit Suisse First Boston    8/19/15      730,011        1,087,400        1,146,422        59,022  

British Pound

   Deutsche Bank    8/19/15      53,014        83,314        83,254        (60

British Pound

   HSBC Bank    8/19/15      202,504        306,165        318,016        11,851  

British Pound

   State Street    8/19/15      112,939        178,228        177,361        (867

Chilean Peso

   Deutsche Bank    7/6/15      59,668,000        95,246        93,319        (1,927

Chilean Peso

   Morgan Stanley    7/6/15      12,570,000        20,174        19,659        (515

Chilean Peso

   Deutsche Bank    7/7/15      9,164,000        14,529        14,331        (198

Chilean Peso

   Deutsche Bank    7/8/15      38,397,000        60,962        60,041        (921

Chilean Peso

   Deutsche Bank    7/10/15      162,750,000        285,652        254,442        (31,210

Chilean Peso

   Morgan Stanley    7/17/15      6,450,000        10,154        10,077        (77

Chilean Peso

   Barclays Bank    7/20/15      153,759,000        240,530        240,161        (369

Chilean Peso

   Deutsche Bank    7/20/15      4,400,000        7,072        6,873        (199

Chilean Peso

   Morgan Stanley    7/20/15      316,787,200        550,219        494,800        (55,419

Chilean Peso

   Morgan Stanley    7/28/15      8,010,000        13,782        12,502        (1,280

Chilean Peso

   Barclays Bank    8/5/15      4,400,000        7,135        6,862        (273

Chilean Peso

   Deutsche Bank    8/6/15      25,345,000        41,153        39,525        (1,628

Chilean Peso

   Morgan Stanley    8/11/15      11,190,000        18,155        17,442        (713

Chilean Peso

   Deutsche Bank    8/12/15      4,400,000        7,435        6,858        (577

Chilean Peso

   Citibank    8/17/15      497,000        823        774        (49

Chilean Peso

   JPMorgan Chase    8/17/15      493,000        817        768        (49

Chilean Peso

   Morgan Stanley    8/18/15      4,010,000        6,757        6,246        (511

Chilean Peso

   JPMorgan Chase    8/20/15      2,150,000        3,624        3,348        (276

Chilean Peso

   Deutsche Bank    8/24/15      1,530,000        2,516        2,382        (134

Chilean Peso

   Deutsche Bank    8/27/15      4,970,000        8,214        7,735        (479

Chilean Peso

   JPMorgan Chase    8/28/15      3,900,000        6,509        6,069        (440

Chilean Peso

   Deutsche Bank    8/31/15      111,647,000        179,419        173,705        (5,714

Chilean Peso

   Barclays Bank    9/3/15      12,000,000        19,212        18,665        (547

Chilean Peso

   Morgan Stanley    9/3/15      2,500,000        4,003        3,888        (115

Chilean Peso

   Deutsche Bank    9/4/15      31,948,000        50,711        49,687        (1,024

Chilean Peso

   Deutsche Bank    9/8/15      39,097,000        61,786        60,783        (1,003

Chilean Peso

   JPMorgan Chase    9/10/15      990,530,400        1,548,309        1,539,653        (8,656

Chilean Peso

   Deutsche Bank    9/17/15      990,000        1,553        1,538        (15

Chilean Peso

   Deutsche Bank    9/21/15      975,000        1,523        1,514        (9

Chilean Peso

   JPMorgan Chase    9/22/15      7,300,000        11,351        11,334        (17

Chilean Peso

   Morgan Stanley    9/24/15      12,570,000        19,728        19,513        (215

 

Continued

 

19


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Chilean Peso

   Deutsche Bank    9/28/15      59,668,000      $ 93,609      $ 92,589      $ (1,020

Chilean Peso

   Deutsche Bank    10/7/15      9,164,000        14,360        14,209        (151

European Euro

   Bank of America    7/20/15      58,803        66,055        65,565        (490

European Euro

   Credit Suisse First Boston    7/20/15      14,226        15,856        15,862        6  

European Euro

   Deutsche Bank    7/20/15      34,270        38,194        38,211        17  

European Euro

   State Street    7/20/15      317,260        355,827        353,745        (2,082

European Euro

   Barclays Bank    10/16/15      1,110,000        1,317,259        1,239,335        (77,924

Indian Rupee

   Deutsche Bank    7/6/15      7,933,333        123,983        124,440        457  

Indian Rupee

   Deutsche Bank    7/20/15      8,080,848        127,529        126,396        (1,133

Indian Rupee

   Deutsche Bank    7/27/15      4,760,000        74,103        74,348        245  

Indian Rupee

   JPMorgan Chase    7/27/15      26,253,400        408,963        410,059        1,096  

Indian Rupee

   Deutsche Bank    7/31/15      8,499,417        131,844        132,648        804  

Indian Rupee

   JPMorgan Chase    8/12/15      5,537,000        85,834        86,212        378  

Indian Rupee

   HSBC Bank    8/13/15      8,549,600        131,736        133,092        1,356  

Indian Rupee

   JPMorgan Chase    8/19/15      26,253,400        404,284        408,209        3,925  

Indian Rupee

   JPMorgan Chase    9/10/15      5,537,000        85,224        85,705        481  

Indian Rupee

   Citibank    9/11/15      25,456,000        388,819        393,939        5,120  

Indian Rupee

   HSBC Bank    9/21/15      8,645,260        133,077        133,502        425  

Indian Rupee

   Deutsche Bank    9/30/15      7,367,249        112,714        113,553        839  

Indian Rupee

   HSBC Bank    10/8/15      258,409,000        3,949,999        3,976,863        26,864  

Indian Rupee

   JPMorgan Chase    10/19/15      5,537,000        84,844        85,035        191  

Indian Rupee

   JPMorgan Chase    10/29/15      14,490,000        223,569        222,109        (1,460

Indian Rupee

   Deutsche Bank    11/6/15      7,933,333        121,883        121,420        (463

Korean Won

   Bank of America    8/12/15      45,167,527        41,579        40,484        (1,095

Korean Won

   Bank of America    8/12/15      171,312,964        157,222        153,549        (3,673

Korean Won

   Credit Suisse First Boston    8/12/15      146,142,160        131,014        130,989        (25

Korean Won

   HSBC Bank    8/12/15      177,092,449        161,908        158,730        (3,178

Korean Won

   HSBC Bank    9/30/15      317,000,000        301,445        284,174        (17,271

Malaysian Ringgit

   JPMorgan Chase    7/2/15      988,250        301,719        262,066        (39,653

Malaysian Ringgit

   Deutsche Bank    7/3/15      177,180        54,167        46,973        (7,194

Mexican Peso

   Citibank    7/10/15      3,689,235        277,115        234,584        (42,531

Mexican Peso

   Citibank    7/13/15      3,813,785        257,486        242,451        (15,035

Mexican Peso

   HSBC Bank    9/4/15      11,644,900        866,275        737,514        (128,761

Mexican Peso

   Deutsche Bank    10/14/15      19,592,000        1,432,583        1,237,360        (195,223

Mexican Peso

   Citibank    10/22/15      6,418,829        463,554        405,150        (58,404

Mexican Peso

   HSBC Bank    11/9/15      27,672,950        1,991,003        1,744,365        (246,638

Mexican Peso

   Citibank    12/11/15      6,074,470        400,212        381,997        (18,215

Mexican Peso

   Citibank    12/15/15      2,384,400        151,931        149,900        (2,031

Mexican Peso

   Citibank    12/17/15      9,827,000        650,552        617,702        (32,850

Mexican Peso

   HSBC Bank    12/17/15      5,003,000        331,000        314,477        (16,523

Mexican Peso

   Citibank    12/18/15      4,161,750        275,479        261,578        (13,901

Mexican Peso

   HSBC Bank    12/18/15      3,143,000        207,504        197,547        (9,957

Mexican Peso

   Citibank    1/20/16      2,130,000        143,434        133,532        (9,902

Mexican Peso

   HSBC Bank    1/28/16      99,680,000        6,673,584        6,245,060        (428,524

Mexican Peso

   Citibank    3/11/16      1,070,200        67,218        66,819        (399

Mexican Peso

   HSBC Bank    3/11/16      10,223,640        642,754        638,326        (4,428

Mexican Peso

   Citibank    3/14/16      5,352,400        333,452        334,104        652  

Mexican Peso

   JPMorgan Chase    3/14/16      28,297,935        1,763,001        1,766,394        3,393  

Mexican Peso

   Citibank    3/18/16      4,998,700        313,713        311,926        (1,787

Mexican Peso

   Citibank    3/23/16      2,637,800        168,240        164,536        (3,704

Mexican Peso

   HSBC Bank    5/20/16      51,197,819        3,310,775        3,178,701        (132,074

Mexican Peso

   Citibank    6/6/16      2,731,280        171,752        169,344        (2,408

Mexican Peso

   Citibank    6/8/16      2,728,000        170,772        169,114        (1,658

Mexican Peso

   Citibank    6/13/16      2,789,560        175,853        172,860        (2,993

Mexican Peso

   Citibank    6/22/16      2,146,000        137,063        132,884        (4,179

Phillipine Peso

   JPMorgan Chase    7/1/15      9,520,000        217,630        211,180        (6,450

 

Continued

 

20


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Phillipine Peso

   Deutsche Bank    7/20/15      28,970,800      $ 661,796      $ 641,913      $ (19,883

Phillipine Peso

   JPMorgan Chase    9/25/15      3,020,000        67,216        66,684        (532

Singapore Dollar

   JPMorgan Chase    7/23/15      348,966        261,065        259,094        (1,971

Singapore Dollar

   HSBC Bank    8/11/15      123,000        91,104        91,298        194  

Singapore Dollar

   Barclays Bank    8/12/15      34,819        25,693        25,844        151  

Singapore Dollar

   Deutsche Bank    8/12/15      246,000        181,463        182,594        1,131  

Singapore Dollar

   Barclays Bank    8/17/15      103,000        75,976        76,446        470  

Singapore Dollar

   HSBC Bank    8/17/15      77,000        56,698        57,149        451  

Singapore Dollar

   HSBC Bank    8/18/15      77,000        56,698        57,148        450  

Singapore Dollar

   Deutsche Bank    8/24/15      77,000        56,468        57,143        675  

Singapore Dollar

   Deutsche Bank    8/26/15      172,000         126,359         127,639         1,280  

Singapore Dollar

   HSBC Bank    9/14/15      499,540        358,360        370,632        12,272  

Singapore Dollar

   HSBC Bank    9/16/15      215,700        154,735        160,035        5,300  

Singapore Dollar

   HSBC Bank    9/21/15      252,000        199,683        186,958        (12,725

Singapore Dollar

   JPMorgan Chase    10/27/15      1,750,000        1,294,436        1,297,882        3,446  

Singapore Dollar

   HSBC Bank    11/9/15      3,474,156        2,597,306        2,576,280        (21,026

Singapore Dollar

   Citibank    11/16/15      260,154        194,479        192,906        (1,573

Singapore Dollar

   JPMorgan Chase    11/16/15      290,846        217,626        215,664        (1,962

Singapore Dollar

   Deutsche Bank    11/19/15      77,000        58,069        57,094        (975

Singapore Dollar

   HSBC Bank    11/19/15      167,000        126,057        123,828        (2,229

Singapore Dollar

   Deutsche Bank    11/30/15      132,000        98,244        97,866        (378

Singapore Dollar

   JPMorgan Chase    12/14/15      156,000        115,933        115,644        (289

Singapore Dollar

   HSBC Bank    12/22/15      190,000        140,769        140,838        69  
           

 

 

    

 

 

    

 

 

 
            $ 44,034,240      $ 42,444,656      $ (1,589,584
           

 

 

    

 

 

    

 

 

 

At June 30, 2015, the Fund’s open forward cross currency contracts were as follows:

 

Purchase/Sale    Counterparty    Amount
Purchased
     Amount Sold      Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Indian Rupee/European Euro

   JPMorgan Chase      123,553,500 INR         1,700,113 EUR      $ 1,895,418      $ 1,890,639      $ (4,779

Indonesian Rupiah/Australian Dollar

   JPMorgan Chase      25,980,000,000 IDR         2,361,818 AUD        1,800,416        1,811,868        11,452  

Indonesian Rupiah/Australian Dollar

   JPMorgan Chase      11,380,000,000 IDR         1,036,713 AUD        789,455        792,695        3,240  

Korean Won/European Euro

   Deutsche Bank      316,000,000 KRW         253,408 EUR        284,836        283,969        (867

Korean Won/European Euro

   HSBC Bank      317,000,000 KRW         244,608 EUR        292,650        303,795        11,145  

Korean Won/European Euro

   JPMorgan Chase      787,640,500 KRW         608,734 EUR        727,092        753,475        26,383  

Korean Won/European Euro

   JPMorgan Chase      2,061,529,000 KRW         1,600,641 EUR        1,901,867        1,958,358        56,491  

Malaysian Ringgit/European Euro

   JPMorgan Chase      1,580,000 MYR         385,648 EUR        431,027        418,987        (12,040

Malaysian Ringgit/European Euro

   JPMorgan Chase      8,549,000 MYR         1,947,824 EUR        2,322,151        2,380,864        58,713  
           

 

 

    

 

 

    

 

 

 
            $ 10,444,912      $ 10,594,650      $ 149,738  
           

 

 

    

 

 

    

 

 

 

Over-the-Counter Interest Rate Swap Agreements

At June 30, 2015, the Fund’s open over-the-counter interest rate swap agreements were as follows:

 

Pay/Receive
Floating Rate

   Floating Rate Index    Fixed
Rate (%)
   Expiration
Date
     Counterparty      Notional
Amount
(Local)
     Value
($)
    

Unrealized
Appreciation/
(Depreciation)

($)

 

Pay

   3-Month U.S. Dollar LIBOR BBA    3.018      8/22/23         JPMorgan Chase         3,910,000 USD         (261,859      (261,859

Pay

   3-Month U.S. Dollar LIBOR BBA    3.848      8/22/43         JPMorgan Chase         2,230,000 USD         (437,462      (437,462
                 

 

 

    

 

 

 
                    (699,321      (699,321
                 

 

 

    

 

 

 

 

Continued

 

21


AZL Franklin Templeton Founding Strategy Plus Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Centrally Cleared Interest Rate Swap Agreements

At June 30, 2015, the Fund’s open centrally cleared interest rate swap agreements were as follows:

 

Pay/Receive

Floating Rate

   Floating Rate Index    Fixed
Rate (%)
   Expiration
Date
     Clearing Agent      Notional
Amount
(Local)
    

Value

($)

    

Unrealized
Appreciation/
(Depreciation)

($)

 

Pay

   3-Month U.S. Dollar LIBOR BBA    0.926      10/17/17         Citibank         9,940,000 USD         17,505        17,505  

Pay

   3-Month U.S. Dollar LIBOR BBA    2.731      7/7/24         Citibank         1,840,000 USD         (20,679      (20,679

Pay

   3-Month U.S. Dollar LIBOR BBA    1.914      1/22/25         JPMorgan Chase         3,430,000 USD         147,138        147,138  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.970      1/23/25         Citibank         4,290,000 USD         163,440        163,440  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.973      1/27/25         Citibank         2,530,000 USD         95,996        95,996  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.937      1/29/25         Citibank         640,000 USD         26,309        26,309  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.942      1/30/25         Citibank         540,000 USD         22,011        22,011  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.817      2/3/25         Citibank         840,000 USD         43,531        43,531  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.985      3/27/25         Citibank         600,000 USD         23,145        23,145  

Pay

   3-Month U.S. Dollar LIBOR BBA    1.978      3/27/25         Citibank         600,000 USD         23,531        23,531  
                 

 

 

    

 

 

 
                    541,927        541,927  
                 

 

 

    

 

 

 

 

See accompanying notes to the financial statements.

 

22


AZL Franklin Templeton Founding Strategy Plus Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 782,415,441  
    

 

 

 

Investment securities, at value*

     $ 820,536,622  

Cash

       172,315  

Segregated cash for collateral

       889,938  

Interest and dividends receivable

       3,889,305  

Foreign currency, at value (cost $5,420,577)

       5,436,615  

Unrealized appreciation on forward currency contracts

       8,676,477  

Receivable for capital shares issued

       174,937  

Receivable for investments sold

       5,515,427  

Receivable for variation margin on swap agreements

       9,561  

Reclaims receivable

       222,817  

Prepaid expenses

       1,312  
    

 

 

 

Total Assets

       845,525,326  
    

 

 

 

Liabilities:

    

Unrealized depreciation on forward currency contracts

       2,587,473  

Payable for investments purchased

       4,085,318  

Payable for capital shares redeemed

       446,356  

Unrealized depreciation on swap agreements

       699,321  

Payable for collateral received on loaned securities

       63,072,534  

Securities sold short (Proceeds received $109,332)

       106,232  

Payable for variation margin on swap agreements

       1,123  

Manager fees payable

       454,030  

Administration fees payable

       25,559  

Distribution fees payable

       162,153  

Custodian fees payable

       85,675  

Administrative and compliance services fees payable

       854  

Trustee fees payable

       5,595  

Other accrued liabilities

       32,305  
    

 

 

 

Total Liabilities

       71,764,528  
    

 

 

 

Net Assets

     $ 773,760,798  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 665,310,900  

Accumulated net investment income/(loss)

       30,171,423  

Accumulated net realized gains/(losses) from investment transactions

       34,205,001  

Net unrealized appreciation/(depreciation) on investments

       44,073,474  
    

 

 

 

Net Assets

     $ 773,760,798  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       56,084,015  

Net Asset Value (offering and redemption price per share)

     $ 13.80  
    

 

 

 

 

* Includes securities on loan of $59,693,615.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 8,200,533  

Interest

       6,271,483  

Income from securities lending

       237,471  

Foreign withholding tax

       (508,172 )
    

 

 

 

Total Investment Income

       14,201,315  
    

 

 

 

Expenses:

    

Manager fees

       2,763,955  

Administration fees

       142,380  

Distribution fees

       987,124  

Custodian fees

       143,892  

Administrative and compliance services fees

       4,969  

Trustee fees

       19,965  

Professional fees

       18,695  

Shareholder reports

       16,483  

Other expenses

       8,292  
    

 

 

 

Total expenses

       4,105,755  
    

 

 

 

Net Investment Income/(Loss)

       10,095,560  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       4,628,843  

Net realized gains/(losses) on swap agreements

       (266,335 )

Net realized gains/(losses) on forward currency contracts

       10,774,282  

Change in net unrealized appreciation/depreciation on investments

       (20,263,616 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (5,126,826 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 4,968,734  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

23


Statements of Changes in Net Assets

 

     AZL Franklin Templeton Founding Strategy Plus Fund
      For the
Six Months Ended
June 30,
2015
  

For the
Year Ended
December 31,

2014

     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 10,095,560        $ 19,621,979  

Net realized gains/(losses) on investment transactions

       15,136,790          20,565,391  

Change in unrealized appreciation/depreciation on investments

       (20,263,616 )        (25,275,309 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       4,968,734          14,912,061  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (12,323,008 )

From net realized gains

                (13,056,696 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (25,379,704 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       29,095,107          150,487,951  

Proceeds from dividends reinvested

                25,379,704  

Value of shares redeemed

       (55,816,331 )        (81,100,254 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (26,721,224 )        94,767,401  
    

 

 

      

 

 

 

Change in net assets

       (21,752,490 )        84,299,758  

Net Assets:

         

Beginning of period

       795,513,288          711,213,530  
    

 

 

      

 

 

 

End of period

     $ 773,760,798        $ 795,513,288  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 30,171,423        $ 20,075,863  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       2,093,087          10,676,240  

Dividends reinvested

                1,797,429  

Shares redeemed

       (3,999,386 )        (5,801,940 )
    

 

 

      

 

 

 

Change in shares

       (1,906,299 )        6,671,729  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

24


AZL Franklin Templeton Founding Strategy Plus Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 13.72       $ 13.86       $ 12.01       $ 10.75       $ 10.99       $ 10.20  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.19         0.32         0.15         0.27         0.23         0.20  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.11 )       (0.01 )       2.01         1.31         (0.43 )       0.82  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.08         0.31         2.16         1.58         (0.20 )       1.02  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.22 )       (0.22 )       (0.27 )       (0.02 )       (0.18 )

Net Realized Gains

               (0.23 )       (0.09 )       (0.05 )       (0.02 )       (0.05 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.45 )       (0.31 )       (0.32 )       (0.04 )       (0.23 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 13.80       $ 13.72       $ 13.86       $ 12.01       $ 10.75       $ 10.99  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       0.58 %(b)       2.14 %       18.12 %       14.78 %       (1.83 )%       10.02 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 773,761       $ 795,513       $ 711,214       $ 409,883       $ 302,592       $ 156,980  

Net Investment Income/(Loss)(c)

       2.56 %       2.51 %       2.10 %       2.80 %       2.90 %       3.13 %

Expenses Before Reductions(c) (d)

       1.04 %       1.04 %       1.05 %       1.09 %       1.16 %       1.25 %

Expenses Net of Reductions(c)

       1.04 %       1.04 %       1.05 %       1.09 %       1.16 %       1.19 %

Portfolio Turnover Rate

       17 %(b)       23 %       24 %       19 %       17 %       17 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

25


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Franklin Templeton Founding Strategy Plus Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Floating Rate Loans

The Fund may invest in floating rate loans, which usually take the form of loan participations and assignments. These loans are made by banks and other large financial institutions to various companies and are typically senior in the borrowing companies’ capital structure. Coupon rates are floating, not fixed and are tied to a benchmark lending rate. Loans involve a risk of loss in case of default or insolvency of the financial intermediaries who are parties to the transactions. A Fund records an investment when the borrower withdraws money and records the interest as earned.

Structured Notes

The Fund may invest in structured notes, the values of which are based on the price movements of a reference security or index. Structured notes are derivative debt securities, the interest rate or principal of which is determined by an unrelated indicator. The terms of the structured notes may provide that in certain circumstances no principal is due at maturity and therefore, may result in a loss of invested capital. Structured notes may be positively or negatively indexed, so that appreciation of the reference may produce an increase or a decrease in the interest rate or the value of the structured note at maturity may be calculated as a specified multiple of the change in the value of the reference; therefore, the value of such security may be very volatile. Structured notes may entail a greater degree of market risk than other types of debt securities because the investor bears the risk of the reference. Structured notes may also be more volatile, less liquid, and more difficult to accurately price than less complex securities or more traditional debt securities.

 

26


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Purchased on a When-Issued Basis

The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.

Short Sales

The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, and reclassification of certain distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $73.4 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $23,528 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

 

27


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Forward Currency Contracts 

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $201.8 million as of June 30, 2015. The monthly average amount for these contracts was $207.1 million for the period ended June 30, 2015.

Swap Agreements

The Fund may invest in swap agreements. A swap is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are privately negotiated in the over-the-counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). The Fund may enter into swap agreements to manage its exposure to market, interest rate and credit risk. The value of swap agreements are equal to the Fund’s obligations (or rights) under swap agreements, which will generally be equal to the net amounts to be paid or received under the agreements based upon the relative values of the positions held by each party to the agreements. In connection with these arrangements, securities may be 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 recorded as a receivable or payable, as applicable, for variation margin on centrally cleared swaps.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss. The primary risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties or clearing house to perform. The counterparty risk for centrally cleared swap agreements is generally lower than for OTC swap agreements because generally a clearing organization becomes substituted for each counterparty to a centrally cleared swap agreement and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to a clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members will satisfy its obligations to the Fund.

The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement. The Fund bears the risk of loss of the amount expected to be received under a swap agreement (i.e., any unrealized appreciation) in the event of the default or bankruptcy of the swap agreement counterparty. The notional amount and related unrealized appreciation (depreciation) of each swap agreement at period end is disclosed in the swap tables in the Schedule of Portfolio Investments. The Fund is party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”) with select counterparties that govern transactions, such as OTC swap contracts, entered into by the Fund, through the Subsidiary, and those counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding OTC swap transactions under the applicable ISDA Master Agreement.

Interest rate swaps involve the exchange of commitments to pay and receive interest based on a notional amount and are subject to interest rate risk exposure. Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Fund is contractually obligated to make. If the other party to an interest rate swap defaults, a Fund’s risk of loss consists of the net amount of interest payments that the Fund is contractually entitled to receive. As of June 30, 2015, the Fund entered into interest rate swap agreements to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds which may decrease when interest rates rise (interest rate risk). The gross notional amount of interest rate swaps outstanding was $31.4 million as of June 30, 2015. The monthly average gross notional amount of interest rate swaps was $30.9 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 

Foreign Exchange Rate Risk Exposure

     
Forward Currency Contracts   Unrealized appreciation on forward currency contracts   $ 8,676,477      Unrealized depreciation on forward currency contracts   $ 2,587,473   

Interest Rate Risk Exposure

       
Interest Rate Swap Agreements   Unrealized appreciation on swap agreements*     562,606      Unrealized depreciaion on swap agreements*     720,000   

 

* For swap agreements, 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 swap agreements.

 

28


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (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, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
  Realized Gains/(Losses)
on Derivatives
Recognized in Income
    Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in Income
 

Foreign Exchange Rate Risk Exposure

   
Forward Currency Contracts   Net realized gains/(losses) on forward currency contracts/Change in unrealized appreciation/depreciation on investments   $ 10,774,282      $ (5,100,755

Interest Rate Risk Exposure

     
Interest Rate Swap Agreements   Net realized gains/(losses) on swap agreements/Change in unrealized appreciation/depreciation on investments     (266,335     648,016   

Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.

The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2015. 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, 2015.

As of June 30, 2015, the Fund’s derivative assets and liabilities by type are as follows:

 

        Assets      Liabilities

Derivative Financial Instruments:

             

Forward currency contracts

       $ 8,676,477          $ 2,587,473  

Swap agreements

         9,561            700,444  
      

 

 

        

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

         8,686,038            3,287,917  

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

         (3,677,285 )          (2,114,574 )
      

 

 

        

 

 

 

Total assets and liabilities subject to a MNA

       $ 5,008,753          $ 1,173,343  
      

 

 

        

 

 

 

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Fund as of June 30, 2015:

 

Counterparty    Derivative Assets
Subject to a MNA
by Counterparty
   Derivatives
Available for Offset
   Non-cash Collateral
Received*
   Cash Collateral
Received*
   Net Amount of
Derivative Assets

Barclays Bank

     $ 2,006,343        $ (104,649 )      $        $ (1,799,000 )      $ 102,694  

Citibank

       852,525          (274,614 )        (464,000 )                 113,911  

JPMorgan Chase

       2,149,885          (794,080 )        (1,355,805 )                  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 5,008,753        $ (1,173,343 )      $ (1,819,805 )      $ (1,799,000 )      $ 216,605  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Fund as of June 30, 2015:

 

Counterparty    Derivative Liabilities
Subject to a MNA
by Counterparty
   Derivatives
Available for Offset
   Non-cash Collateral
Pledged*
   Cash Collateral
Pledged*
   Net Amount of
Derivative Liabilities

Barclays Bank

     $ 104,649        $ (104,649 )      $        $        $  

Citibank

       274,614          (274,614 )                           

JPMorgan Chase

       794,080          (794,080 )                           
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Total

     $ 1,173,343        $ (1,173,343 )      $        $        $  
    

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

* 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.

 

29


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained three independent money management organizations (the “Subadviser”), Franklin Advisers, Inc. (“Advisers”), Franklin Mutual Advisers, LLC (“Franklin Mutual”) and Templeton Global Advisors Limited (“Global Advisors”) to make investment decisions on behalf of the Fund. Pursuant to subadvisory agreements with the Manager and Advisers, the Manager and Franklin Mutual, and the Manager and Global Advisors, and the Trust, Advisers, Franklin Mutual and Global Advisors provide investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Franklin Templeton Founding Strategy Plus Fund

         0.70 %          1.20 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $4,256 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

30


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Aerospace & Defense

       $ 6,723,379          $ 649,850          $ 7,373,229  

Airlines

                    2,644,626            2,644,626  

Auto Components

                    2,355,512            2,355,512  

Automobiles

         5,134,312            6,092,408            11,226,720  

Banks

         31,507,556            22,747,266            54,254,822  

Capital Markets

         2,600,482            2,800,895            5,401,377  

Chemicals

         9,213,319            2,731,972            11,945,291  

Commercial Services & Supplies

         1,869,637            970,817            2,840,454  

Communications Equipment

         8,021,348            2,707,690            10,729,038  

Construction & Engineering

                    1,582,731            1,582,731  

Construction Materials

                    4,946,202            4,946,202  

Diversified Telecommunication Services

         6,770,704            6,972,408            13,743,112  

Energy Equipment & Services

         7,562,550            931,453            8,494,003  

Food & Staples Retailing

         10,623,978            3,748,458            14,372,436  

Health Care Equipment & Supplies

         12,116,342            2,528,065            14,644,407  

Industrial Conglomerates

         2,652,217            1,445,939            4,098,156  

Insurance

         23,091,400            6,816,751            29,908,151  

Life Sciences Tools & Services

                    845,226            845,226  

Machinery

         3,289,410            1,121,359            4,410,769  

Marine

                    2,349,548            2,349,548  

Media

         23,601,036            5,009,315            28,610,351  

Metals & Mining

         7,568,768            4,482,596            12,051,364  

Multiline Retail

         5,609,936            1,377,506            6,987,442  

Oil, Gas & Consumable Fuels

         26,667,248            16,673,691            43,340,939  

Pharmaceuticals

         36,620,347            10,529,265            47,149,612  

 

31


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Total
                      

Semiconductors & Semiconductor Equipment

       $ 3,326,916          $ 7,650,291          $ 10,977,207  

Software

         18,567,510            840,231            19,407,741  

Specialty Retail

         1,575,968            2,862,599            4,438,567  

Technology Hardware, Storage & Peripherals

         8,615,568            1,950,158            10,565,726  

Tobacco

         5,075,971            5,698,516            10,774,487  

Wireless Telecommunication Services

         1,982,600            6,085,856            8,068,456  

Other Common Stocks+

         46,874,503                       46,874,503  

Convertible Bonds+

                    4,779,661            4,779,661  

Convertible Preferred Stocks

                    

Banks

         889,600            488,800            1,378,400  

Commercial Services & Supplies

                    41,927            41,927  

Real Estate Investment Trusts (REITs)

                    63,360            63,360  

Other Convertible Preferred Stocks+

         789,640                       521,290  

Corporate Bonds+

                    51,211,964            51,211,964  

Equity-Linked Securities

                    7,413,809            7,413,809  

Floating Rate Loans+

                    4,394,940            4,394,940  

Foreign Bonds+

                    108,440,886            108,440,886  

Municipal Bond

                    586,575            586,575  

Preferred Stocks

                    

Automobiles

                    1,380,288            1,380,288  

Banks

                    852,288            852,288  

Other Preferred Stocks+

         2,765,560                       2,765,560  

U.S. Government Agency Mortgages

                    28,000,000            28,000,000  

U.S. Treasury Obligations

                    10,999,512            10,999,512  

Yankee Dollars+

                    31,909,818            31,909,818  

Securities Held as Collateral for Securities on Loan

                    63,072,534            63,072,534  

Unaffiliated Investment Company

         45,043,255                       45,043,255  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         366,751,060            453,785,562            820,536,622  
      

 

 

        

 

 

        

 

 

 

Securities Sold Short

         (106,232 )                     (106,232 )

Other Financial Instruments:*

                    

Forward Currency Contracts

                    6,089,004            6,089,004  

Interest Rate Swaps

                    (157,394 )          (157,394 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 366,644,828          $ 459,717,172          $ 826,362,000  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as forward currency contracts and swaps. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Franklin Templeton Founding Strategy Plus Fund

       $ 110,722,373          $ 108,363,717  

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, 2015 are identified below.

 

Security      Acquisition
Date(a)
     Acquisition
Cost
     Shares or
Principal
Amount
     Fair
Value
     Percentage of
Net Assets
                                    

Tribune Co.

         12/31/12          $            5,216          $            %

 

(a) Acquisition date represents the initial purchase date of the security.

 

32


AZL Franklin Templeton Founding Strategy Plus Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

Security Quality Risk (also known as “High Yield Risk”): The Fund may invest in high yield, high risk debt securities and unrated securities of similar credit quality (commonly known as “junk bonds”) may be subject to greater levels of credit and liquidity risk than funds that do not invest in such securities. These securities are considered predominately speculative with respect to the issuer’s continuing ability to make principal and interest payments. An economic downturn or period of rising interest rates could adversely affect the market for these securities and reduce the Fund’s ability to sell these securities (liquidity risk). If the issuer of a security is in default with respect to interest or principal payments, the Fund may lose the value of its entire investment.

8. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $783,043,649. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 87,355,633  

Unrealized depreciation

    (49,862,660
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 34,492,973   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Franklin Templeton Founding Strategy Plus Fund

       $ 14,767,710          $ 10,611,994          $ 25,379,704  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Franklin Templeton Founding Strategy Plus Fund

       $ 31,655,383          $ 19,573,129          $          $ 52,252,652          $ 103,481,164  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

33


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

34


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Gateway Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 7

Statement of Operations

Page 7

Statements of Changes in Net Assets

Page 8

Financial Highlights

Page 9

Notes to the Financial Statements

Page 10

Other Information

Page 15

 

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

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Gateway Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Gateway Fund

       $ 1,000.00          $ 1,020.20          $ 5.51            1.10 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Gateway Fund

       $ 1,000.00          $ 1,019.34          $ 5.51            1.10 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      20.3 %

Financials

      15.7  

Health Care

      15.1  

Consumer Discretionary

      12.0  

Industrials

      9.8  

Consumer Staples

      9.2  

Energy

      7.5  

Materials

      3.3  

Utilities

      2.8  

Telecommunication Services

      2.0  
   

 

 

 

Total Common Stocks

      97.7  

Money Market

      2.7  

Purchased Put Options

      0.5  
   

 

 

 

Total Investment Securities

      100.9  

Net other assets (liabilities)

      (0.9 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Gateway Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks+ (97.7%):

  

 

Aerospace & Defense (2.2%):

  

  9,759       Boeing Co. (The)    $ 1,353,768  
  13,400       Honeywell International, Inc.      1,366,399  
  7,320       Raytheon Co.      700,378  
  402       TransDigm Group, Inc.*      90,317  
  11,210       United Technologies Corp.      1,243,525  
     

 

 

 
        4,754,387  
     

 

 

 

 

Air Freight & Logistics (0.7%):

  

  15,195       United Parcel Service, Inc., Class B      1,472,547  
     

 

 

 

 

Airlines (0.5%):

  

  15,406       American Airlines Group, Inc.      615,239  
  7,192       United Continental Holdings, Inc.*      381,248  
     

 

 

 
        996,487  
     

 

 

 

 

Auto Components (0.1%):

  

  1,467       Autoliv, Inc.      171,272  
  3,921       Cooper Tire & Rubber Co.      132,647  
  616       Remy International, Inc.      13,620  
     

 

 

 
        317,539  
     

 

 

 

 

Automobiles (0.5%):

  

  54,578       Ford Motor Co.      819,215  
  833       Tesla Motors, Inc.*      223,461  
     

 

 

 
        1,042,676  
     

 

 

 

 

Banks (5.7%):

  

  7,645       Associated Banc-Corp.      154,964  
  132,325       Bank of America Corp.      2,252,172  
  38,688       Citigroup, Inc.      2,137,125  
  2,290       FirstMerit Corp.      47,701  
  41,682       JPMorgan Chase & Co.      2,824,372  
  2,940       Old National Bancorp      42,512  
  31,640       U.S. Bancorp      1,373,176  
  60,390       Wells Fargo & Co.      3,396,333  
     

 

 

 
        12,228,355  
     

 

 

 

 

Beverages (2.2%):

  

  51,150       Coca-Cola Co. (The)      2,006,615  
  3,643       Monster Beverage Corp.*      488,235  
  24,440       PepsiCo, Inc.      2,281,229  
     

 

 

 
        4,776,079  
     

 

 

 

 

Biotechnology (3.5%):

  

  3,045       Alexion Pharmaceuticals, Inc.*      550,445  
  10,465       Amgen, Inc.      1,606,587  
  2,994       Biogen Idec, Inc.*      1,209,396  
  12,050       Celgene Corp.*      1,394,607  
  19,329       Gilead Sciences, Inc.      2,263,039  
  3,396       Vertex Pharmaceuticals, Inc.*      419,338  
     

 

 

 
        7,443,412  
     

 

 

 

 

Capital Markets (2.3%):

  

  2,400       Affiliated Managers Group, Inc.*      524,640  
  25,980       Charles Schwab Corp. (The)      848,247  
  8,600       Eaton Vance Corp.      336,518  
  5,864       Goldman Sachs Group, Inc. (The)      1,224,345  
  9,270       Legg Mason, Inc.      477,683  
  23,805       Morgan Stanley      923,396  
  9,420       TD Ameritrade Holding Corp.      346,844  

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Capital Markets, continued

  

  3,600       Waddell & Reed Financial, Inc., Class A    $ 170,316  
     

 

 

 
        4,851,989  
     

 

 

 

 

Chemicals (2.3%):

  

  1,010       Ashland, Inc.      123,119  
  17,513       Dow Chemical Co. (The)      896,140  
  15,570       E.I. du Pont de Nemours & Co.      995,701  
  5,685       Eastman Chemical Co.      465,147  
  7,842       LyondellBasell Industries NV, Class A      811,804  
  8,835       Monsanto Co.      941,723  
  7,875       Olin Corp.      212,231  
  2,965       Potash Corp. of Saskatchewan, Inc.      91,826  
  9,510       RPM International, Inc.      465,705  
     

 

 

 
        5,003,396  
     

 

 

 

 

Commercial Services & Supplies (0.6%):

  

  4,360       ADT Corp. (The)      146,365  
  270       R.R. Donnelley & Sons Co.      4,706  
  15,254       Tyco International plc      586,973  
  12,015       Waste Management, Inc.      556,896  
     

 

 

 
        1,294,940  
     

 

 

 

 

Communications Equipment (1.6%):

  

  64,631       Cisco Systems, Inc.      1,774,768  
  6,354       Motorola Solutions, Inc.      364,338  
  21,562       QUALCOMM, Inc.      1,350,428  
  62       Telefonaktiebolaget LM Ericsson, ADR      647  
     

 

 

 
        3,490,181  
     

 

 

 

 

Consumer Finance (0.8%):

  

  14,326       American Express Co.      1,113,417  
  11,000       Discover Financial Services      633,820  
     

 

 

 
        1,747,237  
     

 

 

 

 

Containers & Packaging (0.5%):

  

  5,475       Avery Dennison Corp.      333,647  
  10,700       MeadWestvaco Corp.      504,933  
  3,090       Sonoco Products Co.      132,437  
     

 

 

 
        971,017  
     

 

 

 

 

Distributors (0.3%):

  

  6,850       Genuine Parts Co.      613,281  
     

 

 

 

 

Diversified Financial Services (2.3%):

  

  27,332       Berkshire Hathaway, Inc., Class B*      3,720,159  
  6,555       CME Group, Inc.      610,008  
  3,448       FNFV Group*      53,030  
  2,220       IntercontinentalExchange, Inc.      496,414  
     

 

 

 
        4,879,611  
     

 

 

 

 

Diversified Telecommunication Services (1.8%):

  

  43,765       AT&T, Inc.      1,554,533  
  24,259       Frontier Communications Corp.      120,082  
  47,136       Verizon Communications, Inc.      2,197,009  
     

 

 

 
        3,871,624  
     

 

 

 

 

Electric Utilities (1.3%):

  

  15,125       American Electric Power Co., Inc.      801,171  
  16,703       Duke Energy Corp.      1,179,567  
  2,580       Hawaiian Electric Industries, Inc.      76,703  
  11,885       OGE Energy Corp.      339,554  
 

 

Continued

 

2


AZL Gateway Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Electric Utilities, continued

  

  12,395       Pepco Holdings, Inc.    $ 333,921  
     

 

 

 
        2,730,916  
     

 

 

 

 

Electrical Equipment (0.6%):

  

  7,695       Eaton Corp. plc      519,336  
  10,660       Emerson Electric Co.      590,884  
  2,505       Hubbell, Inc., Class B      271,241  
     

 

 

 
        1,381,461  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.4%):

  

  23,645       Corning, Inc.      466,516  
  7,235       TE Connectivity, Ltd.      465,211  
     

 

 

 
        931,727  
     

 

 

 

 

Energy Equipment & Services (1.6%):

  

  9,506       Baker Hughes, Inc.      586,520  
  1,121       CARBO Ceramics, Inc.      46,667  
  118       Diamond Offshore Drilling, Inc.      3,046  
  19,470       Halliburton Co.      838,573  
  3,643       Patterson-UTI Energy, Inc.      68,543  
  21,872       Schlumberger, Ltd.      1,885,147  
  1,885       Seventy Seven Energy, Inc.*      8,087  
     

 

 

 
        3,436,583  
     

 

 

 

 

Food & Staples Retailing (2.3%):

  

  20,994       CVS Health Corp.      2,201,851  
  14,770       Walgreens Boots Alliance, Inc.      1,247,179  
  21,455       Wal-Mart Stores, Inc.      1,521,803  
     

 

 

 
        4,970,833  
     

 

 

 

 

Food Products (1.4%):

  

  2,081       Bunge, Ltd.      182,712  
  14,175       ConAgra Foods, Inc.      619,731  
  10,464       Kraft Foods Group, Inc.      890,905  
  33,525       Mondelez International, Inc., Class A      1,379,218  
     

 

 

 
        3,072,566  
     

 

 

 

 

Gas Utilities (0.2%):

  

  2,161       AGL Resources, Inc.      100,616  
  3,605       National Fuel Gas Co.      212,299  
  761       ONE Gas, Inc.      32,388  
  3,090       WGL Holdings, Inc.      167,756  
     

 

 

 
        513,059  
     

 

 

 

 

Health Care Equipment & Supplies (2.2%):

  

  25,375       Abbott Laboratories      1,245,405  
  9,155       Baxter International, Inc.      640,209  
  27,424       Boston Scientific Corp.*      485,405  
  620       Intuitive Surgical, Inc.*      300,390  
  26,202       Medtronic plc      1,941,568  
  2,150       ResMed, Inc.      121,196  
     

 

 

 
        4,734,173  
     

 

 

 

 

Health Care Providers & Services (3.0%):

  

  8,584       Aetna, Inc.      1,094,117  
  4,584       Anthem, Inc.      752,418  
  12,425       Express Scripts Holding Co.*      1,105,080  
  6,286       HCA Holdings, Inc.*      570,266  
  4,120       Patterson Cos., Inc.      200,438  
  4,360       Quest Diagnostics, Inc.      316,187  

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Health Care Providers & Services, continued

  

  14,835       UnitedHealth Group, Inc.    $ 1,809,869  
  3,965       Universal Health Services, Inc., Class B      563,427  
     

 

 

 
        6,411,802  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.1%):

  

  2,190       Las Vegas Sands Corp.      115,128  
  16,782       McDonald’s Corp.      1,595,466  
  2,085       Melco Crown Entertainment, Ltd., ADR      40,929  
  9,645       MGM Resorts International*      176,021  
  3,354       Restaurant Brands International, Inc.      128,156  
  24,726       Wendy’s Co. (The)      278,909  
     

 

 

 
        2,334,609  
     

 

 

 

 

Household Durables (1.0%):

  

  13,305       Leggett & Platt, Inc.      647,686  
  14,735       Newell Rubbermaid, Inc.      605,756  
  10,887       Toll Brothers, Inc.*      415,775  
  1,085       Tupperware Brands Corp.      70,026  
  2,095       Whirlpool Corp.      362,540  
     

 

 

 
        2,101,783  
     

 

 

 

 

Household Products (1.9%):

  

  1,569       Church & Dwight Co., Inc.      127,293  
  14,265       Colgate-Palmolive Co.      933,074  
  5,820       Kimberly-Clark Corp.      616,745  
  31,127       Procter & Gamble Co. (The)      2,435,377  
     

 

 

 
        4,112,489  
     

 

 

 

 

Industrial Conglomerates (2.2%):

  

  11,996       3M Co.      1,850,983  
  104,814       General Electric Co.      2,784,908  
     

 

 

 
        4,635,891  
     

 

 

 

 

Insurance (3.0%):

  

  6,580       Aflac, Inc.      409,276  
  12,325       Allstate Corp. (The)      799,523  
  19,007       American International Group, Inc.      1,175,013  
  6,685       Aon plc      666,361  
  6,020       Arthur J. Gallagher & Co.      284,746  
  7,165       FNF Group      265,033  
  9,580       Lincoln National Corp.      567,328  
  17,570       Marsh & McLennan Cos., Inc.      996,219  
  9,905       Principal Financial Group, Inc.      508,027  
  6,120       Travelers Cos., Inc. (The)      591,559  
  7,040       XL Group plc      261,888  
     

 

 

 
        6,524,973  
     

 

 

 

 

Internet & Catalog Retail (1.5%):

  

  5,028       Amazon.com, Inc.*      2,182,605  
  577       Lands’ End, Inc.*      14,327  
  833       Priceline Group, Inc. (The)*      959,091  
     

 

 

 
        3,156,023  
     

 

 

 

 

Internet Software & Services (4.0%):

  

  5,245       Akamai Technologies, Inc.*      366,206  
  690       Baidu, Inc., ADR*      137,365  
  15,750       eBay, Inc.*      948,780  
  26,440       Facebook, Inc., Class A*      2,267,626  
  4,195       Google, Inc., Class A*      2,265,467  
  2,978       Google, Inc., Class C*      1,550,079  
 

 

Continued

 

3


AZL Gateway Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Internet Software & Services, continued

  

  625       LinkedIn Corp., Class A*    $ 129,144  
  6,285       VeriSign, Inc.*      387,910  
  13,215       Yahoo!, Inc.*      519,217  
     

 

 

 
        8,571,794  
     

 

 

 

 

IT Services (3.4%):

  

  13,720       Automatic Data Processing, Inc.      1,100,756  
  5,915       Broadridge Financial Solutions, Inc.      295,809  
  11,935       Cognizant Technology Solutions Corp., Class A*      729,109  
  9,350       Fidelity National Information Services, Inc.      577,830  
  682       FleetCor Technologies, Inc.*      106,433  
  10,023       International Business Machines Corp.      1,630,341  
  12,770       Paychex, Inc.      598,658  
  27,595       Visa, Inc., Class A      1,853,004  
  15,190       Western Union Co.      308,813  
     

 

 

 
        7,200,753  
     

 

 

 

 

Leisure Products (0.1%):

  

  8,412       Mattel, Inc.      216,104  
     

 

 

 

 

Life Sciences Tools & Services (0.1%):

  

  890       Illumina, Inc.*      194,340  
     

 

 

 

 

Machinery (2.1%):

  

  9,441       Caterpillar, Inc.      800,786  
  4,710       Cummins, Inc.      617,905  
  5,600       Deere & Co.      543,480  
  4,780       Parker Hannifin Corp.      556,057  
  5,649       Pentair, plc      388,369  
  3,910       Snap-On, Inc.      622,668  
  2,595       SPX Corp.      187,852  
  5,980       Stanley Black & Decker, Inc.      629,335  
  3,225       Timken Co.      117,938  
     

 

 

 
        4,464,390  
     

 

 

 

 

Media (3.7%):

  

  37,200       Comcast Corp., Class A      2,237,209  
  2,719       Liberty Global plc, Class A*      147,016  
  2,048       Liberty Global plc, Series C*      103,690  
  7,651       News Corp., Class B*      108,950  
  8,555       Omnicom Group, Inc.      594,487  
  78,395       Sirius XM Holdings, Inc.*      292,413  
  3,302       Time Warner Cable, Inc.      588,317  
  13,703       Time Warner, Inc.      1,197,779  
  2,823       Time, Inc.      64,957  
  22,144       Walt Disney Co. (The)      2,527,517  
     

 

 

 
        7,862,335  
     

 

 

 

 

Metals & Mining (0.5%):

  

  10,505       Freeport-McMoRan Copper & Gold, Inc.      195,603  
  10,475       Nucor Corp.      461,633  
  4,239       Southern Copper Corp.      124,669  
  10,369       Steel Dynamics, Inc.      214,794  
  1,587       TimkenSteel Corp.      42,833  
  2,295       Worthington Industries, Inc.      68,988  
     

 

 

 
        1,108,520  
     

 

 

 

 

Multiline Retail (0.9%):

  

  8,295       Macy’s, Inc.      559,664  
  7,440       Nordstrom, Inc.      554,280  

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Multiline Retail, continued

  

  1,555       Sears Holdings Corp.*    $ 41,519  
  9,615       Target Corp.      784,872  
     

 

 

 
        1,940,335  
     

 

 

 

 

Multi-Utilities (1.3%):

  

  732       Alliant Energy Corp.      42,251  
  15,300       Ameren Corp.      576,504  
  24,020       CenterPoint Energy, Inc.      457,101  
  13,092       Consolidated Edison, Inc.      757,765  
  21,100       Public Service Enterprise Group, Inc.      828,807  
  3,886       WEC Energy Group, Inc.      174,752  
     

 

 

 
        2,837,180  
     

 

 

 

 

Oil, Gas & Consumable Fuels (5.9%):

  

  5,109       California Resources Corp.      30,858  
  6,020       Cheniere Energy, Inc.*      416,945  
  25,598       Chevron Corp.      2,469,438  
  5,394       Concho Resources, Inc.*      614,161  
  23,356       ConocoPhillips      1,434,292  
  10,740       CONSOL Energy, Inc.      233,488  
  7,227       Continental Resources, Inc.*      306,353  
  51,793       Exxon Mobil Corp.      4,309,177  
  5,253       Gulfport Energy Corp.*      211,433  
  13,874       Occidental Petroleum Corp.      1,078,981  
  5,210       ONEOK, Inc.      205,691  
  13,519       Phillips 66      1,089,091  
  15,145       Southwestern Energy Co.*      344,246  
  2,115       Statoil ASA, ADR      37,859  
     

 

 

 
        12,782,013  
     

 

 

 

 

Personal Products (0.0%):

  

  497       Herbalife, Ltd.*      27,380  
     

 

 

 

 

Pharmaceuticals (6.3%):

  

  22,000       AbbVie, Inc.      1,478,180  
  5,687       Allergan plc*      1,725,777  
  23,360       Bristol-Myers Squibb Co.      1,554,374  
  12,426       Eli Lilly & Co.      1,037,447  
  20       GlaxoSmithKline plc, ADR      833  
  31,981       Johnson & Johnson Co.      3,116,868  
  35,645       Merck & Co., Inc.      2,029,270  
  76,178       Pfizer, Inc.      2,554,248  
     

 

 

 
        13,496,997  
     

 

 

 

 

Professional Services (0.2%):

  

  2,080       Dun & Bradstreet Corp.      253,760  
  2,893       Verisk Analytics, Inc.*      210,495  
     

 

 

 
        464,255  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.5%):

  

  16,980       American Capital Agency Corp.      311,923  
  32,556       Annaly Capital Management, Inc.      299,190  
  35,228       Duke Realty Corp.      654,183  
  7,895       Hatteras Financial Corp.      128,689  
  5,250       Healthcare Realty Trust, Inc.      122,115  
  11,610       Liberty Property Trust      374,074  
  5,837       Mack-Cali Realty Corp.      107,576  
  19,300       Senior Housing Properties Trust      338,715  
  13,363       Ventas, Inc.      829,708  
     

 

 

 
        3,166,173  
     

 

 

 
 

 

Continued

 

4


AZL Gateway Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks+, continued

  

 

Road & Rail (0.6%):

  

  3,700       Avis Budget Group, Inc.*    $ 163,096  
  1,610       Canadian Pacific Railway, Ltd.      257,971  
  24,996       CSX Corp.      816,120  
  5,729       Hertz Global Holdings, Inc.*      103,809  
     

 

 

 
        1,340,996  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.5%):

  

  14,645       Advanced Micro Devices, Inc.*      35,148  
  6,247       Altera Corp.      319,846  
  4,965       Analog Devices, Inc.      318,679  
  25,740       Applied Materials, Inc.      494,723  
  56,741       Intel Corp.      1,725,777  
  8,210       Linear Technology Corp.      363,128  
  4,725       Microchip Technology, Inc.      224,083  
  12,250       Micron Technology, Inc.*      230,790  
  11,215       NVIDIA Corp.      225,534  
  4,693       Skyworks Solutions, Inc.      488,541  
  12,080       Texas Instruments, Inc.      622,241  
  6,355       Xilinx, Inc.      280,637  
     

 

 

 
        5,329,127  
     

 

 

 

 

Software (3.6%):

  

  8,241       Activision Blizzard, Inc.      199,515  
  10,005       Adobe Systems, Inc.*      810,505  
  1,156       ANSYS, Inc.*      105,473  
  7,065       Autodesk, Inc.*      353,780  
  98,053       Microsoft Corp.      4,329,039  
  4,650       Nuance Communications, Inc.*      81,422  
  40,371       Oracle Corp.      1,626,951  
  14,155       Symantec Corp.      329,104  
     

 

 

 
        7,835,789  
     

 

 

 

 

Specialty Retail (2.6%):

  

  370       Abercrombie & Fitch Co., Class A      7,959  
  6,547       American Eagle Outfitters, Inc.      112,739  
  5,770       Foot Locker, Inc.      386,648  
  5,690       Gap, Inc. (The)      217,187  
  19,014       Home Depot, Inc. (The)      2,113,026  
  5,365       L Brands, Inc.      459,941  
  19,815       Lowe’s Cos., Inc.      1,327,011  
Shares or
Contracts
           Fair Value  

 

Common Stocks+, continued

  

 

Specialty Retail, continued

  

  4,325       Tiffany & Co.    $ 397,035  
  10,045       TJX Cos., Inc. (The)      664,678  
     

 

 

 
        5,686,224  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (4.8%):

  

  68,972       Apple, Inc.      8,650,812  
  26,205       EMC Corp.      691,550  
  22,856       Hewlett-Packard Co.      685,909  
  5,525       Seagate Technology plc      262,438  
     

 

 

 
        10,290,709  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.2%):

  

  8,753       Michael Kors Holdings, Ltd.*      368,413  
     

 

 

 

 

Thrifts & Mortgage Finance (0.1%):

  

  15,148       New York Community Bancorp, Inc.      278,420  
     

 

 

 

 

Tobacco (1.4%):

  

  25,562       Altria Group, Inc.      1,250,238  
  14,353       Philip Morris International, Inc.      1,150,680  
  7,138       Reynolds American, Inc.      532,923  
  3,522       Vector Group, Ltd.      82,627  
     

 

 

 
        3,016,468  
     

 

 

 

 

Trading Companies & Distributors (0.1%):

  

  2,845       GATX Corp.      151,212  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  

  3,590       SBA Communications Corp., Class A*      412,742  
     

 

 

 

 

Total Common Stocks (Cost $151,680,542)

     209,846,315  
     

 

 

 

 

Purchased Options (0.5%):

  

 

Total Purchased Options (Cost $1,078,659)

     1,180,865  
     

 

 

 

 

Unaffiliated Investment Company (2.7%):

  

  5,781,624      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(a)      5,781,624   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $5,781,624 )

     5,781,624  
     

 

 

 

 

Total Investment Securities (Cost $158,540,825)(b) — 100.9%

     216,808,804   

 

Net other assets (liabilities) — (0.9)%

     (1,967,975
     

 

 

 

 

Net Assets — 100.0%

   $ 214,840,829  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

+ All or a portion of each common stock has been pledged as collateral for outstanding call options written.

 

(a) The rate represents the effective yield at June 30, 2015.

 

(b) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

5


AZL Gateway Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Exchange-traded options purchased as of June 30, 2015 were as follows:

 

Description    Put/
Call
             Strike
Price
     Expiration
Date
     Contracts      Fair Value  

S&P 500 Index

     Put         USD         1900.00         07/17/15         101      $ 35,855  

S&P 500 Index

     Put         USD         1925.00         07/17/15         168        79,800  

S&P 500 Index

     Put         USD         1850.00         08/21/15         166        163,510  

S&P 500 Index

     Put         USD         1875.00         08/21/15         161        190,785  

S&P 500 Index

     Put         USD         1900.00         08/21/15         310        441,750  

S&P 500 Index

     Put         USD         1925.00         09/18/15         101        269,165  
                 

 

 

 

Total

  

            $ 1,180,865  
                 

 

 

 

Exchange-traded options written as of June 30, 2015 were as follows:

 

Description    Put/
Call
             Strike
Price
     Expiration
Date
     Contracts      Fair Value  

S&P 500 Index

     Call         USD         2110.00         07/10/15         93      $ (40,455

S&P 500 Index

     Call         USD         2075.00         07/17/15         122        (264,740

S&P 500 Index

     Call         USD         2100.00         07/17/15         109        (111,725

S&P 500 Index

     Call         USD         2115.00         07/17/15         102        (57,120

S&P 500 Index

     Call         USD         2125.00         07/17/15         118        (40,710

S&P 500 Index

     Call         USD         2065.00         07/24/15         116        (363,080

S&P 500 Index

     Call         USD         2075.00         08/21/15         110        (406,450

S&P 500 Index

     Call         USD         2100.00         08/21/15         116        (277,820

S&P 500 Index

     Call         USD         2125.00         08/21/15         121        (167,585
                 

 

 

 

Total

  

            $ (1,729,685
                 

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL Gateway Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 158,540,825  
    

 

 

 

Investment securities, at value

     $ 216,808,804  

Cash

       64,007  

Interest and dividends receivable

       254,647  

Receivable for investments sold

       41,085  

Reclaims receivable

       2,355  

Prepaid expenses

       351  
    

 

 

 

Total Assets

       217,171,249  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       149,815  

Payable for capital shares redeemed

       245,894  

Written Options (Premiums received $3,976,279)

       1,729,685  

Manager fees payable

       143,223  

Administration fees payable

       5,887  

Distribution fees payable

       44,757  

Custodian fees payable

       2,737  

Administrative and compliance services fees payable

       221  

Trustee fees payable

       1,437  

Other accrued liabilities

       6,764  
    

 

 

 

Total Liabilities

       2,330,420  
    

 

 

 

Net Assets

     $ 214,840,829  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 190,640,031  

Accumulated net investment income/(loss)

       3,619,023  

Accumulated net realized gains/(losses) from investment transactions

       (39,932,795 )

Net unrealized appreciation/(depreciation) on investments

       60,514,570  
    

 

 

 

Net Assets

     $ 214,840,829  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       17,745,318  

Net Asset Value (offering and redemption price per share)

     $ 12.11  
    

 

 

 

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,326,112  

Foreign withholding tax

       (519 )
    

 

 

 

Total Investment Income

       2,325,593  
    

 

 

 

Expenses:

    

Manager fees

       864,440  

Administration fees

       32,252  

Distribution fees

       270,137  

Custodian fees

       5,106  

Administrative and compliance services fees

       1,476  

Trustee fees

       5,929  

Professional fees

       5,924  

Shareholder reports

       3,299  

Other expenses

       2,294  
    

 

 

 

Total expenses

       1,190,857  
    

 

 

 

Net Investment Income/(Loss)

       1,134,736  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       2,018,117  

Net realized gains/(losses) on options contracts

       571,604  

Change in net unrealized appreciation/depreciation on investments

       635,938  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       3,225,659  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 4,360,395  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

7


Statements of Changes in Net Assets

 

     AZL Gateway Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 1,134,736        $ 2,442,548  

Net realized gains/(losses) on investment transactions

       2,589,721          (10,459,561 )

Change in unrealized appreciation/depreciation on investments

       635,938          14,315,683  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       4,360,395          6,298,670  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (2,524,790 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (2,524,790 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       10,271,422          27,031,916  

Proceeds from dividends reinvested

                2,524,790  

Value of shares redeemed

       (17,543,516 )        (27,741,916 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (7,272,094 )        1,814,790  
    

 

 

      

 

 

 

Change in net assets

       (2,911,699 )        5,588,670  

Net Assets:

         

Beginning of period

       217,752,528          212,163,858  
    

 

 

      

 

 

 

End of period

     $ 214,840,829        $ 217,752,528  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 3,619,023        $ 2,484,287  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       855,142          2,299,425  

Dividends reinvested

                212,703  

Shares redeemed

       (1,457,679 )        (2,377,336 )
    

 

 

      

 

 

 

Change in shares

       (602,537 )        134,792  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

8


AZL Gateway Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  April 30, 2010
to
December 31,
2010(a)
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 11.87       $ 11.65       $ 10.83       $ 10.44       $ 10.13       $ 10.00  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.07         0.13         0.13         0.06         0.09         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.17         0.23         0.78         0.37         0.22         0.13  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.24         0.36         0.91         0.43         0.31         0.20  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.14 )       (0.09 )       (0.04 )               (0.07 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.14 )       (0.09 )       (0.04 )               (0.07 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 12.11       $ 11.87       $ 11.65       $ 10.83       $ 10.44       $ 10.13  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       2.02 %(c)       3.09 %       8.44 %       4.15 %       3.06 %       1.98 %(c)

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 214,841       $ 217,753       $ 212,164       $ 169,796       $ 52,116       $ 16,217  

Net Investment Income/(Loss)(d)

       1.05 %       1.14 %       1.35 %       1.74 %       1.37 %       1.38 %

Expenses Before Reductions(d) (e)

       1.10 %       1.10 %       1.11 %       1.14 %       1.25 %       1.59 %

Expenses Net of Reductions(d)

       1.10 %       1.10 %       1.10 %       1.11 %       1.24 %       1.25 %

Expenses Net of Reductions(d) (f)

       1.10 %       1.10 %       1.11 %       1.14 %       1.25 %       1.25 %

Portfolio Turnover Rate

       3 %(c)       18 %       16 %       5 %       12 %       28 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses. See note 2 in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

9


AZL Gateway Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Gateway Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

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.

 

10


AZL Gateway Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015, the Fund used purchased and written put and call options to hedge against security prices (equity risk).A stock index fluctuates with changes in the fair values of the stocks included in the index, and therefore options on stock indexes and options on stocks involve elements of equity price risk.

Purchased Options Contracts — The Fund pays a premium which is included in “Investments, at value” on the Statement of Assets and Liabilities and marked to market to reflect the current value of the option. Premiums paid for purchasing put options that expire are treated as realized losses. When a put option is exercised or closed, premiums paid for purchasing put options are offset against proceeds to determine the realized gain/loss on the transaction. The Fund bears the risk of loss of the premium and change in value should the counterparty not perform under the contract.

Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.

Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.

The Fund had the following transactions in purchased call and put options during the period ended June 30, 2015:

 

        Number of
Contracts
     Cost

Options outstanding at December 31, 2014

         1,034          $ 1,371,118  

Options purchased

         3,623            4,129,188  

Options exercised

                     

Options expired

         (1,266 )          (1,533,603 )

Options closed

         (2,384 )          (2,888,045 )
      

 

 

        

 

 

 

Options outstanding at June 30, 2015

         1,007          $ 1,078,658  
      

 

 

        

 

 

 

The Fund had the following transactions in written call and put options during the period ended June 30, 2015:

 

       

Number of

Contracts

     Premiums
Received

Options outstanding at December 31, 2014

         (1,034 )        $ (4,598,555 )

Options written

         (5,888 )          (19,222,739 )

Options exercised

                    107,917  

Options expired

         75             

Options closed

         5,840            19,737,098  
      

 

 

        

 

 

 

Options outstanding at June 30, 2015

         (1,007 )        $ (3,976,279 )
      

 

 

        

 

 

 

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 

Equity Risk Exposure

       
Equity Contracts   Investment securities, at value (purchased options)   $ 1,180,865      Written options   $ 1,729,685   

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, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
    

Change in Unrealized

Appreciation/Depreciation on

Derivatives Recognized in Income

 

Equity Risk Exposure

       
Equity Contracts   Net realized gains/(losses) on options contracts/Change in unrealized appreciation/depreciation on investments    $ 571,604       $ 2,730,945   

 

11


AZL Gateway Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Gateway Investment Advisers, LLC (“Gateway”), Gateway provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Gateway Fund

         0.80 %          1.25 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,161 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

12


AZL Gateway Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy.

The Fund generally values index options at the average of the closing bid and ask quotations on the principal exchange on which the option is traded and are typically categorized as Level 1 in the fair value hierarchy. For options where market quotations are not readily available, fair value procedures as described below may be applied. Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 209,846,315          $          $ 209,846,315  

Purchased Options

         1,180,865                       1,180,865  

Unaffiliated Investment Company

         5,781,624                       5,781,624  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         216,808,804                       216,808,804  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Written Options

         2,246,594                       2,246,594  
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 219,055,398          $          $ 219,055,398  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as written options. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 5,892,283          $ 10,911,169  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all

 

13


AZL Gateway Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $159,049,949. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 61,089,352  

Unrealized depreciation

    (3,330,497
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 57,758,855   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

     Expires
12/31/2018
 

AZL Gateway Fund

  $ 10,170   

CLCFs not subject to expiration:

 

        Short Term
Amount
     Long Term
Amount
     Total
Amount

AZL Gateway Fund

       $ 22,222,306          $ 20,074,988          $ 42,297,294  

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Gateway Fund

       $ 2,524,790          $          $ 2,524,790  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, 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

       $ 2,444,751          $          $ (42,307,464 )        $ 59,703,116          $ 19,840,403  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

14


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

15


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® International Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 13

Statement of Operations

Page 13

Statements of Changes in Net Assets

Page 14

Financial Highlights

Page 15

Notes to the Financial Statements

Page 16

Other Information

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

Expense Examples

(Unaudited)

 

As a shareholder of the AZL International Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL International Index Fund

       $ 1,000.00          $ 1,060.20          $ 3.73            0.73 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL International Index Fund

       $ 1,000.00          $ 1,021.17          $ 3.66            0.73 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Japan

      22.4 %

United Kingdom

      19.0  

Switzerland

      9.6  

France

      9.0  

Germany

      8.7  

Australia

      6.7  

Spain

      3.4  

Netherlands

      3.2  

Hong Kong

      2.9  

Sweden

      2.8  

All other countries

      10.3  
   

 

 

 

Total Common Stocks and Preferred Stocks

      98.0  

Rights

      ^

Securities Held as Collateral for Securities on Loan

      2.9  

Money Market

      0.1  
   

 

 

 

Total Investment Securities

      101.0  

Net other assets (liabilities)

      (1.0 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%.

 

1


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (97.4%):

  

 

Aerospace & Defense (0.9%):

  

  137,694       BAE Systems plc    $ 977,073  
  47,975       Cobham plc      198,091  
  25,542       European Aeronautic Defence & Space Co. NV      1,654,603  
  16,535       Finmeccanica SpA*      207,664  
  35,667       Meggitt plc      261,638  
  80,137       Rolls-Royce Holdings plc      1,096,703  
  12,437       Safran SA      842,031  
  74,800       Singapore Technologies Engineering, Ltd.      183,148  
  4,546       Thales SA      274,983  
  8,663       Zodiac Aerospace      281,893  
     

 

 

 
        5,977,827  
     

 

 

 

 

Air Freight & Logistics (0.2%):

  

  37,424       Bollore      199,604  
  42,031       Deutsche Post AG      1,227,715  
  34,556       Royal Mail plc      279,154  
  21,397       TNT Express NV      181,382  
  14,300       Yamato Holdings Co., Ltd.      275,912  
     

 

 

 
        2,163,767  
     

 

 

 

 

Airlines (0.1%):

  

  47,000       All Nippon Airways Co., Ltd.      127,486  
  44,000       Cathay Pacific Airways, Ltd.      108,109  
  10,558       Deutsche Lufthansa AG, Registered Shares*      136,079  
  7,065       easyJet plc      171,435  
  35,080       International Consolidated Airlines Group SA*      273,789  
  5,370       Japan Airlines Co., Ltd.      187,189  
  24,606       Qantas Airways, Ltd.*      59,689  
  1,400       Ryanair Holdings plc, ADR      99,890  
  27,200       Singapore Airlines, Ltd.      216,922  
     

 

 

 
        1,380,588  
     

 

 

 

 

Auto Components (1.2%):

  

  8,000       Aisin Sieki Co., Ltd.      339,989  
  27,700       Bridgestone Corp.      1,023,998  
  8,055       Compagnie Generale des Establissements Michelin SCA, Class B      845,490  
  4,791       Continental AG      1,133,137  
  20,700       Denso Corp.      1,030,329  
  72,386       GKN plc      379,992  
  4,200       Koito Manufacturing Co., Ltd.      163,710  
  7,600       NGK Spark Plug Co., Ltd.      210,314  
  6,000       NHK SPRING Co., Ltd.      66,008  
  4,400       NOK Corp.      136,376  
  5,373       Nokian Renkaat OYJ      168,290  
  11,404       Pirelli & C. SpA      192,058  
  5,700       Stanley Electric Co., Ltd.      119,039  
  33,200       Sumitomo Electric Industries, Ltd.      514,335  
  6,800       Sumitomo Rubber Industries, Ltd.      105,195  
  4,500       The Yokohama Rubber Co., Ltd.^      90,325  
  3,300       Toyoda Gosei Co., Ltd.      79,350  
  6,900       Toyota Industries Corp.      393,181  
  3,394       Valeo SA      536,459  
     

 

 

 
        7,527,575  
     

 

 

 

 

Automobiles (3.7%):

  

  14,395       Bayerische Motoren Werke AG (BMW)^      1,574,719  
  7,600       Daihatsu Motor Co., Ltd.      108,170  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Automobiles, continued

  

  41,451       Daimler AG, Registered Shares    $ 3,770,633  
  38,241       Fiat Chrysler Automobiles NV*      559,573  
  25,000       Fuji Heavy Industries, Ltd.      918,383  
  70,800       Honda Motor Co., Ltd.      2,289,077  
  25,000       Isuzu Motors, Ltd.      328,089  
  23,500       Mazda Motor Corp.      462,445  
  27,000       Mitsubishi Motors Corp.      229,791  
  108,500       Nissan Motor Co., Ltd.      1,127,176  
  18,544       PSA Peugeot Citroen SA*      380,520  
  8,323       Renault SA      869,114  
  15,600       Suzuki Motor Corp.      526,625  
  118,100       Toyota Motor Corp.      7,899,638  
  1,518       Volkswagen AG^      351,127  
  10,700       Yamaha Motor Co., Ltd.      233,856  
     

 

 

 
        21,628,936  
     

 

 

 

 

Banks (14.2%):

  

  49,000       Aozora Bank, Ltd.      184,554  
  119,760       Australia & New Zealand Banking Group, Ltd.      2,967,013  
  9,434       Banca Monte dei Paschi di Siena SpA*      18,352  
  268,574       Banco Bilbao Vizcaya Argentaria SA      2,641,595  
  1,835,632       Banco Commercial Portugues SA*      159,378  
  212,395       Banco de Sabadell SA      512,272  
  15,088       Banco Popolare SC*      247,893  
  77,057       Banco Popular Espanol SA      374,860  
  599,202       Banco Santander SA      4,182,362  
  43,785       Bank Hapoalim BM      235,929  
  63,223       Bank Leumi Le*      267,492  
  54,800       Bank of East Asia, Ltd. (The)^      239,610  
  1,187,306       Bank of Ireland*      479,273  
  16,000       Bank of Kyoto, Ltd. (The)      183,351  
  15,688       Bank of Queensland, Ltd.      153,467  
  47,000       Bank of Yokohama, Ltd. (The)      288,016  
  196,123       Bankia SA*      249,423  
  29,008       Bankinter SA      215,032  
  714,687       Barclays plc      2,922,220  
  21,061       Bendigo & Adelaide Bank, Ltd.      198,980  
  46,044       BNP Paribas SA      2,775,769  
  161,000       BOC Hong Kong Holdings, Ltd.      669,509  
  29,000       Chiba Bank, Ltd. (The)      220,910  
  7,800       Chugoku Bank, Ltd. (The)      122,980  
  142,030       Chuo Mitsui Trust Holdings, Inc.      649,934  
  45,445       Commerzbank AG*      580,625  
  70,224       Commonwealth Bank of Australia      4,576,980  
  44,516       Credit Agricole SA      661,268  
  97,612       Criteria Caixacorp SA      453,659  
  31,055       Danske Bank A/S      915,107  
  73,700       DBS Group Holdings, Ltd.      1,131,142  
  42,391       DnB NOR ASA      706,578  
  11,791       Erste Group Bank AG*      334,579  
  31,000       Fukuoka Financial Group, Inc.      160,677  
  16,000       Gunma Bank, Ltd. (The)      118,106  
  18,000       Hachijuni Bank, Ltd. (The)      135,797  
  33,300       Hang Seng Bank, Ltd.      650,786  
  21,000       Hiroshima Bank, Ltd. (The)      125,463  
  53,000       Hokuhoku Financial Group, Inc.      125,055  
 

 

Continued

 

2


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  830,185       HSBC Holdings plc    $ 7,431,240  
  167,576       ING Groep NV      2,778,344  
  56,198       Intesa Sanpaolo      179,141  
  537,621       Intesa Sanpaolo SpA      1,946,642  
  11,000       Iyo Bank, Ltd. (The)      135,062  
  28,000       Joyo Bank, Ltd. (The)      156,828  
  10,830       KBC Groep NV      722,914  
  2,466,388       Lloyds Banking Group plc      3,310,320  
  550,800       Mitsubishi UFJ Financial Group, Inc.      3,941,966  
  5,321       Mizrahi Tefahot Bank, Ltd.      66,033  
  1,011,139       Mizuho Financial Group, Inc.      2,180,612  
  112,865       National Australia Bank, Ltd.      2,879,485  
  41,721       Natixis      299,921  
  131,588       Nordea Bank AB      1,639,328  
  125,899       Oversea-Chinese Banking Corp., Ltd.      950,829  
  5,297       Raiffeisen International Bank-Holding AG*^      76,927  
  99,487       Resona Holdings, Inc.      541,688  
  109,354       Royal Bank of Scotland Group plc*      604,125  
  26,200       Seven Bank, Ltd.      121,077  
  79,000       Shinsei Bank, Ltd.      158,968  
  22,000       Shizuoka Bank, Ltd. (The)      229,671  
  66,804       Skandinaviska Enskilda Banken AB, Class A      853,671  
  31,349       Societe Generale      1,462,386  
  106,690       Standard Chartered plc      1,706,418  
  55,169       Sumitomo Mitsui Financial Group, Inc.      2,451,705  
  7,200       Suruga Bank, Ltd.      154,396  
  66,165       Svenska Handelsbanken AB, A Shares      964,876  
  39,677       Swedbank AB, A Shares      924,616  
  36,738       UBI Banca—Unione di Banche Italiane SCPA      294,314  
  186,590       UniCredit SpA      1,251,671  
  55,473       United Overseas Bank, Ltd.      949,409  
  134,395       Westpac Banking Corp.      3,331,642  
  9,000       Yamaguchi Financial Group, Inc.      112,068  
     

 

 

 
        76,644,289  
     

 

 

 

 

Beverages (2.5%):

  

  34,783       Anheuser-Busch InBev NV      4,185,776  
  16,700       Asahi Breweries, Ltd.      530,849  
  4,441       Carlsberg A/S, Class B      403,158  
  26,462       Coca-Cola Amatil, Ltd.      185,776  
  8,531       Coca-Cola HBC AG      183,087  
  108,048       Diageo plc      3,131,409  
  4,154       Heineken Holding NV      292,389  
  10,024       Heineken NV      763,049  
  35,300       Kirin Holdings Co., Ltd.      485,948  
  9,255       Pernod Ricard SA      1,070,591  
  1,111       Remy Cointreau SA      79,947  
  42,166       SABMiller plc      2,185,676  
  5,700       Suntory Beverage & Food, Ltd.      229,197  
  29,142       Treasury Wine Estates, Ltd.      111,364  
     

 

 

 
        13,838,216  
     

 

 

 

 

Biotechnology (0.3%):

  

  4,483       Actelion, Ltd., Registered Shares      657,579  
  20,559       CSL, Ltd.      1,364,413  
  6,330       Grifols SA      255,643  
     

 

 

 
        2,277,635  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Building Products (0.7%):

  

  42,000       Asahi Glass Co., Ltd.    $ 251,794  
  43,836       Assa Abloy AB, Class B      825,884  
  20,341       Compagnie de Saint-Gobain SA      915,288  
  10,100       Daikin Industries, Ltd.      726,372  
  1,639       Geberit AG, Registered Shares      547,400  
  11,500       Lixil Group Corp.      228,109  
  13,000       TOTO, Ltd.      234,131  
     

 

 

 
        3,728,978  
     

 

 

 

 

Capital Markets (2.0%):

  

  40,065       3i Group plc      324,795  
  38,917       Aberdeen Asset Management plc      246,751  
  65,851       Credit Suisse Group AG      1,809,902  
  70,300       Daiwa Securities Group, Inc.      525,182  
  59,501       Deutsche Bank AG, Registered Shares      1,786,823  
  11,503       Hargreaves Lansdown plc      208,196  
  24,251       ICAP plc      201,558  
  25,402       Investec plc      228,082  
  9,814       Julius Baer Group, Ltd.      551,487  
  12,673       Macquarie Group, Ltd.      796,100  
  24,404       Mediobanca SpA      238,925  
  154,200       Nomura Holdings, Inc.      1,039,461  
  697       Partners Group Holding AG      208,176  
  10,205       Platinum Asset Management, Ltd.      58,546  
  9,090       SBI Holdings, Inc.      125,096  
  5,557       Schroders plc      277,053  
  157,004       UBS Group AG      3,329,872  
     

 

 

 
        11,956,005  
     

 

 

 

 

Chemicals (3.6%):

  

  14,902       Air Liquide SA      1,882,614  
  8,000       Air Water, Inc.      146,026  
  10,426       AkzoNobel NV      761,692  
  2,834       Arkema, Inc.      204,172  
  53,000       Asahi Kasei Corp.      434,214  
  39,679       BASF SE      3,486,441  
  5,724       Croda International plc      247,316  
  14,000       Daicel Chemical Industries, Ltd.      179,714  
  358       Ems-Chemie Holding AG      150,955  
  4,059       Evonik Industries AG      154,751  
  2,843       Fuchs Petrolub SE      120,036  
  402       Givaudan SA, Registered Shares      696,843  
  4,200       Hitachi Chemical Co., Ltd.      75,686  
  68,680       Incitec Pivot, Ltd.      202,680  
  21,865       Israel Chemicals, Ltd.      152,853  
  103       Israel Corp., Ltd. (The)      36,346  
  8,985       Johnson Matthey plc      428,830  
  8,800       JSR Corp.      155,276  
  8,270       K+S AG, Registered Shares      348,227  
  10,000       Kaneka Corp.      73,726  
  10,000       Kansai Paint Co., Ltd.      154,892  
  7,763       Koninklijke DSM NV      451,232  
  14,100       Kuraray Co., Ltd.      172,363  
  3,952       Lanxess AG      232,940  
  8,030       Linde AG      1,520,287  
  57,600       Mitsubishi Chemical Holdings Corp.      361,290  
 

 

Continued

 

3


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  

  16,000       Mitsubishi Gas Chemical Co., Inc.    $ 89,566  
  35,000       Mitsui Chemicals, Inc.      129,791  
  6,600       Nippon Paint Holdings Co., Ltd.^      186,171  
  7,000       Nitto Denko Corp.      574,918  
  10,265       Novozymes A/S, B Shares      489,007  
  15,601       Orica, Ltd.^      255,652  
  17,500       Shin-Etsu Chemical Co., Ltd.      1,085,595  
  97       Sika AG, Bearer Shares      341,937  
  2,723       Solvay SA      374,233  
  64,000       Sumitomo Chemical Co., Ltd.      384,478  
  5,287       Symrise AG      327,984  
  4,015       Syngenta AG, Registered Shares      1,645,702  
  6,300       Taiyo Nippon Sanso Corp.^      76,194  
  39,000       Teijin, Ltd.      151,258  
  67,000       Toray Industries, Inc.      565,764  
  4,424       Umicore      209,637  
  7,577       Yara International ASA      395,494  
     

 

 

 
        20,114,783  
     

 

 

 

 

Commercial Services & Supplies (0.5%):

  

  11,031       Aggreko plc      249,171  
  10,277       Babcock International Group plc      174,206  
  66,228       Brambles, Ltd.      538,566  
  23,000       Dai Nippon Printing Co., Ltd.      237,463  
  8,715       Edenred      215,284  
  65,671       G4S plc      276,899  
  6,413       ISS A/S      211,295  
  4,200       Park24 Co., Ltd.      71,911  
  9,000       SECOM Co., Ltd.      583,877  
  13,436       Securitas AB, B Shares      177,601  
  1,176       Societe BIC SA      187,686  
  23,000       Toppan Printing Co., Ltd.      192,305  
     

 

 

 
        3,116,264  
     

 

 

 

 

Communications Equipment (0.5%):

  

  117,235       Alcatel-Lucent*      427,883  
  159,845       Nokia Oyj^      1,082,883  
  131,668       Telefonaktiebolaget LM Ericsson, B Shares      1,363,665  
     

 

 

 
        2,874,431  
     

 

 

 

 

Construction & Engineering (0.7%):

  

  8,507       ACS, Actividades de Construccion y Servicios SA      274,447  
  8,652       Bouygues SA      322,703  
  6,000       Chiyoda Corp.      53,115  
  4,350       Cimic Group, Ltd.      72,541  
  19,626       Ferrovial SA      426,627  
  9,000       JGC Corp.      169,878  
  37,000       Kajima Corp.      173,732  
  3,737       Koninklijke Boskalis Westminster NV^      183,427  
  29,000       Obayashi Corp.      211,461  
  3,657       OCI NV      103,666  
  24,000       Shimizu Corp.      202,061  
  15,612       Skanska AB, Class B      316,557  
  43,000       TAISEI Corp.      246,832  
  20,514       Vinci SA      1,184,980  
     

 

 

 
        3,942,027  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Construction Materials (0.6%):

  

  33,601       Boral, Ltd.    $ 150,845  
  34,590       CRH plc      975,352  
  32,082       Fletcher Building, Ltd.      176,815  
  6,040       HeidelbergCement AG      478,813  
  9,932       Holcim, Ltd., Registered Shares      734,431  
  1,398       Imerys SA      106,945  
  18,616       James Hardie Industries SE      248,427  
  8,237       Lafarge SA      544,843  
  49,000       Taiheiyo Cement Corp.      143,269  
     

 

 

 
        3,559,740  
     

 

 

 

 

Consumer Finance (0.1%):

  

  18,900       ACOM Co., Ltd.*^      72,367  
  4,900       Aeon Credit Service Co., Ltd.      136,010  
  6,600       Credit Saison Co., Ltd.      141,974  
     

 

 

 
        350,351  
     

 

 

 

 

Containers & Packaging (0.1%):

  

  53,001       Amcor, Ltd.      559,908  
  29,346       Rexam plc      254,635  
  6,400       Toyo Seikan Kaisha, Ltd.      102,502  
     

 

 

 
        917,045  
     

 

 

 

 

Distributors (0.0%):

  

  4,400       Jardine Cycle & Carriage, Ltd.      108,015  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  3,100       Benesse Holdings, Inc.      77,572  
     

 

 

 

 

Diversified Financial Services (0.9%):

  

  7,909       ASX, Ltd.      242,596  
  8,470       Deutsche Boerse AG      700,975  
  1,692       Eurazeo      111,877  
  4,081       EXOR SpA^      194,622  
  93,750       First Pacific Co., Ltd.      78,998  
  3,376       Groupe Bruxelles Lambert SA      271,651  
  47,900       Hong Kong Exchanges & Clearing, Ltd.      1,688,159  
  7,850       Industrivarden AB, C Shares      147,842  
  19,762       Investor AB, B Shares      735,739  
  11,800       Japan Exchange Group, Inc.      382,790  
  9,680       Kinnevik Investment AB, Class B      305,903  
  13,349       London Stock Exchange Group plc      497,906  
  21,900       Mitsubishi UFJ Lease & Finance Co., Ltd.      119,771  
  56,300       ORIX Corp.      840,663  
  1,526       Pargesa Holding SA      102,483  
  34,000       Singapore Exchange, Ltd.      197,010  
     

 

 

 
        6,618,985  
     

 

 

 

 

Diversified Telecommunication Services (2.9%):

  

  6,419       Belgacom SA      226,356  
  89,571       Bezeq Israeli Telecommunication Corp., Ltd. (The)      152,638  
  361,509       BT Group plc      2,559,837  
  136,605       Deutsche Telekom AG, Registered Shares      2,351,389  
  6,107       Elisa OYJ      193,366  
  80,538       France Telecom SA^      1,245,995  
  110,820       HKT Trust & HKT, Ltd.      130,333  
  1,172       Iliad SA      259,237  
  19,887       Inmarsat plc      285,679  
 

 

Continued

 

4


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Diversified Telecommunication Services, continued

  

  139,931       Koninklijke (Royal) KPN NV    $ 536,971  
  33,152       Nippon Telegraph & Telephone Corp.      1,199,977  
  175,000       PCCW, Ltd.      104,255  
  353,700       Singapore Telecommunications, Ltd.      1,099,973  
  1,106       Swisscom AG, Registered Shares^      619,623  
  34,301       TDC A/S      251,287  
  78,865       Telecom Corp. of New Zealand, Ltd.      149,215  
  273,349       Telecom Italia SpA^      278,259  
  429,926       Telecom Italia SpA*      545,284  
  24,007       Telefonica Deutschland Holding AG^      138,616  
  191,790       Telefonica SA      2,732,939  
  31,690       Telenor ASA      695,374  
  113,660       TeliaSonera AB      668,996  
  181,710       Telstra Corp., Ltd.      856,096  
  11,577       TPG Telecom, Ltd.      79,936  
     

 

 

 
        17,361,631  
     

 

 

 

 

Electric Utilities (1.8%):

  

  72,399       AusNet Services      77,835  
  26,000       Cheung Kong Infrastructure Holdings, Ltd.      201,778  
  29,100       Chubu Electric Power Co., Inc.      433,633  
  13,700       Chugoku Electric Power Co., Inc. (The)      199,660  
  82,500       CLP Holdings, Ltd.      703,445  
  19,776       Contact Energy, Ltd.      67,124  
  93,919       EDP - Energias de Portugal SA      356,329  
  10,741       Electricite de France      239,376  
  13,903       Endesa SA^      266,467  
  304,634       Enel SpA      1,377,121  
  18,976       Fortum OYJ      337,594  
  7,100       Hokuriku Electric Power Co.      105,683  
  59,000       Hongkong Electric Holdings, Ltd.      537,492  
  232,006       Iberdrola SA      1,566,968  
  29,500       Kansai Electric Power Co., Inc. (The)*      326,115  
  18,100       Kyushu Electric Power Co., Inc.*      209,609  
  31,280       Mighty River Power, Ltd.      59,097  
  3,926       Red Electrica Corporacion SA^      315,302  
  43,075       Scottish & Southern Energy plc      1,040,999  
  7,500       Shikoku Electric Power Co., Inc.      112,135  
  70,604       Terna SpA      311,680  
  19,500       Tohoku Electric Power Co., Inc.      263,774  
  62,100       Tokyo Electric Power Co., Inc. (The)*      338,229  
     

 

 

 
        9,447,445  
     

 

 

 

 

Electrical Equipment (1.2%):

  

  95,397       ABB, Ltd.      1,999,508  
  8,973       Alstom SA*      254,396  
  23,000       Fuji Electric Holdings Co., Ltd.      98,853  
  11,257       Legrand SA      631,442  
  2,100       Mabuchi Motor Co., Ltd.      132,709  
  84,000       Mitsubishi Electric Corp.      1,082,973  
  9,400       Nidec Corp.      705,148  
  3,810       OSRAM Licht AG      182,355  
  9,399       Prysmian SpA      202,834  
  24,006       Schneider Electric SA      1,655,492  
  9,547       Vestas Wind Systems A/S      477,961  
     

 

 

 
        7,423,671  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components (1.2%):

  

  9,200       Citizen Holdings Co., Ltd.    $ 64,159  
  6,000       Hamamatsu Photonics K.K.      176,451  
  10,687       Hexagon AB, B Shares      387,115  
  1,295       Hirose Electric Co., Ltd.      185,323  
  3,200       Hitachi High-Technologies Corp.      90,539  
  210,100       Hitachi, Ltd.      1,384,051  
  4,800       IBIDEN Co., Ltd.      81,424  
  14,900       Japan Display, Inc.*      55,965  
  1,970       Keyence Corp.      1,062,284  
  13,800       Kyocera Corp.      717,162  
  8,900       Murata Manufacturing Co., Ltd.      1,551,928  
  16,000       Nippon Electric Glass Co., Ltd.      80,927  
  8,400       Omron Corp.      364,883  
  11,000       Shimadzu Corp.      149,199  
  5,300       TDK Corp.      407,990  
  8,600       Yaskawa Electric Corp.^      109,890  
  9,500       Yokogawa Electric Corp.      122,077  
     

 

 

 
        6,991,367  
     

 

 

 

 

Energy Equipment & Services (0.2%):

  

  16,640       AMEC plc      213,534  
  11,969       Petrofac, Ltd.      174,169  
  11,126       Saipem SpA*^      117,616  
  15,214       Seadrill, Ltd.^      158,272  
  11,410       Subsea 7 SA*^      111,628  
  4,210       Technip-Coflexip SA      260,732  
  21,314       Tenaris SA      287,672  
  15,161       Transocean, Ltd.^      246,048  
  9,028       WorleyParsons, Ltd.      71,958  
     

 

 

 
        1,641,629  
     

 

 

 

 

Food & Staples Retailing (1.6%):

  

  29,000       Aeon Co., Ltd.      411,417  
  23,415       Carrefour SA^      748,967  
  2,351       Casino Guichard-Perrachon SA      177,942  
  3,083       Colruyt SA      137,924  
  4,359       Delhaize Group      359,555  
  26,252       Distribuidora Internacional de Alimentacion SA^      200,945  
  2,300       FamilyMart Co., Ltd.      105,665  
  3,375       ICA Gruppen AB      119,730  
  59,361       J Sainsbury plc      247,331  
  12,095       Jeronimo Martins SGPS SA      155,323  
  37,998       Koninklijke Ahold NV      714,450  
  2,800       LAWSON, Inc.      191,558  
  6,972       Metro AG      219,757  
  32,700       Seven & I Holdings Co., Ltd.      1,404,376  
  344,734       Tesco plc      1,150,373  
  48,550       Wesfarmers, Ltd.      1,455,058  
  93,885       William Morrison Supermarkets plc      266,472  
  54,975       Woolworths, Ltd.      1,137,421  
     

 

 

 
        9,204,264  
     

 

 

 

 

Food Products (4.0%):

  

  24,000       Ajinomoto Co., Inc.      519,545  
  3,899       Aryzta AG^      192,398  
  15,409       Associated British Foods plc      696,007  
 

 

Continued

 

5


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food Products, continued

  

  92       Barry Callebaut AG, Registered Shares    $ 104,654  
  3,300       Calbee, Inc.      138,743  
  25,028       Danone SA      1,616,702  
  288,782       Golden Agri-Resources, Ltd.      87,887  
  6,948       Kerry Group plc, Class A      514,604  
  6,000       Kikkoman Corp.      187,333  
  43       Lindt & Spruengli AG      227,270  
  4       Lindt & Spruengli AG, Registered Shares      249,936  
  2,626       Meiji Holdings Co., Ltd.      338,766  
  139,296       Nestle SA, Registered Shares      10,071,779  
  9,000       Nippon Meat Packers, Inc.      204,896  
  9,645       Nisshin Seifun Group, Inc.      128,212  
  2,600       Nissin Foods Holdings Co., Ltd.      114,029  
  36,333       Orkla ASA, Class A      285,489  
  19,587       Tate & Lyle plc      159,781  
  3,800       Toyo Suisan Kaisha, Ltd.      138,265  
  70,096       Unilever NV      2,929,246  
  55,139       Unilever plc      2,369,793  
  301,000       WH Group, Ltd.*      204,084  
  82,500       Wilmar International, Ltd.      200,745  
  3,800       Yakult Honsha Co., Ltd.      224,707  
  5,000       Yamazaki Baking Co., Ltd.^      83,205  
     

 

 

 
        21,988,076  
     

 

 

 

 

Gas Utilities (0.6%):

  

  47,414       APA Group      299,028  
  6,986       Enagas^      190,393  
  16,215       Gas Natural SDG SA^      368,500  
  305,212       Hong Kong & China Gas Co., Ltd.      639,993  
  80,000       Osaka Gas Co., Ltd.      315,738  
  97,701       Snam Rete Gas SpA      464,212  
  18,000       Toho Gas Co., Ltd.      106,572  
  101,000       Tokyo Gas Co., Ltd.      535,947  
     

 

 

 
        2,920,383  
     

 

 

 

 

Health Care Equipment & Supplies (0.9%):

  

  2,467       Cochlear, Ltd.      151,802  
  4,936       Coloplast A/S, Class B      324,611  
  17,070       Elekta AB, B Shares^      107,100  
  8,914       Essilor International SA Compagnie Generale d’Optique      1,062,112  
  8,480       Getinge AB, B Shares^      204,094  
  18,400       HOYA Corp.      736,905  
  11,500       Olympus Co., Ltd.      396,536  
  38,958       Smith & Nephew plc      658,179  
  2,183       Sonova Holding AG, Registered Shares      295,580  
  6,200       Sysmex Corp.      369,104  
  12,700       Terumo Corp.^      305,350  
  1,254       William Demant Holding A/S*^      95,564  
     

 

 

 
        4,706,937  
     

 

 

 

 

Health Care Providers & Services (0.5%):

  

  6,800       Alfresa Holdings Corp.      105,704  
  9,422       Fresenius Medical Care AG & Co., KGaA      777,348  
  16,550       Fresenius SE & Co. KGaA      1,065,309  
  49,452       Healthscope, Ltd.      103,127  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  6,500       Medipal Holdings Corp.    $ 105,793  
  2,100       Miraca Holdings, Inc.      104,649  
  6,119       Ramsay Health Care, Ltd.      289,730  
  13,306       Ryman Healthcare, Ltd.      71,546  
  17,423       Sonic Healthcare, Ltd.      287,057  
  3,270       Suzuken Co., Ltd.      104,504  
     

 

 

 
        3,014,767  
     

 

 

 

 

Health Care Technology (0.0%):

  

  7,700       M3, Inc.      154,669  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.1%):

  

  8,969       Accor SA      453,585  
  23,475       Aristocrat Leisure, Ltd.      137,420  
  7,696       Carnival plc      393,571  
  72,419       Compass Group plc      1,199,408  
  15,340       Crown, Ltd.      143,426  
  2,307       Flight Centre, Ltd.^      60,604  
  99,000       Galaxy Entertainment Group, Ltd.      394,337  
  256,857       Genting Singapore plc      170,589  
  10,487       InterContinental Hotels Group plc      423,014  
  2,929       McDonald’s Holdings Co., Ltd.^      61,862  
  30,653       Merlin Entertainments plc      205,507  
  38,000       MGM China Holdings, Ltd.      62,029  
  8,700       Oriental Land Co., Ltd.      555,205  
  108,900       Sands China, Ltd.      366,396  
  51,333       Shangri-La Asia, Ltd.      71,407  
  86,000       SJM Holdings, Ltd.^      93,210  
  4,020       Sodexo, Inc.      381,414  
  33,961       Tabcorp Holdings, Ltd.      118,397  
  66,313       Tatts Group, Ltd.      189,232  
  19,351       TUI AG      313,594  
  7,973       Whitbread plc      620,222  
  39,539       William Hill plc      250,718  
  65,200       Wynn Macau, Ltd.      108,453  
     

 

 

 
        6,773,600  
     

 

 

 

 

Household Durables (1.0%):

  

  42,498       Barratt Developments plc      410,073  
  8,600       Casio Computer Co., Ltd.^      169,547  
  10,232       Electrolux AB, Series B      320,318  
  16,881       Husqvarna AB, B Shares^      127,185  
  6,800       Iida Group Holdings Co., Ltd.      108,256  
  14,600       Nikon Corp.^      168,779  
  95,800       Panasonic Corp.      1,312,818  
  13,519       Persimmon plc*      420,070  
  1,700       Rinnai Corp.      134,547  
  17,000       Sekisui Chemical Co., Ltd.      208,175  
  25,100       Sekisui House, Ltd.      397,663  
  66,000       Sharp Corp.*^      80,561  
  50,600       Sony Corp.*      1,436,067  
  139,373       Taylor Wimpey plc      406,426  
  63,500       Techtronic Industries Co., Ltd.      209,096  
     

 

 

 
        5,909,581  
     

 

 

 
 

 

Continued

 

6


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Household Products (0.7%):

  

  4,404       Henkel AG & Co. KGaA    $ 420,832  
  27,736       Reckitt Benckiser Group plc      2,394,547  
  25,867       Svenska Cellulosa AB, B Shares      657,921  
  15,500       Unicharm Corp.      368,328  
     

 

 

 
        3,841,628  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.0%):

  

  6,100       Electric Power Development Co., Ltd.      215,335  
  77,089       Enel Green Power SpA      150,534  
  56,029       Meridian Energy, Ltd.*      81,923  
     

 

 

 
        447,792  
     

 

 

 

 

Industrial Conglomerates (1.1%):

  

  22,000       Keihan Electric Railway Co., Ltd.      129,089  
  61,800       Keppel Corp., Ltd.      376,740  
  40,748       Koninklijke Philips Electronics NV      1,039,874  
  66,390       NWS Holdings, Ltd.      95,709  
  4,800       Seibu Holdings, Inc.      111,506  
  49,600       SembCorp Industries, Ltd.      143,233  
  34,139       Siemens AG, Registered Shares      3,437,530  
  16,833       Smiths Group plc      298,271  
  175,000       Toshiba Corp.      599,736  
  1,293       Wendel      158,416  
     

 

 

 
        6,390,104  
     

 

 

 

 

Insurance (5.5%):

  

  9,593       Admiral Group plc      208,818  
  79,958       AEGON NV      587,002  
  8,700       Ageas NV      335,004  
  520,600       AIA Group, Ltd.      3,402,734  
  19,741       Allianz SE, Registered Shares +      3,073,106  
  130,254       AMP, Ltd.      599,088  
  50,811       Assicurazioni Generali SpA      914,371  
  173,397       Aviva plc      1,343,764  
  84,396       AXA SA      2,126,538  
  2,231       Baloise Holding AG, Registered Shares      271,933  
  6,995       CNP Assurances      116,755  
  46,500       Dai-ichi Life Insurance Co., Ltd. (The)      913,330  
  10,252       Delta Lloyd NV      168,626  
  58,106       Direct Line Insurance Group plc      306,808  
  8,863       Gjensidige Forsikring ASA      142,803  
  2,639       Hannover Rueckversicherung AG, Registered Shares      255,873  
  97,467       Insurance Australia Group, Ltd.      418,896  
  259,321       Legal & General Group plc      1,013,120  
  48,364       MAPFRE SA^      166,937  
  116,605       Medibank Private, Ltd.*      180,624  
  21,911       MS&AD Insurance Group Holdings, Inc.      682,160  
  7,495       Muenchener Rueckversicherungs-Gesellschaft AG      1,328,272  
  14,125       NKSJ Holdings, Inc.      517,997  
  8,316       NN Group NV      233,538  
  213,885       Old Mutual plc      676,402  
  110,316       Prudential plc      2,661,557  
  59,892       QBE Insurance Group, Ltd.      628,183  
  41,087       RSA Insurance Group plc      256,160  
  18,984       Sampo OYJ, A Shares      895,860  
  6,720       SCOR SA      236,852  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  7,100       Sony Financial Holdings, Inc.    $ 124,379  
  84,786       Standard Life plc      590,810  
  57,978       Suncorp-Metway, Ltd.      599,845  
  1,372       Swiss Life Holding AG, Registered Shares      314,695  
  15,261       Swiss Re AG^      1,350,238  
  24,536       T&D Holdings, Inc.      365,539  
  30,200       Tokio Marine Holdings, Inc.      1,252,417  
  4,685       Tryg A/S      97,548  
  44,025       UnipolSai SpA      108,968  
  6,432       Zurich Insurance Group AG      1,961,092  
     

 

 

 
        31,428,642  
     

 

 

 

 

Internet & Catalog Retail (0.1%):

  

  33,300       Rakuten, Inc.      536,412  
     

 

 

 

 

Internet Software & Services (0.1%):

  

  7,200       Kakaku.com, Inc.      104,521  
  1,600       mixi, Inc.^      79,426  
  5,181       United Internet AG, Registered Shares      230,259  
  60,200       Yahoo! Japan Corp.      242,736  
     

 

 

 
        656,942  
     

 

 

 

 

IT Services (0.4%):

  

  19,654       Amadeus IT Holding SA      782,425  
  3,584       Atos Origin SA      268,106  
  6,637       Cap Gemini SA      588,709  
  18,969       Computershare, Ltd.      170,681  
  81,000       Fujitsu, Ltd.      451,691  
  2,600       Itochu Techno-Solutions Corp.      64,696  
  4,600       Nomura Research Institute, Ltd.      179,801  
  5,400       NTT Data Corp.      235,901  
  2,400       Otsuka Corp.      112,088  
     

 

 

 
        2,854,098  
     

 

 

 

 

Leisure Products (0.2%):

  

  7,100       Namco Bandai Holdings, Inc.      137,123  
  2,000       Sankyo Co., Ltd.      70,733  
  7,400       Sega Sammy Holdings, Inc.      96,710  
  3,600       Shimano, Inc.      490,959  
  7,400       Yamaha Corp.      149,208  
     

 

 

 
        944,733  
     

 

 

 

 

Life Sciences Tools & Services (0.1%):

  

  2,229       Lonza Group AG, Registered Shares      298,504  
  9,909       QIAGEN NV*      244,179  
     

 

 

 
        542,683  
     

 

 

 

 

Machinery (2.5%):

  

  13,395       Alfa Laval AB^      235,595  
  14,500       AMADA Co., Ltd.      153,116  
  3,484       Andritz AG      192,680  
  16,262       Atlas Copco AB, B Shares      404,712  
  28,512       Atlas Copco AB, A Shares      797,184  
  42,241       CNH Industrial NV      384,900  
  8,800       Fanuc, Ltd.      1,796,704  
  8,127       GEA Group AG      362,361  
  11,000       Hino Motors, Ltd.      135,952  
  4,300       Hitachi Construction Machinery Co., Ltd.      75,294  
 

 

Continued

 

7


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  

  62,000       IHI Corp.    $ 289,028  
  12,298       IMI plc      217,205  
  8,300       JTEKT Corp.      157,012  
  60,000       Kawasaki Heavy Industries, Ltd.      279,727  
  39,700       Komatsu, Ltd.      795,676  
  13,810       Kone OYJ, B Shares^      561,399  
  49,000       Kubota Corp.      776,723  
  5,100       Kurita Water Industries, Ltd.      118,642  
  5,300       Makita Corp.      287,205  
  1,549       MAN AG^      159,538  
  42,654       Melrose Industries plc      165,742  
  4,769       Metso Corp. OYJ^      130,901  
  15,000       Minebea Co., Ltd.      247,362  
  130,000       Mitsubishi Heavy Industries, Ltd.      790,387  
  5,000       Nabtesco Corp.      124,813  
  11,000       NGK Insulators, Ltd.      283,375  
  19,500       NSK, Ltd.      301,015  
  45,368       Sandvik AB      501,142  
  923       Schindler Holding AG, Registered Shares      150,663  
  1,929       Schindler Holding AG^      315,962  
  41,200       SembCorp Marine, Ltd.^      86,848  
  16,883       SKF AB, B Shares      385,020  
  2,300       SMC Corp.      692,018  
  1,052       Sulzer AG, Registered Shares^      108,019  
  23,000       Sumitomo Heavy Industries, Ltd.      133,728  
  5,600       THK Co., Ltd.      120,935  
  4,324       Vallourec SA      88,202  
  67,605       Volvo AB, B Shares      838,526  
  6,237       Wartsila Corp. OYJ, Class B      292,048  
  9,660       Weir Group plc (The)      257,281  
  84,550       Yangzijiang Shipbuilding Holdings, Ltd.      88,857  
  7,826       Zardoya Otis SA      85,157  
     

 

 

 
        14,368,654  
     

 

 

 

 

Marine (0.3%):

  

  304       A.P. Moeller - Maersk A/S, Class B^      551,554  
  170       A.P. Moller - Maersk A/S, Class A      298,101  
  2,235       Kuehne & Nagel International AG, Registered Shares^      296,961  
  52,000       Mitsui O.S.K. Lines, Ltd.      166,174  
  74,000       Nippon Yusen Kabushiki Kaisha      205,975  
     

 

 

 
        1,518,765  
     

 

 

 

 

Media (1.9%):

  

  3,855       Altice SA*      534,068  
  1,780       Axel Springer AG^      93,416  
  43,867       British Sky Broadcasting Group plc      715,421  
  9,377       Dentsu, Inc.      488,991  
  7,412       Eutelsat Communications SA      239,076  
  9,700       Hakuhodo DY Holdings, Inc.      103,581  
  166,838       ITV plc      689,251  
  3,488       JCDecaux SA      145,338  
  954       Kabel Deutschland Holding AG*^      127,590  
  5,258       Lagardere SCA      153,192  
  4,077       Numericable-SFR*      216,490  
  35,945       Pearson plc      681,069  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Media, continued

  

  9,389       ProSiebenSat.1 Media AG, Registered Share    $ 463,484  
  7,981       Publicis Groupe SA      589,354  
  2,344       REA Group, Ltd.      70,380  
  49,508       Reed Elsevier plc      805,962  
  28,075       Relx NV      667,841  
  1,679       RTL Group      152,020  
  13,715       SES Global, Class A      460,135  
  62,268       Singapore Press Holdings, Ltd.^      188,537  
  2,187       Telenet Group Holding NV*      119,114  
  4,700       Toho Co., Ltd.      117,478  
  49,847       Vivendi Universal SA      1,258,921  
  13,411       Wolters Kluwer NV      399,790  
  57,088       WPP plc      1,280,761  
     

 

 

 
        10,761,260  
     

 

 

 

 

Metals & Mining (2.8%):

  

  105,355       Alumina, Ltd.      123,594  
  61,183       Anglo American plc      883,898  
  17,365       Antofagasta plc      187,949  
  46,041       ArcelorMittal^      448,211  
  91,071       BHP Billiton plc      1,788,573  
  139,021       BHP Billiton, Ltd.      2,825,349  
  11,164       Boliden AB      203,388  
  63,851       Fortescue Metals Group, Ltd.^      92,999  
  9,184       Fresnillo plc      100,221  
  480,423       Glencore International plc      1,928,276  
  9,000       Hitachi Metals, Ltd.      138,059  
  17,217       Iluka Resources, Ltd.      101,422  
  21,500       JFE Holdings, Inc.      476,877  
  127,000       Kobe Steel, Ltd.      213,621  
  1       Lonmin plc*      2  
  1,600       Maruichi Steel Tube, Ltd.      39,726  
  52,000       Mitsubishi Materials Corp.      199,570  
  33,984       Newcrest Mining, Ltd.*      343,486  
  323,480       Nippon Steel Corp.      837,823  
  56,771       Norsk Hydro ASA      239,350  
  4,087       Randgold Resources, Ltd.      274,168  
  54,748       Rio Tinto plc      2,251,365  
  18,509       Rio Tinto, Ltd.      763,095  
  89,554       South32, Ltd.*      120,992  
  136,122       South32, Ltd.*      187,959  
  21,000       Sumitomo Metal & Mining Co., Ltd.      319,364  
  15,588       ThyssenKrupp AG      405,504  
  4,828       Voestalpine AG^      200,552  
     

 

 

 
        15,695,393  
     

 

 

 

 

Multiline Retail (0.4%):

  

  5,000       Don Quijote Co., Ltd.      212,199  
  23,568       Harvey Norman Holdings, Ltd.^      81,528  
  15,500       Isetan Mitsukoshi Holdings, Ltd.      276,907  
  10,100       J. Front Retailing Co., Ltd.      190,031  
  70,756       Marks & Spencer Group plc      596,565  
  11,000       MARUI GROUP Co., Ltd.      148,533  
  6,124       Next plc      717,398  
  11,000       Takashimaya Co., Ltd.      99,702  
     

 

 

 
        2,322,863  
     

 

 

 
 

 

Continued

 

8


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Multi-Utilities (1.2%):

  

  30,045       AGL Energy, Ltd.    $ 357,880  
  215,770       Centrica plc      895,651  
  86,866       E.ON AG      1,156,771  
  62,924       Engie Group      1,165,914  
  162,382       National Grid plc      2,087,800  
  21,150       RWE AG      454,509  
  12,462       Suez Environnement Co.      231,479  
  19,513       Veolia Environnement      397,479  
     

 

 

 
        6,747,483  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.9%):

  

  146,692       BG Group plc      2,440,644  
  788,001       BP plc      5,199,220  
  12,092       Caltex Australia, Ltd.      295,922  
  207       Delek Group, Ltd.      61,052  
  109,973       ENI SpA      1,950,470  
  16,434       Galp Energia SGPS SA      192,553  
  3,800       Idemitsu Kosan Co., Ltd.      74,562  
  40,200       INPEX Corp.      457,262  
  93,770       JX Holdings, Inc.      405,858  
  3,064       Koninklijke Vopak NV      154,882  
  8,745       Lundin Petroleum AB*^      149,820  
  5,333       Neste Oil OYJ      136,208  
  6,366       OMV AG      174,940  
  48,478       Origin Energy, Ltd.      443,758  
  44,273       Repsol SA      779,258  
  168,227       Royal Dutch Shell plc, A Shares      4,728,790  
  104,930       Royal Dutch Shell plc, B Shares      2,983,565  
  41,342       Santos, Ltd.      248,273  
  7,400       Showa Shell Sekiyu K.K.      64,621  
  49,184       Statoil ASA      878,435  
  12,000       TonenGeneral Sekiyu K.K.      111,931  
  92,252       Total SA      4,488,155  
  37,817       Tullow Oil plc      201,665  
  32,535       Woodside Petroleum, Ltd.      854,840  
     

 

 

 
        27,476,684  
     

 

 

 

 

Paper & Forest Products (0.2%):

  

  15,746       Mondi plc      338,652  
  37,000       OYI Paper Co., Ltd.      160,739  
  23,095       Stora Enso OYJ, Registered Shares      237,671  
  23,668       UPM-Kymmene OYJ      419,964  
     

 

 

 
        1,157,026  
     

 

 

 

 

Personal Products (0.6%):

  

  4,328       Beiersdorf AG      362,333  
  22,300       Kao Corp.      1,036,623  
  10,906       L’Oreal SA      1,944,089  
  15,600       Shiseido Co., Ltd.      353,882  
     

 

 

 
        3,696,927  
     

 

 

 

 

Pharmaceuticals (9.6%):

  

  93,100       Astellas Pharma, Inc.      1,326,764  
  54,612       AstraZeneca plc      3,471,958  
  35,759       Bayer AG      5,003,020  
  9,400       Chugai Pharmaceutical Co., Ltd.      324,273  
  28,200       Daiichi Sankyo Co., Ltd.      520,357  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Pharmaceuticals, continued

  

  6,600       Dainippon Sumitomo Pharma Co., Ltd.    $ 73,022  
  11,100       Eisai Co., Ltd.      743,572  
  210,137       GlaxoSmithKline plc      4,373,511  
  2,500       Hisamitsu Pharmaceutical Co., Inc.      96,826  
  9,000       Kyowa Hakko Kogyo Co., Ltd.      117,645  
  5,676       Merck KGaA      565,275  
  9,600       Mitsubishi Tanabe Pharma Corp.      143,623  
  99,360       Novartis AG, Registered Shares      9,816,695  
  82,180       Novo Nordisk A/S, B Shares      4,507,872  
  3,600       Ono Pharmaceutical Co., Ltd.      392,660  
  4,284       Orion OYJ, Class B      150,127  
  16,400       Otsuka Holdings Co., Ltd.      521,378  
  30,348       Roche Holding AG      8,522,585  
  51,335       Sanofi-Aventis SA      5,063,903  
  16,400       Santen Pharmaceutical Co., Ltd.      232,058  
  12,500       Shionogi & Co., Ltd.      484,242  
  25,366       Shire plc      2,038,666  
  1,300       Taisho Pharmaceutical Holdings Co., Ltd.      87,619  
  34,100       Takeda Pharmacuetical Co., Ltd.      1,645,796  
  36,968       Teva Pharmaceutical Industries, Ltd.      2,192,403  
  5,632       UCB SA      403,776  
     

 

 

 
        52,819,626  
     

 

 

 

 

Professional Services (0.5%):

  

  7,454       Adecco SA, Registered Shares      606,532  
  11,419       Bureau Veritas SA      263,197  
  28,955       Capita Group plc      563,904  
  42,844       Experian plc      779,492  
  6,708       Intertek Group plc      257,967  
  5,334       Randstad Holding NV      348,674  
  5,900       Recruit Holdings Co., Ltd.      179,939  
  232       SGS SA, Registered Shares^      423,903  
     

 

 

 
        3,423,608  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.5%):

  

  83,800       Ascendas Real Estate Investment Trust      152,926  
  42,533       British Land Co. plc      530,858  
  85,100       CapitaCommercial Trust      98,452  
  98,900       CapitaMall Trust      157,561  
  39,111       Dexus Property Group      218,782  
  142,673       Federation Centres      320,823  
  1,091       Fonciere des Regions SA      92,892  
  1,564       Gecina SA      193,079  
  72,556       GPT Group (a)      237,969  
  33,596       Hammerson plc      325,277  
  1,483       ICADE      105,870  
  33       Japan Prime Realty Investment Corp.      102,776  
  62       Japan Real Estate Investment Corp.      281,391  
  106       Japan Retail Fund Investment Corp.      212,014  
  7,527       Klepierre      330,763  
  34,650       Land Securities Group plc      654,945  
  37,322       Liberty International plc      180,251  
  95,500       Link REIT (The)      558,658  
  77,428       Macquarie Goodman Group      373,547  
  169,047       Mirvac Group      240,807  
  69       Nippon Building Fund, Inc.      301,919  
 

 

Continued

 

9


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

  69       Nippon Prologis REIT, Inc.    $ 127,039  
  232,178       Scentre Group      670,443  
  30,546       SERGO plc      194,501  
  98,941       Stockland Trust Group      310,896  
  102,700       Suntec REIT      131,305  
  4,275       Unibail-Rodamco SE      1,084,632  
  108       United Urban Investment Corp.      152,678  
  86,959       Westfield Corp.      606,989  
     

 

 

 
        8,950,043  
     

 

 

 

 

Real Estate Management & Development (2.1%):

  

  4,560       AEON Mall Co., Ltd.      85,709  
  2,494       Azrieli Group      99,603  
  74,028       BGP Holdings plc*(b)       
  109,000       CapitaLand, Ltd.      283,001  
  121,244       Cheung Kong Property Holdings, Ltd.*      1,005,765  
  20,400       City Developments, Ltd.      147,686  
  116,744       CK Hutchison Holdings, Ltd.      1,711,961  
  3,100       Daito Trust Construction Co., Ltd.      320,533  
  25,800       Daiwa House Industry Co., Ltd.      601,116  
  15,198       Deutsche Annington Immobilien SE      428,372  
  14,532       Deutsche Wohnen AG      332,928  
  132,900       Global Logistic Properties, Ltd.      249,255  
  92,000       Hang Lung Properties, Ltd.      272,281  
  51,843       Henderson Land Development Co., Ltd.      354,245  
  12,300       Hulic Co., Ltd.      109,433  
  27,000       Hysan Development Co., Ltd.      116,653  
  7,136       IMMOEAST AG NPV(BR)*(a)       
  31,500       Kerry Properties, Ltd.      122,911  
  23,524       Lend Lease Group      270,792  
  55,000       Mitsubishi Estate Co., Ltd.      1,181,725  
  41,000       Mitsui Fudosan Co., Ltd.      1,144,834  
  232,623       New World Development Co., Ltd.      303,748  
  5,100       Nomura Real Estate Holdings, Inc.      106,810  
  6,100       NTT Urban Development Corp.      60,667  
  119,600       Sino Land Co., Ltd.      199,562  
  16,000       Sumitomo Realty & Development Co., Ltd.      560,890  
  72,000       Sun Hung Kai Properties, Ltd.      1,165,964  
  23,500       Swire Pacific, Ltd., Class A      294,710  
  51,600       Swire Properties, Ltd.      164,088  
  2,407       Swiss Prime Site AG      182,683  
  9,000       Tokyo Tatemono Co., Ltd.      124,679  
  22,800       Tokyu Fudosan Holdings Corp.      176,474  
  20,196       UOL Group, Ltd.      103,657  
  58,300       Wharf Holdings, Ltd. (The)      387,773  
  38,000       Wheelock & Co., Ltd.      193,628  
     

 

 

 
        12,864,136  
     

 

 

 

 

Road & Rail (1.1%):

  

  45,040       Asciano, Ltd.      230,656  
  88,175       Aurizon Holdings, Ltd.      347,228  
  6,300       Central Japan Railway Co.      1,137,216  
  89,500       ComfortDelGro Corp., Ltd.      208,058  
  7,727       DSV A/S      250,788  
  14,613       East Japan Railway Co.      1,313,884  
  49,000       Hankyu Hanshin Holdings, Inc.      289,274  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Road & Rail, continued

  

  20,000       Keihin Electric Express Railway Co., Ltd.    $ 150,899  
  24,000       Keio Corp.      171,679  
  13,000       Keisei Electric Railway Co., Ltd.      154,554  
  79,000       Kintetsu Corp.      269,002  
  64,500       MTR Corp., Ltd.      299,309  
  40,000       Nagoya Railroad Co., Ltd.      149,606  
  39,000       Nippon Express Co., Ltd.      191,694  
  26,000       Odakyu Electric Railway Co., Ltd.      242,705  
  43,000       Tobu Railway Co., Ltd.      184,708  
  47,000       Tokyu Corp.      314,719  
  7,000       West Japan Railway Co.      447,923  
     

 

 

 
        6,353,902  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.7%):

  

  6,800       Advantest Corp.^      70,716  
  60,948       ARM Holdings plc      997,282  
  11,000       ASM Pacific Technology, Ltd.      108,594  
  14,976       ASML Holding NV      1,554,679  
  49,142       Infineon Technologies AG      609,721  
  4,700       ROHM Co., Ltd.      314,253  
  26,926       STMicroelectronics NV      220,393  
  7,500       Tokyo Electron, Ltd.      473,586  
     

 

 

 
        4,349,224  
     

 

 

 

 

Software (1.0%):

  

  2,200       Colopl, Inc.^      44,433  
  5,641       Dassault Systemes SA      410,017  
  3,591       Gemalto NV      320,495  
  17,700       Gungho Online Enetertainment, Inc.^      68,829  
  4,300       Konami Corp.      80,247  
  5,900       Nexon Co., Ltd.      81,112  
  2,676       NICE Systems, Ltd.      170,431  
  4,600       Nintendo Co., Ltd.      768,133  
  1,700       Oracle Corp.      70,997  
  46,102       Sage Group plc      371,124  
  42,178       SAP AG      2,938,580  
  4,700       Trend Micro, Inc.      161,825  
     

 

 

 
        5,486,223  
     

 

 

 

 

Specialty Retail (1.1%):

  

  1,300       ABC-Mart, Inc.      79,458  
  41,606       Dixons Carphone plc      296,197  
  1,152       Dufry AG, Registered Shares*      160,253  
  2,300       Fast Retailing Co., Ltd.      1,043,414  
  41,011       Hennes & Mauritz AB, B Shares^      1,577,450  
  800       Hikari Tsushin, Inc.      53,851  
  47,171       Industria de Diseno Textil SA      1,538,083  
  98,227       Kingfisher plc      535,025  
  3,300       Nitori Co., Ltd.      268,411  
  2,600       Sanrio Co., Ltd.^      70,576  
  1,000       Shimamura Co., Ltd.      104,869  
  11,797       Sports Direct International*      133,012  
  10,000       USS Co., Ltd.      180,226  
  28,700       Yamada Denki Co., Ltd.^      114,745  
     

 

 

 
        6,155,570  
     

 

 

 
 

 

Continued

 

10


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Technology Hardware, Storage & Peripherals (0.6%):

  

  9,400       Brother Industries, Ltd.    $ 133,000  
  46,200       Canon, Inc.      1,499,346  
  19,700       Fujifilm Holdings Corp.      703,497  
  20,200       Konica Minolta Holdings, Inc.      236,454  
  110,000       NEC Corp.      333,211  
  29,900       Ricoh Co., Ltd.      309,937  
  14,287       Seek, Ltd.      154,122  
  12,600       Seiko Epson Corp.      223,238  
     

 

 

 
        3,592,805  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.6%):

  

  8,891       Adidas AG      680,338  
  6,600       ASICS Corp.      171,565  
  19,569       Burberry Group plc      483,641  
  2,375       Christian Dior SA      463,277  
  22,531       Compagnie Financiere Richemont SA, Registered Shares      1,837,085  
  1,123       Hermes International SA      418,639  
  2,871       Hugo Boss AG      320,728  
  3,358       Kering      598,913  
  244,000       Li & Fung, Ltd.^      193,302  
  7,393       Luxottica Group SpA      491,845  
  12,106       LVMH Moet Hennessy Louis Vuitton SA      2,118,948  
  5,063       Pandora A/S      543,243  
  1,355       Swatch Group AG (The)^      528,591  
  2,187       Swatch Group AG (The), Registered Shares      163,872  
  36,000       Yue Yuen Industrial Holdings, Ltd.      120,116  
     

 

 

 
        9,134,103  
     

 

 

 

 

Tobacco (1.4%):

  

  80,521       British American Tobacco plc      4,326,743  
  41,200       Imperial Tobacco Group plc      1,988,726  
  47,600       Japan Tobacco, Inc.      1,694,207  
  8,749       Swedish Match AB, Class B      248,664  
     

 

 

 
        8,258,340  
     

 

 

 

 

Trading Companies & Distributors (1.2%):

  

  21,555       Ashtead Group plc      372,707  
  6,530       Brenntag AG      374,224  
  14,586       Bunzl plc      398,700  
  68,800       ITOCHU Corp.      908,290  
  73,300       Marubeni Corp.      420,015  
  59,900       Mitsubishi Corp.      1,315,552  
  74,700       Mitsui & Co., Ltd.      1,013,159  
  185,290       Noble Group, Ltd.      104,545  
  12,472       Rexel SA      201,336  
  47,900       Sumitomo Corp.      556,385  
  9,100       Toyota Tsushu Corp.      244,081  
  10,458       Travis Perkins plc      346,417  
  11,236       Wolseley plc      716,400  
     

 

 

 
        6,971,811  
     

 

 

 

 

Transportation Infrastructure (0.4%):

  

  20,242       Abertis Infraestructuras SA      331,636  
  2,926       Aena SA*      306,521  
  1,387       Aeroports de Paris^      156,616  
  18,704       Atlantia SpA      461,554  

Shares or
Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Transportation Infrastructure, continued

  

  38,527       Auckland International Airport, Ltd.    $ 128,702  
  1,655       Fraport AG      103,907  
  19,780       Groupe Eurotunnel SA      286,251  
  239,400       Hutchison Port Holdings Trust      150,716  
  1,600       Japan Airport Terminal Co., Ltd.^      87,093  
  10,000       Kamigumi Co., Ltd.      93,718  
  5,000       Mitsubishi Logistics Corp.      65,655  
  44,031       Sydney Airport      168,303  
  81,683       Transurban Group      582,807  
     

 

 

 
        2,923,479  
     

 

 

 

 

Water Utilities (0.1%):

  

  10,249       Severn Trent plc      334,815  
  30,898       United Utilities Group plc      432,837  
     

 

 

 
        767,652  
     

 

 

 

 

Wireless Telecommunication Services (1.7%):

  

  75,600       KDDI Corp.      1,818,392  
  2,760       Millicom International Cellular SA, SDR      203,458  
  66,500       NTT DoCoMo, Inc.      1,272,568  
  41,700       SoftBank Group Corp.      2,454,492  
  26,002       StarHub, Ltd.      76,170  
  13,115       Tele2 AB      152,320  
  1,145,155       Vodafone Group plc      4,175,171  
     

 

 

 
        10,152,571  
     

 

 

 

 

Total Common Stocks (Cost $435,993,927)

     559,932,231  
     

 

 

 

 

Preferred Stocks (0.6%):

  

 

Automobiles (0.4%):

  

  2,298       Bayerische Motoren Werke AG (BMW), Preferred Shares      194,447  
  6,735       Porsche Automobil Holding SE, Preferred Shares      567,139  
  7,113       Volkswagen AG, Preferred Shares^      1,648,697  
     

 

 

 
        2,410,283  
     

 

 

 

 

Household Products (0.2%):

  

  7,811       Henkel AG & Co. KGaA, Preferred Shares      875,846  
     

 

 

 

 

Total Preferred Stocks (Cost $2,088,736)

     3,286,129  
     

 

 

 

 

Rights (0.0%):

  

 

Aerospace & Defense (0.0%):

  

  18,477,627       Rolls-Royce Holdings plc*       
     

 

 

 

 

Distributors (0.0%):

  

  488       Jardine Cycle & Carriage, Ltd.*      2,573  
     

 

 

 

 

Machinery (0.0%):

  

  7,826       Zardoya Otis SA*      3,411  
     

 

 

 

 

Oil Gas & Consumable Fuels (0.0%):

  

  44,273       Repsol SA*^      22,949  
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  14,179       Deutsche Annington Immobilien SE*      21,664  
     

 

 

 

 

Total Rights (Cost $—)

     50,597  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (2.9%):

  

$ 16,791,315       Allianz Variable Insurance Products Securities Lending Collateral Trust(c)      16,791,315  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $16,791,315)

     16,791,315  
     

 

 

 
 

 

Continued

 

11


AZL International Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Unaffiliated Investment Company (0.1%):

  

  327,967       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d)    $ 327,967  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $327,967)

     327,967  
     

 

 

 

 

Total Investment Securities (Cost $455,201,945)(e) — 101.0%

     580,388,239  

 

Net other assets (liabilities) — (1.0)%

     (5,714,090
     

 

 

 

 

Net Assets — 100.0%

   $ 574,674,149  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

SDR—Swedish Depository Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $14,332,111.

 

+ Affiliated Securities

 

(a) The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.00% of the net assets of the Fund.

 

(b) Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2015. 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, 2015.

 

(d) The rate represents the effective yield at June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Australia

     6.6

Austria

     0.2

Belgium

     1.3

Bermuda

     %NM 

Cayman Islands

     0.3

China

     %NM 

Denmark

     1.6

Finland

     0.8

France

     8.9

Germany

     8.6

Hong Kong

     2.9

Ireland (Republic of)

     0.8

Israel

     0.6

Italy

     2.2
Country    Percentage  

Japan

     22.2

Luxembourg

     0.3

Netherlands

     3.1

New Zealand

     0.1

Norway

     0.6

Portugal

     0.1

Singapore

     1.3

Spain

     3.4

Sweden

     2.8

Switzerland

     9.5

United Kingdom

     18.8

United States

     3.0
  

 

 

 
     100.0
  

 

 

 
 

 

  NM Not meaningful, amount is less than 0.05%.

Futures Contracts

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

ASX SPI 200 Index September Futures (Australian Dollar)

     Long         9/17/15         13       $ 1,353,059      $ (22,549

FTSE 100 Index September Futures (British Pounds)

     Long         9/18/15         30         3,060,609        (68,515

SGX Nikkei 225 Index September Futures (Japanese Yen)

     Long         9/10/15         31         2,570,034        10,760  

DJ EURO STOXX 50 September Futures (Euro)

     Long         9/18/15         87         3,332,204        31,122  
              

 

 

 

Total

               $ (49,182
              

 

 

 

 

See accompanying notes to the financial statements.

 

12


AZL International Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investments in non-affiliates, at cost

     $ 452,974,289  

Investments in affiliates, at cost

       2,227,656  
    

 

 

 

Total Investment securities, at cost

     $ 455,201,945  
    

 

 

 

Investments in non-affiliates, at value

     $ 577,315,133  

Investments in affiliates, at value

       3,073,106  
    

 

 

 

Total Investment securities, at value*

     $ 580,388,239  

Cash

       1,753  

Segregated cash for collateral

       553,443  

Interest and dividends receivable

       1,479,676  

Foreign currency, at value (cost $8,568,981)

       8,558,735  

Receivable for capital shares issued

       149,168  

Receivable for investments sold

       224,359  

Receivable for variation margin on futures contracts

       21,012  

Reclaims receivable

       901,408  

Prepaid expenses

       1,405  
    

 

 

 

Total Assets

       592,279,198  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       210,063  

Payable for capital shares redeemed

       3,224  

Payable for collateral received on loaned securities

       16,791,315  

Payable for variation margin on futures contracts

       68,113  

Manager fees payable

       168,638  

Administration fees payable

       22,917  

Distribution fees payable

       120,456  

Custodian fees payable

       66,765  

Trustee fees payable

       1,372  

Other accrued liabilities

       152,186  
    

 

 

 

Total Liabilities

       17,605,049  
    

 

 

 

Net Assets

     $ 574,674,149  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 493,727,798  

Accumulated net investment income/(loss)

       33,774,252  

Accumulated net realized gains/(losses) from investment transactions

       (77,936,069 )

Net unrealized appreciation/(depreciation) on investments

       125,108,168  
    

 

 

 

Net Assets

     $ 574,674,149  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       35,482,685  

Net Asset Value (offering and redemption price per share)

     $ 16.20  
    

 

 

 

 

* Includes securities on loan of $14,332,111.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 16,916,859  

Dividends from affiliates

       149,468  

Income from securities lending

       278,501  

Foreign withholding tax

       (2,052,387 )
    

 

 

 

Total Investment Income

       15,292,441  
    

 

 

 

Expenses:

    

Manager fees

       1,373,008  

Administration fees

       179,986  

Distribution fees

       980,722  

Custodian fees

       160,755  

Administrative and compliance services fees

       4,987  

Trustee fees

       19,101  

Professional fees

       19,684  

Shareholder reports

       8,129  

Other expenses

       119,142  
    

 

 

 

Total expenses

       2,865,514  
    

 

 

 

Net Investment Income/(Loss)

       12,426,927  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       25,983,899  

Net realized gains/(losses) on futures contracts

       1,021,138  

Change in net unrealized appreciation/depreciation on investments

       28,107,322  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       55,112,359  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 67,539,286  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

13


Statements of Changes in Net Assets

 

     AZL International Index Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 12,426,927        $ 24,314,166  

Net realized gains/(losses) on investment transactions

       27,005,037          (1,743,112 )

Change in unrealized appreciation/depreciation on investments

       28,107,322          (76,247,381 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       67,539,286          (53,676,327 )
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (15,224,243 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (15,224,243 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       52,888,466          145,001,811  

Proceeds from dividends reinvested

                15,224,243  

Value of shares redeemed

       (409,055,447 )        (36,219,208 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (356,166,981 )        124,006,846  
    

 

 

      

 

 

 

Change in net assets

       (288,627,695 )        55,106,276  

Net Assets:

         

Beginning of period

       863,301,844          808,195,568  
    

 

 

      

 

 

 

End of period

     $ 574,674,149        $ 863,301,844  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 33,774,252        $ 21,347,325  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       3,277,337          8,994,284  

Dividends reinvested

                926,612  

Shares redeemed

       (24,287,151 )        (2,188,320 )
    

 

 

      

 

 

 

Change in shares

       (21,009,814 )        7,732,576  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

14


AZL International Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 15.28       $ 16.57       $ 13.93       $ 12.03       $ 13.99       $ 13.31  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.57         0.42         0.29         0.26         0.28         0.15  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.35         (1.43 )       2.65         1.89         (2.07 )       0.77  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.92         (0.99 )       2.94         2.15         (1.79 )       0.92  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.30 )       (0.30 )       (0.25 )       (0.17 )       (0.07 )

Net Realized Gains

                                               (0.17 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.30 )       (0.30 )       (0.25 )       (0.17 )       (0.24 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.20       $ 15.28       $ 16.57       $ 13.93       $ 12.03       $ 13.99  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       6.02 %(b)       (6.18 )%       21.36 %       18.04 %       (12.78 )%       7.12 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 574,674       $ 863,302       $ 808,196       $ 567,238       $ 380,763       $ 340,781  

Net Investment Income/(Loss)(c)

       3.17 %       2.88 %       2.23 %       2.66 %       2.70 %       2.07 %

Expenses Before Reductions(c) (d)

       0.73 %       0.75 %       0.76 %       0.80 %       0.83 %       0.83 %

Expenses Net of Reductions(c)

       0.73 %       0.75 %       0.76 %       0.77 %       0.74 %       0.70 %

Portfolio Turnover Rate(e)

       6 %(b)       3 %       2 %       3 %       12 %       3 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

15


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

16


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $40.8 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $27,575 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $10.3 million as of June 30, 2015. The monthly average notional amount for these contracts was $9.3 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 

Equity Risk Exposure

       
Equity Contracts   Receivable for variation margin on futures contracts   $ 41,882      Payable for variation margin on futures contracts   $ 91,064   

 

* 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, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
     Change in Unrealized
Appreciation/
Depreciation on
Derivatives Recognized
in Income
 

Equity Risk Exposure

       
Equity Contracts   Net realized gains/(losses) on futures contracts / Change in unrealized appreciation/depreciation on investments    $ 1,021,138       $ (416,781

 

17


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL International Index Fund

         0.35 %          0.77 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $4,746 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

18


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Common Stocks

                           

Airlines

       $ 99,890          $ 1,280,698          $          $ 1,380,588  

Metals & Mining

         308,951            15,386,442                       15,695,393  

Real Estate Management & Development

         1,005,765            11,858,371            ^          12,864,136  

All Other Common Stocks+

                    529,992,114                       529,992,114  

Preferred Stocks+

                    3,286,129                       3,286,129  

Rights+

                    50,597                       50,597  

Securities Held as Collateral for Securities on Loan

                    16,791,315                       16,791,315  

Unaffiliated Investment Company

         327,967                                  327,967  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

         1,742,573            578,645,666            ^          580,388,239  
      

 

 

        

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                           

Futures Contracts

         (49,182 )                                (49,182 )
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investments

       $ 1,693,391          $ 578,645,666          $ ^        $ 580,339,057  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

^ Represents interest in securities that were determined to have a value of zero at June 30, 2015.

A reconciliation of assets in which level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant level 3 investments at the end of the period.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 41,738,826          $ 381,056,437  

 

19


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $461,564,490. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 141,584,316  

Unrealized depreciation

    (22,760,567
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 118,823,749   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

        Expires
12/31/2015
     Expires
12/31/2016
     Total

AZL International Index Fund

       $ 42,234,498          $ 55,890,176          $ 98,124,674  

CLCFs not subject to expiration:

 

        Short Term
Amount
     Long Term
Amount
     Total
Amount

AZL International Index Fund

       $ 681,077          $ 181,815          $ 862,892  

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL International Index Fund

       $ 15,224,243          $          $ 15,224,243  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

 

20


AZL International Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

As of the latest tax year end December 31, 2014, 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

       $ 23,639,679          $          $ (98,987,566 )        $ 88,754,952          $ 13,407,065  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

21


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

22


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Invesco Equity and Income Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 12

Statement of Operations

Page 12

Statements of Changes in Net Assets

Page 13

Financial Highlights

Page 14

Notes to the Financial Statements

Page 15

Other Information

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 Invesco Equity and Income Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Invesco Equity and Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Invesco Equity and Income Fund

       $ 1,000.00          $ 1,013.30          $ 4.79            0.96 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Invesco Equity and Income Fund

       $ 1,000.00          $ 1,020.03          $ 4.81            0.96 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Common Stocks

      64.1 %

Securities Held as Collateral for Securities on Loan

      12.5  

U.S. Treasury Obligations

      10.5  

Corporate Bonds

      9.7  

Convertible Bonds

      7.0  

Money Market

      6.1  

Yankee Dollars

      2.0  

Convertible Preferred Stocks

      0.6  

U.S. Government Agency Mortgages

      0.1  
   

 

 

 

Total Investment Securities

      112.6  

Net other assets (liabilities)

      (12.6 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
    
    
Shares
           Fair Value  

 

Common Stocks (64.1%):

  

 

Aerospace & Defense (1.0%):

  

  91,224       General Dynamics Corp.    $ 12,925,529  
     

 

 

 

 

Automobiles (0.7%):

  

  294,966       General Motors Co.      9,831,217  
     

 

 

 

 

Banks (12.6%):

  

  1,333,559       Bank of America Corp.      22,697,173  
  195,476       BB&T Corp.^      7,879,638  
  768,873       Citigroup, Inc.      42,472,544  
  422,590       Citizens Financial Group, Inc.      11,540,933  
  189,684       Comerica, Inc.      9,734,583  
  439,688       Fifth Third Bancorp      9,154,304  
  392,359       First Horizon National Corp.^      6,148,266  
  628,476       JPMorgan Chase & Co.      42,585,533  
  173,224       PNC Financial Services Group, Inc.      16,568,876  
     

 

 

 
        168,781,850  
     

 

 

 

 

Biotechnology (0.5%):

  

  42,126       Amgen, Inc.      6,467,184  
     

 

 

 

 

Capital Markets (5.1%):

  

  323,334       Charles Schwab Corp. (The)      10,556,855  
  50,944       Goldman Sachs Group, Inc. (The)      10,636,598  
  569,550       Morgan Stanley      22,092,844  
  130,269       Northern Trust Corp.      9,960,368  
  175,196       State Street Corp.      13,490,091  
     

 

 

 
        66,736,756  
     

 

 

 

 

Chemicals (0.7%):

  

  95,302       Dow Chemical Co. (The)      4,876,603  
  105,383       Mosaic Co. (The)      4,937,194  
     

 

 

 
        9,813,797  
     

 

 

 

 

Commercial Services & Supplies (0.7%):

  

  231,410       Tyco International plc      8,904,657  
     

 

 

 

 

Communications Equipment (1.0%):

  

  507,830       Cisco Systems, Inc.      13,945,012  
     

 

 

 

 

Diversified Financial Services (1.5%):

  

  65,390       CME Group, Inc.      6,085,193  
  297,669       Voya Financial, Inc.      13,832,679  
     

 

 

 
        19,917,872  
     

 

 

 

 

Diversified Telecommunication Services (1.1%):

  

  141,663       France Telecom SA^      2,191,653  
  633,723       Koninklijke (Royal) KPN NV      2,431,847  
  1,323,477       Telecom Italia SpA*^      1,678,594  
  100,559       Telefonica SA      1,432,930  
  149,540       Verizon Communications, Inc.      6,970,059  
     

 

 

 
        14,705,083  
     

 

 

 

 

Electric Utilities (0.3%):

  

  139,669       FirstEnergy Corp.      4,546,226  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.6%):

  

  416,879       Corning, Inc.      8,225,023  
     

 

 

 

 

Energy Equipment & Services (1.0%):

  

  148,855       Baker Hughes, Inc.      9,184,354  
    
    
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Energy Equipment & Services, continued

  

  182,217       Ensco plc, Class A, ADR^    $ 4,057,973  
     

 

 

 
        13,242,327  
     

 

 

 

 

Food & Staples Retailing (0.9%):

  

  172,977       Wal-Mart Stores, Inc.      12,269,259  
     

 

 

 

 

Food Products (1.5%):

  

  204,078       Archer-Daniels-Midland Co.      9,840,641  
  262,604       Mondelez International, Inc., Class A      10,803,529  
     

 

 

 
        20,644,170  
     

 

 

 

 

Health Care Equipment & Supplies (1.5%):

  

  119,009       Baxter International, Inc.      8,322,299  
  153,333       Medtronic plc      11,361,976  
     

 

 

 
        19,684,275  
     

 

 

 

 

Health Care Providers & Services (1.7%):

  

  55,513       Anthem, Inc.      9,111,904  
  83,036       Express Scripts Holding Co.*^      7,385,222  
  57,635       UnitedHealth Group, Inc.      7,031,470  
     

 

 

 
        23,528,596  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.1%):

  

  312,956       Carnival Corp.      15,456,897  
     

 

 

 

 

Household Products (0.7%):

  

  124,646       Procter & Gamble Co. (The)      9,752,303  
     

 

 

 

 

Industrial Conglomerates (2.0%):

  

  1,017,978       General Electric Co.      27,047,675  
     

 

 

 

 

Insurance (2.0%):

  

  97,296       Aon plc      9,698,465  
  170,891       Marsh & McLennan Cos., Inc.      9,689,520  
  172,786       Willis Group Holdings plc      8,103,663  
     

 

 

 
        27,491,648  
     

 

 

 

 

Internet Software & Services (1.1%):

  

  246,610       eBay, Inc.*      14,855,786  
     

 

 

 

 

IT Services (0.8%):

  

  193,034       Amdocs, Ltd.      10,537,726  
     

 

 

 

 

Machinery (1.3%):

  

  78,242       Caterpillar, Inc.^      6,636,486  
  166,731       Ingersoll-Rand plc      11,241,004  
     

 

 

 
        17,877,490  
     

 

 

 

 

Media (3.4%):

  

  41,302       CBS Corp., Class B      2,292,261  
  257,542       Comcast Corp., Class A      15,488,575  
  181,733       Thomson Reuters Corp.      6,921,222  
  57,073       Time Warner Cable, Inc., Class A      10,168,696  
  64,899       Time Warner, Inc., Class A      5,672,822  
  86,599       Viacom, Inc., Class B      5,597,759  
     

 

 

 
        46,141,335  
     

 

 

 

 

Multiline Retail (1.3%):

  

  211,789       Target Corp.^      17,288,336  
     

 

 

 

 

Multi-Utilities (0.4%):

  

  113,066       PG&E Corp.      5,551,541  
     

 

 

 
 

 

Continued

 

2


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels (5.0%):

  

  75,244       Anadarko Petroleum Corp.    $ 5,873,547  
  175,242       Apache Corp.      10,099,196  
  266,069       Canadian Natural Resources, Ltd.      7,226,986  
  94,670       Exxon Mobil Corp.      7,876,544  
  98,140       Occidental Petroleum Corp.      7,632,348  
  654,813       Royal Dutch Shell plc, A Shares      18,406,515  
  208,075       Total SA      10,123,067  
     

 

 

 
        67,238,203  
     

 

 

 

 

Pharmaceuticals (5.1%):

  

  137,426       Eli Lilly & Co.^      11,473,697  
  272,685       Merck & Co., Inc.      15,523,957  
  122,953       Novartis AG, Registered Shares      12,147,665  
  5,907       Novartis AG, ADR      580,894  
  272,994       Pfizer, Inc.      9,153,489  
  95,981       Sanofi-Aventis SA      9,467,976  
  182,030       Teva Pharmaceutical Industries, Ltd., ADR      10,757,973  
     

 

 

 
        69,105,651  
     

 

 

 

 

Road & Rail (0.7%):

  

  284,250       CSX Corp.      9,280,763  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.0%):

  

  500,594       Applied Materials, Inc.      9,621,417  
  138,573       Broadcom Corp., Class A      7,135,124  
  335,094       Intel Corp.      10,191,883  
     

 

 

 
        26,948,424  
     

 

 

 

 

Software (2.7%):

  

  93,418       Adobe Systems, Inc.*      7,567,792  
  105,928       Citrix Systems, Inc.*      7,431,908  
  220,837       Microsoft Corp.      9,749,954  
  468,879       Symantec Corp.      10,901,437  
     

 

 

 
        35,651,091  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):

  

  221,695       NetApp, Inc.      6,996,694  
     

 

 

 

 

Tobacco (0.9%):

  

  143,472       Philip Morris International, Inc.      11,502,150  
     

 

 

 

 

Wireless Telecommunication Services (0.7%):

  

  252,806       Vodafone Group plc, ADR      9,214,779  
     

 

 

 

 

Total Common Stocks (Cost $684,836,486)

     862,107,325  
     

 

 

 

 

Convertible Preferred Stocks (0.6%):

  

 

Banks (0.2%):

  

  13,608       KeyCorp, Series A      1,782,648  
  10,000       Wells Fargo & Co.      255,000  
     

 

 

 
        2,037,648  
     

 

 

 

 

Capital Markets (0.3%):

  

  60,000       AMG Capital Trust II, 1.07%^      3,611,250  
  17,135       State Street Corp., Series D, 0.92%^      439,855  
     

 

 

 
        4,051,105  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.1%):

  

  27,346       El Paso Energy Capital Trust I      1,525,393  
     

 

 

 

 

Total Convertible Preferred Stocks (Cost $6,666,972)

     7,614,146  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Convertible Bonds (7.0%):

  

 

Air Freight & Logistics (0.2%):

  

$ 2,839,000       UTI Worldwide, Inc., 4.50%, 3/1/19    $ 2,899,329  
     

 

 

 

 

Biotechnology (0.3%):

  

  2,822,000       BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20      4,494,035  
     

 

 

 

 

Capital Markets (0.7%):

  

  1,200,000       Goldman Sachs Group, Inc. (The), 1.00%, 3/15/17(a)      1,738,488  
  4,530,000       Goldman Sachs Group, Inc. (The), 1.00%, 9/28/20(a)      4,814,166  
  2,932,000       Jefferies Group, 3.88%, 11/1/29, Callable 11/1/17 @ 100      2,992,473  
     

 

 

 
        9,545,127  
     

 

 

 

 

Communications Equipment (0.4%):

  

  1,340,000       Ciena Corp., 4.00%, 12/15/20(a)      1,883,538  
  4,025,000       JDS Uniphase Corp., 0.63%, 8/15/33, Callable 8/20/18 @ 200^      3,952,046  
     

 

 

 
        5,835,584  
     

 

 

 

 

Energy Equipment & Services (0.2%):

  

  2,258,000       Helix Energy Solutions Group, Inc., 3.25%, Callable 3/20/18 @ 200^+      2,139,455  
     

 

 

 

 

Health Care Equipment & Supplies (0.3%):

  

  1,899,000       NuVasive, Inc., 2.75%, 7/1/17      2,411,730  
  2,003,000       Wright Medical Group, Inc., 2.00%, 2/15/20(a)      2,125,684  
     

 

 

 
        4,537,414  
     

 

 

 

 

Health Care Providers & Services (0.5%):

  

  2,281,000       Brookdale Senior Living, Inc., 2.75%, 6/15/18^      2,975,280  
  2,875,000       HealthSouth Corp., 2.00%, 12/1/43, Callable 12/1/18 @ 100^      3,656,640  
     

 

 

 
        6,631,920  
     

 

 

 

 

Insurance (0.5%):

  

  1,761,000       Old Republic International Corp., 3.75%, 3/15/18      2,079,081  
  1,295,000       Radian Group, Inc., 3.00%, 11/15/17^      2,151,318  
  1,141,000       Radian Group, Inc., 2.25%, 3/1/19      2,024,562  
     

 

 

 
        6,254,961  
     

 

 

 

 

Internet & Catalog Retail (0.3%):

  

  2,189,000       Liberty Interactive LLC, 0.75%, 3/30/43, Callable 4/5/23 @ 200      3,484,614  
     

 

 

 

 

Media (0.5%):

  

  5,810,000       Liberty Media Corp., 1.38%, 10/15/23^(a)      5,519,500  
  1,073,000       Live National Entertainment, Inc., 2.50%, 5/15/19      1,155,487  
     

 

 

 
        6,674,987  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.4%):

  

  3,514,000       Cobalt International Energy, Inc., 2.63%, 12/1/19      2,593,771  
 

 

Continued

 

3


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Convertible Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 3,337,000       Stone Energy Corp., 1.75%, 3/1/17^    $ 3,047,098  
     

 

 

 
        5,640,869  
     

 

 

 

 

Pharmaceuticals (0.1%):

  

  1,327,000       Jazz Pharmaceuticals, Inc., 1.88%, 8/15/21^(a)      1,543,467  
     

 

 

 

 

Semiconductors (0.2%):

  

  1,760,000       Microchip Technology, Inc., 1.63%, 2/15/25(a)      1,775,400  
  1,516,000       ON Semiconductor Corp., 1.00%, 12/1/20^(a)      1,499,893  
     

 

 

 
        3,275,293  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.9%):

  

  2,824,000       Lam Research Corp., 1.25%, 5/15/18^      4,004,786  
  2,730,000       Micron Technology, Inc., Series G, 3.00%, Callable 11/20/18 @ 166.08^      2,465,531  
  4,377,000       NVIDIA Corp., 1.00%, 12/1/18^(a)      5,014,401  
     

 

 

 
        11,484,718  
     

 

 

 

 

Software (0.7%):

  

  5,444,000       Citrix Systems, Inc., 0.50%, 4/15/19^      5,750,225  
  450,000       FireEye, Inc., Series A, 1.00%, 6/1/35, Callable 6/1/20 @ 100(a)      480,375  
  394,000       FireEye, Inc., Series B, 1.63%, 6/1/35, Callable 6/1/22 @ 100(a)      420,103  
  2,055,000       NetSuite, Inc., 0.25%, 6/1/18      2,139,768  
     

 

 

 
        8,790,471  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.3%):

  

  4,379,000       SanDisk Corp., 0.50%, 10/15/20^      4,244,893  
     

 

 

 

 

Thrifts & Mortgage Finance (0.5%):

  

  3,438,000       MGIC Investment Corp., 5.00%, 5/1/17      3,930,064  
  1,557,000       MGIC Investment Corp., 2.00%, 4/1/20^      2,592,405  
     

 

 

 
        6,522,469  
     

 

 

 

 

Total Convertible Bonds (Cost $87,432,743)

     93,999,606  
     

 

 

 

 

Corporate Bonds (9.7%):

  

 

Aerospace & Defense (0.1%):

  

  655,000       Boeing Capital Corp., 2.13%, 8/15/16, Callable 7/15/16 @ 100      665,355  
  380,000       L-3 Communications Holdings Corp., 3.95%, 5/28/24, Callable 2/28/24 @ 100^      369,381  
  185,000       Northrop Grumman Corp., 3.85%, 4/15/45, Callable 10/15/44 @ 100      162,777  
  200,000       Precision Castparts Corp., 2.50%, 1/15/23, Callable 10/15/22 @ 100      191,721  
     

 

 

 
        1,389,234  
     

 

 

 

 

Air Freight & Logistics (0.1%):

  

  360,000       FedEx Corp., 4.90%, 1/15/34      373,208  
  745,000       FedEx Corp., 5.10%, 1/15/44      768,522  
     

 

 

 
        1,141,730  
     

 

 

 

 

Airlines (0.1%):

  

  397,984       American Airlines 14-1,
Series A, 3.70%, 10/1/26
     393,009  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Airlines, continued

  

$ 83,925       Continental Airlines 2010-A,
Series A, 4.75%, 1/12/21
   $ 89,170  
  270,469       Continental Airlines 2012-A,
Series A, 4.15%, 4/11/24
     279,259  
  55,665       Delta Air Lines, Inc., 6.20%, 7/2/18      60,257  
  490,000       United Airlines 2014-2,
Series A, 3.75%, 3/3/28
     485,100  
     

 

 

 
        1,306,795  
     

 

 

 

 

Automobiles (0.0%):

  

  550,000       Ford Motor Co., 4.75%, 1/15/43^      533,281  
     

 

 

 

 

Banks (0.9%):

  

  330,000       Bank of America Corp., 1.25%, 1/11/16, MTN      330,808  
  295,000       Bank of America Corp., 5.75%, 12/1/17      321,367  
  175,000       Bank of America Corp., 5.65%, 5/1/18, MTN      192,239  
  795,000       BB&T Corp., 3.20%, 3/15/16,
Callable 2/16/16 @ 100, MTN^
     806,882  
  2,665,000       Fifth Third BanCorp, 3.63%, 1/25/16      2,704,278  
  215,000       JPMorgan Chase & Co., 4.50%, 1/24/22      230,410  
  995,000       JPMorgan Chase & Co., Series X, 6.10%, 10/29/49, Callable 10/1/24 @ 100^(b)      998,483  
  570,000       JPMorgan Chase & Co., Series V, 5.00%, 12/29/49, Callable 7/1/19 @ 100      557,888  
  680,000       JPMorgan Chase & Co., Series Z, 5.30%, 12/31/49, Callable 5/1/20 @ 100(b)      674,968  
  1,570,000       PNC Bank NA, Series BKNT, 1.30%, 10/3/16, Callable 9/3/16 @ 100      1,576,603  
  250,000       U.S. Bank NA, 2.28%, 4/29/20,
Callable 7/29/15 @ 100(b)
     250,257  
  110,000       Wells Fargo & Co., 1.50%, 1/16/18^      109,794  
  405,000       Wells Fargo & Co., 4.10%, 6/3/26^      406,707  
  1,200,000       Wells Fargo & Co., 4.65%, 11/4/44      1,150,188  
  1,385,000       Wells Fargo & Co., 3.90%, 5/1/45      1,246,435  
     

 

 

 
        11,557,307  
     

 

 

 

 

Beverages (0.3%):

  

  175,000       Anheuser-Busch InBev NV Worldwide, Inc., 0.80%, 7/15/15      175,019  
  175,000       Brown-Forman Corp., 2.25%, 1/15/23, Callable 10/15/22 @ 100      164,842  
  500,000       Coca-Cola Co. (The), 1.80%, 9/1/16      506,044  
  2,460,000       PepsiCo, Inc., 2.50%, 5/10/16      2,498,587  
  486,000       PepsiCo, Inc., 3.60%, 3/1/24,
Callable 12/1/23 @ 100
     499,989  
     

 

 

 
        3,844,481  
     

 

 

 

 

Biotechnology (0.2%):

  

  335,000       Celgene Corp., 4.00%, 8/15/23      342,648  
  1,220,000       Celgene Corp., 4.63%, 5/15/44,
Callable 11/15/43 @ 100
     1,164,155  
  560,000       Gilead Sciences, Inc., 2.05%, 4/1/19^      563,178  
     

 

 

 
        2,069,981  
     

 

 

 
 

 

Continued

 

4


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Capital Markets (0.3%):

  

$ 380,000       Apollo Management Holdings LP, 4.00%, 5/30/24(a)    $ 380,511  
  120,000       Bear Stearns Co., Inc., 7.25%, 2/1/18      135,939  
  1,040,000       Ford Motor Credit Co. LLC, 2.50%, 1/15/16      1,048,404  
  115,000       Goldman Sachs Group, Inc. (The), 6.15%, 4/1/18      127,866  
  520,000       Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19^      526,436  
  175,000       Goldman Sachs Group, Inc. (The), 5.25%, 7/27/21      194,341  
  140,000       Goldman Sachs Group, Inc. (The), 6.75%, 10/1/37      164,213  
  298,000       KKR Group Finance Co. III LLC, 5.13%, 6/1/44, Callable 1/1/44 @ 100(a)      285,708  
  235,000       Morgan Stanley, 4.00%, 7/24/15      235,393  
  295,000       Morgan Stanley, 3.45%, 11/2/15      297,675  
  365,000       Morgan Stanley, 6.38%, 7/24/42      448,144  
  90,000       National Rural Utilities Cooperative Finance Corp., 3.05%, 2/15/22,
Callable 11/15/21 @ 100
     91,050  
     

 

 

 
        3,935,680  
     

 

 

 

 

Chemicals (0.1%):

  

  749,000       Eastman Chemical Co., 2.70%, 1/15/20, Callable 12/15/19 @ 100      746,570  
  275,000       Monsanto Co., 2.13%, 7/15/19      273,035  
  190,000       Monsanto Co., 3.38%, 7/15/24,
Callable 4/15/24 @ 100^
     181,473  
     

 

 

 
        1,201,078  
     

 

 

 

 

Commercial Services & Supplies (0.1%):

  

  430,000       Pitney Bowes, Inc., 4.63%, 3/15/24,
Callable 12/15/23 @ 100
     433,689  
  457,000       Waste Management, Inc., 3.90%, 3/1/35, Callable 9/1/34 @ 100      419,026  
     

 

 

 
        852,715  
     

 

 

 

 

Communications Equipment (0.0%):

  

  448,000       QUALCOMM, Inc., 3.00%, 5/20/22      444,963  
     

 

 

 

 

Consumer Finance (0.5%):

  

  318,000       American Express Co., 3.63%, 12/5/24, Callable 11/4/24 @ 100      309,408  
  2,130,000       American Express Credit Corp., 2.75%, 9/15/15      2,138,243  
  1,710,000       Capital One Financial Corp., 1.00%, 11/6/15      1,707,420  
  500,000       HSBC Finance Corp., 5.50%, 1/19/16      512,130  
  1,112,000       Lazard Group LLC, 3.75%, 2/13/25      1,058,229  
  1,275,000       Santander Holdings USA, 3.00%, 9/24/15, Callable 8/24/15 @ 100      1,278,519  
     

 

 

 
        7,003,949  
     

 

 

 

 

Containers & Packaging (0.1%):

  

  831,000       Packaging Corp. of America, 4.50%, 11/1/23, Callable 8/1/23 @ 100      857,007  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Diversified Financial Services (0.2%):

  

$ 551,000       Bayer US Finance LLC, 3.00%, 10/8/21(a)    $ 555,009  
  595,000       Citigroup, Inc., 6.68%, 9/13/43^      720,628  
  220,000       Citigroup, Inc., 5.30%, 5/6/44^      223,966  
  65,000       JPMorgan Chase & Co., 6.30%, 4/23/19      74,466  
  185,000       JPMorgan Chase & Co., Series S, 6.75%, 12/31/49, Callable 2/1/24 @ 100, Perpetual Bond^(b)      197,660  
  785,000       Moody’s Corp., 4.50%, 9/1/22,
Callable 6/1/22 @ 100
     836,163  
  500,000       Moody’s Corp., 4.88%, 2/15/24, Callable 11/15/23 @ 100^      537,019  
     

 

 

 
        3,144,911  
     

 

 

 

 

Diversified Telecommunication Services (0.2%):

  

  405,000       Verizon Communications, Inc., 5.15%, 9/15/23      443,411  
  1,075,000       Verizon Communications, Inc., 6.40%, 9/15/33      1,231,885  
  305,000       Verizon Communications, Inc., 4.40%, 11/1/34, Callable 5/1/34 @ 100      282,357  
  498,000       Verizon Communications, Inc., 5.01%, 8/21/54(a)      456,958  
     

 

 

 
        2,414,611  
     

 

 

 

 

Electric Utilities (0.2%):

  

  955,000       Southern Co. (The), Series A, 2.38%, 9/15/15      958,376  
  1,035,000       Spectra Energy Partners LP, 2.95%, 6/15/16, Callable 5/15/16 @ 100      1,049,536  
  522,000       Spectra Energy Partners LP, 4.50%, 3/15/45, Callable 9/15/44 @ 100^      462,440  
     

 

 

 
        2,470,352  
     

 

 

 

 

Electrical Equipment (0.0%):

  

  405,000       Eaton Corp., 0.95%, 11/2/15      405,263  
     

 

 

 

 

Energy Equipment & Services (0.1%):

  

  351,000       Rowan Cos., Inc., 5.40%, 12/1/42,
Callable 6/1/42 @ 100
     286,070  
  609,000       Rowan Cos., Inc., 5.85%, 1/15/44,
Callable 7/15/43 @ 100^
     515,550  
     

 

 

 
        801,620  
     

 

 

 

 

Food & Beverage (0.2%):

  

  885,000       General Mills, Inc., 0.88%, 1/29/16      885,735  
  795,000       General Mills, Inc., 2.20%, 10/21/19^      790,416  
  1,054,000       HJ Heinz Co., 1.60%, 6/30/17(a)      1,054,107  
     

 

 

 
        2,730,258  
     

 

 

 

 

Food & Staples Retailing (0.1%):

  

  85,000       Corn Products International, Inc., 6.63%, 4/15/37      101,092  
  335,000       CVS Caremark Corp., 3.38%, 8/12/24, Callable 5/12/24 @ 100      329,150  
  1,170,000       Kraft Foods, Inc., 4.13%, 2/9/16      1,192,226  
 

 

Continued

 

5


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Food & Staples Retailing, continued

  

$ 315,000       Wal-Mart Stores, Inc., 3.30%, 4/22/24, Callable 1/22/24 @ 100    $ 318,715  
     

 

 

 
        1,941,183  
     

 

 

 

 

Food Products (0.2%):

  

  2,185,000       Bunge, Ltd. Finance Corp., 5.10%, 7/15/15      2,186,968  
  193,000       Tyson Foods, Inc., 4.88%, 8/15/34, Callable 2/15/34 @ 100      194,205  
  199,000       Tyson Foods, Inc., 5.15%, 8/15/44,
Callable 2/15/43 @ 100^
     204,631  
     

 

 

 
        2,585,804  
     

 

 

 

 

Health Care Equipment & Supplies (0.3%):

  

  297,000       Becton, Dickinson & Co., 2.68%, 12/15/19      297,225  
  465,000       Becton, Dickinson & Co., 3.88%, 5/15/24, Callable 2/15/24 @ 100      466,810  
  370,000       Becton, Dickinson & Co., 4.88%, 5/15/44, Callable 11/15/43 @ 100      368,931  
  525,000       Edwards Lifesciences Corp., 2.88%, 10/15/18      537,200  
  1,017,000       Medtronic, Inc., 3.15%, 3/15/22(a)      1,021,556  
  361,000       Medtronic, Inc., 4.38%, 3/15/35(a)      358,229  
  290,000       Medtronic, Inc., 4.00%, 4/1/43,
Callable 10/1/42 @ 100^
     267,641  
  465,000       Medtronic, Inc., 4.63%, 3/15/44,
Callable 9/15/43 @ 100
     468,751  
     

 

 

 
        3,786,343  
     

 

 

 

 

Health Care Providers & Services (0.4%):

  

  220,000       Aetna, Inc., 3.95%, 9/1/20      233,237  
  840,000       Express Scripts Holding Co., 2.25%, 6/15/19^      833,199  
  585,000       Laboratory Corp. of America, 3.20%, 2/1/22      576,748  
  256,000       Laboratory Corp. of America, 4.70%, 2/1/45, Callable 8/1/44 @ 100      234,485  
  950,000       McKesson Corp., 2.28%, 3/15/19^      949,726  
  1,910,000       WellPoint, Inc., 1.25%, 9/10/15      1,911,054  
     

 

 

 
        4,738,449  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.0%):

  

  305,000       Wyndham Worldwide Corp., 2.95%, 3/1/17, Callable 2/1/17 @ 100      309,604  
     

 

 

 

 

Household Durables (0.0%):

  

  635,000       MDC Holdings, Inc., 6.00%, 1/15/43,
Callable 10/15/42 @ 100
     533,400  
     

 

 

 

 

Household Products (0.1%):

  

  695,000       Tupperware Brands Corp., 4.75%, 6/1/21, Callable 6/1/21 @ 100      733,149  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.2%):

  

  175,000       Louisville Gas & Electric Co., 1.63%, 11/15/15      175,564  
  1,270,000       NextEra Energy, Inc., 2.60%, 9/1/15      1,273,584  
  520,000       Oglethorpe Power Corp., 4.55%, 6/1/44      512,294  
  125,000       Ohio Power Co., Series M, 5.38%, 10/1/21      142,522  
     

 

 

 
        2,103,964  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Industrial Conglomerates (0.1%):

  

$ 1,760,000       General Electric Co., 0.85%, 10/9/15    $ 1,762,575  
     

 

 

 

 

Insurance (0.5%):

  

  1,000,000       American Financial Group, Inc., 9.88%, 6/15/19      1,253,850  
  345,000       American International Group, Inc., 2.30%, 7/16/19, Callable 6/16/19 @ 100^      344,384  
  695,000       American International Group, Inc., 4.38%, 1/15/55, Callable 7/15/54 @ 100      618,992  
  205,000       Berkley (WR) Corp., 4.63%, 3/15/22^      217,963  
  115,000       CNA Financial Corp., 5.88%, 8/15/20      131,012  
  870,000       Farmers Exchange Capital III, 5.45%, 10/15/54, Callable 10/15/34 @ 100^(a)(b)      850,425  
  660,000       Liberty Mutual Group, Inc., 4.85%, 8/1/44(a)      637,687  
  210,000       Markel Corp., 5.00%, 3/30/43      206,474  
  295,000       Marsh & McLennan Cos., Inc., 4.05%, 10/15/23, Callable 7/15/23 @ 100      307,913  
  860,000       Nationwide Financial Services, Inc., 5.30%, 11/18/44(a)      844,437  
  80,000       Prudential Financial, Inc.,
Series D, 4.75%, 9/17/15, MTN
     80,619  
  35,000       Prudential Financial, Inc., 6.63%, 12/1/37, MTN      42,218  
  280,000       Prudential Financial, Inc., 5.10%, 8/15/43, MTN      287,902  
  560,000       Reinsurance Group of America, Inc., 4.70%, 9/15/23      594,296  
  440,000       Travelers Cos., Inc. (The), 4.60%, 8/1/43      455,291  
     

 

 

 
        6,873,463  
     

 

 

 

 

Internet & Catalog Retail (0.2%):

  

  1,395,000       Amazon.com, Inc., 0.65%, 11/27/15      1,395,045  
  795,000       QVC, Inc., 5.45%, 8/15/34,
Callable 2/15/34 @ 100
     721,418  
     

 

 

 
        2,116,463  
     

 

 

 

 

IT Services (0.0%):

  

  315,000       Computer Sciences Corp., 4.45%, 9/15/22      323,342  
     

 

 

 

 

Machinery (0.0%):

  

  655,000       Deere & Co., 2.60%, 6/8/22,
Callable 3/8/22 @ 100^
     644,509  
     

 

 

 

 

Media (0.6%):

  

  135,000       Comcast Corp., 5.70%, 5/15/18      150,177  
  415,000       Comcast Corp., 4.25%, 1/15/33^      405,294  
  705,000       Comcast Corp., 4.40%, 8/15/35,
Callable 2/15/35 @ 100
     700,045  
  245,000       Comcast Corp., 6.45%, 3/15/37      302,770  
  1,520,000       Cox Communications, Inc., 8.38%, 3/1/39(a)      1,937,702  
  240,000       Cox Communications, Inc., 4.70%, 12/15/42(a)      205,315  
  2,185,000       DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 5.15%, 3/15/42      2,055,652  
  200,000       Interpublic Group of Cos., Inc., 2.25%, 11/15/17      201,675  
 

 

Continued

 

6


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Media, continued

  

$ 65,000       NBCUniversal Media LLC, 5.15%, 4/30/20    $ 72,999  
  75,000       NBCUniversal Media LLC, 5.95%, 4/1/41      87,866  
  2,000,000       Time Warner Cable, Inc., 5.00%, 2/1/20      2,159,227  
  328,000       Viacom, Inc., 4.85%, 12/15/34,
Callable 6/15/34 @ 100
     303,337  
     

 

 

 
        8,582,059  
     

 

 

 

 

Metals & Mining (0.0%):

  

  72,000       Southern Copper Corp., 5.25%, 11/8/42      62,484  
     

 

 

 

 

Multiline Retail (0.0%):

  

  330,000       Dollar General Corp., 3.25%, 4/15/23, Callable 1/15/23 @ 100^      314,408  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.1%):

  

  1,390,000       Chevron Corp., 1.37%, 3/2/18      1,389,418  
  335,000       Chevron Corp., 1.72%, 6/24/18, Callable 5/24/18 @ 100      336,998  
  808,000       ConocoPhillips Co., 2.88%, 11/15/21, Callable 9/15/21 @ 100      815,017  
  867,000       ConocoPhillips Co., 4.15%, 11/15/34, Callable 5/15/34 @ 100^      838,538  
  405,000       Devon Energy Corp., 2.25%, 12/15/18, Callable 11/15/18 @ 100      406,098  
  148,000       Devon Energy Corp., 3.25%, 5/15/22,
Callable 2/15/22 @ 100
     146,278  
  385,000       Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100(a)      372,029  
  347,000       Energy Transfer Partners LP, 4.90%, 3/15/35, Callable 9/15/34 @ 100^      313,101  
  2,095,000       Enterprise Products Operating LLC, 3.20%, 2/1/16      2,120,529  
  55,000       Enterprise Products Operating LLC, 5.25%, 1/31/20      61,086  
  75,000       Enterprise Products Partners LP, 6.50%, 1/31/19      85,508  
  350,000       Enterprise Products Partners LP, 2.55%, 10/15/19, Callable 9/15/19 @ 100      349,900  
  503,000       Kinder Morgan (Delaware), Inc., 5.30%, 12/1/34, Callable 6/1/34 @ 100      467,636  
  2,020,000       Marathon Oil Corp., 0.90%, 11/1/15      2,019,496  
  640,000       Noble Energy, Inc., 5.25%, 11/15/43,
Callable 5/15/43 @ 100
     623,526  
  175,000       Plains All American Pipeline LP, 3.65%, 6/1/22, Callable 3/1/22 @ 100      176,148  
  248,000       Southwestern Energy Co., 4.10%, 3/15/22, Callable 12/15/21 @ 100      243,271  
  45,000       Spectra Energy Capital Corp., 7.50%, 9/15/38      51,092  
  470,000       Sunoco Logistics Partners LP, 5.50%, 2/15/20      519,663  
  710,000       Sunoco Logistics Partners LP, 5.30%, 4/1/44, Callable 10/1/43 @ 100      646,446  
  45,000       Texas East Transmission, 7.00%, 7/15/32      55,851  
  215,000       Valmont Industries, Inc., 5.00%, 10/1/44, Callable 4/1/44 @ 100      194,717  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 400,000       Valmont Industries, Inc., 5.25%, 10/1/54, Callable 4/1/54 @ 100    $ 358,536  
  830,000       Western Gas Partners LP, 5.45%, 4/1/44, Callable 10/1/43 @ 100      827,127  
  755,000       Williams Partners LP, 5.40%, 3/4/44,
Callable 9/4/43 @ 100
     690,099  
  858,000       Williams Partners LP, 5.10%, 9/15/45, Callable 3/15/45 @ 100^      758,017  
     

 

 

 
        14,866,125  
     

 

 

 

 

Paper & Forest Products (0.0%):

  

  125,000       International Paper Co., 6.00%, 11/15/41, Callable 5/15/41 @ 100      134,766  
     

 

 

 

 

Pharmaceuticals (0.8%):

  

  2,055,000       AbbVie, Inc., 1.20%, 11/6/15      2,056,877  
  701,000       AbbVie, Inc., 4.50%, 5/14/35, Callable 11/14/34 @ 100      685,790  
  880,000       Allergan, Inc., 5.75%, 4/1/16      911,805  
  1,370,000       Express Scripts, Inc., 3.13%, 5/15/16      1,392,506  
  85,000       GlaxoSmithKline plc, 5.65%, 5/15/18      94,867  
  75,000       Medco Health Solutions, Inc., 2.75%, 9/15/15      75,309  
  1,880,000       Merck & Co., Inc., 0.70%, 5/18/16      1,879,944  
  95,000       Merck & Co., Inc., 5.00%, 6/30/19      105,783  
  567,000       Walgreens Boots Alliance, Inc., 3.30%, 11/18/21, Callable 9/18/21 @ 100      563,066  
  418,000       Walgreens Boots Alliance, Inc., 4.50%, 11/18/34, Callable 5/18/34 @ 100^      393,060  
  2,480,000       Zoetis, Inc., 1.15%, 2/1/16      2,480,547  
  213,000       Zoetis, Inc., 4.70%, 2/1/43, Callable 8/1/42 @ 100      203,077  
     

 

 

 
        10,842,631  
     

 

 

 

 

Professional Services (0.0%):

  

  490,000       Verisk Analytics, Inc., 5.50%, 6/15/45      481,914  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.1%):

  

  410,000       HCP, Inc., 4.20%, 3/1/24, Callable 12/1/23 @ 100      410,819  
  475,000       HCP, Inc., 3.88%, 8/15/24, Callable 5/15/24 @ 100      463,523  
  125,000       Realty Income Corp., 2.00%, 1/31/18, Callable 12/31/17 @ 100      125,890  
  185,000       Senior Housing Properties Trust, 4.30%, 1/15/16, Callable 10/15/15 @ 100      186,346  
  95,000       Ventas Realty LP / Capital Corp., 4.25%, 3/1/22^      98,363  
  155,000       Ventas Realty LP / Capital Corp., 5.70%, 9/30/43, Callable 3/30/43 @ 100      166,458  
     

 

 

 
        1,451,399  
     

 

 

 

 

Real Estate Management & Development (0.0%):

  

  510,000       Piedmont Operating Partnership LP, 4.45%, 3/15/24, Callable 12/15/23 @ 100      512,437  
     

 

 

 
 

 

Continued

 

7


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Road & Rail (0.3%):

  

$ 1,370,000       Burlington Northern Santa Fe LLC, 5.15%, 9/1/43, Callable 3/1/43 @ 100    $ 1,472,910  
  140,000       CSX Corp., 5.50%, 4/15/41,
Callable 10/15/40 @ 100
     155,649  
  845,000       ERAC USA Finance LLC, 2.35%, 10/15/19(a)      839,475  
  18,000       Union Pacific Corp., 3.65%, 2/15/24,
Callable 11/15/23 @ 100
     18,529  
  465,000       Union Pacific Corp., 4.85%, 6/15/44,
Callable 12/15/43 @ 100^
     496,128  
  400,000       Union Pacific Corp., 4.15%, 1/15/45, Callable 7/15/44 @ 100      382,702  
     

 

 

 
        3,365,393  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.0%):

  

  585,000       Lam Research Corp., 3.80%, 3/15/25, Callable 12/15/24 @ 100      569,386  
     

 

 

 

 

Software (0.1%):

  

  75,000       Adobe Systems, Inc., 4.75%, 2/1/20^      82,582  
  395,000       Microsoft Corp., 3.50%, 2/12/35, Callable 8/12/34 @ 100      361,107  
  545,000       Oracle Corp., 4.30%, 7/8/34,
Callable 1/8/34 @ 100
     537,448  
     

 

 

 
        981,137  
     

 

 

 

 

Specialty Retail (0.4%):

  

  520,000       Advance Auto Parts, Inc., 4.50%, 12/1/23, Callable 9/1/23 @ 100      536,790  
  623,602       CVS Pass-Through Trust, 6.04%, 12/10/28      709,704  
  1,400,000       O’Reilly Automotive, Inc., 4.88%, 1/14/21, Callable 10/14/20 @ 100      1,533,548  
  365,000       Penske Truck Leasing Co. LP, 2.50%, 3/15/16(a)      367,552  
  337,000       Ross Stores, Inc., 3.38%, 9/15/24,
Callable 6/15/24 @ 100
     332,620  
  1,400,000       Target Corp., 5.88%, 7/15/16      1,475,093  
  355,000       Target Corp., 2.90%, 1/15/22^      359,083  
  15,000       Wal-Mart Stores, Inc., 6.50%, 8/15/37      19,277  
     

 

 

 
        5,333,667  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.1%):

  

  696,000       Apple, Inc., 2.15%, 2/9/22^      664,878  
  694,000       Xerox Corp., 4.80%, 3/1/35^      656,490  
     

 

 

 
        1,321,368  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.0%):

  

  195,000       Cintas Corp., 2.85%, 6/1/16      197,493  
     

 

 

 

 

Tobacco (0.1%):

  

  410,000       Altria Group, Inc., 4.13%, 9/11/15      412,312  
  310,000       Philip Morris International, Inc., 3.60%, 11/15/23^      314,661  
  925,000       Philip Morris International, Inc., 4.88%, 11/15/43      957,046  
     

 

 

 
        1,684,019  
     

 

 

 
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Trading Companies & Distributors (0.0%):

  

$ 395,000       Air Lease Corp., 4.25%, 9/15/24,
Callable 6/15/24 @ 100^
   $ 392,038  
     

 

 

 

 

Utilities (0.1%):

  

  855,000       Georgia Power Co., 3.00%, 4/15/16      870,081  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  

  510,000       AT&T, Inc., 3.00%, 6/30/22, Callable 4/30/22 @ 100      492,438  
  535,000       AT&T, Inc., 3.40%, 5/15/25, Callable 2/15/25 @ 100      510,234  
  1,000       AT&T, Inc., 8.00%, 11/15/31      1,357  
  454,000       AT&T, Inc., 4.50%, 5/15/35, Callable 11/15/34 @ 100      417,356  
  28,000       AT&T, Inc., 5.35%, 9/1/40      27,566  
  730,000       Crown Castle Towers LLC, 6.11%, 1/15/20(a)      831,188  
  25,000       SBC Communications, Inc., 6.15%, 9/15/34      27,543  
  120,000       Verizon Communications, Inc., 6.40%, 2/15/38      136,689  
     

 

 

 
        2,444,371  
     

 

 

 

 

Total Corporate Bonds (Cost $131,648,964)

     130,964,640  
     

 

 

 

 

Yankee Dollars (2.0%):

  

 

Airlines (0.1%):

  

  760,901       Virgin Australia Holdings, Ltd., 5.00%, 10/23/23(a)      793,239  
     

 

 

 

 

Banks (0.9%):

  

  2,125,000       Abbey National Treasury Services, 4.00%, 4/27/16^      2,174,429  
  1,910,000       ABN AMRO Bank NV, 1.38%, 1/22/16(a)      1,915,518  
  930,000       Australia & New Zealand Banking Group, Ltd., 0.90%, 2/12/16      931,835  
  430,000       Banco Inbursa SA, 4.13%, 6/6/24(a)      413,015  
  175,000       Barclays Bank plc, 6.75%, 5/22/19      202,939  
  615,000       BBVA Bancomer SA, 4.38%, 4/10/24(a)      622,380  
  490,000       BNP Paribas, 4.25%, 10/15/24^      483,269  
  564,000       Credit Suisse AG, 6.50%, 8/8/23(a)      616,797  
  105,000       HBOS plc, Series G, 6.75%, 5/21/18(a)      116,419  
  435,000       Lloyds Bank plc, 2.30%, 11/27/18      439,598  
  2,000,000       Mizuho Finance Group (Cayman) 3, Ltd., 4.60%, 3/27/24^(a)      2,056,132  
  995,000       Societe Generale SA, 5.00%, 1/17/24(a)      996,349  
  545,000       Standard Chartered plc, 5.70%, 3/26/44^(a)      564,986  
  35,000       UBS AG Stamford CT, Series BKNT, 5.88%, 12/20/17      38,504  
     

 

 

 
        11,572,170  
     

 

 

 

 

Chemicals (0.1%):

  

  650,000       Montell Finance Co. BV, 8.10%, 3/15/27(a)      858,668  
     

 

 

 

 

Diversified Financial Services (0.0%):

  

  409,000       BP Capital Markets plc, 2.24%, 5/10/19^      412,087  
     

 

 

 

 

Diversified Telecommunication Services (0.0%):

  

  465,000       British Telecommunications plc, 1.25%, 2/14/17      464,263  
 

 

Continued

 

8


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Diversified Telecommunication Services, continued

  

$ 320,000       Telefonica Emisiones SAU, 7.05%, 6/20/36    $ 393,005  
     

 

 

 
        857,268  
     

 

 

 

 

Electric Utilities (0.2%):

  

  50,000       Electricite de France SA, 4.60%, 1/27/20^(a)      54,982  
  765,000       Electricite de France SA, 4.88%, 1/22/44(a)      798,009  
  785,000       Electricite de France SA, 5.62%, 12/31/49, Callable 1/22/24 @ 100, Perpetual Bond(a)(b)      798,344  
     

 

 

 
        1,651,335  
     

 

 

 

 

Food Products (0.1%):

  

  685,000       Grupo Bimbo SAB de C.V., 3.88%, 6/27/24(a)      682,719  
     

 

 

 

 

Industrial Conglomerates (0.0%):

  

  350,000       Pentair Finance SA, 5.00%, 5/15/21, Callable 2/15/21 @ 100      382,845  
     

 

 

 

 

Insurance (0.1%):

  

  1,005,000       AEGON NV, 4.63%, 12/1/15      1,020,492  
     

 

 

 

 

Media (0.0%):

  

  400,000       Grupo Televisa SAB, 5.00%, 5/13/45      381,600  
     

 

 

 

 

Metals & Mining (0.0%):

  

  205,000       ArcelorMittal, 4.25%, 8/5/15      205,063  
  145,000       ArcelorMittal, 9.85%, 6/1/19      173,638  
  30,000       ArcelorMittal, 7.50%, 3/1/41^      29,400  
  100,000       Rio Tinto Finance (USA), Ltd., 9.00%, 5/1/19      124,827  
  110,000       Rio Tinto Finance (USA), Ltd., 7.13%, 7/15/28      139,332  
  380,000       Vale Overseas, Ltd., 5.63%, 9/15/19^      410,985  
  230,000       Xstrata Finance Canada, 1.80%, 10/23/15(a)      230,589  
  230,000       Xstrata Finance Canada, 2.70%, 10/25/17(a)      232,385  
     

 

 

 
        1,546,219  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.0%):

  

  150,000       Husky Energy, Inc., 3.95%, 4/15/22, Callable 1/15/22 @ 100      150,414  
  70,000       Noble Holding International, Ltd., 2.50%, 3/15/17      69,913  
  315,000       Suncor Energy, Inc., 3.60%, 12/1/24, Callable 9/1/24 @ 100^      313,464  
     

 

 

 
        533,791  
     

 

 

 

 

Pharmaceuticals (0.3%):

  

  885,000       Actavis Funding SCS, 1.85%, 3/1/17      889,320  
  264,000       Actavis Funding SCS, 4.55%, 3/15/35, Callable 9/15/34 @ 100      251,004  
  850,000       Actavis Funding SCS, 4.85%, 6/15/44, Callable 12/15/43 @ 100      820,075  
    
Notional
Amount or
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Pharmaceuticals, continued

  

$ 310,000       Perrigo Co. plc, 2.30%, 11/8/18    $ 310,334  
  750,000       Sanofi-Aventis SA, 2.63%, 3/29/16      761,843  
     

 

 

 
        3,032,576  
     

 

 

 

 

Real Estate Management & Development (0.1%):

  

  730,000       Brookfield Asset Management, Inc., 4.00%, 1/15/25, Callable 10/15/24 @ 100      722,499  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.0%):

  

  665,000       Seagate HDD Cayman, 5.75%, 12/1/34, Callable 6/1/34 @ 100(a)      654,773  
     

 

 

 

 

Tobacco (0.1%):

  

  704,000       B.A.T. International Finance Plc, 3.95%, 6/15/25(a)      710,252  
     

 

 

 

 

Wireless Telecommunication Services (0.0%):

  

  200,000       America Movil SAB de C.V., 2.38%, 9/8/16      202,524  
  335,000       America Movil SAB de C.V., 4.38%, 7/16/42^      311,101  
  75,000       Deutsche Telekom International Finance BV, 6.00%, 7/8/19      85,841  
  355,000       Rogers Communications, Inc., 4.50%, 3/15/43, Callable 9/15/42 @ 100      325,367  
     

 

 

 
        924,833  
     

 

 

 

 

Total Yankee Dollars (Cost $26,515,845)

     26,737,366  
     

 

 

 

 

U.S. Government Agency Mortgages (0.1%):

  

  950,000       Federal Home Loan Mortgage Corporation, 4.88%, 6/13/18^      1,055,101  
  185,000       Federal National Mortgage Association, 6.63%, 11/15/30      261,445  
  540,000       Federal National Mortgage Association, 4.38%, 10/15/15      546,503  
     

 

 

 
        1,863,049  
     

 

 

 

 

Total U.S. Government Agency Mortgages (Cost $1,734,666)

     1,863,049  
     

 

 

 

 

U.S. Treasury Obligations (10.5%):

  

 

U.S. Treasury Bonds (0.1%)

  

  957,900       2.50%, 2/15/45^      843,029  
     

 

 

 

 

U.S. Treasury Notes (10.4%)

  

  8,000,000       0.75%, 6/30/17^      8,015,624  
  22,079,000       0.63%, 6/30/17      22,070,367  
  13,200,000       0.75%, 2/28/18^      13,147,411  
  43,495,000       1.13%, 6/15/18^      43,658,107  
  6,200,000       1.25%, 1/31/19^      6,201,934  
  6,000       3.63%, 2/15/20      6,553  
  26,345,200       1.63%, 6/30/20      26,343,145  
  400,000       2.63%, 11/15/20      417,781  
  20,323,200       2.13%, 5/15/25^      19,954,842  
     

 

 

 
        139,815,764  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $140,698,601)

     140,658,793  
     

 

 

 
 

 

Continued

 

9


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares or
Principal
Amount
           Fair Value  

 

Securities Held as Collateral for Securities on Loan (12.5%):

  

$ 168,579,779       Allianz Variable Insurance Products Securities Lending Collateral Trust(c)    $ 168,579,779  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $168,579,779)

     168,579,779  
     

 

 

 

 

Unaffiliated Investment Company (6.1%):

  

  81,845,438       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (d)      81,845,438  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $81,845,438)

     81,845,438  
     

 

 

 

 
 

Total Investment Securities
(Cost $1,329,959,494)(e) — 112.6%

     1,514,370,142  
     

 

 

 

 

Net other assets (liabilities) — (12.6)%

     (169,204,231
     

 

 

 

 

Net Assets — 100.0%

   $ 1,345,165,911  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

MTN—Medium Term Note

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $160,880,749.

 

+ The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(b) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(c) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(d) The rate represents the effective yield at June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

10


AZL Invesco Equity and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Australia

    0.1

British Virgin Islands

    0.2

Canada

    1.0

Cayman Islands

    0.2

France

    1.7

Guernsey

    0.7

Ireland (Republic of)

    1.3

Israel

    0.7

Italy

    0.1

Luxembourg

    0.2

Mexico

    0.2

Netherlands

    0.5

Panama

    1.0

Spain

    0.1

Switzerland

    0.8

United Kingdom

    3.8

United States

    87.4
 

 

 

 
    100.0
 

 

 

 

Forward Currency Contracts

At June 30, 2015, the Fund’s open forward currency contracts were as follows:

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Short Contracts:

                 

British Pound

   Bank of New York Mellon    7/24/15      6,789,492      $ 10,621,176      $ 10,664,369      $ (43,193

British Pound

   State Street    7/24/15      6,798,738        10,635,981        10,678,892        (42,911

Canadian Dollar

   Bank of New York Mellon    7/24/15      6,807,558        5,524,494        5,449,499        74,995  

Canadian Dollar

   State Street    7/24/15      6,820,332        5,533,778        5,459,725        74,053  

European Euro

   Bank of New York Mellon    7/24/15      9,192,752        10,337,985        10,250,479        87,506  

European Euro

   State Street    7/24/15      9,206,814        10,353,845        10,266,159        87,686  

Israeli Shekel

   Bank of New York Mellon    7/24/15      14,851,720        3,866,125        3,938,550        (72,425

Israeli Shekel

   State Street    7/24/15      14,851,723        3,864,607        3,938,551        (73,944

Swiss Franc

   Bank of New York Mellon    7/24/15      4,542,191        4,878,306        4,864,348        13,958  

Swiss Franc

   State Street    7/24/15      4,556,837        4,894,062        4,880,033        14,029  
           

 

 

    

 

 

    

 

 

 
            $ 70,510,359      $ 70,390,605      $ 119,754  
           

 

 

    

 

 

    

 

 

 

 

See accompanying notes to the financial statements.

 

11


AZL Invesco Equity and Income Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 1,329,959,494  
    

 

 

 

Investment securities, at value*

     $ 1,514,370,142  

Interest and dividends receivable

       3,989,915  

Foreign currency, at value (cost $318,749)

       317,180  

Unrealized appreciation on forward currency contracts

       352,227  

Receivable for capital shares issued

       509,157  

Receivable for investments sold

       696,373  

Reclaims receivable

       133,460  

Prepaid expenses

       1,927  
    

 

 

 

Total Assets

       1,520,370,381  
    

 

 

 

Liabilities:

    

Unrealized depreciation on forward currency contracts

       232,473  

Payable for investments purchased

       4,190,285  

Payable for capital shares redeemed

       1,080,349  

Payable for collateral received on loaned securities

       168,579,779  

Manager fees payable

       735,326  

Administration fees payable

       35,987  

Distribution fees payable

       280,447  

Custodian fees payable

       15,761  

Administrative and compliance services fees payable

       1,372  

Trustee fees payable

       8,882  

Other accrued liabilities

       43,809  
    

 

 

 

Total Liabilities

       175,204,470  
    

 

 

 

Net Assets

     $ 1,345,165,911  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 1,040,908,489  

Accumulated net investment income/(loss)

       34,962,530  

Accumulated net realized gains/(losses) from investment transactions

       84,768,774  

Net unrealized appreciation/(depreciation) on investments

       184,526,118  
    

 

 

 

Net Assets

     $ 1,345,165,911  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       80,463,192  

Net Asset Value (offering and redemption price per share)

     $ 16.72  
    

 

 

 

 

* Includes securities on loan of $164,324,396.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 10,562,862  

Interest

       4,135,040  

Income from securities lending

       347,895  

Foreign withholding tax

       (292,655 )
    

 

 

 

Total Investment Income

       14,753,142  
    

 

 

 

Expenses:

    

Manager fees

       5,001,137  

Administration fees

       199,288  

Distribution fees

       1,667,046  

Custodian fees

       32,585  

Administrative and compliance services fees

       9,385  

Trustee fees

       37,696  

Professional fees

       40,100  

Shareholder reports

       24,542  

Other expenses

       14,975  
    

 

 

 

Total expenses before reductions

       7,026,754  

Less expenses voluntarily waived/reimbursed by the Manager

       (629,623 )
    

 

 

 

Net expenses

       6,397,131  
    

 

 

 

Net Investment Income/(Loss)

       8,356,011  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       31,075,809  

Net realized gains/(losses) on forward currency contracts

       1,004,450  

Change in net unrealized appreciation/depreciation on investments

       (22,277,074 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       9,803,185  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 18,159,196  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

12


Statements of Changes in Net Assets

 

     AZL Invesco Equity and Income Fund
      For the
Six Months Ended
June 30, 2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 8,356,011        $ 18,799,032  

Net realized gains/(losses) on investment transactions

       32,080,259          63,512,140  

Change in unrealized appreciation/depreciation on investments

       (22,277,074 )        15,194,631  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       18,159,196          97,505,803  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (9,503,399 )

From net realized gains

                (32,152,401 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (41,655,800 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       71,114,364          236,866,351  

Proceeds from dividends reinvested

                41,655,800  

Value of shares redeemed

       (61,202,403 )        (89,290,983 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       9,911,961          189,231,168  
    

 

 

      

 

 

 

Change in net assets

       28,071,157          245,081,171  

Net Assets:

         

Beginning of period

       1,317,094,754          1,072,013,583  
    

 

 

      

 

 

 

End of period

     $ 1,345,165,911        $ 1,317,094,754  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 34,962,530        $ 26,606,519  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       4,309,726          14,672,295  

Dividends reinvested

                2,554,004  

Shares redeemed

       (3,668,674 )        (5,547,220 )
    

 

 

      

 

 

 

Change in shares

       641,052          11,679,079  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

13


AZL Invesco Equity and Income Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
   Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                     

Net Asset Value, Beginning of Period

     $ 16.50       $ 15.73       $ 12.73       $ 11.54        $ 11.95       $ 10.83  
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Investment Activities:

                         

Net Investment Income/(Loss)

       0.10         0.23         0.11         0.15          0.14         0.12  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.12         1.10         3.02         1.22          (0.41 )       1.14  
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Total from Investment Activities

       0.22         1.33         3.13         1.37          (0.27 )       1.26  
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Dividends to Shareholders From:

                         

Net Investment Income

               (0.13 )       (0.13 )       (0.18 )        (0.14 )       (0.14 )

Net Realized Gains

               (0.43 )                                 
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Total Dividends

               (0.56 )       (0.13 )       (0.18 )        (0.14 )       (0.14 )
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.72       $ 16.50       $ 15.73       $ 12.73        $ 11.54       $ 11.95  
    

 

 

     

 

 

     

 

 

     

 

 

      

 

 

     

 

 

 

Total Return(a)

       1.33 %(b)       8.50 %       24.67 %       11.91 %        (2.18 )%(c)       11.74 %

Ratios to Average Net Assets/Supplemental Data:

                         

Net Assets, End of Period (000’s)

     $ 1,345,166       $ 1,317,095       $ 1,072,014       $ 575,068        $ 442,396       $ 351,159  

Net Investment Income/(Loss)(d)

       1.25 %       1.57 %       1.20 %       1.46 %        1.57 %       1.49 %

Expenses Before Reductions(d) (e)

       1.05 %       1.05 %       1.06 %       1.07 %        1.09 %       1.10 %

Expenses Net of Reductions(d)

       0.96 %       0.96 %       0.97 %       0.98 %        1.01 %       1.02 %

Expenses Net of Reductions(d) (f)

       0.96 %       0.96 %       0.97 %       0.99 %        1.01 %       1.02 %

Portfolio Turnover Rate(g)

       61 %(b)       119 %       52 %       29 %        28 %       37 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $1,491 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

(g) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

14


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco Equity and Income Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, and reclassification of certain distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

15


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $217.0 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $34,346 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $70.5 million as of June 30, 2015. The monthly average amount for these contracts was $76.5 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 
Foreign Exchange Risk Exposure      
Foreign Currency Contracts   Unrealized appreciation on forward currency contracts   $ 352,227      Unrealized depreciation on forward currency contracts   $ 232,473   

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, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
     Change in Unrealized
Appreciation/
Depreciation on
Derivatives Recognized
in Income
 
Foreign Exchange Risk Exposure      
Foreign Currency Contracts   Net realized gains/(losses) on forward currency contracts/ Change in unrealized appreciation/depreciation on investments    $ 1,004,450       $ (1,301,614

 

16


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL Invesco Equity and Income Fund

         0.75 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.70% on the first $100 million in assets, 0.675% on the next $100 million in assets, and 0.65% on assets above $200 million. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit.

Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was the Administrator is entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $7,079 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

 

17


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Diversified Telecommunication Services

       $ 6,970,059          $ 7,735,024          $ 14,705,083  

Oil, Gas & Consumable Fuels

         38,708,621            28,529,582            67,238,203  

Pharmaceuticals

         47,490,010            21,615,641            69,105,651  

All Other Common Stocks+

         711,058,388                       711,058,388  

Convertible Bonds+

                    93,999,606            93,999,606  

Convertible Preferred Stocks

                    

Banks

         255,000            1,782,648            2,037,648  

Capital Markets

         439,855            3,611,250            4,051,105  

Oil, Gas & Consumable Fuels

                    1,525,393            1,525,393  

Corporate Bonds+

                    130,964,640            130,964,640  

U.S. Government Agency Mortgages

                    1,863,049            1,863,049  

U.S. Treasury Obligations

                    140,658,793            140,658,793  

Yankee Dollars+

                    26,737,366            26,737,366  

Securities Held as Collateral for Securities on Loan

                    168,579,779            168,579,779  

Unaffiliated Investment Company

         81,845,438                       81,845,438  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         886,767,371            627,602,771            1,514,370,142  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Forward Currency Contracts

                    119,754            119,754  
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 886,767,371          $ 627,722,525          $ 1,514,489,896  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

18


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Invesco Equity and Income Fund

       $ 749,450,367          $ 737,108,986  

For the period ended June 30, 2015, purchases and sales on long-term U.S. government securities were as follows:

 

        Purchases      Sales

AZL Invesco Equity and Income Fund

       $ 250,552,461          $ 243,910,604  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $1,333,207,853. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 214,304,011  

Unrealized depreciation

    (33,141,722
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 181,162,289   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Invesco Equity and Income Fund

       $ 9,503,399          $ 32,152,401          $ 41,655,800  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Invesco Equity and Income Fund

       $ 32,594,724          $ 51,049,948          $          $ 202,453,554          $ 286,098,226  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

 

19


AZL Invesco Equity and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

20


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

21


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Invesco Growth and Income Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Invesco Growth and Income Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Invesco Growth and Income Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Invesco Growth and Income Fund

       $ 1,000.00          $ 1,018.90          $ 4.86            0.97 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Invesco Growth and Income Fund

       $ 1,000.00          $ 1,020.01          $ 4.86            0.97 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      31.7 %

Health Care

      13.4  

Information Technology

      13.1  

Consumer Discretionary

      10.2  

Energy

      9.8  

Industrials

      8.4  

Consumer Staples

      5.8  

Telecommunication Services

      2.7  

Materials

      1.1  

Utilities

      1.1  
   

 

 

 

Total Common Stocks

      97.3  

Securities Held as Collateral for Securities on Loan

      3.9  

Money Market

      2.9  
   

 

 

 

Total Investment Securities

      104.1  

Net other assets (liabilities)

      (4.1 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Invesco Growth and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (97.3%):

  

 

Aerospace & Defense (1.4%):

  

  39,971       General Dynamics Corp.    $ 5,663,491  
     

 

 

 

 

Automobiles (1.1%):

  

  130,991       General Motors Co.      4,365,930  
     

 

 

 

 

Banks (18.7%):

  

  577,263       Bank of America Corp.      9,825,016  
  88,914       BB&T Corp.^      3,584,123  
  334,833       Citigroup, Inc.      18,496,175  
  183,840       Citizens Financial Group, Inc.      5,020,670  
  87,104       Comerica, Inc.      4,470,177  
  191,540       Fifth Third Bancorp^      3,987,863  
  170,867       First Horizon National Corp.^      2,677,486  
  274,771       JPMorgan Chase & Co.      18,618,483  
  77,926       PNC Financial Services Group, Inc.      7,453,622  
     

 

 

 
        74,133,615  
     

 

 

 

 

Biotechnology (0.7%):

  

  19,395       Amgen, Inc.      2,977,520  
     

 

 

 

 

Capital Markets (7.7%):

  

  140,771       Charles Schwab Corp. (The)      4,596,173  
  22,915       Goldman Sachs Group, Inc. (The)      4,784,423  
  277,909       Morgan Stanley      10,780,089  
  62,962       Northern Trust Corp.^      4,814,075  
  76,674       State Street Corp.      5,903,898  
     

 

 

 
        30,878,658  
     

 

 

 

 

Chemicals (1.1%):

  

  42,556       Dow Chemical Co. (The)      2,177,591  
  45,731       Mosaic Co. (The)      2,142,497  
     

 

 

 
        4,320,088  
     

 

 

 

 

Commercial Services & Supplies (1.0%):

  

  99,421       Tyco International plc      3,825,720  
     

 

 

 

 

Communications Equipment (1.5%):

  

  220,930       Cisco Systems, Inc.      6,066,738  
     

 

 

 

 

Diversified Financial Services (2.2%):

  

  28,138       CME Group, Inc.      2,618,522  
  130,405       Voya Financial, Inc.      6,059,921  
     

 

 

 
        8,678,443  
     

 

 

 

 

Diversified Telecommunication Services (1.7%):

  

  62,212       France Telecom SA      962,475  
  281,272       Koninklijke (Royal) KPN NV      1,079,353  
  581,197       Telecom Italia SpA*^      737,145  
  49,104       Telefonica SA      699,714  
  64,707       Verizon Communications, Inc.      3,015,993  
     

 

 

 
        6,494,680  
     

 

 

 

 

Electric Utilities (0.5%):

  

  63,004       FirstEnergy Corp.^      2,050,780  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.9%):

  

  181,604       Corning, Inc.      3,583,047  
     

 

 

 

 

Energy Equipment & Services (1.6%):

  

  74,904       Baker Hughes, Inc.      4,621,577  
  79,190       Ensco plc, Class A, ADR      1,763,561  
     

 

 

 
        6,385,138  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing (1.3%):

  

  75,143       Wal-Mart Stores, Inc.    $ 5,329,893  
     

 

 

 

 

Food Products (2.2%):

  

  89,152       Archer-Daniels-Midland Co.      4,298,909  
  112,899       Mondelez International, Inc., Class A      4,644,665  
     

 

 

 
        8,943,574  
     

 

 

 

 

Health Care Equipment & Supplies (2.2%):

  

  52,066       Baxter International, Inc.^      3,640,975  
  68,922       Medtronic plc      5,107,121  
     

 

 

 
        8,748,096  
     

 

 

 

 

Health Care Providers & Services (2.7%):

  

  24,647       Anthem, Inc.      4,045,559  
  36,960       Express Scripts Holding Co.*^      3,287,222  
  28,522       UnitedHealth Group, Inc.      3,479,684  
     

 

 

 
        10,812,465  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.9%):

  

  152,552       Carnival Corp.      7,534,543  
     

 

 

 

 

Household Products (1.1%):

  

  55,540       Procter & Gamble Co. (The)      4,345,450  
     

 

 

 

 

Industrial Conglomerates (3.1%):

  

  459,436       General Electric Co.      12,207,215  
     

 

 

 

 

Insurance (3.1%):

  

  42,956       Aon plc      4,281,854  
  75,099       Marsh & McLennan Cos., Inc.      4,258,113  
  75,781       Willis Group Holdings plc      3,554,129  
     

 

 

 
        12,094,096  
     

 

 

 

 

Internet Software & Services (1.7%):

  

  112,490       eBay, Inc.*      6,776,398  
     

 

 

 

 

IT Services (1.2%):

  

  89,466       Amdocs, Ltd.      4,883,949  
     

 

 

 

 

Machinery (1.9%):

  

  34,678       Caterpillar, Inc.^      2,941,388  
  73,167       Ingersoll-Rand plc      4,932,919  
     

 

 

 
        7,874,307  
     

 

 

 

 

Media (5.3%):

  

  18,011       CBS Corp., Class B      999,611  
  115,857       Comcast Corp., Class A      6,967,640  
  79,186       Thomson Reuters Corp.      3,015,764  
  24,722       Time Warner Cable, Inc., Class A      4,404,719  
  33,725       Time Warner, Inc., Class A      2,947,902  
  38,908       Viacom, Inc., Class B      2,515,013  
     

 

 

 
        20,850,649  
     

 

 

 

 

Multiline Retail (1.9%):

  

  93,886       Target Corp.      7,663,914  
     

 

 

 

 

Multi-Utilities (0.6%):

  

  52,591       PG&E Corp.^      2,582,218  
     

 

 

 

 

Oil, Gas & Consumable Fuels (8.2%):

  

  36,713       Anadarko Petroleum Corp.      2,865,817  
  82,751       Apache Corp.      4,768,940  
  137,558       Canadian Natural Resources, Ltd.      3,736,361  
  43,520       Exxon Mobil Corp.      3,620,864  
 

 

Continued

 

2


AZL Invesco Growth and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

  47,949       Occidental Petroleum Corp.    $ 3,728,994  
  309,579       Royal Dutch Shell plc, A Shares      8,702,135  
  98,256       Total SA      4,780,257  
     

 

 

 
        32,203,368  
     

 

 

 

 

Pharmaceuticals (7.8%):

  

  60,075       Eli Lilly & Co.      5,015,662  
  119,203       Merck & Co., Inc.      6,786,227  
  61,809       Novartis AG, Registered Shares      6,106,683  
  4,399       Novartis AG, ADR^      432,598  
  123,283       Pfizer, Inc.      4,133,679  
  42,151       Sanofi-Aventis SA      4,157,955  
  80,303       Teva Pharmaceutical Industries, Ltd., ADR      4,745,907  
     

 

 

 
        31,378,711  
     

 

 

 

 

Road & Rail (1.0%):

  

  124,105       CSX Corp.      4,052,028  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (3.0%):

  

  218,074       Applied Materials, Inc.      4,191,382  
  60,554       Broadcom Corp., Class A      3,117,925  
  148,513       Intel Corp.      4,517,024  
     

 

 

 
        11,826,331  
     

 

 

 

 

Software (4.0%):

  

  40,823       Adobe Systems, Inc.*      3,307,071  
  46,118       Citrix Systems, Inc.*      3,235,639  
  96,202       Microsoft Corp.      4,247,318  
  227,472       Symantec Corp.      5,288,724  
     

 

 

 
        16,078,752  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.8%):

  

  96,081       NetApp, Inc.      3,032,316  
     

 

 

 

 

Tobacco (1.2%):

  

  62,031       Philip Morris International, Inc.      4,973,025  
     

 

 

 

 

Wireless Telecommunication Services (1.0%):

  

  110,772       Vodafone Group plc, ADR      4,037,639  
     

 

 

 

 

Total Common Stocks (Cost $282,075,083)

     387,652,785  
     

 

 

 

Shares or

Principal

Amount

           Fair Value  

 

Securities Held as Collateral for Securities on Loan (3.9%):

  

$ 15,705,757       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)    $ 15,705,757  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $15,705,757)

     15,705,757  
     

 

 

 

 

Unaffiliated Investment Company (2.9%):

  

  11,701,829       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      11,701,829  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $11,701,829)

     11,701,829  
     

 

 

 

 

Total Investment Securities (Cost $309,482,669)(c) — 104.1%

     415,060,371  

 

Net other assets (liabilities) — (4.1)%

     (16,270,021
     

 

 

 

 

Net Assets — 100.0%

   $ 398,790,350  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $15,260,810.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

3


AZL Invesco Growth and Income Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Canada

    1.6

France

    2.4

Guernsey

    1.2

Ireland (Republic of)

    2.1

Israel

    1.1

Italy

    0.2

Netherlands

    0.3

Panama

    1.8

Spain

    0.2

Switzerland

    1.6

United Kingdom

    5.4

United States

    82.1
 

 

 

 
    100.0
 

 

 

 

Forward Currency Contracts

At June 30, 2015, the Fund’s open forward currency contracts were as follows:

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 

Short Contracts:

  

British Pound

   Bank of New York Mellon    7/24/15      3,107,823      $ 4,861,738      $ 4,881,510      $ (19,772

British Pound

   State Street    7/24/15      3,112,056        4,868,516        4,888,158        (19,642

Canadian Dollar

   Bank of New York Mellon    7/24/15      3,224,743        2,616,955        2,581,430        35,525  

Canadian Dollar

   State Street    7/24/15      3,230,795        2,621,354        2,586,275        35,079  

European Euro

   Bank of New York Mellon    7/24/15      4,146,596        4,663,179        4,623,707        39,472  

European Euro

   State Street    7/24/15      4,152,939        4,670,333        4,630,780        39,553  

Israeli Shekel

   Bank of New York Mellon    7/24/15      6,498,009        1,691,529        1,723,217        (31,688

Israeli Shekel

   State Street    7/24/15      6,498,011        1,690,865        1,723,217        (32,352

Swiss Franc

   Bank of New York Mellon    7/24/15      2,314,692        2,485,976        2,478,863        7,113  

Swiss Franc

   State Street    7/24/15      2,322,155        2,494,004        2,486,855        7,149  
           

 

 

    

 

 

    

 

 

 
            $ 32,664,449      $ 32,604,012      $ 60,437  
           

 

 

    

 

 

    

 

 

 

 

See accompanying notes to the financial statements.

 

4


AZL Invesco Growth and Income Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 309,482,669  
    

 

 

 

Investment securities, at value*

     $ 415,060,371  

Interest and dividends receivable

       811,922  

Foreign currency, at value (cost $172,015)

       152,970  

Unrealized appreciation on forward currency contracts

       163,891  

Receivable for capital shares issued

       2,954  

Reclaims receivable

       77,369  

Prepaid expenses

       684  
    

 

 

 

Total Assets

       416,270,161  
    

 

 

 

Liabilities:

    

Unrealized depreciation on forward currency contracts

       103,454  

Payable for investments purchased

       1,049,212  

Payable for capital shares redeemed

       277,753  

Payable for collateral received on loaned securities

       15,705,757  

Manager fees payable

       220,279  

Administration fees payable

       11,402  

Distribution fees payable

       83,932  

Custodian fees payable

       7,380  

Administrative and compliance services fees payable

       444  

Trustee fees payable

       2,900  

Other accrued liabilities

       17,298  
    

 

 

 

Total Liabilities

       17,479,811  
    

 

 

 

Net Assets

     $ 398,790,350  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 221,274,625  

Accumulated net investment income/(loss)

       13,870,179  

Accumulated net realized gains/(losses) from investment transactions

       58,028,092  

Net unrealized appreciation/(depreciation) on investments

       105,617,454  
    

 

 

 

Net Assets

     $ 398,790,350  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       23,915,818  

Net Asset Value (offering and redemption price per share)

     $ 16.67  
    

 

 

 

 

* Includes securities on loan of $15,260,810.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 4,818,738  

Income from securities lending

       42,149  

Foreign withholding tax

       (115,606 )
    

 

 

 

Total Investment Income

       4,745,281  
    

 

 

 

Expenses:

    

Manager fees

       1,523,363  

Administration fees

       63,441  

Distribution fees

       510,334  

Custodian fees

       14,069  

Administrative and compliance services fees

       2,970  

Trustee fees

       11,925  

Professional fees

       13,021  

Shareholder reports

       10,588  

Other expenses

       4,557  
    

 

 

 

Total expenses before reductions

       2,154,268  

Less expenses voluntarily waived/reimbursed by the Manager

       (184,094 )
    

 

 

 

Net expenses

       1,970,174  
    

 

 

 

Net Investment Income/(Loss)

       2,775,107  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       17,915,073  

Net realized gains/(losses) on forward currency contracts

       557,119  

Change in net unrealized appreciation/depreciation on investments

       (13,326,815 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       5,145,377  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 7,920,484  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL Invesco Growth and Income Fund
     

For the
Six Months Ended
June 30,

2015

  

For the
Year Ended
December 31,

2014

     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,775,107        $ 8,206,930  

Net realized gains/(losses) on investment transactions

       18,472,192          42,928,155  

Change in unrealized appreciation/depreciation on investments

       (13,326,815 )        (10,247,694 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       7,920,484          40,887,391  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (4,209,495 )

From net realized gains

                (13,527,318 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (17,736,813 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       1,949,824          15,127,035  

Proceeds from dividends reinvested

                17,736,813  

Value of shares redeemed

       (33,386,636 )        (73,171,753 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (31,436,812 )        (40,307,905 )
    

 

 

      

 

 

 

Change in net assets

       (23,516,328 )        (17,157,327 )

Net Assets:

         

Beginning of period

       422,306,678          439,464,005  
    

 

 

      

 

 

 

End of period

     $ 398,790,350        $ 422,306,678  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 13,870,179        $ 11,095,072  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       119,495          954,104  

Dividends reinvested

                1,096,218  

Shares redeemed

       (2,018,710 )        (4,575,778 )
    

 

 

      

 

 

 

Change in shares

       (1,899,215 )        (2,525,456 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL Invesco Growth and Income Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

Six Months

Ended
June 30,

2015

 

Year Ended
December 31,

2014

 

Year Ended
December 31,

2013

 

Year Ended
December 31,

2012

 

Year Ended
December 31,

2011

 

Year Ended
December 31,

2010

     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 16.36       $ 15.51       $ 11.71       $ 10.39       $ 10.70       $ 9.61  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.15         0.33         0.16         0.14         0.15         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.16         1.21         3.77         1.35         (0.36 )       1.11  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.31         1.54         3.93         1.49         (0.21 )       1.18  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.16 )       (0.13 )       (0.17 )       (0.10 )       (0.09 )

Net Realized Gains

               (0.53 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.69 )       (0.13 )       (0.17 )       (0.10 )       (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.67       $ 16.36       $ 15.51       $ 11.71       $ 10.39       $ 10.70  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.89 %(b)       10.00 %       33.69 %       14.33 %       (1.94 )%(c)       12.37 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 398,790       $ 422,307       $ 439,464       $ 328,685       $ 251,302       $ 267,458  

Net Investment Income/(Loss)(d)

       1.36 %       1.91 %       1.17 %       1.43 %       1.32 %       1.03 %

Expenses Before Reductions(d) (e)

       1.06 %       1.05 %       1.05 %       1.07 %       1.09 %       1.10 %

Expenses Net of Reductions(d)

       0.97 %       0.96 %       0.96 %       0.97 %       0.98 %       0.99 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(d) (f)

       0.97 %       0.96 %       0.96 %       0.98 %       0.99 %       1.00 %

Portfolio Turnover Rate(g)

       8 %(b)       29 %       31 %       32 %       22 %       34 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $1,687 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

(g) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

7


AZL Invesco Growth and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco Growth and Income Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL Invesco Growth and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $21.8 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $4,156 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts 

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $32.7 million as of June 30, 2015. The monthly average amount for these contracts was $36.4 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 

 

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 

Foreign Exchange Risk Exposure

     
Foreign Currency Contracts   Unrealized appreciation on forward currency contracts   $ 163,891      Unrealized depreciation on forward currency contracts   $ 103,454   

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, 2015:

 

Primary Risk Exposure   

Location of Gains /(Losses)

on Derivatives

Recognized in Income

     Realized Gains/(Losses)
on Derivatives
Recognized in Income
       Change in Unrealized
Appreciation/
Depreciation on
Derivatives Recognized
in  Income
 

Foreign Exchange Risk Exposure

         
Foreign Currency Contracts    Net realized gains/(losses) on forward currency contracts / Change in unrealized appreciation/depreciation on investments      $ 557,119         $ (651,061

 

9


AZL Invesco Growth and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL Invesco Growth and Income Fund

         0.78 %          1.20 %

 

* The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.775%, the next $150 million at 0.75%, the next $250 million at 0.725% and above $500 million at 0.675%.The Manager voluntarily reduced the management fees as follows: the first $100 million at 0.675% and above $100 million at 0.65%. The Manager reserves the right to stop reducing the manager fee at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,218 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

 

10


AZL Invesco Growth and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 —significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks

                    

Diversified Telecommunication Services

       $ 3,015,993          $ 3,478,687          $ 6,494,680  

Oil, Gas & Consumable Fuels

         18,720,976            13,482,392            32,203,368  

Pharmaceuticals

         21,114,073            10,264,638            31,378,711  

All Other Common Stocks+

         317,576,026                       317,576,026  

Securities Held as Collateral for Securities on Loan

                    15,705,757            15,705,757  

Unaffiliated Investment Company

         11,701,829                       11,701,829  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         372,128,897            42,931,474            415,060,371  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Forward Currency Contracts

                    60,437            60,437  
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 372,128,897          $ 42,991,911          $ 415,120,808  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

11


AZL Invesco Growth and Income Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Invesco Growth and Income Fund

       $ 33,551,579          $ 58,780,861  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $310,359,569. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 116,499,006  

Unrealized depreciation

    (11,798,204
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 104,700,802   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

       

Ordinary

Income

    

Net

Long-Term
Capital Gains

     Total
Distributions(a)

AZL Invesco Growth and Income Fund

       $ 4,209,495          $ 13,527,318          $ 17,736,813  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

       

Undistributed

Ordinary

Income

    

Undistributed

Long-Term

Capital Gains

    

Accumulated

Capital and

Other Losses

    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL Invesco Growth and Income Fund

       $ 12,540,549          $ 39,649,999          $          $ 117,404,693          $ 169,595,241  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Invesco International Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Invesco International Equity Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Invesco International Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Invesco International Equity Fund

       $ 1,000.00          $ 1,034.30          $ 5.95            1.18 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Invesco International Equity Fund

       $ 1,000.00          $ 1,018.94          $ 5.91            1.18 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

United Kingdom

      18.0 %

Switzerland

      9.3  

Canada

      7.3  

Japan

      7.0  

Germany

      6.2  

Australia

      4.2  

Brazil

      4.1  

Cayman Islands

      3.9  

Singapore

      3.5  

Sweden

      3.4  

All other countries

      26.2  
   

 

 

 

Total Common Stocks

      93.1  

Money Market

      6.4  

Securities Held as Collateral for Securities on Loan

      3.5  
   

 

 

 

Total Investment Securities

      103.0  

Net other assets (liabilities)

      (3.0 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Invesco International Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares           

Fair Value

 

 

Common Stocks (93.1%):

  

 

Air Freight & Logistics (0.7%):

  

  126,176       Deutsche Post AG    $ 3,685,568  
     

 

 

 

 

Auto Components (0.5%):

  

  52,500       Denso Corp.      2,613,155  
     

 

 

 

 

Automobiles (2.7%):

  

  1,296,000       Great Wall Motor Co.      6,350,400  
  115,600       Toyota Motor Corp.      7,732,416  
     

 

 

 
        14,082,816  
     

 

 

 

 

Banks (8.4%):

  

  1,738,398       Akbank T.A.S.      4,988,190  
  896,214       Banco Bradesco SA, ADR      8,209,320  
  7,903,000       Industrial & Commercial Bank of China      6,250,982  
  1,533,800       Kasikornbank Public Co., Ltd.      8,571,800  
  4,665,225       Lloyds Banking Group plc      6,261,540  
  503,852       United Overseas Bank, Ltd.      8,623,320  
     

 

 

 
        42,905,152  
     

 

 

 

 

Beverages (3.5%):

  

  52,471       Anheuser-Busch InBev NV      6,314,346  
  93,809       Carlsberg A/S, Class B      8,516,063  
  37,783       Fomento Economico Mexicano SAB de C.V., ADR      3,366,087  
     

 

 

 
        18,196,496  
     

 

 

 

 

Biotechnology (0.7%):

  

  55,274       CSL, Ltd.      3,668,299  
     

 

 

 

 

Capital Markets (4.5%):

  

  877,555       Aberdeen Asset Management plc      5,564,096  
  141,367       Julius Baer Group, Ltd.      7,943,969  
  430,519       UBS Group AG      9,130,805  
     

 

 

 
        22,638,870  
     

 

 

 

 

Chemicals (1.7%):

  

  21,230       Syngenta AG, Registered Shares      8,701,934  
     

 

 

 

 

Commercial Services & Supplies (1.0%):

  

  631,654       Brambles, Ltd.      5,136,611  
     

 

 

 

 

Communications Equipment (1.3%):

  

  661,365       Telefonaktiebolaget LM Ericsson, B Shares      6,849,652  
     

 

 

 

 

Containers & Packaging (1.7%):

  

  845,297       Amcor, Ltd.      8,929,807  
     

 

 

 

 

Diversified Financial Services (5.1%):

  

  2,343,956       Bm&f Bovespa SA      8,845,829  
  113,881       Deutsche Boerse AG      9,424,762  
  214,808       Investor AB, B Shares      7,997,299  
     

 

 

 
        26,267,890  
     

 

 

 

 

Electrical Equipment (2.6%):

  

  327,218       ABB, Ltd.      6,858,443  
  93,981       Schneider Electric SA      6,481,082  
  217       Schneider Electric SE      14,972  
     

 

 

 
        13,354,497  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.7%):

  

  6,385       Keyence Corp.      3,442,986  
     

 

 

 

 

Food Products (1.9%):

  

  189,048       BRF-Brasil Foods SA      3,994,811  
  139,425       Unilever NV      5,826,438  
     

 

 

 
        9,821,249  
     

 

 

 
Shares           

Fair Value

 

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies (1.5%):

  

  112,819       Getinge AB, B Shares ^    $ 2,715,287  
  306,014       Smith & Nephew plc      5,169,980  
     

 

 

 
        7,885,267  
     

 

 

 

 

Hotels, Restaurants & Leisure (2.7%):

  

  497,603       Compass Group plc      8,241,340  
  1,420,000       Galaxy Entertainment Group, Ltd.      5,656,137  
     

 

 

 
        13,897,477  
     

 

 

 

 

Insurance (1.8%):

  

  11,082       Fairfax Financial Holdings, Ltd.      5,465,392  
  139,401       Great-West Lifeco, Inc.      4,058,793  
     

 

 

 
        9,524,185  
     

 

 

 

 

Internet Software & Services (2.9%):

  

  45,293       Baidu, Inc., ADR*      9,016,930  
  1,555,700       Yahoo! Japan Corp.^      6,272,827  
     

 

 

 
        15,289,757  
     

 

 

 

 

IT Services (1.0%):

  

  135,983       Amadeus IT Holding SA      5,413,479  
     

 

 

 

 

Life Sciences Tools & Services (0.0%):

  

  160,422       Art Advanced Research Technologies, Inc.*(a)       
  165,100       Art Advanced Research Technologies, Inc.*(a)       
  50,591       Art Advanced Research Technologies, Inc.*(a)       
     

 

 

 
         
     

 

 

 

 

Machinery (1.4%):

  

  11,300       Fanuc, Ltd.      2,307,131  
  235,600       Komatsu, Ltd.      4,721,945  
     

 

 

 
        7,029,076  
     

 

 

 

 

Media (13.7%):

  

  1,064,671       British Sky Broadcasting Group plc      17,363,568  
  209,360       Grupo Televisa SA, ADR      8,127,356  
  520,987       Informa plc      4,477,574  
  150,318       ProSiebenSat.1 Media AG, Registered Shares      7,420,395  
  139,846       Publicis Groupe SA      10,326,871  
  677,038       Reed Elsevier plc      11,021,787  
  566,218       WPP plc      12,703,014  
     

 

 

 
        71,440,565  
     

 

 

 

 

Multiline Retail (1.0%):

  

  44,995       Next plc      5,270,956  
     

 

 

 

 

Multi-Utilities (0.7%):

  

  846,313       Centrica plc      3,513,005  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.7%):

  

  146,478       Cenovus Energy, Inc.      2,342,381  
  1,526,000       CNOOC, Ltd.      2,164,643  
  448,806       EnCana Corp.      4,948,798  
  240,562       Royal Dutch Shell plc, B Shares      6,840,107  
  291,399       Suncor Energy, Inc.      8,027,007  
     

 

 

 
        24,322,936  
     

 

 

 

 

Pharmaceuticals (5.8%):

  

  39,665       Novartis AG, Registered Shares      3,918,872  
  108,428       Novo Nordisk A/S, B Shares      5,947,671  
 

 

Continued

 

2


AZL Invesco International Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares           

Fair Value

 

 

Common Stocks, continued

  

 

Pharmaceuticals, continued

  

  28,410       Roche Holding AG    $ 7,978,340  
  214,857       Teva Pharmaceutical Industries, Ltd., ADR      12,698,049  
     

 

 

 
        30,542,932  
     

 

 

 

 

Real Estate Management & Development (2.2%):

  

  760,212       CK Hutchison Holdings, Ltd.      11,147,924  
     

 

 

 

 

Road & Rail (1.6%):

  

  1,025,266       Aurizon Holdings, Ltd.      4,037,436  
  71,335       Canadian National Railway Co.      4,116,272  
     

 

 

 
        8,153,708  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (5.1%):

  

  73,056       Avago Technologies, Ltd.      9,711,334  
  7,914       Samsung Electronics Co., Ltd.      8,992,188  
  355,251       Taiwan Semiconductor Manufacturing Co., Ltd., ADR      8,067,750  
     

 

 

 
        26,771,272  
     

 

 

 

 

Software (3.3%):

  

  226,940       CGI Group, Inc., Class A*      8,877,337  
  116,761       SAP AG      8,134,846  
     

 

 

 
        17,012,183  
     

 

 

 

 

Specialty Retail (1.5%):

  

  1,416,311       Kingfisher plc      7,714,394  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.4%):

  

  45,698       Adidas AG      3,496,804  
  9,243       Swatch Group AG (The)^      3,605,730  
     

 

 

 
        7,102,534  
     

 

 

 

 

Tobacco (3.9%):

  

  208,628       British American Tobacco plc      11,210,489  
  265,200       Japan Tobacco, Inc.      9,439,151  
     

 

 

 
        20,649,640  
     

 

 

 

 

Total Common Stocks (Cost $380,142,333)

     482,976,272  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Securities Held as Collateral for Securities on Loan (3.5%):

  

$ 18,356,822       Allianz Variable Insurance Products Securities Lending Collateral
Trust(b)
   $ 18,356,822  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $18,356,822)

     18,356,822  
     

 

 

 

 

Unaffiliated Investment Company (6.4%):

  

  33,395,615       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c)      33,395,615  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $33,395,615)

     33,395,615  
     

 

 

 

 

Total Investment Securities (Cost $431,894,770)(d) — 103.0%

     534,728,709   

 

Net other assets (liabilities) — (3.0)%

     (15,775,066
     

 

 

 

 

Net Assets — 100.0%

   $ 518,953,643  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

Amounts shown as “—” are either $0 or round to less than $1.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $17,428,074.

 

(a) Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2015. 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, 2015.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

3


AZL Invesco International Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Australia

    4.1

Belgium

    1.2

Brazil

    3.9

Canada

    7.1

Cayman Islands

    3.8

China

    1.2

Denmark

    2.7

France

    3.1

Germany

    6.0

Hong Kong

    2.6

Ireland (Republic of)

    2.4

Israel

    2.4

Japan

    6.8

Mexico

    2.1

Netherlands

    1.1

Republic of Korea (South)

    1.7

Singapore

    3.4

Spain

    1.0

Sweden

    3.3

Switzerland

    9.1

Taiwan

    1.5

Thailand

    1.6

Turkey

    0.9

United Kingdom

    17.4

United States

    9.6
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

4


AZL Invesco International Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 431,894,770  
    

 

 

 

Investment securities, at value*

     $ 534,728,709  

Cash

       29,223  

Interest and dividends receivable

       1,210,253  

Foreign currency, at value (cost $2,213,965)

       2,213,313  

Receivable for investments sold

       297,110  

Reclaims receivable

       468,103  

Prepaid expenses

       827  
    

 

 

 

Total Assets

       538,947,538  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       595,871  

Payable for capital shares redeemed

       452,397  

Payable for collateral received on loaned securities

       18,356,822  

Manager fees payable

       373,733  

Administration fees payable

       15,383  

Distribution fees payable

       109,921  

Custodian fees payable

       58,639  

Administrative and compliance services fees payable

       612  

Trustee fees payable

       4,134  

Other accrued liabilities

       26,383  
    

 

 

 

Total Liabilities

       19,993,895  
    

 

 

 

Net Assets

     $ 518,953,643  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 347,843,449  

Accumulated net investment income/(loss)

       10,623,059  

Accumulated net realized gains/(losses) from investment transactions

       57,655,166  

Net unrealized appreciation/(depreciation) on investments

       102,831,969  
    

 

 

 

Net Assets

     $ 518,953,643  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       27,280,655  

Net Asset Value (offering and redemption price per share)

     $ 19.02  
    

 

 

 

 

* Includes securities on loan of $17,428,074.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 9,198,829  

Income from securities lending

       118,869  

Foreign withholding tax

       (814,354 )
    

 

 

 

Total Investment Income

       8,503,344  
    

 

 

 

Expenses:

    

Manager fees

       2,457,540  

Administration fees

       81,977  

Distribution fees

       682,649  

Custodian fees

       88,406  

Administrative and compliance services fees

       3,427  

Trustee fees

       13,732  

Professional fees

       15,035  

Shareholder reports

       11,402  

Other expenses

       8,404  
    

 

 

 

Total expenses before reductions

       3,362,572  

Less expenses voluntarily waived/reimbursed by the Manager

       (136,534 )
    

 

 

 

Net expenses

       3,226,038  
    

 

 

 

Net Investment Income/(Loss)

       5,277,306  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       31,304,509  

Change in net unrealized appreciation/depreciation on investments

       (16,368,806 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       14,935,703  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 20,213,009  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL Invesco International Equity Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 5,277,306        $ 7,579,504  

Net realized gains/(losses) on investment transactions

       31,304,509          45,532,166  

Change in unrealized appreciation/depreciation on investments

       (16,368,806 )        (50,756,874 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       20,213,009          2,354,796  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (8,563,231 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (8,563,231 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       14,105,487          13,070,434  

Proceeds from dividends reinvested

                8,563,231  

Value of shares redeemed

       (62,798,839 )        (60,336,578 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (48,693,352 )        (38,702,913 )
    

 

 

      

 

 

 

Change in net assets

       (28,480,343 )        (44,911,348 )

Net Assets:

         

Beginning of period

       547,433,986          592,345,334  
    

 

 

      

 

 

 

End of period

     $ 518,953,643        $ 547,433,986  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 10,623,059        $ 5,345,753  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       723,326          700,821  

Dividends reinvested

                448,806  

Shares redeemed

       (3,206,113 )        (3,201,602 )
    

 

 

      

 

 

 

Change in shares

       (2,482,787 )        (2,051,975 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL Invesco International Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 18.39       $ 18.62       $ 15.87       $ 13.97       $ 15.24       $ 13.61  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.21         0.27         0.22         0.16         0.28         0.12  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.42         (0.21 )       2.74         2.00         (1.40 )       1.58  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.63         0.06         2.96         2.16         (1.12 )       1.70  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.29 )       (0.21 )       (0.26 )       (0.15 )       (0.07 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.29 )       (0.21 )       (0.26 )       (0.15 )       (0.07 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 19.02       $ 18.39       $ 18.62       $ 15.87       $ 13.97       $ 15.24  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.43 %(b)       0.25 %       18.78 %       15.56 %       (7.32 )%(c)       12.52 %(d)

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 518,954       $ 547,434       $ 592,345       $ 509,885       $ 459,529       $ 556,045  

Net Investment Income/(Loss)(e)

       1.93 %       1.31 %       1.26 %       1.12 %       1.72 %       1.04 %

Expenses Before Reductions(e) (f)

       1.23 %       1.24 %       1.24 %       1.25 %       1.27 %       1.28 %

Expenses Net of Reductions(e)

       1.18 %       1.19 %       1.19 %       1.20 %       1.19 %       1.15 %

Portfolio Turnover Rate

       13 %(b)       23 %       28 %       27 %       30 %       39 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) During the year ended December 31, 2011, Invesco Advisers, Inc. reimbursed $13,257 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was less than 0.005%.

 

(d) During the year ended December 31, 2010, Invesco Advisers, Inc. reimbursed $45,566 to the Fund related to violation of certain investment policies and limitations. The corresponding impact to the return was 0.01%.

 

(e) Annualized for periods less than one year.

 

(f) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

7


AZL Invesco International Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Invesco International Equity Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL Invesco International Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $23.4 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $11,765 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Invesco Advisers, Inc. (“Invesco”), Invesco provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL Invesco International Equity Fund

         0.90 %          1.45 %

 

* The Manager voluntarily reduced the management fee to 0.85% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

9


AZL Invesco International Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,963 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

 

10


AZL Invesco International Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Common Stocks

                           

Banks

       $ 8,209,320          $ 34,695,832          $          $ 42,905,152  

Beverages

         3,366,087            14,830,409                       18,196,496  

Diversified Financial Services

         8,845,829            17,422,061                       26,267,890  

Food Products

         3,994,811            5,826,438                       9,821,249  

Insurance

         9,524,185                                  9,524,185  

Internet Software & Services

         9,016,930            6,272,827                       15,289,757  

Life Sciences Tools & Services

                               ^          ^

Media

         8,127,356            63,313,209                       71,440,565  

Oil, Gas & Consumable Fuels

         15,318,186            9,004,750                       24,322,936  

Pharmaceuticals

         12,698,049            17,844,883                       30,542,932  

Road & Rail

         4,116,272            4,037,436                       8,153,708  

Semiconductors & Semiconductor Equipment

         17,779,084            8,992,188                       26,771,272  

Software

         8,877,337            8,134,846                       17,012,183  

All Other Common Stocks+

                    182,727,947                       182,727,947  

Securities Held as Collateral for Securities on Loan

                    18,356,822                       18,356,822  

Unaffiliated Investment Company

         33,395,615                                  33,395,615  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 143,269,061          $ 391,459,648          $ ^        $ 534,728,709  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ 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, 2015.

A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures, are presented when there are significant Level 3 investments at the end of the period.

For the period ended June 30, 2015, there have been no significant changes to the Funds’ fair valuation methodologies. Changes in valuation techniques may result in transfers out of an investment’s assigned level within the hierarchy during the reporting period. There were significant total transfers from Level 1 to Level 2 and from Level 2 to Level 1 during the reporting period. Level 1 securities were valued using quoted prices from stock exchanges. Level 2 securities were valued using fair valuation methodologies. These transfers were as follows:

 

       

Transfers from

Level 2 to Level 1

    

Transfers from

Level 1 to Level 2

    

Total

Transfers*

AZL Invesco International Equity Fund

       $ 12,840,640          $ 9,130,804          $ 21,971,444  

 

* Represents 4.23% of net assets as of June 30, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL   Invesco International Equity Fund

       $ 66,033,859          $ 104,277,339  

6. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

 

11


AZL Invesco International Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $437,994,213. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 119,428,101  

Unrealized depreciation

    (22,693,605
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 96,734,496   
 

 

 

 

During the year ended December 31, 2014, the Fund utilized $14,146,699 in capital loss carry forwards to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

       

Ordinary

Income

     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL Invesco International Equity Fund

       $ 8,563,231          $          $ 8,563,231  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

       

Undistributed

Ordinary

Income

    

Undistributed

Long-Term

Capital Gains

    

Accumulated

Capital and

Other Losses

    

Unrealized

Appreciation/

(Depreciation)(a)

    

Total

Accumulated
Earnings/
(Deficit)

AZL Invesco International Equity Fund

       $ 7,971,201          $ 29,922,941          $          $ 113,003,043          $ 150,897,185  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® JPMorgan International Opportunities Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 14

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL JPMorgan International Opportunities Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL JPMorgan International Opportunities Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL JPMorgan International Opportunities Fund

       $ 1,000.00          $ 1,065.50          $ 5.99            1.17 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL JPMorgan International Opportunities Fund

       $ 1,000.00          $ 1,018.99          $ 5.86            1.17 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

United Kingdom

      26.4 %

Japan

      23.6  

Switzerland

      14.2  

Germany

      9.2  

France

      6.5  

Netherlands

      4.4  

Italy

      2.7  

Australia

      2.3  

Sweden

      1.5  

Cayman Islands

      1.5  

All other countries

      6.7  
   

 

 

 

Total Common Stocks and Preferred Stocks

      99.0  

Securities Held as Collateral for Securities on Loan

      2.3  

Money Market

      0.2  
   

 

 

 

Total Investment Securities

      101.5  

Net other assets (liabilities)

      (1.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL JPMorgan International Opportunities Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (97.5%):

  

 

Aerospace & Defense (2.2%):

  

  103,349       European Aeronautic Defence & Space Co. NV    $ 6,694,917  
  93,923       Thales SA      5,681,315  
     

 

 

 
        12,376,232  
     

 

 

 

 

Air Freight & Logistics (0.8%):

  

  246,400       Yamato Holdings Co., Ltd.      4,754,172  
     

 

 

 

 

Airlines (1.3%):

  

  205,800       Japan Airlines Co., Ltd.      7,173,839  
     

 

 

 

 

Auto Components (2.1%):

  

  16,432       Continental AG      3,886,391  
  51,753       Valeo SA      8,180,131  
     

 

 

 
        12,066,522  
     

 

 

 

 

Automobiles (4.0%):

  

  108,433       Daimler AG, Registered Shares      9,863,720  
  322,600       Mazda Motor Corp.^      6,348,282  
  65,914       Renault SA      6,882,949  
     

 

 

 
        23,094,951  
     

 

 

 

 

Banks (12.1%):

  

  392,741       Australia & New Zealand Banking Group, Ltd.      9,730,023  
  79,655       HDFC Bank, Ltd., ADR^      4,821,517  
  1,203,370       HSBC Holdings plc      10,771,733  
  622,947       ING Groep NV      10,328,215  
  2,369,802       Intesa Sanpaolo SpA      8,580,686  
  6,853,128       Lloyds Banking Group plc      9,198,084  
  1,397,800       Mitsubishi UFJ Financial Group, Inc.      10,003,775  
  141,972       Sumitomo Mitsui Financial Group, Inc.      6,309,219  
     

 

 

 
        69,743,252  
     

 

 

 

 

Beverages (2.0%):

  

  153,721       SABMiller plc      7,968,132  
  89,100       Suntory Beverage & Food, Ltd.      3,582,704  
     

 

 

 
        11,550,836  
     

 

 

 

 

Building Products (1.3%):

  

  100,000       Daikin Industries, Ltd.      7,191,799  
     

 

 

 

 

Capital Markets (1.8%):

  

  490,352       UBS Group AG      10,399,792  
     

 

 

 

 

Chemicals (2.4%):

  

  73,282       Air Liquide SA      9,257,929  
  84,034       Christian Hansen Holding A/S      4,109,057  
     

 

 

 
        13,366,986  
     

 

 

 

 

Construction & Engineering (0.8%):

  

  960,000       Kajima Corp.      4,507,635  
     

 

 

 

 

Diversified Financial Services (1.5%):

  

  554,600       ORIX Corp.      8,281,200  
     

 

 

 

 

Diversified Telecommunication Services (0.8%):

  

  123,000       Nippon Telegraph & Telephone Corp.      4,452,136  
     

 

 

 

 

Electric Utilities (1.2%):

  

  1,528,363       Enel SpA      6,909,081  
     

 

 

 

 

Electronic Equipment, Instruments & Components (2.3%):

  

  830,000       Hitachi, Ltd.      5,467,692  
  14,700       Keyence Corp.      7,926,686  
     

 

 

 
        13,394,378  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks , continued

  

 

Food & Staples Retailing (2.2%):

  

  459,110       Distribuidora Internacional de Alimentacion SA ^    $ 3,514,239  
  164,700       Seven & I Holdings Co., Ltd.      7,073,413  
  2,447,500       Sun Art Retail Group, Ltd.^      2,203,153  
     

 

 

 
        12,790,805  
     

 

 

 

 

Food Products (4.2%):

  

  71,599       Associated British Foods plc      3,234,047  
  227,025       Nestle SA, Registered Shares      16,415,013  
  173,000       Nippon Meat Packers, Inc.      3,938,549  
     

 

 

 
        23,587,609  
     

 

 

 

 

Gas Utilities (0.9%):

  

  864,000       ENN Energy Holdings, Ltd.      5,195,395  
     

 

 

 

 

Health Care Equipment & Supplies (1.2%):

  

  393,128       Smith & Nephew plc      6,641,735  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.7%):

  

  105,345       InterContinental Hotels Group plc      4,249,297  
     

 

 

 

 

Household Durables (1.5%):

  

  266,372       Electrolux AB, Series B      8,338,900  
     

 

 

 

 

Household Products (1.5%):

  

  98,612       Reckitt Benckiser Group plc      8,513,522  
     

 

 

 

 

Insurance (5.7%):

  

  865,539       Aviva plc      6,707,626  
  280,286       AXA SA      7,062,407  
  158,900       NKSJ Holdings, Inc.      5,827,238  
  346,732       Prudential plc      8,365,484  
  59,527       Swiss Re AG^      5,266,733  
     

 

 

 
        33,229,488  
     

 

 

 

 

Machinery (1.0%):

  

  286,300       DMG Mori Co., Ltd.^      5,527,195  
     

 

 

 

 

Marine (0.5%):

  

  836,000       Mitsui O.S.K. Lines, Ltd.^      2,671,569  
     

 

 

 

 

Media (2.4%):

  

  172,000       Dentsu, Inc.      8,969,436  
  538,956       UBM plc      4,529,949  
     

 

 

 
        13,499,385  
     

 

 

 

 

Metals & Mining (3.0%):

  

  1,693,000       Nippon Steel Corp.      4,384,925  
  1,217,120       Norsk Hydro ASA      5,131,450  
  184,639       Rio Tinto plc      7,592,790  
     

 

 

 
        17,109,165  
     

 

 

 

 

Multi-Utilities (1.9%):

  

  390,270       E.ON AG      5,197,120  
  441,975       National Grid plc      5,682,621  
     

 

 

 
        10,879,741  
     

 

 

 

 

Oil, Gas & Consumable Fuels (3.7%):

  

  443,012       BG Group plc      7,370,781  
  624,536       Oil Search, Ltd.      3,409,269  
  260,680       Royal Dutch Shell plc, A Shares      7,423,211  
  147,264       Statoil ASA      2,630,161  
     

 

 

 
        20,833,422  
     

 

 

 
 

 

Continued

 

2


AZL JPMorgan International Opportunities Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks , continued

  

 

Paper & Forest Products (1.0%):

  

  188,802       Stora Enso OYJ, Registered Shares    $ 1,942,962  
  217,136       UPM-Kymmene OYJ      3,852,859  
     

 

 

 
        5,795,821  
     

 

 

 

 

Pharmaceuticals (11.3%):

  

  136,565       AstraZeneca plc      8,682,121  
  90,763       Bayer AG      12,698,597  
  180,606       Novartis AG, Registered Shares      17,843,738  
  60,178       Roche Holding AG      16,899,702  
  89,883       Shire plc      7,223,900  
     

 

 

 
        63,348,058  
     

 

 

 

 

Real Estate Management & Development (5.1%):

  

  1,446,000       China Overseas Land & Investment, Ltd. ^      5,097,303  
  580,888       CK Hutchison Holdings, Ltd.      8,518,275  
  296,900       Daiwa House Industry Co., Ltd.      6,917,497  
  322,000       Mitsui Fudosan Co., Ltd.      8,991,136  
     

 

 

 
        29,524,211  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.1%):

  

  77,984       ASML Holding NV      8,095,628  
  343,180       Infineon Technologies AG      4,257,946  
     

 

 

 
        12,353,574  
     

 

 

 

 

Software (1.4%):

  

  113,565       SAP AG      7,912,178  
     

 

 

 

 

Specialty Retail (1.9%):

  

  621,133       Dixons Carphone plc      4,421,897  
  1,160,521       Kingfisher plc      6,321,151  
     

 

 

 
        10,743,048  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.9%):

  

  65,609       Compagnie Financiere Richemont SA, Registered Shares      5,349,489  
     

 

 

 

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks , continued

  

 

Tobacco (2.0%):

  

  174,135       British American Tobacco plc    $ 9,357,030  
  60,500       Japan Tobacco, Inc.      2,153,351  
     

 

 

 
        11,510,381  
     

 

 

 

 

Trading Companies & Distributors (1.5%):

  

  136,148       Wolseley plc      8,680,710  
     

 

 

 

 

Water Utilities (0.6%):

  

  283,563       Pennon Group plc      3,608,720  
     

 

 

 

 

Wireless Telecommunication Services (2.7%):

  

  37,600       SoftBank Group Corp.      2,213,163  
  3,594,196       Vodafone Group plc      13,104,234  
     

 

 

 
        15,317,397  
     

 

 

 

 

Total Common Stocks (Cost $492,449,685)

     556,473,626  
     

 

 

 

 

Preferred Stock (1.5%):

  

 

Household Products (1.5%):

  

  76,072       Henkel AG & Co. KGaA, Preferred Shares      8,529,939  
     

 

 

 

 

Total Preferred Stock (Cost $5,438,350)

     8,529,939  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (2.3%):

  

$ 13,127,516       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      13,127,516  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $13,127,516)

     13,127,516  
     

 

 

 

 

Unaffiliated Investment Company (0.2%):

  

  1,251,584      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      1,251,584  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $1,251,584 )

     1,251,584  
     

 

 

 

 

Total Investment Securities (Cost $512,267,135)(c) — 101.5%

     579,382,665  

 

Net other assets (liabilities) — (1.5)%

     (8,312,317
     

 

 

 

 

Net Assets — 100.0%

   $ 571,070,348  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $12,520,343.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Australia

     2.3

Cayman Islands

     1.5

China

     1.3

Denmark

     0.7

Finland

     1.0

France

     6.4

Germany

     9.1

Hong Kong

     0.9

India

     0.8

Italy

     2.7
Country    Percentage  

Japan

     23.2

Netherlands

     4.3

Norway

     1.3

Spain

     0.6

Sweden

     1.4

Switzerland

     14.0

United Kingdom

     26.0

United States

     2.5
  

 

 

 
     100.0
  

 

 

 
 

 

Continued

 

3


AZL JPMorgan International Opportunities Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Forward Currency Contracts

At June 30, 2015, the Fund’s open forward currency contracts were as follows:

 

Type of Contract    Counterparty    Delivery
Date
   Contract Amount
(Local Currency)
     Contract
Value
     Value      Net Unrealized
Appreciation/
(Depreciation)
 
Short Contracts:  

Australian Dollar

   Barclays Bank    9/17/15      2,670,578      $ 2,043,807      $ 2,051,010      $ (7,203

British Pound

   State Street    9/17/15      27,706,070        42,773,683        43,500,421        (726,738

Danish Krone

   Royal Alliance    9/17/15      7,606,386        1,157,967        1,139,767        18,200  

European Euro

   HSBC Bank    9/17/15      1,575,777        1,768,846        1,758,503        10,343  

European Euro

   State Street    9/17/15      3,304,099        3,725,484        3,687,238        38,246  

European Euro

   UBS Warburg    9/17/15      2,967,225        3,326,671        3,311,301        15,370  

Hong Kong Dollar

   HSBC Bank    9/17/15      52,708,418        6,798,063        6,799,513        (1,450

Japanese Yen

   HSBC Bank    9/17/15      180,589,997        1,470,656        1,477,391        (6,735

Japanese Yen

   Morgan Stanley    9/17/15      1,399,146,740        11,316,735        11,446,295        (129,560

Japanese Yen

   Societe Generale    9/17/15      219,130,714        1,750,934        1,792,689        (41,755

Norwegian Krone

   Societe Generale    9/17/15      45,651,660        5,844,915        5,814,705        30,210  

Swedish Krona

   BNP Paribas    9/17/15      15,969,557        1,952,396        1,930,732        21,664  

Swiss Franc

   Credit Suisse First Boston    9/17/15      18,950,739        20,310,943        20,340,067        (29,124
           

 

 

    

 

 

    

 

 

 
            $ 104,241,100      $ 105,049,632      $ (808,532
           

 

 

    

 

 

    

 

 

 

Long Contracts:

                 

Australian Dollar

   Societe Generale    9/17/15      37,856,017      $ 29,108,658      $ 29,073,513      $ (35,145

British Pound

   Morgan Stanley    9/17/15      1,282,383        2,015,444        2,013,428        (2,016

British Pound

   Morgan Stanley    9/17/15      1,089,509        1,693,029        1,710,604        17,575  

British Pound

   State Street    9/17/15      916,647        1,439,486        1,439,199        (287

Danish Krone

   Goldman Sachs    9/17/15      44,880,254        6,791,967        6,725,012        (66,955

European Euro

   Credit Suisse First Boston    9/17/15      2,898,211        3,257,250        3,234,284        (22,966

European Euro

   Goldman Sachs    9/17/15      27,886,435        31,447,521        31,120,117        (327,404

Hong Kong Dollar

   State Street    9/17/15      15,062,581        1,942,809        1,943,109        300  

Japanese Yen

   RBC Dominion Securities    9/17/15      285,229,381        2,303,841        2,333,436        29,595  

Japanese Yen

   State Street    9/17/15      747,532,669        6,045,046        6,115,498        70,452  

Norwegian Krone

   Citigroup Global Markets    9/17/15      9,614,679        1,228,347        1,224,633        (3,714

Norwegian Krone

   Merrill Lynch    9/17/15      10,089,876        1,294,738        1,285,159        (9,579

Singapore Dollar

   State Street    9/17/15      12,439,280        9,217,422        9,229,019        11,597  

Swedish Krona

   State Street    9/17/15      79,685,982        9,714,663        9,634,099        (80,564
           

 

 

    

 

 

    

 

 

 
            $ 107,500,221      $ 107,081,110      $ (419,111
           

 

 

    

 

 

    

 

 

 

 

See accompanying notes to the financial statements.

 

4


AZL JPMorgan International Opportunities Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 512,267,135  
    

 

 

 

Investment securities, at value*

     $ 579,382,665  

Interest and dividends receivable

       1,567,054  

Foreign currency, at value (cost $923,620)

       925,854  

Unrealized appreciation on forward currency contracts

       263,552  

Receivable for investments sold

       9,651,384  

Reclaims receivable

       471,375  

Prepaid expenses

       912  
    

 

 

 

Total Assets

       592,262,796  
    

 

 

 

Liabilities:

    

Unrealized depreciation on forward currency contracts

       1,491,195  

Payable for investments purchased

       5,669,889  

Payable for capital shares redeemed

       247,744  

Payable for collateral received on loaned securities

       13,127,516  

Manager fees payable

       411,198  

Administration fees payable

       17,788  

Distribution fees payable

       120,940  

Custodian fees payable

       75,111  

Trustee fees payable

       1,448  

Other accrued liabilities

       29,619  
    

 

 

 

Total Liabilities

       21,192,448  
    

 

 

 

Net Assets

     $ 571,070,348  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 472,610,889  

Accumulated net investment income/(loss)

       19,454,493  

Accumulated net realized gains/(losses) from investment transactions

       13,114,700  

Net unrealized appreciation/(depreciation) on investments

       65,890,266  
    

 

 

 

Net Assets

     $ 571,070,348  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       31,366,259  

Net Asset Value (offering and redemption price per share)

     $ 18.21  
    

 

 

 

 

* Includes securities on loan of $12,520,343.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 11,801,479  

Income from securities lending

       164,380  

Foreign withholding tax

       (1,320,864 )
    

 

 

 

Total Investment Income

       10,644,995  
    

 

 

 

Expenses:

    

Manager fees

       2,791,816  

Administration fees

       88,141  

Distribution fees

       734,686  

Custodian fees

       83,794  

Administrative and compliance services fees

       2,982  

Trustee fees

       11,532  

Professional fees

       12,407  

Shareholder reports

       12,505  

Other expenses

       5,568  
    

 

 

 

Total expenses before reductions

       3,743,431  

Less expenses voluntarily waived/reimbursed by the Manager

       (293,873 )
    

 

 

 

Net expenses

       3,449,558  
    

 

 

 

Net Investment Income/(Loss)

       7,195,437  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       8,313,883  

Net realized gains/(losses) on forward currency contracts

       (2,664,969 )

Change in net unrealized appreciation/depreciation on investments

       25,406,150  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       31,055,064  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 38,250,501  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL JPMorgan International Opportunities Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 7,195,437        $ 15,948,238  

Net realized gains/(losses) on investment transactions

       5,648,914          33,010,705  

Change in unrealized appreciation/depreciation on investments

       25,406,150          (95,854,784 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       38,250,501          (46,895,841 )
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (8,522,582 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (8,522,582 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       6,213,303          17,848,646  

Proceeds from dividends reinvested

                8,522,582  

Value of shares redeemed

       (54,126,829 )        (61,791,725 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (47,913,526 )        (35,420,497 )
    

 

 

      

 

 

 

Change in net assets

       (9,663,025 )        (90,838,920 )

Net Assets:

         

Beginning of period

       580,733,373          671,572,293  
    

 

 

      

 

 

 

End of period

     $ 571,070,348        $ 580,733,373  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 19,454,493        $ 12,259,056  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       342,234          1,002,877  

Dividends reinvested

                469,563  

Shares redeemed

       (2,951,141 )        (3,389,112 )
    

 

 

      

 

 

 

Change in shares

       (2,608,907 )        (1,916,672 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL JPMorgan International Opportunities Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 17.09       $ 18.71       $ 15.85       $ 13.42       $ 15.62       $ 14.90  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.26         0.48         0.27         0.26         0.21         0.27  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.86         (1.85 )       2.98         2.44         (2.31 )       0.61  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       1.12         (1.37 )       3.25         2.70         (2.10 )       0.88  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.25 )       (0.39 )       (0.27 )       (0.10 )       (0.07 )

Net Realized Gains

                                               (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.25 )       (0.39 )       (0.27 )       (0.10 )       (0.16 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 18.21       $ 17.09       $ 18.71       $ 15.85       $ 13.42       $ 15.62  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       6.55 %(b)       (7.39 )%       20.69 %       20.26 %       (13.41 )%       5.95 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 571,070       $ 580,733       $ 671,572       $ 578,791       $ 398,683       $ 331,815  

Net Investment Income/(Loss)(c)

       2.45 %       2.52 %       1.49 %       2.08 %       1.88 %       1.68 %

Expenses Before Reductions(c) (d)

       1.27 %       1.29 %       1.29 %       1.30 %       1.32 %       1.33 %

Expenses Net of Reductions(c)

       1.17 %       1.19 %       1.19 %       1.20 %       1.21 %       1.18 %

Portfolio Turnover Rate

       25 %(b)       50 %       42 %       37 %       128 %(e)       35 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Effective May 1, 2011, the Subadviser changed from Morgan Stanley Management, Inc. to J.P. Morgan Investment Management, Inc. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2011 as compared to prior years.

 

See accompanying notes to the financial statements.

 

7


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL JPMorgan International Opportunities Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $30.4 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $16,234 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts 

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The contract amount of forward currency contracts outstanding was $211.7 million as of June 30, 2015. The monthly average amount for these contracts was $198.7 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 

Foreign Exchange Rate Risk Exposure

       
Foreign Currency Contracts   Unrealized appreciation on forward currency contracts   $ 263,552      Unrealized depreciation on forward currency contracts   $ 1,491,195   

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, 2015:

 

Primary Risk Exposure  

Location of Gains /(Losses)

on Derivatives

Recognized in Income

  

Realized Gains/(Losses)

on Derivatives

Recognized in Income

    

Change in Unrealized

Appreciation/ Depreciation on

Derivatives Recognized in Income

 

Equity Risk Exposure

       
Foreign Currency Contracts   Net realized gains/(losses) on forward currency contracts/ Change in unrealized appreciation/depreciation on investments    $ (2,664,969.00    $ (1,095,977.00

 

9


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with J.P. Morgan Investment Management Inc. (“JPMIM”), JPMIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

      Annual Rate*   Annual Expense Limit

AZL JPMorgan International Opportunities Fund

       0.95 %       1.39 %

 

* The Manager voluntarily reduced the management fee to 0.85% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $3,161 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

 

10


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

 

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

 

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:    Level 1    Level 2    Total      

Common Stocks

                 

Banks

     $ 4,821,517        $ 64,921,735        $ 69,743,252     

All Other Common Stocks+

                486,730,374          486,730,374     

Preferred Stock

                8,529,939          8,529,939     

Securities Held as Collateral for Securities on Loan

                13,127,516          13,127,516     

Unaffiliated Investment Company

       1,251,584                   1,251,584     
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investment Securities

       6,073,101          573,309,564          579,382,665     
    

 

 

      

 

 

      

 

 

      

 

 

 

Other Financial Instruments:*

                 

Forward Currency Contracts

                (1,227,643 )        (1,227,643 )   
    

 

 

      

 

 

      

 

 

      

 

 

 

Total Investments

     $ 6,073,101        $ 572,081,921        $ 578,155,022     
    

 

 

      

 

 

      

 

 

      

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as forward currency contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

11


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL JPMorgan International Opportunities Fund

       $ 143,164,472          $ 186,849,993  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $514,603,662. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 87,459,065  

Unrealized depreciation

    (22,680,062
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 64,779,003   
 

 

 

 

During the year ended December 31, 2014, the Fund utilized $24,525,058 in capital loss carry forwards to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
    

Net

Long-Term
Capital Gains

    

Total

Distributions(a)

AZL JPMorgan International Opportunities Fund

       $ 8,522,582          $          $ 8,522,582  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

      Undistributed
Ordinary
Income
   Undistributed
Long-Term
Capital Gains
   Accumulated
Capital and
Other Losses
  

Unrealized

Appreciation/

(Depreciation)(a)

  

Total
Accumulated

Earnings/
(Deficit)

AZL JPMorgan International Opportunities Fund

     $ 13,524,171        $ 8,717,756        $        $ 37,967,031        $ 60,208,958  

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

 

12


AZL JPMorgan International Opportunities Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

13


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

14


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® JPMorgan U.S. Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL JPMorgan U.S. Equity Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL JPMorgan U.S. Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL JPMorgan U.S. Equity Fund

       $ 1,000.00          $ 1,016.40          $ 5.10            1.02 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL JPMorgan U.S. Equity Fund

       $ 1,000.00          $ 1,019.74          $ 5.11            1.02 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      21.5 %

Financials

      18.4  

Consumer Discretionary

      17.0  

Health Care

      16.9  

Industrials

      8.2  

Energy

      7.0  

Consumer Staples

      4.0  

Materials

      3.4  

Utilities

      1.8  

Telecommunication Services

      1.2  
   

 

 

 

Total Common Stocks

      99.4  

Securities Held as Collateral for Securities on Loan

      4.9  

Money Market

      0.9  
   

 

 

 

Total Investment Securities

      105.2  

Net other assets (liabilities)

      (5.2 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL JPMorgan U.S. Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (99.4%):

  

 

Aerospace & Defense (3.7%):

  

  99,736       Honeywell International, Inc.    $ 10,170,080  
  4,163       L-3 Communications Holdings, Inc.      472,001  
  55,224       United Technologies Corp.      6,125,998  
     

 

 

 
        16,768,079  
     

 

 

 

 

Airlines (1.6%):

  

  79,374       Delta Air Lines, Inc.      3,260,684  
  73,961       United Continental Holdings, Inc.*      3,920,673  
     

 

 

 
        7,181,357  
     

 

 

 

 

Auto Components (0.4%):

  

  29,592       Johnson Controls, Inc.      1,465,692  
  8,388       Magna International, Inc., ADR      470,483  
     

 

 

 
        1,936,175  
     

 

 

 

 

Automobiles (2.5%):

  

  340,135       General Motors Co.      11,336,700  
     

 

 

 

 

Banks (6.1%):

  

  387,929       Bank of America Corp.      6,602,552  
  89,822       Citigroup, Inc.      4,961,767  
  16,617       SunTrust Banks, Inc.      714,863  
  7,172       SVB Financial Group*      1,032,625  
  263,833       Wells Fargo & Co.      14,837,967  
     

 

 

 
        28,149,774  
     

 

 

 

 

Beverages (1.4%):

  

  69,053       Coca-Cola Co. (The)      2,708,949  
  37,802       PepsiCo, Inc.      3,528,439  
     

 

 

 
        6,237,388  
     

 

 

 

 

Biotechnology (3.7%):

  

  4,896       Alexion Pharmaceuticals, Inc.*      885,050  
  15,981       Biogen Idec, Inc.*      6,455,365  
  36,249       Celgene Corp.*      4,195,278  
  17,977       Gilead Sciences, Inc.      2,104,747  
  26,220       Vertex Pharmaceuticals, Inc.*      3,237,646  
     

 

 

 
        16,878,086  
     

 

 

 

 

Building Products (0.8%):

  

  45,358       Fortune Brands Home & Security, Inc.      2,078,304  
  57,594       Masco Corp.^      1,536,032  
     

 

 

 
        3,614,336  
     

 

 

 

 

Capital Markets (5.7%):

  

  23,496       Ameriprise Financial, Inc.      2,935,355  
  12,847       BlackRock, Inc., Class A      4,444,805  
  39,050       Charles Schwab Corp. (The)      1,274,983  
  30,543       Goldman Sachs Group, Inc. (The)      6,377,073  
  62,556       Invesco, Ltd.      2,345,224  
  202,345       Morgan Stanley      7,848,962  
  11,647       TD Ameritrade Holding Corp.^      428,843  
     

 

 

 
        25,655,245  
     

 

 

 

 

Chemicals (2.2%):

  

  14,791       Axiall Corp. ^      533,216  
  80,439       Dow Chemical Co. (The)      4,116,063  
  38,307       E.I. du Pont de Nemours & Co.      2,449,733  
  56,863       Mosaic Co. (The)      2,664,031  
     

 

 

 
        9,763,043  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Construction & Engineering (0.4%):

  

  21,907       Fluor Corp.    $ 1,161,290  
  21,143       Jacobs Engineering Group, Inc.*^      858,829  
     

 

 

 
        2,020,119  
     

 

 

 

 

Construction Materials (0.1%):

  

  2,011       Martin Marietta Materials, Inc.^      284,577  
     

 

 

 

 

Consumer Finance (0.3%):

  

  23,577       Discover Financial Services      1,358,507  
     

 

 

 

 

Containers & Packaging (0.8%):

  

  67,494       Crown Holdings, Inc.*      3,571,108  
     

 

 

 

 

Diversified Financial Services (0.6%):

  

  12,337       IntercontinentalExchange Group, Inc.      2,758,677  
     

 

 

 

 

Diversified Telecommunication Services (1.0%):

  

  65,950       AT&T, Inc.^      2,342,544  
  44,994       Verizon Communications, Inc.      2,097,170  
     

 

 

 
        4,439,714  
     

 

 

 

 

Electric Utilities (1.2%):

  

  27,222       Edison International      1,512,999  
  52,542       Exelon Corp.^      1,650,870  
  21,765       NextEra Energy, Inc.      2,133,622  
     

 

 

 
        5,297,491  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.8%):

  

  54,117       TE Connectivity, Ltd.      3,479,723  
     

 

 

 

 

Energy Equipment & Services (1.0%):

  

  10,884       Baker Hughes, Inc.      671,543  
  44,226       Schlumberger, Ltd.      3,811,839  
     

 

 

 
        4,483,382  
     

 

 

 

 

Food & Staples Retailing (0.2%):

  

  5,285       Costco Wholesale Corp.      713,792  
     

 

 

 

 

Food Products (0.8%):

  

  15,856       Hershey Co.      1,408,488  
  55,802       Mondelez International, Inc., Class A      2,295,695  
     

 

 

 
        3,704,183  
     

 

 

 

 

Health Care Equipment & Supplies (1.3%):

  

  61,850       Abbott Laboratories      3,035,599  
  119,272       Boston Scientific Corp.*      2,111,114  
  7,655       Stryker Corp.      731,588  
     

 

 

 
        5,878,301  
     

 

 

 

 

Health Care Providers & Services (5.6%):

  

  22,132       Aetna, Inc.      2,820,945  
  30,372       Humana, Inc.      5,809,556  
  32,475       McKesson, Inc.      7,300,705  
  76,656       UnitedHealth Group, Inc.      9,352,032  
     

 

 

 
        25,283,238  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.5%):

  

  16,012       Carnival Corp.      790,833  
  1,060       Chipotle Mexican Grill, Inc.*      641,289  
  34,498       Royal Caribbean Cruises, Ltd.      2,714,648  
  42,775       Starbucks Corp.      2,293,382  
     

 

 

 
        6,440,152  
     

 

 

 
 

 

Continued

 

2


AZL JPMorgan U.S. Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Household Durables (1.6%):

  

  35,236       D.R. Horton, Inc.    $ 964,057  
  24,930       Harman International Industries, Inc.      2,965,174  
  41,597       PulteGroup, Inc.^      838,180  
  66,512       Toll Brothers, Inc.*      2,540,093  
     

 

 

 
        7,307,504  
     

 

 

 

 

Household Products (1.0%):

  

  18,850       Colgate-Palmolive Co.      1,232,979  
  43,297       Procter & Gamble Co. (The)      3,387,557  
     

 

 

 
        4,620,536  
     

 

 

 

 

Industrial Conglomerates (0.1%):

  

  16,848       General Electric Co.      447,651  
     

 

 

 

 

Insurance (4.9%):

  

  94,997       ACE, Ltd.      9,659,295  
  32,258       American International Group, Inc.      1,994,190  
  94,373       Marsh & McLennan Cos., Inc.      5,350,948  
  84,239       MetLife, Inc.      4,716,542  
  12,785       XL Group plc      475,602  
     

 

 

 
        22,196,577  
     

 

 

 

 

Internet & Catalog Retail (1.3%):

  

  12,445       Amazon.com, Inc.*      5,402,250  
  217       Priceline Group, Inc. (The)*      249,847  
     

 

 

 
        5,652,097  
     

 

 

 

 

Internet Software & Services (3.6%):

  

  75,165       Facebook, Inc., Class A*      6,446,526  
  11,413       Google, Inc., Class C*      5,940,581  
  7,376       Google, Inc., Class A*      3,983,335  
     

 

 

 
        16,370,442  
     

 

 

 

 

IT Services (3.5%):

  

  42,720       Accenture plc, Class A      4,134,442  
  5,282       Alliance Data Systems Corp.*      1,542,027  
  21,786       Cognizant Technology Solutions Corp., Class A*      1,330,907  
  35,485       Fidelity National Information Services, Inc.      2,192,973  
  25,616       MasterCard, Inc., Class A      2,394,584  
  54,725       Visa, Inc., Class A^      3,674,783  
     

 

 

 
        15,269,716  
     

 

 

 

 

Life Sciences Tools & Services (0.1%):

  

  2,230       Illumina, Inc.*      486,943  
     

 

 

 

 

Machinery (1.0%):

  

  59,402       PACCAR, Inc.^      3,790,441  
  7,620       SPX Corp.      551,612  
     

 

 

 
        4,342,053  
     

 

 

 

 

Media (5.8%):

  

  36,717       CBS Corp., Class B      2,037,794  
  17,237       Charter Communications, Inc., Class A*^      2,951,836  
  62,427       Comcast Corp., Class A      3,754,360  
  30,917       DISH Network Corp., Class A*      2,093,390  
  93,166       Time Warner, Inc., Class A      8,143,640  
  37,606       Twenty-First Century Fox, Inc., Class B      1,211,665  
  177,292       Twenty-First Century Fox, Inc.      5,769,968  
     

 

 

 
        25,962,653  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Metals & Mining (0.3%):

  

  4,720       Alcoa, Inc.    $ 52,628  
  59,926       United States Steel Corp.^      1,235,674  
     

 

 

 
        1,288,302  
     

 

 

 

 

Multi-Utilities (0.6%):

  

  16,698       CenterPoint Energy, Inc.      317,763  
  26,380       CMS Energy Corp.      839,939  
  17,930       NiSource, Inc.      817,429  
  11,943       PG&E Corp.      586,401  
     

 

 

 
        2,561,532  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.0%):

  

  36,247       Anadarko Petroleum Corp.      2,829,441  
  39,633       Cabot Oil & Gas Corp.^      1,250,025  
  7,063       Concho Resources, Inc.*^      804,193  
  21,032       EOG Resources, Inc.      1,841,352  
  15,398       EQT Corp.      1,252,473  
  24,355       Exxon Mobil Corp.      2,026,336  
  26,380       Marathon Oil Corp.      700,125  
  22,264       Marathon Petroleum Corp.      1,164,630  
  162,812       Occidental Petroleum Corp.      12,661,888  
  19,317       Phillips 66      1,556,178  
  7,489       Pioneer Natural Resources Co.^      1,038,649  
     

 

 

 
        27,125,290  
     

 

 

 

 

Pharmaceuticals (6.2%):

  

  12,641       Allergan plc*      3,836,038  
  96,275       Bristol-Myers Squibb Co.      6,406,138  
  29,787       Eli Lilly & Co.^      2,486,917  
  64,760       Johnson & Johnson Co.      6,311,509  
  69,131       Merck & Co., Inc.      3,935,628  
  3,359       Perrigo Co. plc      620,844  
  146,073       Pfizer, Inc.      4,897,827  
     

 

 

 
        28,494,901  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.8%):

  

  21,215       American Tower Corp.      1,979,147  
  3,399       Boston Properties, Inc.      411,415  
  20,767       ProLogis, Inc.      770,456  
  3,945       Vornado Realty Trust      374,499  
     

 

 

 
        3,535,517  
     

 

 

 

 

Road & Rail (0.6%):

  

  2,968       Kansas City Southern      270,682  
  26,344       Union Pacific Corp.      2,512,427  
     

 

 

 
        2,783,109  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (5.7%):

  

  64,766       Avago Technologies, Ltd.      8,609,344  
  63,172       Broadcom Corp., Class A      3,252,726  
  11,615       Freescale Semiconductor Holdings I, Ltd.*      464,252  
  70,154       KLA-Tencor Corp.      3,943,356  
  84,760       Lam Research Corp.      6,895,227  
  8,316       NXP Semiconductors NV*      816,631  
  11,010       NXP Semiconductors NV*      1,081,182  
  16,542       Texas Instruments, Inc.      852,078  
     

 

 

 
        25,914,796  
     

 

 

 
 

 

Continued

 

3


AZL JPMorgan U.S. Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Software (4.0%):

  

  39,723       Adobe Systems, Inc.*    $ 3,217,960  
  290,915       Microsoft Corp.      12,843,898  
  44,251       Oracle Corp.      1,783,315  
     

 

 

 
        17,845,173  
     

 

 

 

 

Specialty Retail (3.3%):

  

  9,900       Home Depot, Inc. (The)      1,100,187  
  133,479       Lowe’s Cos., Inc.      8,939,089  
  12,333       Tiffany & Co.      1,132,169  
  52,714       TJX Cos., Inc. (The)      3,488,085  
     

 

 

 
        14,659,530  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (3.9%):

  

  140,945       Apple, Inc.      17,678,027  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.6%):

  

  8,560       Lululemon Athletica, Inc.*^      558,968  
  9,495       PVH Corp.      1,093,824  
  5,036       Ralph Lauren Corp.      666,565  
  9,885       VF Corp.      689,380  
     

 

 

 
        3,008,737  
     

 

 

 

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Tobacco (0.6%):

  

  31,385       Philip Morris International, Inc.    $ 2,516,135  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  

  9,757       SBA Communications Corp., Class A*      1,121,763  
     

 

 

 

 

Total Common Stocks (Cost $360,688,344)

     448,422,131  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (4.9%):

  

$ 21,975,509       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     21,975,509  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $21,975,509)

     21,975,509  
     

 

 

 

 

Unaffiliated Investment Company (0.9%):

  
  3,867,273      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      3,867,273  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $3,867,273)

     3,867,273  
     

 

 

 

 

Total Investment Securities (Cost $386,531,126)(c) — 105.2%

     474,264,913  

 

Net other assets (liabilities) — (5.2)%

     (23,500,213
     

 

 

 

 

Net Assets — 100.0%

   $ 450,764,700  
     

 

 

 

 

 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $21,532,321.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

Futures Contracts

Cash of $115,000 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

S&P 500 Index E-Mini September Futures

     Short         9/18/15         (9    $ (924,480    $ 29,164  

 

See accompanying notes to the financial statements.

 

4


AZL JPMorgan U.S. Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 386,531,126  
    

 

 

 

Investment securities, at value*

     $ 474,264,913  

Cash

       25,904  

Segregated cash for collateral

       115,000  

Interest and dividends receivable

       469,834  

Receivable for investments sold

       1,401,928  

Reclaims receivable

       12,730  

Prepaid expenses

       859  
    

 

 

 

Total Assets

       476,291,168  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       2,462,177  

Payable for capital shares redeemed

       672,447  

Payable for collateral received on loaned securities

       21,975,509  

Payable for variation margin on futures contracts

       1,755  

Manager fees payable

       269,696  

Administration fees payable

       11,838  

Distribution fees payable

       94,852  

Custodian fees payable

       12,345  

Administrative and compliance services fees payable

       768  

Trustee fees payable

       4,627  

Other accrued liabilities

       20,454  
    

 

 

 

Total Liabilities

       25,526,468  
    

 

 

 

Net Assets

     $ 450,764,700  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 346,061,805  

Accumulated net investment income/(loss)

       6,321,430  

Accumulated net realized gains/(losses) from investment transactions

       10,618,514  

Net unrealized appreciation/(depreciation) on investments

       87,762,951  
    

 

 

 

Net Assets

     $ 450,764,700  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       26,912,626  

Net Asset Value (offering and redemption price per share)

     $ 16.75  
    

 

 

 

 

* Includes securities on loan of $21,532,321.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 3,767,016  

Interest

       50  

Income from securities lending

       28,379  

Foreign withholding tax

       (9,829 )
    

 

 

 

Total Investment Income

       3,785,616  
    

 

 

 

Expenses:

    

Manager fees

       1,957,605  

Administration fees

       65,345  

Distribution fees

       611,750  

Custodian fees

       23,126  

Administrative and compliance services fees

       3,704  

Trustee fees

       14,957  

Professional fees

       15,926  

Shareholder reports

       10,307  

Other expenses

       6,196  
    

 

 

 

Total expenses before reductions

       2,708,916  

Less expenses voluntarily waived/reimbursed by the Manager

       (219,905 )
    

 

 

 

Net expenses

       2,489,011  
    

 

 

 

Net Investment Income/(Loss)

       1,296,605  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       31,327,259  

Net realized gains/(losses) on futures contracts

       60,422  

Change in net unrealized appreciation/depreciation on investments

       (23,325,229 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       8,062,452  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 9,359,057  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL JPMorgan U.S. Equity Fund
      For the
Six Months Ended
June 30, 2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 1,296,605        $ 5,147,324  

Net realized gains/(losses) on investment transactions

       31,387,681          82,638,583  

Change in unrealized appreciation/depreciation on investments

       (23,325,229 )        (20,760,338 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       9,359,057          67,025,569  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (3,723,395 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (3,723,395 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       6,400,776          17,310,639  

Proceeds from dividends reinvested

                3,723,395  

Value of shares redeemed

       (76,315,805 )        (80,825,498 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (69,915,029 )        (59,791,464 )
    

 

 

      

 

 

 

Change in net assets

       (60,555,972 )        3,510,710  

Net Assets:

         

Beginning of period

       511,320,672          507,809,962  
    

 

 

      

 

 

 

End of period

     $ 450,764,700        $ 511,320,672  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 6,321,430        $ 5,024,825  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       385,349          1,131,047  

Dividends reinvested

                236,256  

Shares redeemed

       (4,502,440 )        (5,270,647 )
    

 

 

      

 

 

 

Change in shares

       (4,117,091 )        (3,903,344 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL JPMorgan U.S. Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 16.48       $ 14.54       $ 10.72       $ 9.22       $ 9.50       $ 8.46  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.07         0.18         0.11         0.11         0.09         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.20         1.88         3.83         1.47         (0.30 )       1.02  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.27         2.06         3.94         1.58         (0.21 )       1.09  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.12 )       (0.12 )       (0.08 )       (0.07 )       (0.05 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.12 )       (0.12 )       (0.08 )       (0.07 )       (0.05 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.75       $ 16.48       $ 14.54       $ 10.72       $ 9.22       $ 9.50  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.64 %(b)       14.18 %       36.90 %(e)       17.13 %       (2.20 )%       12.97 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 450,765       $ 511,321       $ 507,810       $ 393,725       $ 312,277       $ 325,037  

Net Investment Income/(Loss)(c)

       0.53 %       1.02 %       0.83 %       1.16 %       0.90 %       0.79 %

Expenses Before Reductions(c) (d)

       1.11 %       1.10 %       1.11 %       1.12 %       1.13 %       1.13 %

Expenses Net of Reductions(c)

       1.02 %       1.01 %       1.01 %       1.03 %       1.08 %       1.08 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (f)

       1.02 %       1.01 %       1.02 %       1.04 %       1.08 %       1.08 %

Portfolio Turnover Rate

       35 %(b)       77 %       81 %       71 %       81 %       86 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) During the year ended December 31, 2013, the Fund received monies related to certain nonrecurring litigation settlements. The corresponding impact to the total return was 0.09%,

 

(f) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

See accompanying notes to the financial statements.

 

7


AZL JPMorgan U.S. Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL JPMorgan U.S. Equity Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL JPMorgan U.S. Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33  1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $30.4 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,799 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $0.9 million as of June 30, 2015. The monthly average notional amount for these contracts was $0.8 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 
Equity Risk Exposure        
Equity Contracts   Receivable for variation margin on futures contracts   $ 29,164      Payable for variation margin on futures contracts   $ —     

 

* For futures contracts, the amounts represent the cumulative appreciation/depreciation of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

Primary Risk Exposure    Location of Gains/(Losses)
on Derivatives
Recognized in Income
     Realized Gains/
(Losses) on
Derivatives
Recognized in Income
       Change in Unrealized
Appreciation/
Depreciation on
Derivatives Recognized
in Income
 
Equity Risk Exposure             
Equity Contracts    Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/ depreciation on investments      $ 60,422         $ 64,436   

 

9


AZL JPMorgan U.S. Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with J.P. Morgan Investment Management Inc. (“JPMIM”), JPMIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL JPMorgan U.S. Equity Fund

         0.80 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.75% on the first $100 million of assets and 0.70% on assets above $100 million. The Manager reserves the right to increase the management fee to the amount shown in the table.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,721 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

 

10


AZL JPMorgan U.S. Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 448,422,131          $          $ 448,422,131  

Securities Held as Collateral for Securities on Loan

                    21,975,509            21,975,509  

Unaffiliated Investment Company

         3,867,273                       3,867,273  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         452,289,404            21,975,509            474,264,913  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         29,164                       29,164  
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 452,318,568          $ 21,975,509          $ 474,294,077  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.
* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL JPMorgan U.S. Equity Fund

       $ 169,708,704          $ 233,681,493  

 

11


AZL JPMorgan U.S. Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $390,649,448. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 94,412,808   

Unrealized depreciation

    (10,797,343
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 83,615,465   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

        Expires
12/31/2016
     Expires
12/31/2017
     Total

AZL JPMorgan U.S. Equity Fund

       $ 3,091,596          $ 13,967,218          $ 17,058,814  

During the year ended December 31, 2014, the Fund utilized $82,147,971 in CLCFs to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL JPMorgan U.S. Equity Fund

       $ 3,723,395          $          $ 3,723,395  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL JPMorgan U.S. Equity Fund

       $ 5,006,361          $          $ (17,058,814 )        $ 107,396,291          $ 95,343,838  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® MetWest Total Return Bond Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 7

Statement of Operations

Page 7

Statements of Changes in Net Assets

Page 8

Financial Highlights

Page 9

Notes to the Financial Statements

Page 10

Other Information

Page 15

 

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

Expense Examples

(Unaudited)

 

As a shareholder of the AZL MetWest Total Return Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL MetWest Total Return Bond Fund

       $ 1,000.00          $ 998.00          $ 4.11            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL MetWest Total Return Bond Fund

       $ 1,000.00          $ 1,020.68          $ 4.16            0.83 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

U.S. Government Agency Mortgages

      37.1 %

U.S. Treasury Obligations

      25.4  

Collateralized Mortgage Obligations

      18.0  

Corporate Bonds

      16.9  

Asset Backed Securities

      9.7  

Money Markets

      4.2  

Yankee Dollars

      1.8  

Securities Held as Collateral for Securities on Loan

      1.5  

Commercial Paper

      1.0  

Municipal Bonds

      0.5  
   

 

 

 

Total Investment Securities

      116.1  

Net other assets (liabilities)

      (16.1 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Asset Backed Securities (9.7%):

  

$ 1,050,000       Betony CLO, Ltd., Class A, Series 2015-1A, 1.77%, 4/15/27(a) (b)    $ 1,050,407  
  1,040,000       Dryden Senior Loan Fund LLC, Class A,
Series 2015-37A, 1.75%,
4/15/27(a) (b)
     1,040,311  
  955,000       Flagship CLO, Class A1, Series 2013-7A, 1.75%, 1/20/26(a) (b)      950,952  
  1,874,505       Goal Capital Funding Trust, Class A3,
Series 2005-2, 0.45%, 5/28/30(a)
     1,857,261  
  1,000,000       Limerock CLO, Class A1, Series 2014-3A, 1.79%, 10/20/26(a) (b)      999,723  
  1,000,000       Magnetite CLO, Ltd., Class A1,
Series 2014-9A, 1.70%, 7/25/26(a) (b)
     997,859  
  1,000,000       Magnetite CLO, Ltd., Class A1, Series 2014-11A, 1.69%, 1/18/27(a) (b)      999,867  
  1,040,000       Magnetite CLO, Ltd., Class A, Series 2015-12A, 1.82%, 4/15/27(a) (b)      1,040,534  
  908,412       Navient Student Loan Trust, Class A,
Series 2014-2, 0.82%, 3/25/43(a)
     901,314  
  870,454       Navient Student Loan Trust, Class A,
Series 2014-3, 0.80%, 3/25/43(a)
     863,283  
  589,533       Navient Student Loan Trust, Class A,
Series 2014-4, 0.80%, 3/25/43(a)
     584,166  
  2,080,000       Navient Student Loan Trust, Class A3,
Series 2014-8, 0.78%, 5/27/31(a)
     2,084,091  
  1,830,000       Nelnet Student Loan Trust, Class A2,
Series 2015-2A, 0.79%, 9/25/42(a) (b)
     1,830,000  
  2,615,000       SLC Student Loan Trust, Class A6,
Series 2006-1, 0.45%, 12/15/38(a)
     2,320,871  
  1,872,000       SLC Student Loan Trust, Class A4A,
Series 2008-1, 1.89%, 12/15/32(a)
     1,936,064  
  1,049,931       SLM Student Loan Trust, Class B,
Series 2003-7, 0.86%, 9/15/39(a)
     941,558  
  1,585,153       SLM Student Loan Trust, Class A5,
Series 2003-11, 0.34%, 12/15/22(a) (b)
     1,579,075  
  1,588,096       SLM Student Loan Trust, Class A5B,
Series 2004-10, 0.68%, 4/25/23(a) (b)
     1,588,633  
  219,123       SLM Student Loan Trust, Class B,
Series 2005-6, 0.57%, 1/25/44(a)
     197,807  
  225,652       SLM Student Loan Trust, Class B,
Series 2006-10, 0.50%, 3/25/44(a)
     195,395  
  221,097       SLM Student Loan Trust, Class B,
Series 2007-1, 0.50%, 1/27/42(a)
     196,018  
  1,220,000       SLM Student Loan Trust, Class B,
Series 2008-5, 2.13%, 7/25/29(a)
     1,237,248  
  1,926,651       SLM Student Loan Trust, Class A,
Series 2008-9, 1.78%, 4/25/23(a)
     1,976,519  
  240,000       SLM Student Loan Trust, Class B,
Series 2008-9, 2.53%, 10/25/29(a)
     250,031  
  2,002,859       SLM Student Loan Trust, Class A,
Series 2009-3, 0.94%, 1/25/45(a) (b)
     2,004,652  
  1,860,872       SLM Student Loan Trust, Class A,
Series 2012-2, 0.89%, 1/25/29(a)
     1,866,717  
  1,150,394       SLM Student Loan Trust, Class A,
Series 2012-3, 0.84%, 12/26/25(a)
     1,148,208  
  1,858,207       SLM Student Loan Trust, Class A,
Series 2013-4, 0.73%, 6/25/27(a)
     1,864,357  
    
Principal
Amount
           Fair Value  

 

Asset Backed Securities, continued

  
$ 2,100,000       SLM Student Loan Trust, Class A2,
Series 2014-2, 0.54%, 10/25/21(a)
   $ 2,094,899  
  830,000       SLM Student Loan Trust, Class A5,
Series 2006-5, 0.39%, 1/25/27(a)
     813,763  
  1,040,000       Voya CLO, Ltd., Class A1, Series 2015-1A, 1.74%, 4/18/27(a) (b)      1,039,917  
  1,970,000       Wachovia Student Loan Trust, Class A6,
Series 2006-1, 0.45%, 4/25/40(a) (b)
     1,794,918  
     

 

 

 

 

Total Asset Backed Securities (Cost $40,299,829)

     40,246,418  
     

 

 

 

 

Collateralized Mortgage Obligations (18.0%):

  

  1,150,000       Ameriquest Mortgage Securities, Inc., Class M2, Series 2005-R5, 0.65%, 7/25/35(a)      1,098,827  
  1,976,664       Ameriquest Mortgage Securities, Inc., Class M2, Series 2005-R5, 0.67%, 4/25/35(a)      1,958,469  
  210,000       Babson CLO, Ltd., Class A, Series 2015-IA, 1.71%, 4/20/27(a) (b)      209,970  
  1,608,720       Bank of America Mortgage Securities, Inc., Class 2A3, Series 2005-F, 2.65%, 7/25/35(a)      1,537,772  
  1,027,170       CD Commercial Mortgage Trust, Class A1A, Series 2007-CD4, 5.29%, 12/11/49(a)      1,075,786  
  1,924,103       Centex Home Equity, Class M1,
Series 2005-D, 0.62%, 10/25/35(a)
     1,917,436  
  2,093,892       Citigroup Mortgage Loan Trust, Inc., Class A4, Series 2006-WFH3, 0.43%, 10/25/36(a)      2,020,593  
  2,226,041       Citigroup Mortgage Loan Trust, Inc., Class 1A1A, Series 2007-AR5, 2.69%, 4/25/37(a)      2,012,800  
  1,489,922       Credit Suisse Mortgage Capital Certificates, Class A2E, Series 2007-CB2, 4.56%, 2/25/37(a)      1,104,353  
  1,074,637       Credit Suisse Mortgage Capital Certificates, Class AAB, Series 2007-C1, 5.34%, 2/15/40      1,093,834  
  790,216       Federal Home Loan Mortgage Corp., Class A, Series KF01, 0.53%, 4/25/19(a)      786,995  
  825,007       Federal Home Loan Mortgage Corp., Class A, Series KF04, 0.49%, 6/25/21(a)      826,261  
  2,067,184       Federal Home Loan Mortgage Corp., Class A, Series KF05, 0.53%, 9/25/21(a)      2,070,814  
  2,025,000       Federal Home Loan Mortgage Corp., Class A2, Series K041, 3.17%, 10/25/24      2,066,909  
  565,000       Federal Home Loan Mortgage Corp., Class A2, Series KSCT, 4.28%, 1/25/20      622,199  
  1,500,659       Federal National Mortgage Association, Class FA, Series 2013-M14, 0.54%, 8/25/18(a)      1,503,193  
  2,016,771       Federal National Mortgage Association, Class A1, Series 2015-M5, 2.87%, 6/25/25(a)      2,020,068  
  1,650,393       Federal National Mortgage Association, Class A3, Series 2015-M2, 3.06%, 12/25/24(a)      1,677,521  
  1,405,000       Federal National Mortgage Association, Class 1, Series 141, 2.97%, 5/1/27(a)      1,386,343  
  1,526,352       First Franklin Mortgage Loan Trust, Class M1, Series 2005-FFH3, 0.70%, 9/25/35(a)      1,518,291  
  2,095,302       First Franklin Mortgage Loan Trust, Class M1, Series 2005-FF8, 0.68%, 9/25/35(a)      2,039,494  
  2,195,368       First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 05-AA12, 2.29%, 2/25/36(a)      1,776,162  
 

 

Continued

 

2


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  

$ 1,593,994       First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2005-AR3, 2.68%, 8/25/35(a)    $ 1,439,701  
  2,253,568       First Horizon Alternative Mortgage Securities Trust, Class 1A1, Series 2006-AA1, 2.27%, 3/25/36(a)      1,874,349  
  1,987,557       First Horizon Alternative Mortgage Securities Trust, Class 2A1, Series 2006-AA1, 2.26%, 4/25/36(a)      1,658,560  
  2,053,140       GMAC Mortgage Corp. Loan Trust, Class 1A1, Series 2006-AR1, 2.99%, 4/19/36(a)      1,834,912  
  1,905,266       GMAC Mortgage Corp. Loan Trust, Class 3A1, Series 2005-AR5, 2.95%, 9/19/35(a)      1,824,369  
  610,702       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2005-CB13, 5.25%, 1/12/43(a)      611,594  
  906,860       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2005-LDP5, 5.24%,
11/15/15(a)
     908,896  
  2,005,932       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2006-LDP7, 5.91%, 4/15/45(a)      2,051,617  
  95,448       JPMorgan Chase Commercial Mortgage Securities Corp., Class A1, Series 2010-C1, 3.85%, 6/15/43(b)      95,369  
  391,838       JPMorgan Chase Commercial Mortgage Securities Corp., Class A2, Series 2011-C3, 3.67%, 1/15/18(b)      399,292  
  1,292,424       LB-UBS Commercial Mortgage Trust, Class A2, Series 2006-C7, 5.30%, 11/15/38      1,302,542  
  1,291,824       LB-UBS Commercial Mortgage Trust, Class G, Series 2004-C7, 5.03%, 10/15/36(a) (b)      1,295,185  
  1,260,970       Merrill Lynch First Franklin Mortgage Loan Trust, Class 2A2, Series 2007-4, 0.31%, 7/25/37(a)      804,566  
  2,176,935       Merrill Lynch Mortgage Trust, Class A1A,
Series 2007-C1, 5.84%, 6/12/50(a)
     2,273,403  
  2,125,000       Morgan Stanley Capital I Trust, Class A3,
Series 2011-C1, 4.70%, 9/15/47(b)
     2,296,333  
  1,524,985       Morgan Stanley Mortgage Loan Trust, Class 1A2, Series 2005-6AR, 0.46%, 11/25/35(a)      1,517,822  
  1,962,868       Morgan Stanley Remic Trust, Class 3A,
Series 2014-R8, 0.89%, 6/26/47(a) (b)
     1,887,092  
  1,865,437       MortgageIT Trust, Class 2A, Series 2005-2, 1.83%, 5/25/35(a)      1,834,924  
  1,950,172       Newcastle Mortgage Securities Trust, Class A4, Series 2006-1, 0.47%, 3/25/36(a)      1,902,402  
  1,638,714       Nomura Asset Acceptance Corp., Class 3A1, Series 2005-AR3, 2.95%,
7/25/35(a)
     1,556,700  
  2,497,822       Residential Accredit Loans, Inc., Class A2,
Series 2006-QA10, 0.37%,
12/25/36(a)
     1,931,911  
  832,788       Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2005-C22, 5.45%, 12/15/44(a)      833,824  
  1,644,998       WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR6, 0.42%, 4/25/45(a)      1,550,893  
    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  

$ 1,918,104       WaMu Mortgage Pass-Through Certificates, Class 2A1A, Series 2005-AR8, 0.48%, 7/25/45(a)    $ 1,759,784  
  2,010,663       WaMu Mortgage Pass-Through Certificates, Class 4A1, Series 2007-HY1, 2.38%, 2/25/37(a)      1,758,274  
  1,885,156       WaMu Mortgage Pass-Through Certificates, Class A2, Series 2005-AR3, 2.44%, 3/25/35(a)      1,884,947  
  1,826,860       Wells Fargo Mortgage Backed Securities Trust, Class 2A1, Series 2006-AR2, 2.62%, 3/25/36(a)      1,818,062  
  1,843,340       Wells Fargo Mortgage Backed Securities Trust, Class 1A1, Series 2006-AR12, 2.50%, 9/25/36(a)      1,714,776  
     

 

 

 

 

Total Collateralized Mortgage Obligations (Cost $75,656,944)

     74,946,189  
     

 

 

 

 

Corporate Bonds (16.9%):

  

 

Airlines (0.9%):

  

  1,570,486       Continental Airlines 2009-2, Series A, 7.25%, 11/10/19      1,817,838  
  560,552       U.S. Airways 2001-1G PTT, Class G, Series 2001, 7.08%, 9/20/22      608,199  
  1,038,471       U.S. Airways 2010-1A PTT, Series A, 6.25%, 10/22/24      1,168,279  
     

 

 

 
        3,594,316  
     

 

 

 

 

Auto Components (0.1%):

  

  200,000       ZF NA Capital, 4.50%, 4/29/22(b)      195,910  
     

 

 

 

 

Automobiles (0.2%):

  

  400,000       General Motors Co., 5.20%, 4/1/45      396,176  
  600,000       General Motors Financial Co., Inc., 3.45%, 4/10/22, Callable 2/10/22 @ 100^      587,911  
     

 

 

 
        984,087  
     

 

 

 

 

Banks (1.5%):

  

  2,500,000       Bank of America NA, 5.30%, 3/15/17      2,647,910  
  350,000       Bank of America NA, Series BKNT, 6.10%, 6/15/17      379,084  
  1,000,000       JPMorgan Chase & Co., 1.10%, 10/15/15      1,000,906  
  800,000       JPMorgan Chase & Co., 2.60%, 1/15/16      806,347  
  1,000,000       U.S. Bank NA, 2.28%, 4/29/20, Callable 7/29/15 @ 100(a)      1,001,028  
  550,000       Wells Fargo & Co., 3.30%, 9/9/24^      541,563  
     

 

 

 
        6,376,838  
     

 

 

 

 

Capital Markets (1.8%):

  

  2,000,000       Bear Stearns Co., Inc., 7.25%, 2/1/18      2,265,651  
  750,000       Goldman Sachs Group, Inc., 1.60%, 11/23/15, MTN      752,590  
  1,500,000       Goldman Sachs Group, Inc., 5.95%, 1/18/18      1,648,926  
  500,000       Goldman Sachs Group, Inc., 1.88%, 11/29/23, MTN^(a)      508,182  
  400,000       Morgan Stanley, 4.75%, 3/22/17      421,978  
  1,750,000       Morgan Stanley, 1.01%, 1/5/18(a)      1,751,572  
     

 

 

 
        7,348,899  
     

 

 

 

 

Commercial Services & Supplies (0.2%):

  

  800,000       International Lease Finance Corp., 7.13%, 9/1/18(b)      892,000  
     

 

 

 
 

 

Continued

 

3


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Consumer Finance (0.9%):

  

$ 1,250,000       Capital One Financial Corp., 1.00%, 11/6/15    $ 1,248,114  
  400,000       DS Services Holdings, Inc., 10.00%, 9/1/21, Callable 9/1/17 @ 105(b)      468,000  
  1,660,000       Ford Motor Credit Co. LLC, 8.00%, 12/15/16      1,808,419  
     

 

 

 
        3,524,533  
     

 

 

 

 

Diversified Financial Services (1.3%):

  

  575,000       Berkshire Hathaway, Inc., 4.50%, 2/11/43      576,480  
  2,000,000       Citigroup, Inc., 0.98%, 11/24/17(a)      1,998,901  
  700,000       Citigroup, Inc., 5.50%, 9/13/25      756,558  
  250,000       General Electric Capital Corp., 5.88%, 1/14/38, MTN      299,008  
  700,000       General Electric Capital Corp., Series G, 6.88%, 1/10/39, MTN      939,872  
  800,000       ZFS Finance USA Trust II, 6.45%, 12/15/65, Callable 6/15/16
@ 100(a) (b)
     818,216  
     

 

 

 
        5,389,035  
     

 

 

 

 

Diversified Telecommunication Services (0.3%):

  

  1,500,000       Verizon Communications, Inc., 4.86%, 8/21/46      1,403,874  
     

 

 

 

 

Electric Utilities (2.4%):

  

  780,000       American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44
@ 100(b)
     792,689  
  500,000       Appalachian Power Co., Series H, 5.95%, 5/15/33      575,372  
  1,000,000       CenterPoint Energy Houston Electric LLC, 4.50%, 4/1/44, Callable 10/1/43 @ 100      1,028,579  
  800,000       Cleco Power LLC, 6.00%, 12/1/40      917,678  
  1,000,000       Duke Energy Progress, Inc., 4.15%, 12/1/44, Callable 6/1/44 @ 100      966,412  
  936,000       Duquesne Light Holdings, Inc., 6.40%, 9/15/20(b)      1,084,468  
  750,000       El Paso Electric Co., 5.00%, 12/1/44, Callable 6/1/44 @ 100      740,183  
  400,000       IPALCO Enterprises, Inc., 7.25%, 4/1/16      418,488  
  1,000,000       IPALCO Enterprises, Inc., 5.00%, 5/1/18, Callable 4/1/18 @ 100      1,055,000  
  750,000       Jersey Central Power & Light Co., 6.40%, 5/15/36      830,761  
  1,500,000       Oncor Electric Delivery Co. LLC, 4.10%, 6/1/22, Callable 3/1/22 @ 100      1,580,169  
  450,000       Spectra Energy Partners LP, 4.50%, 3/15/45, Callable 9/15/44 @ 100^      398,655  
     

 

 

 
        10,388,454  
     

 

 

 

 

Food & Beverage (0.2%):

  

  630,000       HJ Heinz Co., 1.60%, 6/30/17(b)      630,064  
     

 

 

 

 

Health Care Providers & Services (0.7%):

  

  1,000,000       Catholic Health Initiatives, 4.35%, 11/1/42      914,474  
  800,000       CHS/Community Health Systems, Inc., 5.13%, 8/15/18, Callable 8/15/15 @ 102.6      820,000  
  420,000       DaVita Healthcare Partners, Inc., 5.00%, 5/1/25, Callable 5/1/20 @ 102.5      404,250  
  750,000       HCA, Inc., 6.50%, 2/15/20^      838,125  
     

 

 

 
        2,976,849  
     

 

 

 
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Household Products (0.2%):

  

$ 800,000       Reynolds Group Issuer LLC / Reynolds Group Issuer, Inc., 5.75%, 10/15/20, Callable 10/15/15 @ 104^    $ 820,000  
     

 

 

 

 

Industrial Conglomerates (0.1%):

  

  500,000       General Electric Co., 4.50%, 3/11/44      507,795  
     

 

 

 

 

Insurance (0.8%):

  

  400,000       Berkshire Hathaway Finance Corp., 4.30%, 5/15/43      387,139  
  1,900,000       Farmers Exchange Capital III, 5.45%, 10/15/54, Callable 10/15/34
@ 100(a) (b)
     1,857,249  
  900,000       Nationwide Financial Services, Inc., 5.30%, 11/18/44(b)      883,714  
     

 

 

 
        3,128,102  
     

 

 

 

 

Media (0.6%):

  

  830,000       Altice US Finance I Corp., 5.38%, 7/15/23, Callable 7/15/18
@ 104.03(b)
     809,250  
  1,575,000       CCO Holdings LLC / CCO Holdings Capital Corp., 6.50%, 4/30/21, Callable 8/10/15 @ 104.88      1,647,844  
     

 

 

 
        2,457,094  
     

 

 

 

 

Multi-Utilities (0.2%):

  

  625,000       Berkshire Hathaway Energy Co., 4.50%, 2/1/45, Callable 8/1/44 @ 100      615,079  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.8%):

  

  350,000       Anadarko Petroleum Corp., 4.50%, 7/15/44, Callable 1/15/44 @ 100^      321,668  
  1,100,000       Boardwalk Pipeline Partners LP, 4.95%, 12/15/24, Callable 9/15/24 @ 100      1,078,729  
  775,000       Chesapeake Energy Corp., 6.63%, 8/15/20^      755,625  
  1,400,000       Energy Transfer Partners LP, 5.95%, 10/1/43, Callable 4/1/43 @ 100      1,372,022  
  425,000       Exxon Mobil Corp., 3.57%, 3/6/45, Callable 9/6/44 @ 100      384,721  
  850,000       KeySpan Gas East Corp., 5.82%, 4/1/41(b)      1,016,392  
  400,000       MarkWest Energy Partners LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100      391,000  
  475,000       Noble Energy, Inc., 5.05%, 11/15/44, Callable 5/15/44 @ 100^      455,110  
  780,000       Rockies Express Pipeline LLC, 6.85%, 7/15/18(b)      831,675  
  250,000       Rockies Express Pipeline LLC, 6.00%, 1/15/19(b)      260,625  
  775,000       Sabine Pass Liquefcation LLC, 6.25%, 3/15/22      802,125  
     

 

 

 
        7,669,692  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (2.1%):

  

  875,000       HCP, Inc., 5.38%, 2/1/21, Callable 11/3/20 @ 100      965,330  
  400,000       HCP, Inc., 3.88%, 8/15/24, Callable 5/15/24 @ 100      390,336  
  175,000       HCP, Inc., 3.40%, 2/1/25, Callable 11/1/24 @ 100      164,301  
  1,600,000       Health Care REIT, Inc., 5.25%, 1/15/22, Callable 10/15/21 @ 100^      1,750,179  
 

 

Continued

 

4


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

$ 1,000,000       Mid-America Apartment Communities, Inc., 5.50%, 10/1/15    $ 1,010,633  
  1,150,000       SL Green Realty Corp., 5.00%, 8/15/18, Callable 6/15/18 @ 100      1,231,259  
  2,000,000       Ventas Realty LP / Capital Corp., 3.13%, 11/30/15      2,016,123  
  1,500,000       WEA Finance LLC, 2.70%, 9/17/19, Callable 8/17/19 @ 100(b)      1,502,210  
     

 

 

 
        9,030,371  
     

 

 

 

 

Road & Rail (0.1%):

  

  425,000       Burlington North Santa Fe LLC, 4.15%, 4/1/45, Callable 10/1/44 @ 100      391,980  
     

 

 

 

 

Software (0.1%):

  

  640,000       Microsoft Corp., 3.75%, 2/12/45, Callable 8/12/44 @ 100      577,050  
     

 

 

 

 

Wireless Telecommunication Services (0.4%):

  

  835,000       AT&T, Inc., 4.75%, 5/15/46, Callable 5/15/46 @ 100      759,828  
  725,000       Sprint Communications, Inc., 9.00%, 11/15/18(b)      818,714  
     

 

 

 
        1,578,542  
     

 

 

 

 

Total Corporate Bonds (Cost $71,682,619)

     70,480,564  
     

 

 

 

 

Yankee Dollars (1.8%):

  

 

Banks (1.2%):

  

  2,000,000       Credit Suisse, NY, 0.69%, 12/7/15(a)      2,000,364  
  1,100,000       HBOS plc, Series G, 6.75%,
5/21/18(b)
     1,219,628  
  1,250,000       Royal Bank of Scotland Group plc, 2.55%, 9/18/15      1,253,495  
  1,000,000       Royal Bank of Scotland Group plc, 4.38%, 3/16/16      1,022,087  
     

 

 

 
        5,495,574  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.2%):

  

  700,000       Shell International Finance BV, 4.38%, 5/11/45      690,950  
     

 

 

 

 

Pharmaceuticals (0.3%):

  

  800,000       VRX Escrow Corp., 5.88%, 5/15/23, Callable 5/15/23 @ 102.94(b)      820,000  
  425,000       VRX Escrow Corp., 6.13%, 4/15/25, Callable 4/15/20 @ 103(b)      437,219  
     

 

 

 
        1,257,219  
     

 

 

 

 

Semiconductors (0.1%):

  

  200,000       NXP BV/NXP Funding LLC, 4.63%, 6/15/22(b)      197,250  
     

 

 

 

 

Total Yankee Dollars (Cost $7,627,436)

     7,640,993  
     

 

 

 

 

Municipal Bonds (0.5%):

  

 

New York (0.5%):

  

  1,125,000       New York NY, Build America Bonds, GO, 5.05%, 10/1/24      1,279,879  
  750,000       New York City Municipal Finance Authority Water & Sewer System Revenue, 5.95%, 6/15/42      947,250  
     

 

 

 
        2,227,129  
     

 

 

 

 

Total Municipal Bonds (Cost $2,263,447)

     2,227,129  
     

 

 

 
    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages (37.1%):

  

 

Federal Home Loan Bank (11.2%)

  

$ 10,640,000       0.07%, 7/6/15(c)    $ 10,639,968  
  8,885,000       0.07%, 7/15/15(c)      8,884,929  
  7,200,000       0.07%, 7/29/15(c)      7,199,885  
  10,125,000       0.06%, 7/31/15(c)      10,124,828  
  3,015,000       0.07%, 8/19/15(c)      3,014,837  
  5,100,000       0.07%, 8/21/15(c)      5,099,709  
  2,095,000       1.25%, 6/28/30, Callable 0
@ 100(a)
     2,095,886  
     

 

 

 
        47,060,042  
     

 

 

 

 

Federal Home Loan Mortgage Corporation (5.3%)

  

  3,837,019       3.50%, 4/1/44, Pool #G07848      3,978,056  
  3,885,822       3.50%, 1/1/45, Pool #G07924      4,011,062  
  1,819,514       3.50%, 3/1/45, Pool #G08632      1,873,936  
  3,988,216       3.50%, 4/1/45, Pool #G60023      4,121,706  
  3,697,819       3.50%, 4/1/45, Pool #G08636      3,808,544  
  4,054,899       3.50%, 6/1/45, Pool #G60080      4,188,104  
     

 

 

 
        21,981,408  
     

 

 

 

 

Federal National Mortgage Association (17.0%)

  

  1,446,676       4.60%, 4/1/20, Pool #AD0910      1,591,811  
  1,133,313       4.12%, 4/1/20, Pool #464959      1,231,939  
  996,626       3.43%, 10/1/20, Pool #466386      1,056,709  
  1,697,660       3.67%, 10/1/20, Pool #AE0918      1,823,375  
  1,967,216       3.42%, 10/1/20, Pool #FN0009      2,081,925  
  2,644,622       3.76%, 12/1/20, Pool #FN0001      2,847,631  
  1,000,000       3.94%, 1/1/21, Pool #466969      1,083,853  
  1,130,394       4.62%, 4/1/21, Pool #467731      1,264,247  
  982,481       3.93%, 7/1/21, Pool #468518      1,059,421  
  1,245,000       3.06%, 5/1/22, Pool #471258      1,290,091  
  1,050,000       2.80%, 6/1/25, Pool #AM9004      1,039,213  
  1,000,000       3.00%, 7/25/30      1,036,008  
  2,000,000       2.50%, 7/25/30      2,024,228  
  1,000,000       3.50%, 7/25/30      1,054,641  
  1,809,614       3.50%, 1/1/32, Pool #AB4262      1,891,993  
  973,742       3.00%, 10/1/33, Pool #MA1676      993,430  
  1,998,451       3.50%, 4/1/43, Pool #MA1404      2,062,722  
  3,822,434       3.50%, 6/1/43, Pool #MA1463      3,945,278  
  14,215,000       3.00%, 7/25/43      14,161,971  
  7,995,000       4.00%, 7/25/44      8,470,546  
  3,640,000       4.50%, 7/25/44      3,935,181  
  14,635,000       3.50%, 7/25/45      15,082,054  
     

 

 

 
        71,028,267  
     

 

 

 

 

Government National Mortgage Association (3.6%)

  

  1,968,475       3.50%, 4/20/45, Pool #MA2754      2,053,570  
  1,985,985       3.50%, 5/20/45, Pool #MA2826      2,071,839  
  2,670,000       3.00%, 7/20/45      2,695,240  
  1,000,000       4.50%, 7/20/45      1,078,281  
  4,850,000       3.50%, 7/20/45      5,033,581  
  1,955,000       4.00%, 7/20/45      2,071,804  
     

 

 

 
        15,004,315  
     

 

 

 

 
 

Total U.S. Government Agency Mortgages
(Cost $155,675,628)

     155,074,032  
     

 

 

 
 

 

Continued

 

5


AZL MetWest Total Return Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

U.S. Treasury Obligations (25.4%):

  

 

U.S. Treasury Bills (0.1%)

  

$ 8,000       0.08%, 7/23/15(c)    $ 8,000  
  205,000       0.03%, 9/3/15(c)      205,000  
     

 

 

 
        213,000  
     

 

 

 

 

U.S. Treasury Bonds (1.7%)

  

  7,220,000       3.00%, 5/15/45      7,075,600  
     

 

 

 

 

U.S. Treasury Inflation Index Bonds (2.1%)

  

  1,155,000       0.63%, 2/15/43      1,053,767  
  5,830,000       1.38%, 2/15/44      6,318,060  
  1,500,000       0.75%, 2/15/45      1,376,665  
     

 

 

 
        8,748,492  
     

 

 

 

 

U.S. Treasury Inflation Index Notes (2.2%)

  

  1,690,000       0.13%, 4/15/16      1,819,986  
  3,660,000       0.13%, 7/15/24      3,556,614  
  3,850,000       0.25%, 1/15/25      3,772,229  
     

 

 

 
        9,148,829  
     

 

 

 

 

U.S. Treasury Notes (19.3%)

  

  10,200,000       0.63%, 5/31/17      10,198,409  
  24,825,000       0.63%, 6/30/17      24,815,294  
  7,410,000       1.50%, 5/31/20      7,369,475  
  20,340,000       1.63%, 6/30/20      20,338,413  
  18,095,000       2.13%, 5/15/25      17,767,028  
     

 

 

 
        80,488,619  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $105,949,697)

     105,674,540  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Commercial Paper (1.0%):

  
$ 3,950,000       Macquarie Bank, Ltd., 0.25%(b) (c)    $ 3,948,775  
     

 

 

 

 

Total Commercial Paper (Cost $3,948,465)

     3,948,775  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (1.5%):

  

  6,038,201       Allianz Variable Insurance Products Securities Lending Collateral Trust(d)      6,038,201  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $6,038,201)

     6,038,201  
     

 

 

 

 

Unaffiliated Investment Company (4.2%):

  

  17,541,700       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(c)      17,541,700  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $17,541,700)

     17,541,700  
     

 

 

 

 

Total Investment Securities (Cost $486,683,966)(e) — 116.1%

     483,818,541  

 

Net other assets (liabilities) — (16.1)%

     (66,977,941
     

 

 

 

 

Net Assets — 100.0%

   $ 416,840,600  
     

 

 

 

 

 

 

Percentages indicated are based on net assets as of June 30, 2015.

 

GO—General Obligation

MTN—Medium Term Note

REMIC—Real Estate Mortgage Investment Conduit

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $5,804,764.

 

(a) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(b) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(c) The rate represents the effective yield at June 30, 2015.

 

(d) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

Futures Contracts

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

U.S. Treasury 10-Year Note September Futures

     Long         9/21/15         151       $ 19,051,953      $ (93,022
              

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL MetWest Total Return Bond Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 486,683,966  
    

 

 

 

Investment securities, at value*

     $ 483,818,541  

Interest and dividends receivable

       1,095,186  

Receivable for investments sold

       5,199,929  

Prepaid expenses

       1,249  
    

 

 

 

Total Assets

       490,114,905  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       65,732,628  

Payable for capital shares redeemed

       1,190,456  

Payable for collateral received on loaned securities

       6,038,201  

Payable for variation margin on futures contracts

       4,719  

Manager fees payable

       188,442  

Administration fees payable

       11,290  

Distribution fees payable

       85,655  

Custodian fees payable

       5,256  

Administrative and compliance services fees payable

       558  

Trustee fees payable

       3,858  

Other accrued liabilities

       13,242  
    

 

 

 

Total Liabilities

       73,274,305  
    

 

 

 

Net Assets

     $ 416,840,600  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 414,766,025  

Accumulated net investment income/(loss)

       2,414,956  

Accumulated net realized gains/(losses) from investment transactions

       2,618,066  

Net unrealized appreciation/(depreciation) on investments

       (2,958,447 )
    

 

 

 

Net Assets

     $ 416,840,600  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       41,487,620  

Net Asset Value (offering and redemption price per share)

     $ 10.05  
    

 

 

 
* Includes securities on loan of $5,804,764.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Interest

     $ 3,727,388  

Dividends

       3  

Income from securities lending

       1,342  
    

 

 

 

Total Investment Income

       3,728,733  
    

 

 

 

Expenses:

    

Manager fees

       1,241,624  

Administration fees

       23,614  

Distribution fees

       517,341  

Custodian fees

       7,281  

Administrative and compliance services fees

       2,604  

Trustee fees

       10,240  

Professional fees

       10,554  

Shareholder reports

       2,413  

Other expenses

       3,447  
    

 

 

 

Total expenses before reductions

       1,819,118  

Less expenses voluntarily waived/reimbursed by the Manager

       (103,471 )
    

 

 

 

Net expenses

       1,715,647  
    

 

 

 

Net Investment Income/(Loss)

       2,013,086  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       1,595,615  

Net realized gains/(losses) on futures contracts

       (139,988 )

Change in net unrealized appreciation/depreciation on investments

       (4,394,745 )

Net Realized/Unrealized Gains/(Losses) on Investments

       (2,939,118 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (926,032 )
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

7


Statements of Changes in Net Assets

 

     AZL MetWest Total Return Bond Fund
     

For the
Six Months Ended
June 30,

2015

   November 17,
2014 to
December 31,
2014(a)
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,013,086        $ 285,275  

Net realized gains/(losses) on investment transactions

       1,455,627          1,150,798  

Change in unrealized appreciation/depreciation on investments

       (4,394,745 )        1,436,298  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (926,032 )        2,872,371  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

Capital Transactions:

         

Proceeds from shares issued

       15,448,640          415,766,530  

Value of shares redeemed

       (13,267,932 )        (3,052,977 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       2,180,708          412,713,553  
    

 

 

      

 

 

 

Change in net assets

       1,254,676          415,585,924  

Net Assets:

         

Beginning of period

       415,585,924           
    

 

 

      

 

 

 

End of period

     $ 416,840,600        $ 415,585,924  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 2,414,956        $ 401,870  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       1,522,018          41,576,530  

Shares redeemed

       (1,307,576 )        (303,352 )
    

 

 

      

 

 

 

Change in shares

       214,442          41,273,178  
    

 

 

      

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

8


AZL MetWest Total Return Bond Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

Six Months
Ended
June 30,

2015

 

November 17, 2014
to

December 31,

2014 (a)

     (Unaudited)    

Net Asset Value, Beginning of Period

     $ 10.07       $ 10.00  
    

 

 

     

 

 

 

Investment Activities:

        

Net Investment Income/(Loss)

       0.05         0.01  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.07 )       0.06  
    

 

 

     

 

 

 

Total from Investment Activities

       (0.02 )       0.07  
    

 

 

     

 

 

 

Dividends to Shareholders From:

        

Net Asset Value, End of Period

     $ 10.05       $ 10.07  
    

 

 

     

 

 

 

Total Return(b)

       (0.20 )%(c)       0.70 %(c)

Ratios to Average Net Assets/Supplemental Data:

        

Net Assets, End of Period (000’s)

     $ 416,841       $ 415,586  

Net Investment Income/(Loss)(d)

       0.97 %       0.56 %

Expenses Before Reductions(d) (e)

       0.88 %       0.91 %

Expenses Net of Reductions(d)

       0.83 %       0.86 %

Portfolio Turnover Rate(f)

       148 %(c)       27 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

9


AZL MetWest Total Return Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when

 

10


AZL MetWest Total Return Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $3.3 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $135 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $19.1 million as of June 30, 2015. The monthly average notional amount for these contracts was $8.6 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 
Interest Rate Risk Exposure        
Interest Rate Contract   Receivable for variation margin on futures contracts   $      Payable for variation margin on futures contracts   $ 93,0022   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of portfolio Investments. Only current day’s variation margin is reported within the statement of Assets and Liabilities as Variation Margin on Futures Contracts.

 

Primary Risk Exposure  

Location of Gains/(Losses)

on Derivatives

Recognized in Income

   Realized Gains/(Losses)
on Derivatives
Recognized in Income
    

Change in Unrealized

Appreciation/Depreciation on

Derivatives Recognized in Income

 

Interest Rate Risk Exposure

  

Interest Rate Contract   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments    $ (139,988    $ (93,022

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Metropolitan West Asset Management, LLC (“MetWest”), MetWest provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, 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, 2016.

For the period ended June 30, 2015, 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 %

 

11


AZL MetWest Total Return Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

* The Manager voluntarily reduced the management fee to 0.55% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,218 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

 

12


AZL MetWest Total Return Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Asset Backed Securities

       $          $ 40,246,418          $ 40,246,418  

Collateralized Mortgage Obligations

                    74,946,189            74,946,189  

Commercial Paper

                    3,948,775            3,948,775  

Corporate Bonds+

                    70,480,564            70,480,564  

Municipal Bonds

                    2,227,129            2,227,129  

Securities Held as Collateral for Securities on Loan

                    6,038,201            6,038,201  

U.S. Government Agency Mortgages

                    155,074,032            155,074,032  

U.S. Treasury Obligations

                    105,674,540            105,674,540  

Yankee Dollars+

                    7,640,993            7,640,993  

Unaffiliated Investment Company

         17,541,700                       17,541,700  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         17,541,700            466,276,841            483,818,541  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         (93,022 )                     (93,022 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 17,448,678          $ 466,276,841          $ 483,725,519  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 541,285,874          $ 558,112,941  

For the period ended June 30, 2015, purchases and sales on long-term U.S. government securities were as follows:

 

        Purchases      Sales

AZL MetWest Total Return Bond Fund

       $ 398,585,807          $ 451,799,922  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Mortgage-Related and Other Asset-Backed Risk: The Fund may invest in a variety of mortgage-related and other asset-backed securities, which are subject to certain additional risks. Generally, rising interest rates tend to extend the duration of fixed rate mortgage-related securities, making them more sensitive to changes in interest rates. As a result, in a period of rising interest rates, a Fund that holds mortgage-related securities may exhibit additional volatility. This is known as extension risk. In addition,

 

13


AZL MetWest Total Return Bond Fund

Notes to the Financial Statements

June 30, 2015 (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 a Fund because the Fund will have to reinvest that money at the lower prevailing interest rates. If a Fund purchases mortgage-backed or asset-backed securities that are subordinated to other interests in the same mortgage pool, the Fund may receive payments only after the pool’s obligations to other investors have been satisfied. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may limit substantially the pool’s ability to make payments of principal or interest to the Fund as a holder of such subordinated securities, reducing the values of those securities or in some cases rendering them worthless. An unexpectedly high or low rate of prepayments on a pool’s underlying mortgages may have a similar effect on subordinated securities. A mortgage pool may issue securities subject to various levels of subordination. The risk of non-payment affects securities at each level, although the risk is greater in the case of more highly subordinated securities. A Fund’s investments in other asset-backed securities are subject to risks similar to those associated with mortgage-related securities, as well as additional risks associated with the nature of the assets and the servicing of those assets.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $486,806,571. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 691,068  

Unrealized depreciation

    (3,679,098
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (2,988,030
 

 

 

 

As of the latest tax year end December 31, 2014, 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

       $ 1,589,478          $          $          $ 1,411,129          $ 3,000,607  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

14


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

15


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® MFS Investors Trust Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 12

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL MFS Investors Trust Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL MFS Investors Trust Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL MFS Investors Trust Fund

       $ 1,000.00          $ 1,013.90          $ 5.09            1.02 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL MFS Investors Trust Fund

       $ 1,000.00          $ 1,019.74          $ 5.11            1.02 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      19.3 %

Financials

      18.2  

Consumer Discretionary

      17.9  

Health Care

      15.0  

Industrials

      10.9  

Consumer Staples

      6.8  

Energy

      5.3  

Materials

      4.9  

Utilities

      1.5  
   

 

 

 

Total Common Stocks and Preferred Stock

      99.8  

Securities Held as Collateral for Securities on Loan

      9.9  

Money Market

      0.2  
   

 

 

 

Total Investment Securities

      109.9  

Net other assets (liabilities)

      (9.9 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL MFS Investors Trust Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (99.6%):

  

 

Aerospace & Defense (4.8%):

  

  57,993       Honeywell International, Inc.    $ 5,913,546  
  19,581       Precision Castparts Corp.      3,913,654  
  60,328       United Technologies Corp.      6,692,186  
     

 

 

 
        16,519,386  
     

 

 

 

 

Air Freight & Logistics (0.6%):

  

  22,618       United Parcel Service, Inc., Class B      2,191,910  
     

 

 

 

 

Auto Components (0.2%):

  

  8,238       Delphi Automotive plc      700,971  
     

 

 

 

 

Banks (7.3%):

  

  23,229       Bank of America Corp.      395,358  
  351,104       Bank of America Corp.      5,975,790  
  166,389       JPMorgan Chase & Co.      11,274,518  
  125,950       Wells Fargo & Co.      7,083,428  
     

 

 

 
        24,729,094  
     

 

 

 

 

Beverages (1.8%):

  

  85,097       Diageo plc      2,466,252  
  32,345       Pernod Ricard SA      3,741,573  
     

 

 

 
        6,207,825  
     

 

 

 

 

Capital Markets (5.2%):

  

  15,583       BlackRock, Inc., Class A      5,391,406  
  33,332       Goldman Sachs Group, Inc. (The)      6,959,389  
  83,817       Morgan Stanley      3,251,261  
  27,180       State Street Corp.      2,092,860  
     

 

 

 
        17,694,916  
     

 

 

 

 

Chemicals (3.7%):

  

  25,891       Monsanto Co.      2,759,722  
  21,393       Praxair, Inc.^      2,557,533  
  13,496       Sherwin Williams Co.^      3,711,669  
  35,212       W.R. Grace & Co.*      3,531,764  
     

 

 

 
        12,560,688  
     

 

 

 

 

Construction & Engineering (0.5%):

  

  35,434       Fluor Corp.      1,878,356  
     

 

 

 

 

Consumer Finance (1.9%):

  

  82,138       American Express Co.      6,383,765  
     

 

 

 

 

Containers & Packaging (1.2%):

  

  78,711       Crown Holdings, Inc.*      4,164,599  
     

 

 

 

 

Diversified Financial Services (1.2%):

  

  4,684       American Express Co.      364,040  
  77,617       NASDAQ OMX Group, Inc. (The)      3,788,486  
     

 

 

 
        4,152,526  
     

 

 

 

 

Electric Utilities (0.6%):

  

  39,289       American Electric Power Co., Inc.      2,081,138  
     

 

 

 

 

Energy Equipment & Services (2.5%):

  

  47,869       Cameron International Corp.*^      2,506,900  
  36,029       National-Oilwell Varco, Inc.^      1,739,480  
  53,059       Schlumberger, Ltd.      4,573,155  
     

 

 

 
        8,819,535  
     

 

 

 

 

Food Products (3.0%):

  

  59,841       Danone SA      3,865,472  
  25,714       General Mills, Inc.      1,432,784  
  127,061       Mondelez International, Inc., Class A      5,227,290  
     

 

 

 
        10,525,546  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies (3.5%):

  

  70,368       Abbott Laboratories    $ 3,453,662  
  32,900       Medtronic plc      2,437,890  
  37,785       St. Jude Medical, Inc.^      2,760,950  
  34,074       Stryker Corp.      3,256,452  
     

 

 

 
        11,908,954  
     

 

 

 

 

Health Care Providers & Services (1.2%):

  

  18,861       McKesson, Inc.      4,240,141  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.8%):

  

  29,232       McDonald’s Corp.      2,779,086  
     

 

 

 

 

Household Durables (1.5%):

  

  128,626       Newell Rubbermaid, Inc.      5,287,815  
     

 

 

 

 

Household Products (2.0%):

  

  48,962       Colgate-Palmolive Co.      3,202,604  
  47,396       Procter & Gamble Co. (The)      3,708,263  
     

 

 

 
        6,910,867  
     

 

 

 

 

Industrial Conglomerates (2.6%):

  

  104,892       Danaher Corp.      8,977,706  
     

 

 

 

 

Insurance (0.8%):

  

  25,895       ACE, Ltd.      2,633,004  
     

 

 

 

 

Internet Software & Services (2.9%):

  

  8,334       Google, Inc., Class C*      4,337,930  
  10,381       Google, Inc., Class A*      5,606,156  
     

 

 

 
        9,944,086  
     

 

 

 

 

IT Services (9.8%):

  

  59,678       Accenture plc, Class A      5,775,637  
  100,651       Cognizant Technology Solutions Corp., Class A*      6,148,770  
  88,131       Fidelity National Information Services, Inc.      5,446,496  
  10,749       Gartner, Inc.*      922,049  
  61,657       MasterCard, Inc., Class A      5,763,696  
  135,072       Visa, Inc., Class A^      9,070,086  
     

 

 

 
        33,126,734  
     

 

 

 

 

Life Sciences Tools & Services (1.9%):

  

  49,795       Thermo Fisher Scientific, Inc.      6,461,399  
     

 

 

 

 

Media (7.1%):

  

  109,493       Comcast Corp., Class A      6,584,909  
  71,358       Time Warner, Inc., Class A      6,237,403  
  136,322       Twenty-First Century Fox, Inc.      4,436,599  
  61,388       Walt Disney Co. (The)^      7,006,826  
     

 

 

 
        24,265,737  
     

 

 

 

 

Multiline Retail (2.2%):

  

  61,936       Kohl’s Corp.^      3,877,813  
  42,887       Target Corp.      3,500,866  
     

 

 

 
        7,378,679  
     

 

 

 

 

Multi-Utilities (0.7%):

  

  76,513       CMS Energy Corp.      2,436,174  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.8%):

  

  62,069       EOG Resources, Inc.      5,434,141  
  69,400       Noble Energy, Inc.      2,961,992  
  17,360       Occidental Petroleum Corp.      1,350,087  
     

 

 

 
        9,746,220  
     

 

 

 
 

 

Continued

 

2


AZL MFS Investors Trust Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Pharmaceuticals (8.4%):

  

  12,910       Allergan plc*    $ 3,917,669  
  60,243       Bristol-Myers Squibb Co.      4,008,569  
  51,466       Eli Lilly & Co.      4,296,896  
  42,572       Endo International plc*      3,390,860  
  70,001       Johnson & Johnson Co.      6,822,298  
  27,322       Valeant Pharmaceuticals International, Inc.*      6,069,582  
     

 

 

 
        28,505,874  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.8%):

  

  66,407       American Tower Corp.      6,195,109  
     

 

 

 

 

Road & Rail (1.2%):

  

  73,725       Canadian National Railway Co.      4,257,619  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (1.9%):

  

  14,796       Avago Technologies, Ltd.      1,966,832  
  95,318       Microchip Technology, Inc.      4,520,456  
     

 

 

 
        6,487,288  
     

 

 

 

 

Software (0.8%):

  

  17,806       Adobe Systems, Inc.*      1,442,464  
  18,598       Citrix Systems, Inc.*      1,304,836  
     

 

 

 
        2,747,300  
     

 

 

 

 

Specialty Retail (3.5%):

  

  4,335       AutoZone, Inc.*      2,891,012  
  49,952       Bed Bath & Beyond, Inc.*^      3,445,689  
  25,135       L Brands, Inc.      2,154,824  
  75,126       Ross Stores, Inc.      3,651,874  
     

 

 

 
        12,143,399  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (3.9%):

  

  32,848       Apple, Inc.      4,119,960  
  254,553       EMC Corp.      6,717,654  
  86,068       Hewlett-Packard Co.      2,582,901  
     

 

 

 
        13,420,515  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Textiles, Apparel & Luxury Goods (2.6%):

  

  19,277       LVMH Moet Hennessy Louis Vuitton SA    $ 3,374,111  
  20,406       Nike, Inc., Class B      2,204,256  
  44,730       VF Corp.      3,119,470  
     

 

 

 
        8,697,837  
     

 

 

 

 

Trading Companies & Distributors (1.2%):

  

  17,369       W.W. Grainger, Inc.^      4,110,374  
     

 

 

 

 

Total Common Stocks (Cost $223,036,700)

     341,272,172  
     

 

 

 

 

Preferred Stock (0.2%):

  

 

Electric Utilities (0.2%):

  
  17,417       Exelon Corp., Preferred Shares^      790,035  
     

 

 

 

 

Total Preferred Stock (Cost $878,329)

     790,035  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (9.9%):

  

$ 33,874,271       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     33,874,271  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $33,874,271)

     33,874,271  
     

 

 

 

 

Unaffiliated Investment Company (0.2%):

  
  649,398       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      649,398   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $649,398)

     649,398   
     

 

 

 

 

Total Investment Securities (Cost $258,438,698)(c) — 109.9%

     376,585,876   

 

Net other assets (liabilities) — (9.9)%

     (34,058,299
     

 

 

 

 

Net Assets — 100.0%

   $ 342,527,577  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $33,237,128.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Canada

    2.7

France

    2.9

Ireland (Republic of)

    2.4

Netherlands

    1.2

Singapore

    0.5

Switzerland

    0.7

United Kingdom

    0.8

United States

    88.8
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

3


AZL MFS Investors Trust Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 258,438,698  
    

 

 

 

Investment securities, at value*

     $ 376,585,876  

Cash

       5,918  

Interest and dividends receivable

       312,876  

Foreign currency, at value (cost $872)

       864  

Reclaims receivable

       3,829  

Prepaid expenses

       526  
    

 

 

 

Total Assets

       376,909,889  
    

 

 

 

Liabilities:

    

Payable for capital shares redeemed

       195,275  

Payable for collateral received on loaned securities

       33,874,271  

Manager fees payable

       205,800  

Administration fees payable

       8,888  

Distribution fees payable

       72,032  

Custodian fees payable

       7,433  

Administrative and compliance services fees payable

       376  

Trustee fees payable

       2,504  

Other accrued liabilities

       15,733  
    

 

 

 

Total Liabilities

       34,382,312  
    

 

 

 

Net Assets

     $ 342,527,577  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 159,135,654  

Accumulated net investment income/(loss)

       3,637,488  

Accumulated net realized gains/(losses) from investment transactions

       61,607,331  

Net unrealized appreciation/(depreciation) on investments

       118,147,104  
    

 

 

 

Net Assets

     $ 342,527,577  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       14,716,940  

Net Asset Value (offering and redemption price per share)

     $ 23.27  
    

 

 

 

 

* Includes securities on loan of $33,237,128.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,876,199  

Income from securities lending

       34,594  

Foreign withholding tax

       (31,751 )
    

 

 

 

Total Investment Income

       2,879,042  
    

 

 

 

Expenses:

    

Manager fees

       1,331,128  

Administration fees

       47,110  

Distribution fees

       443,709  

Custodian fees

       12,169  

Administrative and compliance services fees

       2,252  

Trustee fees

       9,031  

Professional fees

       9,866  

Shareholder reports

       8,414  

Other expenses

       3,597  
    

 

 

 

Total expenses before reductions

       1,867,276  

Less expenses voluntarily waived/reimbursed by the Manager

       (63,949 )
    

 

 

 

Net expenses

       1,803,327  
    

 

 

 

Net Investment Income/(Loss)

       1,075,715  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       17,845,871  

Change in net unrealized appreciation/depreciation on investments

       (13,752,614 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       4,093,257  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 5,168,972  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL MFS Investors Trust Fund
      For the
Six Months Ended
June 30, 2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 1,075,715        $ 2,751,395  

Net realized gains/(losses) on investment transactions

       17,845,871          44,563,564  

Change in unrealized appreciation/depreciation on investments

       (13,752,614 )        (9,693,290 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       5,168,972          37,621,669  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (2,658,955 )

From net realized gains

                (7,435,736 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (10,094,691 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       795,885          5,266,323  

Proceeds from dividends reinvested

                10,094,691  

Value of shares redeemed

       (34,762,271 )        (78,415,581 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (33,966,386 )        (63,054,567 )
    

 

 

      

 

 

 

Change in net assets

       (28,797,414 )        (35,527,589 )

Net Assets:

         

Beginning of period

       371,324,991          406,852,580  
    

 

 

      

 

 

 

End of period

     $ 342,527,577        $ 371,324,991  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 3,637,488        $ 2,561,773  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       34,210          238,552  

Dividends reinvested

                459,895  

Shares redeemed

       (1,498,461 )        (3,619,091 )
    

 

 

      

 

 

 

Change in shares

       (1,464,251 )        (2,920,644 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL MFS Investors Trust Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 22.95       $ 21.30       $ 16.29       $ 13.79       $ 14.20       $ 12.81  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.09         0.19         0.16         0.15         0.12         0.10  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.23         2.07         5.00         2.46         (0.44 )       1.31  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.32         2.26         5.16         2.61         (0.32 )       1.41  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.16 )       (0.15 )       (0.11 )       (0.09 )       (0.02 )

Net Realized Gains

               (0.45 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.61 )       (0.15 )       (0.11 )       (0.09 )       (0.02 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 23.27       $ 22.95       $ 21.30       $ 16.29       $ 13.79       $ 14.20  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.39 %(b)       10.75 %       31.77 %       18.95 %       (2.22 )%       11.01 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 342,528       $ 371,325       $ 406,853       $ 326,492       $ 272,336       $ 314,596  

Net Investment Income/(Loss)(c)

       0.61 %       0.72 %       0.77 %       1.01 %       0.79 %       0.62 %

Expenses Before Reductions(c) (d)

       1.05 %       1.05 %       1.06 %       1.07 %       1.09 %       1.10 %

Expenses Net of Reductions(c)

       1.02 %       1.02 %       1.02 %       1.03 %       1.05 %       1.06 %

Portfolio Turnover Rate

       9 %(b)       21 %       21 %       31 %       22 %       21 %(e)

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Effective October 26, 2010, the Subadviser changed from Jennison Associates LLC to Massachusetts Financial Services Company (“MFS”). Implementation of MFS’ investment strategy has contributed to a lower portfolio turnover rate for the year ended December 31, 2010 as compared to prior years.

 

See accompanying notes to the financial statements.

 

6


AZL MFS Investors Trust Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Investors Trust Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL MFS Investors Trust Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $33.5 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $3,418 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Massachusetts Financial Services Company (“MFS”), MFS provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL MFS Investors Trust Fund

         0.75 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.70% on assets above $100 million. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

8


AZL MFS Investors Trust Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,938 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

 

9


AZL MFS Investors Trust Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:    Level 1    Level 2    Total
                
     

Common Stocks

              

Beverages

     $        $ 6,207,825        $ 6,207,825  

Food Products

       6,660,074          3,865,472          10,525,546  

Textiles, Apparel & Luxury Goods

       5,323,726          3,374,111          8,697,837  

All Other Common Stocks+

       315,840,964                   315,840,964  

Preferred Stock

       790,035                   790,035  

Securities Held as Collateral for Securities on Loan

                33,874,271          33,874,271  

Unaffiliated Investment Company

       649,398                   649,398  
    

 

 

      

 

 

      

 

 

 

Total Investment Securities

     $ 329,264,197        $ 47,321,679        $ 376,585,876  
    

 

 

      

 

 

      

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL MFS Investors Trust Fund

       $ 30,957,385          $ 61,333,235  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $259,951,982. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 120,559,942  

Unrealized depreciation

    (3,926,048
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 116,633,894   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL MFS Investors Trust Fund

       $ 2,658,955          $ 7,435,736          $ 10,094,691  

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL MFS Investors Trust Fund

       $ 4,268,208          $ 43,669,906          $          $ 130,284,837          $ 178,222,951  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

 

10


AZL MFS Investors Trust Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

11


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

12


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.

  
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® MFS Mid Cap Value Fund

 

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 12

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL MFS Mid Cap Value Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL MFS Mid Cap Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL MFS Mid Cap Value Fund

       $ 1,000.00          $ 1,030.30          $ 5.34            1.06 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL MFS Mid Cap Value Fund

       $ 1,000.00          $ 1,019.54          $ 5.31            1.06 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      24.1 %

Industrials

      13.6  

Consumer Discretionary

      11.1  

Health Care

      11.0  

Information Technology

      8.8  

Consumer Staples

      8.3  

Utilities

      7.2  

Energy

      7.2  

Materials

      6.5  

Telecommunication Services

      1.1  
   

 

 

 

Total Common Stocks and Preferred Stocks

      98.9  

Securities Held as Collateral for Securities on Loan

      17.8  

Money Market

      1.5  
   

 

 

 

Total Investment Securities

      118.2  

Net other assets (liabilities)

      (18.2 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL MFS Mid Cap Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (98.3%):

  

 

Aerospace & Defense (2.0%):

  

  14,526       L-3 Communications Holdings, Inc.    $ 1,646,958  
  10,575       Mtu Aero Engines AG      994,358  
  17,204       Rockwell Collins, Inc.^      1,588,789  
     

 

 

 
        4,230,105  
     

 

 

 

 

Air Freight & Logistics (0.2%):

  

  47,109       UTI Worldwide, Inc.*^      470,619  
     

 

 

 

 

Airlines (1.1%):

  

  17,516       Alaska Air Group, Inc.^      1,128,556  
  31,017       Delta Air Lines, Inc.      1,274,178  
     

 

 

 
        2,402,734  
     

 

 

 

 

Auto Components (1.4%):

  

  26,311       BorgWarner, Inc.      1,495,517  
  18,420       Delphi Automotive plc      1,567,358  
     

 

 

 
        3,062,875  
     

 

 

 

 

Automobiles (0.7%):

  

  26,004       Harley-Davidson, Inc.      1,465,325  
     

 

 

 

 

Banks (8.1%):

  

  50,386       BB&T Corp.      2,031,061  
  66,546       Citizens Financial Group, Inc.      1,817,371  
  25,965       Comerica, Inc.      1,332,524  
  131,703       Fifth Third Bancorp      2,742,057  
  170,369       Huntington Bancshares, Inc.      1,926,873  
  113,904       KeyCorp      1,710,838  
  9,885       M&T Bank Corp.      1,234,933  
  47,783       PrivateBancorp, Inc.      1,902,719  
  28,763       SunTrust Banks, Inc.      1,237,384  
  91,665       TCF Financial Corp.      1,522,556  
     

 

 

 
        17,458,316  
     

 

 

 

 

Beverages (1.8%):

  

  46,193       Coca-Cola Enterprises, Inc.      2,006,624  
  27,899       Molson Coors Brewing Co., Class B      1,947,629  
     

 

 

 
        3,954,253  
     

 

 

 

 

Biotechnology (0.3%):

  

  10,285       AMAG Pharmaceuticals, Inc.*^      710,282  
     

 

 

 

 

Building Products (1.8%):

  

  27,958       Armstrong World Industries, Inc.*      1,489,602  
  30,140       Fortune Brands Home & Security, Inc.      1,381,015  
  26,202       Owens Corning, Inc.      1,080,833  
     

 

 

 
        3,951,450  
     

 

 

 

 

Capital Markets (1.7%):

  

  6,075       Affiliated Managers Group, Inc.*      1,327,996  
  15,464       Northern Trust Corp.      1,182,377  
  31,399       TD Ameritrade Holding Corp.      1,156,111  
     

 

 

 
        3,666,484  
     

 

 

 

 

Chemicals (4.9%):

  

  19,362       AkzoNobel NV      1,414,530  
  27,634       Albemarle Corp.      1,527,331  
  58,754       Axalta Coating Systems, Ltd.*      1,943,583  
  23,517       Celanese Corp., Series A      1,690,402  
  33,565       H.B. Fuller Co.^      1,363,410  
  19,963       Sensient Technologies Corp.^      1,364,271  
  18,124       Valspar Corp. (The)^      1,482,906  
     

 

 

 
        10,786,433  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Commercial Services & Supplies (0.7%):

  

  40,246       Tyco International plc    $ 1,548,666  
     

 

 

 

 

Consumer Finance (1.0%):

  

  37,302       Discover Financial Services      2,149,341  
     

 

 

 

 

Containers & Packaging (1.4%):

  

  82,787       Graphic Packaging Holding Co.      1,153,223  
  20,832       Greif, Inc., Class A^      746,827  
  48,144       Owens-Illinois, Inc.*      1,104,423  
     

 

 

 
        3,004,473  
     

 

 

 

 

Distributors (0.7%):

  

  46,985       LKQ Corp.*      1,421,061  
     

 

 

 

 

Diversified Consumer Services (0.4%):

  

  33,087       Houghton Mifflin Harcourt Co.*^      833,792  
     

 

 

 

 

Diversified Financial Services (1.2%):

  

  55,675       NASDAQ OMX Group, Inc. (The)      2,717,497  
     

 

 

 

 

Diversified Telecommunication Services (0.5%):

  

  226,953       Frontier Communications Corp.^      1,123,417  
     

 

 

 

 

Electric Utilities (1.8%):

  

  30,712       Eversource Energy      1,394,632  
  27,218       OGE Energy Corp.      777,618  
  32,175       Pinnacle West Capital Corp.      1,830,436  
     

 

 

 
        4,002,686  
     

 

 

 

 

Electrical Equipment (1.3%):

  

  26,672       Eaton Corp. plc      1,800,093  
  15,326       Regal-Beloit Corp.      1,112,514  
     

 

 

 
        2,912,607  
     

 

 

 

 

Electronic Equipment, Instruments & Components (1.3%):

  

  63,877       Ingram Micro, Inc., Class A*      1,598,842  
  39,828       Keysight Technologies, Inc.*      1,242,235  
     

 

 

 
        2,841,077  
     

 

 

 

 

Energy Equipment & Services (1.3%):

  

  22,601       Cameron International Corp.*^      1,183,615  
  45,316       Forum Energy Technologies, Inc.*^      919,008  
  39,883       Frank’s International NV^      751,396  
     

 

 

 
        2,854,019  
     

 

 

 

 

Food & Staples Retailing (0.8%):

  

  13,566       Empire Co., Ltd., Class A      955,638  
  117,276       Rite AID Corp.*      979,255  
     

 

 

 
        1,934,893  
     

 

 

 

 

Food Products (5.7%):

  

  19,468       Bunge, Ltd.      1,709,290  
  47,548       Flowers Foods, Inc.^      1,005,640  
  21,139       Ingredion, Inc.      1,687,104  
  13,226       J.M. Smucker Co. (The)^      1,433,831  
  21,390       Kellogg Co.      1,341,153  
  17,230       McCormick & Co.^      1,394,769  
  44,587       Pinnacle Foods, Inc.      2,030,491  
  29,404       Snyders-Lance, Inc.^      948,867  
  21,312       Tyson Foods, Inc., Class A^      908,531  
     

 

 

 
        12,459,676  
     

 

 

 
 

 

Continued

 

2


AZL MFS Mid Cap Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies (4.2%):

  

  6,146       Cooper Cos., Inc. (The)    $ 1,093,804  
  30,866       DENTSPLY International, Inc.      1,591,142  
  17,296       Masimo Corp.*      670,047  
  24,777       St. Jude Medical, Inc.      1,810,455  
  13,681       STERIS Corp.^      881,604  
  12,360       Teleflex, Inc.^      1,674,162  
  13,802       Zimmer Holdings, Inc.      1,507,591  
     

 

 

 
        9,228,805  
     

 

 

 

 

Health Care Providers & Services (2.7%):

  

  12,493       CIGNA Corp.      2,023,866  
  19,492       Owens & Minor, Inc.^      662,728  
  22,529       Quest Diagnostics, Inc.^      1,633,803  
  11,003       Universal Health Services, Inc., Class B      1,563,526  
     

 

 

 
        5,883,923  
     

 

 

 

 

Health Care Technology (0.8%):

  

  38,697       IMS Health Holdings, Inc.*      1,186,063  
  25,148       MedAssets, Inc.*^      554,765  
     

 

 

 
        1,740,828  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.1%):

  

  42,593       Aramark Holdings Corp.      1,319,105  
  10,095       DineEquity, Inc.      1,000,314  
     

 

 

 
        2,319,419  
     

 

 

 

 

Household Durables (1.4%):

  

  73,127       Newell Rubbermaid, Inc.      3,006,251  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (1.8%):

  

  154,643       AES Corp. (The)      2,050,566  
  25,657       Dynegy, Inc.*      750,467  
  53,844       NRG Energy, Inc.^      1,231,951  
     

 

 

 
        4,032,984  
     

 

 

 

 

Insurance (7.1%):

  

  33,336       Arthur J. Gallagher & Co.      1,576,793  
  9,861       Everest Re Group, Ltd.      1,794,801  
  14,965       Hanover Insurance Group, Inc. (The)      1,107,859  
  44,832       Hartford Financial Services Group, Inc. (The)      1,863,666  
  32,781       Lincoln National Corp.      1,941,290  
  61,974       Symetra Financial Corp.      1,497,912  
  60,364       Third Point Reinsurance, Ltd.*      890,369  
  51,481       UnumProvident Corp.      1,840,446  
  34,575       Validus Holdings, Ltd.      1,520,954  
  40,065       XL Group plc      1,490,418  
     

 

 

 
        15,524,508  
     

 

 

 

 

IT Services (3.2%):

  

  24,598       Amdocs, Ltd.      1,342,805  
  31,734       Fidelity National Information Services, Inc.      1,961,161  
  70,002       Sabre Corp.^      1,666,048  
  189,207       Xerox Corp.      2,013,162  
     

 

 

 
        6,983,176  
     

 

 

 

 

Life Sciences Tools & Services (1.7%):

  

  33,159       Agilent Technologies, Inc.      1,279,274  
  46,094       PerkinElmer, Inc.^      2,426,388  
     

 

 

 
        3,705,662  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Machinery (4.0%):

  

  82,234       Allison Transmission Holdings, Inc.    $ 2,406,166  
  15,766       Joy Global, Inc.^      570,729  
  20,234       Oshkosh Corp.^      857,517  
  23,357       Pentair, plc      1,605,794  
  14,984       SPX Corp.      1,084,692  
  21,803       Stanley Black & Decker, Inc.      2,294,548  
     

 

 

 
        8,819,446  
     

 

 

 

 

Media (1.0%):

  

  62,037       Interpublic Group of Cos., Inc. (The)      1,195,453  
  39,451       Quebecor, Inc., Class B      986,275  
     

 

 

 
        2,181,728  
     

 

 

 

 

Metals & Mining (0.2%):

  

  24,772       United States Steel Corp.^      510,799  
     

 

 

 

 

Multiline Retail (0.6%):

  

  21,390       Kohl’s Corp.^      1,339,228  
     

 

 

 

 

Multi-Utilities (3.6%):

  

  43,675       CMS Energy Corp.      1,390,612  
  23,111       DTE Energy Co.      1,725,004  
  36,156       NiSource, Inc.      1,648,352  
  28,914       NorthWestern Corp.^      1,409,558  
  41,971       Public Service Enterprise Group, Inc.      1,648,621  
     

 

 

 
        7,822,147  
     

 

 

 

 

Oil, Gas & Consumable Fuels (5.9%):

  

  10,181       Cimarex Energy Co.      1,123,066  
  30,242       CONSOL Energy, Inc.^      657,461  
  22,641       Energen Corp.      1,546,380  
  16,761       EQT Corp.      1,363,340  
  25,924       Hess Corp.^      1,733,798  
  25,755       HollyFrontier Corp.      1,099,481  
  52,054       Memorial Resource Development Corp.*      987,464  
  21,550       Noble Energy, Inc.      919,754  
  18,051       PDC Energy, Inc.*^      968,256  
  30,625       Plains GP Holdings, LP*      791,350  
  20,616       SM Energy Co.^      950,810  
  24,481       Spectra Energy Corp.      798,081  
     

 

 

 
        12,939,241  
     

 

 

 

 

Pharmaceuticals (1.3%):

  

  21,263       Endo International plc*      1,693,598  
  22,524       Impax Laboratories, Inc.*^      1,034,302  
     

 

 

 
        2,727,900  
     

 

 

 

 

Professional Services (1.3%):

  

  11,153       Equifax, Inc.      1,082,845  
  33,653       Nielsen Holdings NV      1,506,644  
     

 

 

 
        2,589,489  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (4.3%):

  

  63,138       Annaly Capital Management, Inc.      580,238  
  52,384       Corporate Office Properties Trust      1,233,119  
  62,174       DDR Corp.      961,210  
  25,489       EPR Properties^      1,396,287  
  19,071       Equity Lifestyle Properties, Inc.      1,002,753  
  125,334       Medical Properties Trust, Inc.^      1,643,130  
  18,278       Mid-America Apartment Communities, Inc.      1,330,821  
 

 

Continued

 

3


AZL MFS Mid Cap Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

  31,075       Plum Creek Timber Co., Inc.    $ 1,260,713  
     

 

 

 
        9,408,271  
     

 

 

 

 

Real Estate Management & Development (0.7%):

  

  32,132       Realogy Holdings Corp.*^      1,501,207  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.4%):

  

  25,116       Analog Devices, Inc.      1,612,071  
  5,536       Avago Technologies, Ltd.      735,900  
  22,044       Freescale Semiconductor Holdings I, Ltd.*      881,099  
  30,064       Microchip Technology, Inc.^      1,425,785  
  35,817       NVIDIA Corp.^      720,280  
     

 

 

 
        5,375,135  
     

 

 

 

 

Software (1.0%):

  

  16,686       NICE Systems, Ltd., ADR      1,061,063  
  47,300       Symantec Corp.      1,099,725  
     

 

 

 
        2,160,788  
     

 

 

 

 

Specialty Retail (2.6%):

  

  2,740       AutoZone, Inc.*      1,827,306  
  19,979       Bed Bath & Beyond, Inc.*^      1,378,151  
  17,374       Gap, Inc. (The)^      663,166  
  54,128       Sally Beauty Holdings, Inc.*      1,709,362  
     

 

 

 
        5,577,985  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.9%):

  

  31,778       NCR Corp.*      956,518  
  13,545       Western Digital Corp.      1,062,199  
     

 

 

 
        2,018,717  
     

 

 

 

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Textiles, Apparel & Luxury Goods (1.2%):

  

  13,640       PVH Corp.    $ 1,571,328  
  7,534       Ralph Lauren Corp.      997,200  
     

 

 

 
        2,568,528  
     

 

 

 

 

Trading Companies & Distributors (1.2%):

  

  18,889       Brenntag AG      1,082,499  
  19,114       Univar, Inc.*      497,537  
  16,577       WESCO International, Inc.*^      1,137,846  
     

 

 

 
     2,717,882  
     

 

 

 

 

Total Common Stocks (Cost $194,606,794)

     214,646,128  
     

 

 

 

 

Preferred Stock (0.6%):

  

 

Diversified Telecommunication Services (0.6%):

  

  13,410       Frontier Communications Corp., Class A      1,339,659  
     

 

 

 

 

Total Preferred Stock (Cost $1,341,000)

     1,339,659  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (17.8%):

  

$ 38,839,736       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     38,839,736  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on
Loan (Cost $38,839,736)

     38,839,736  
     

 

 

 

 

Unaffiliated Investment Company (1.5%):

  

  3,329,344       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      3,329,344  
     

 

 

 

 

Total Unaffiliated Investment Company
(Cost $3,329,344)

     3,329,344  
     

 

 

 

 

Total Investment Securities (Cost $238,116,874)(c) — 118.2%

     258,154,867  

 

Net other assets (liabilities) — (18.2)%

     (39,807,771
     

 

 

 

 

Net Assets — 100.0%

   $ 218,347,096  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $37,970,329.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage

Bermuda

      2.0 %

British Virgin Islands

      0.2 %

Canada

      0.8 %

Germany

      0.8 %

Guernsey

      0.5 %

Ireland (Republic of)

      3.2 %

Israel

      0.4 %

Netherlands

      1.4 %

Singapore

      0.3 %

United Kingdom

      0.6 %

United States

      89.8 %
   

 

 

 
      100.0 %
   

 

 

 

 

See accompanying notes to the financial statements.

 

4


AZL MFS Mid Cap Value Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 238,116,874  
    

 

 

 

Investment securities, at value*

     $ 258,154,867  

Interest and dividends receivable

       264,685  

Receivable for capital shares issued

       14,146  

Receivable for investments sold

       1,254,564  

Reclaims receivable

       8,158  

Prepaid expenses

       355  
    

 

 

 

Total Assets

       259,696,775  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       2,152,082  

Payable for capital shares redeemed

       157,273  

Payable for collateral received on loaned securities

       38,839,736  

Manager fees payable

       137,916  

Administration fees payable

       5,484  

Distribution fees payable

       45,972  

Custodian fees payable

       3,655  

Administrative and compliance services fees payable

       148  

Trustee fees payable

       978  

Other accrued liabilities

       6,435  
    

 

 

 

Total Liabilities

       41,349,679  
    

 

 

 

Net Assets

     $ 218,347,096  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 129,145,289  

Accumulated net investment income/(loss)

       2,575,431  

Accumulated net realized gains/(losses) from investment transactions

       66,589,227  

Net unrealized appreciation/(depreciation) on investments

       20,037,149  
    

 

 

 

Net Assets

     $ 218,347,096  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       16,879,972  

Net Asset Value (offering and redemption price per share)

     $ 12.94  
    

 

 

 

 

* Includes securities on loan of $37,970,329.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,036,723  

Income from securities lending

       40,493  

Foreign withholding tax

       (11,852 )
    

 

 

 

Total Investment Income

       2,065,364  
    

 

 

 

Expenses:

    

Manager fees

       845,031  

Administration fees

       32,210  

Distribution fees

       281,677  

Custodian fees

       11,567  

Administrative and compliance services fees

       1,621  

Trustee fees

       6,505  

Professional fees

       7,075  

Shareholder reports

       6,852  

Other expenses

       2,494  
    

 

 

 

Total expenses

       1,195,032  
    

 

 

 

Net Investment Income/(Loss)

       870,332  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       7,744,406  

Change in net unrealized appreciation/depreciation on investments

       (1,516,047 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       6,228,359  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 7,098,691  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL MFS Mid Cap Value Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 870,332        $ 1,749,777  

Net realized gains/(losses) on investment transactions

       7,744,406          59,237,701  

Change in unrealized appreciation/depreciation on investments

       (1,516,047 )        (37,538,859 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       7,098,691          23,448,619  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (780,255 )

From net realized gains

                (9,762,977 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (10,543,232 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       2,941,391          18,286,111  

Proceeds from dividends reinvested

                10,543,232  

Value of shares redeemed

       (23,135,684 )        (41,425,355 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (20,194,293 )        (12,596,012 )
    

 

 

      

 

 

 

Change in net assets

       (13,095,602 )        309,375  

Net Assets:

         

Beginning of period

       231,442,698          231,133,323  
    

 

 

      

 

 

 

End of period

     $ 218,347,096        $ 231,442,698  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 2,575,431        $ 1,705,099  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       228,951          1,482,792  

Dividends reinvested

                858,569  

Shares redeemed

       (1,796,473 )        (3,400,902 )
    

 

 

      

 

 

 

Change in shares

       (1,567,522 )        (1,059,541 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL MFS Mid Cap Value Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 12.55       $ 11.85       $ 8.84       $ 7.66       $ 8.02       $ 6.58  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.06         0.10         0.04         0.07         0.05         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.33         1.18         3.04         1.16         (0.34 )       1.41  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.39         1.28         3.08         1.23         (0.29 )       1.48  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.04 )       (0.07 )       (0.05 )       (0.07 )       (0.04 )

Net Realized Gains

               (0.54 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.58 )       (0.07 )       (0.05 )       (0.07 )       (0.04 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 12.94       $ 12.55       $ 11.85       $ 8.84       $ 7.66       $ 8.02  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.03 %(b)       10.90 %       34.91 %       16.03 %       (3.57 )%       22.66 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 218,347       $ 231,443       $ 231,133       $ 169,131       $ 132,790       $ 133,340  

Net Investment Income/(Loss)(c)

       0.77 %       0.76 %       0.38 %       0.88 %       0.62 %       1.12 %

Expenses Before Reductions(c) (d)

       1.06 %       1.05 %       1.06 %       1.07 %       1.08 %       1.10 %

Expenses Net of Reductions(c)

       1.06 %       1.05 %       1.05 %       1.05 %       1.06 %       1.04 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.06 %       1.05 %       1.06 %       1.07 %       1.08 %       1.10 %

Portfolio Turnover Rate

       25 %(b)       136 %(f)       59 %       50 %       53 %       71 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

(f) Effective January 24, 2014, the Sub adviser changed from Columbia Management Investment Advisers, LLC to Massachusetts Financial Services Company. Cost of purchases and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2014 as compared to prior years.

 

See accompanying notes to the financial statements.

 

7


AZL MFS Mid Cap Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Mid Cap Value Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL MFS Mid Cap Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $42.0 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $3,990 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Columbia Management Investment Advisers, LLC (“CMIA”), CMIA provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL MFS Mid Cap Value Fund

         0.75 %          1.30 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

 

9


AZL MFS Mid Cap Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,223 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 211,154,741          $ 3,491,387          $ 214,646,128  

Preferred Stock

         1,339,659                       1,339,659  

Securities Held as Collateral for Securities on Loan

                    38,839,736            38,839,736  

Unaffiliated Investment Company

         3,329,344                       3,329,344  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 215,823,744          $ 42,331,123          $ 258,154,867  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

10


AZL MFS Mid Cap Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL MFS Mid Cap Value Fund

       $ 54,938,013          $ 75,666,574  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $238,622,194. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 26,736,757  

Unrealized depreciation

    (7,204,084
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 19,532,673   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL MFS Mid Cap Value Fund

       $ 780,255          $ 9,762,977          $ 10,543,232  

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

      Undistributed
Ordinary
Income
   Undistributed
Long-Term
Capital Gains
   Accumulated
Capital and
Other Losses
  

Unrealized

Appreciation/

(Depreciation)(a)

   Total
Accumulated
Earnings/
(Deficit)

AZL MFS Mid Cap Value Fund

     $ 19,758,264        $ 41,498,730        $        $ 20,846,122        $ 82,103,116  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

11


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

12


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® MFS Value Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL MFS Value Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL MFS Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL MFS Value Fund

       $ 1,000.00          $ 1,011.50          $ 5.04            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL MFS Value Fund

       $ 1,000.00          $ 1,019.79          $ 5.06            1.01 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      26.9 %

Industrials

      16.7  

Health Care

      14.2  

Consumer Staples

      12.3  

Consumer Discretionary

      10.1  

Information Technology

      7.6  

Energy

      5.2  

Materials

      2.7  

Telecommunication Services

      2.5  

Utilities

      0.7  
   

 

 

 

Total Common Stocks and Convertible Preferred Stocks

      98.9  

Securities Held as Collateral for Securities on Loan

      6.2  

Money Market

      0.3  
   

 

 

 

Total Investment Securities

      105.4  

Net other assets (liabilities)

      (5.4 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL MFS Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (98.8%):

  

 

Aerospace & Defense (7.0%):

  

  106,100       Honeywell International, Inc.    $ 10,819,017  
  49,898       Lockheed Martin Corp.      9,276,038  
  26,834       Northrop Grumman Corp.      4,256,677  
  88,076       United Technologies Corp.      9,770,271  
     

 

 

 
        34,122,003  
     

 

 

 

 

Air Freight & Logistics (1.3%):

  

  67,022       United Parcel Service, Inc., Class B      6,495,102  
     

 

 

 

 

Auto Components (1.8%):

  

  48,599       Delphi Automotive plc      4,135,289  
  97,651       Johnson Controls, Inc.      4,836,654  
     

 

 

 
        8,971,943  
     

 

 

 

 

Banks (11.1%):

  

  32,683       Citigroup, Inc.      1,805,409  
  345,180       JPMorgan Chase & Co.      23,389,397  
  43,629       PNC Financial Services Group, Inc.      4,173,114  
  214,043       U.S. Bancorp      9,289,466  
  295,933       Wells Fargo & Co.      16,643,272  
     

 

 

 
        55,300,658  
     

 

 

 

 

Beverages (1.3%):

  

  228,061       Diageo plc      6,609,584  
     

 

 

 

 

Capital Markets (6.4%):

  

  150,936       Bank of New York Mellon Corp. (The)      6,334,784  
  13,534       BlackRock, Inc., Class A      4,682,493  
  120,574       Franklin Resources, Inc.      5,911,743  
  49,046       Goldman Sachs Group, Inc. (The)      10,240,315  
  60,353       State Street Corp.      4,647,181  
     

 

 

 
        31,816,516  
     

 

 

 

 

Chemicals (2.2%):

  

  23,310       E.I. du Pont de Nemours & Co.      1,490,675  
  3,960       Monsanto Co.      422,096  
  75,450       PPG Industries, Inc.      8,655,624  
     

 

 

 
        10,568,395  
     

 

 

 

 

Commercial Services & Supplies (1.2%):

  

  158,370       Tyco International plc      6,094,078  
     

 

 

 

 

Consumer Finance (0.8%):

  

  50,339       American Express Co.      3,912,347  
     

 

 

 

 

Containers & Packaging (0.5%):

  

  48,502       Crown Holdings, Inc.*      2,566,241  
     

 

 

 

 

Diversified Financial Services (1.0%):

  

  14,413       McGraw-Hill Cos., Inc. (The)      1,447,786  
  76,558       NASDAQ OMX Group, Inc. (The)      3,736,796  
     

 

 

 
        5,184,582  
     

 

 

 

 

Diversified Telecommunication Services (1.9%):

  

  40,029       AT&T, Inc.^      1,421,830  
  173,659       Verizon Communications, Inc.      8,094,246  
     

 

 

 
        9,516,076  
     

 

 

 

 

Electric Utilities (0.7%):

  

  50,631       Duke Energy Corp.      3,575,561  
     

 

 

 

 

Electrical Equipment (0.8%):

  

  60,754       Eaton Corp. plc      4,100,287  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Energy Equipment & Services (0.7%):

  

  7,336       Baker Hughes, Inc.    $ 452,631  
  36,963       Schlumberger, Ltd.      3,185,841  
     

 

 

 
        3,638,472  
     

 

 

 

 

Food & Staples Retailing (2.0%):

  

  93,995       CVS Health Corp.      9,858,196  
     

 

 

 

 

Food Products (4.2%):

  

  21,032       Archer-Daniels-Midland Co.      1,014,163  
  53,685       Danone SA      3,467,822  
  134,923       General Mills, Inc.^      7,517,910  
  21,433       Kellogg Co.^      1,343,849  
  105,234       Nestle SA, Registered Shares      7,608,930  
     

 

 

 
        20,952,674  
     

 

 

 

 

Health Care Equipment & Supplies (4.0%):

  

  133,164       Abbott Laboratories      6,535,689  
  125,791       Medtronic plc      9,321,113  
  51,359       St. Jude Medical, Inc.      3,752,802  
     

 

 

 
        19,609,604  
     

 

 

 

 

Health Care Providers & Services (1.1%):

  

  61,104       Express Scripts Holding Co.*^      5,434,590  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.7%):

  

  36,056       McDonald’s Corp.      3,427,844  
     

 

 

 

 

Household Durables (0.2%):

  

  25,835       Newell Rubbermaid, Inc.      1,062,077  
     

 

 

 

 

Household Products (0.5%):

  

  29,392       Procter & Gamble Co. (The)      2,299,630  
     

 

 

 

 

Industrial Conglomerates (3.3%):

  

  62,038       3M Co.      9,572,464  
  74,029       Danaher Corp.      6,336,142  
     

 

 

 
        15,908,606  
     

 

 

 

 

Insurance (7.6%):

  

  47,897       ACE, Ltd.      4,870,167  
  60,698       Aon plc      6,050,377  
  36,695       Chubb Corp. (The)      3,491,162  
  171,801       MetLife, Inc.      9,619,138  
  55,235       Prudential Financial, Inc.      4,834,167  
  90,211       Travelers Cos., Inc. (The)      8,719,795  
     

 

 

 
        37,584,806  
     

 

 

 

 

IT Services (5.4%):

  

  132,622       Accenture plc, Class A      12,835,157  
  48,156       Fidelity National Information Services, Inc.      2,976,041  
  48,156       Fiserv, Inc.*^      3,988,761  
  42,029       International Business Machines Corp.      6,836,437  
     

 

 

 
        26,636,396  
     

 

 

 

 

Leisure Products (0.6%):

  

  40,286       Hasbro, Inc.^      3,012,990  
     

 

 

 

 

Life Sciences Tools & Services (1.1%):

  

  42,177       Thermo Fisher Scientific, Inc.      5,472,888  
     

 

 

 

 

Machinery (2.0%):

  

  16,216       Deere & Co.^      1,573,763  
  36,198       Illinois Tool Works, Inc.      3,322,614  
 

 

Continued

 

2


AZL MFS Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  

  38,550       Pentair, plc^    $ 2,650,313  
  23,685       Stanley Black & Decker, Inc.      2,492,609  
     

 

 

 
        10,039,299  
     

 

 

 

 

Media (4.4%):

  

  99,556       Comcast Corp., Class A^      5,967,386  
  74,467       Omnicom Group, Inc.^      5,174,712  
  49,383       Time Warner, Inc., Class A      4,316,568  
  5,281       Time, Inc.^      121,516  
  44,758       Viacom, Inc., Class B      2,893,157  
  29,794       Walt Disney Co. (The)      3,400,687  
     

 

 

 
        21,874,026  
     

 

 

 

 

Multiline Retail (1.8%):

  

  13,018       Kohl’s Corp.^      815,057  
  97,690       Target Corp.      7,974,435  
     

 

 

 
        8,789,492  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.5%):

  

  64,513       Chevron Corp.      6,223,569  
  25,270       EOG Resources, Inc.      2,212,389  
  101,647       Exxon Mobil Corp.      8,457,030  
  64,756       Occidental Petroleum Corp.      5,036,074  
     

 

 

 
        21,929,062  
     

 

 

 

 

Pharmaceuticals (8.0%):

  

  164,626       Johnson & Johnson Co.      16,044,450  
  115,436       Merck & Co., Inc.      6,571,771  
  16,745       Novartis AG, Registered Shares      1,654,394  
  430,897       Pfizer, Inc.      14,447,976  
  4,804       Roche Holding AG      1,349,100  
     

 

 

 
        40,067,691  
     

 

 

 

 

Professional Services (0.2%):

  

  12,651       Equifax, Inc.      1,228,286  
     

 

 

 

 

Road & Rail (0.8%):

  

  43,330       Canadian National Railway Co.      2,502,307  
  17,134       Union Pacific Corp.      1,634,070  
     

 

 

 
        4,136,377  
     

 

 

 

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment (1.3%):

  

  24,160       NVIDIA Corp.^    $ 485,858  
  114,604       Texas Instruments, Inc.      5,903,252  
     

 

 

 
        6,389,110  
     

 

 

 

 

Software (0.9%):

  

  112,806       Oracle Corp.      4,546,082  
     

 

 

 

 

Specialty Retail (0.6%):

  

  9,960       Advance Auto Parts, Inc.^      1,586,529  
  17,238       Bed Bath & Beyond, Inc.*^      1,189,077  
     

 

 

 
        2,775,606  
     

 

 

 

 

Tobacco (4.3%):

  

  55,980       Altria Group, Inc.      2,737,982  
  22,485       Imperial Tobacco Group plc      1,085,352  
  188,238       Philip Morris International, Inc.      15,091,040  
  29,942       Reynolds American, Inc.      2,235,438  
     

 

 

 
        21,149,812  
     

 

 

 

 

Wireless Telecommunication Services (0.6%):

  

  798,355       Vodafone Group plc      2,910,757  
     

 

 

 

 

Total Common Stocks (Cost $347,675,179)

     489,567,746  
     

 

 

 

 

Convertible Preferred Stock (0.1%):

  

 

Aerospace & Defense (0.1%):

  

  7,000       United Technologies Corp., 0.52%      401,100  
     

 

 

 

 

Total Convertible Preferred Stock (Cost $403,403)

     401,100  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (6.2%):

  

$ 30,639,297       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      30,639,297  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $30,639,297)

     30,639,297  
     

 

 

 

 

Unaffiliated Investment Company (0.3%):

  

  1,375,843       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      1,375,843  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $1,375,843)

     1,375,843  
     

 

 

 

 

Total Investment Securities (Cost $380,093,722)(c) — 105.4%

     521,983,986  

 

Net other assets (liabilities) — (5.4)%

     (26,921,364
     

 

 

 

 

Net Assets — 100.0%

   $ 495,362,622  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $30,117,549.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

3


AZL MFS Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Canada

    0.5

France

    0.7

Ireland (Republic of)

    4.9

Netherlands

    0.6

Switzerland

    2.9

United Kingdom

    4.1

United States

    86.3
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

4


AZL MFS Value Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 380,093,722  
    

 

 

 

Investment securities, at value*

     $ 521,983,986  

Cash

       9,491  

Interest and dividends receivable

       809,771  

Foreign currency, at value (cost $7,765)

       7,764  

Receivable for capital shares issued

       15,221  

Receivable for investments sold

       4,319,769  

Reclaims receivable

       155,619  

Prepaid expenses

       828  
    

 

 

 

Total Assets

       527,302,450  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       628,056  

Payable for capital shares redeemed

       222,724  

Payable for collateral received on loaned securities

       30,639,297  

Manager fees payable

       295,802  

Administration fees payable

       13,830  

Distribution fees payable

       104,289  

Custodian fees payable

       9,612  

Administrative and compliance services fees payable

       544  

Trustee fees payable

       3,613  

Other accrued liabilities

       22,061  
    

 

 

 

Total Liabilities

       31,939,828  
    

 

 

 

Net Assets

     $ 495,362,622  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 352,465,330  

Accumulated net investment income/(loss)

       14,363,236  

Accumulated net realized gains/(losses) from investment transactions

       (13,355,272 )

Net unrealized appreciation/(depreciation) on investments

       141,889,328  
    

 

 

 

Net Assets

     $ 495,362,622  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       37,590,524  

Net Asset Value (offering and redemption price per share)

     $ 13.18  
    

 

 

 

 

* Includes securities on loan of $30,117,549.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 6,449,887  

Income from securities lending

       38,466  

Foreign withholding tax

       (96,920 )
    

 

 

 

Total Investment Income

       6,391,433  
    

 

 

 

Expenses:

    

Manager fees

       1,890,978  

Administration fees

       73,511  

Distribution fees

       638,378  

Custodian fees

       16,025  

Administrative and compliance services fees

       3,269  

Trustee fees

       13,100  

Professional fees

       14,299  

Shareholder reports

       11,899  

Other expenses

       5,418  
    

 

 

 

Total expenses before reductions

       2,666,877  

Less expenses voluntarily waived/reimbursed by the Manager

       (82,434 )
    

 

 

 

Net expenses

       2,584,443  
    

 

 

 

Net Investment Income/(Loss)

       3,806,990  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       20,022,306  

Change in net unrealized appreciation/depreciation on investments

       (17,728,341 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       2,293,965  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 6,100,955  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL MFS Value Fund
     

For the
Six Months Ended
June 30,

2015

  

For the
Year Ended
December 31,

2014

     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 3,806,990        $ 10,702,131  

Net realized gains/(losses) on investment transactions

       20,022,306          31,438,896  

Change in unrealized appreciation/depreciation on investments

       (17,728,341 )        9,252,894  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       6,100,955          51,393,921  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (7,189,322 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (7,189,322 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       2,076,709          8,875,243  

Proceeds from dividends reinvested

                7,189,322  

Value of shares redeemed

       (37,076,546 )        (85,707,375 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (34,999,837 )        (69,642,810 )
    

 

 

      

 

 

 

Change in net assets

       (28,898,882 )        (25,438,211 )

Net Assets:

         

Beginning of period

       524,261,504          549,699,715  
    

 

 

      

 

 

 

End of period

     $ 495,362,622        $ 524,261,504  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 14,363,236        $ 10,556,246  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       157,592          742,171  

Dividends reinvested

                577,456  

Shares redeemed

       (2,805,857 )        (6,947,248 )
    

 

 

      

 

 

 

Change in shares

       (2,648,265 )        (5,627,621 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL MFS Value Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

Six Months

Ended
June 30,

2015

  Year Ended
December 31,
2014
 

Year Ended
December 31,

2013

 

Year Ended
December 31,

2012

 

Year Ended
December 31,

2011

 

Year Ended
December 31,

2010

     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 13.03       $ 11.98       $ 8.98       $ 7.79       $ 8.24       $ 7.59  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.12         0.28         0.16         0.15         0.13         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.03         0.94         3.00         1.15         (0.50 )       0.67  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.15         1.22         3.16         1.30         (0.37 )       0.74  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.17 )       (0.16 )       (0.11 )       (0.08 )       (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.17 )       (0.16 )       (0.11 )       (0.08 )       (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 13.18       $ 13.03       $ 11.98       $ 8.98       $ 7.79       $ 8.24  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.15 %(b)       10.26 %       35.42 %       16.67 %       (4.45 )%       9.83 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 495,363       $ 524,262       $ 549,700       $ 423,789       $ 436,251       $ 484,333  

Net Investment Income/(Loss)(c)

       1.49 %       2.01 %       1.46 %       1.59 %       1.40 %       1.02 %

Expenses Before Reductions(c) (d)

       1.04 %       1.04 %       1.05 %       1.06 %       1.07 %       1.08 %

Expenses Net of Reductions(c)

       1.01 %       1.01 %       1.01 %       1.02 %       1.04 %       1.05 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.01 %       1.01 %       1.02 %       1.02 %       1.04 %       1.05 %

Portfolio Turnover Rate

       7 %(b)       12 %       17 %       95 %(f)       49 %       34 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

(f) Effective September 15, 2012, the Subadviser changed from Eaton Vance Management to Massachusetts Financial Services Company. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to a higher portfolio turnover rate for the year ended December 31, 2012 as compared to prior years.

 

See accompanying notes to the financial statements.

 

7


AZL MFS Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL MFS Value Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL MFS Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $41.7 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $3,796 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Massachusetts Financial Services Company (“MFS”), MFS provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL MFS Value Fund

         0.78 %          1.20 %

 

* The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.775%, the next $150 million at 0.75%, the next $250 million at 0.725% and above $500 million at 0.675%. The Manager voluntarily reduced the management fees as follows: the first $100 million at 0.75%, the next $400 million at 0.70% and above $500 million at 0.65%. The Manager reserves the right to stop reducing the manager fee at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

9


AZL MFS Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,775 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

 

10


AZL MFS Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Beverages

       $          $ 6,609,584          $ 6,609,584  

Food Products

         9,875,922            11,076,752            20,952,674  

Pharmaceuticals

         37,064,197            3,003,494            40,067,691  

Tobacco

         20,064,460            1,085,352            21,149,812  

Wireless Telecommunication Services

                    2,910,757            2,910,757  

All Other Common Stocks+

         397,877,228                       397,877,228  

Convertible Preferred Stock

         401,100                       401,100  

Securities Held as Collateral for Securities on Loan

                    30,639,297            30,639,297  

Unaffiliated Investment Company

         1,375,843                       1,375,843  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 466,658,750          $ 55,325,236          $ 521,983,986  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL MFS Value Fund

       $ 34,070,152          $ 64,597,520  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $382,691,544. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 144,908,129  

Unrealized depreciation

    (5,615,687
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 139,292,442   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

       

Expires

12/31/2017

    

Expires

12/31/2018

     Total

AZL MFS Value Fund

       $ 25,265,828          $ 5,491,128          $ 30,756,956  

 

11


AZL MFS Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

       

Ordinary

Income

    

Net

Long-Term
Capital Gains

    

Total

Distributions(a)

AZL MFS Value Fund

       $ 7,189,322          $          $ 7,189,322  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

       

Undistributed

Ordinary

Income

     Undistributed
Long-Term
Capital Gains
    

Accumulated

Capital and

Other Losses

    

Unrealized

Appreciation/

(Depreciation)(a)

    

Total

Accumulated

Earnings/

(Deficit)

AZL MFS Value Fund

       $ 10,562,811          $          $ (30,756,956 )        $ 156,990,482          $ 136,796,337  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (‘‘Commission’’) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Mid Cap Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 8

Statement of Operations

Page 8

Statements of Changes in Net Assets

Page 9

Financial Highlights

Page 10

Notes to the Financial Statements

Page 11

Other Information

Page 16

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Mid Cap Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Mid Cap Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Mid Cap Index Fund

       $ 1,000.00          $ 1,039.20          $ 2.88            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Mid Cap Index Fund

       $ 1,000.00          $ 1,021.97          $ 2.86            0.57 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      23.4 %

Information Technology

      16.1  

Industrials

      14.7  

Consumer Discretionary

      13.9  

Health Care

      9.0  

Materials

      6.6  

Energy

      4.5  

Utilities

      4.3  

Consumer Staples

      4.0  

Telecommunication Services

      0.2  
   

 

 

 

Total Common Stocks

      96.7  

Securities Held as Collateral for Securities on Loan

      15.6  

Money Market

      2.5  
   

 

 

 

Total Investment Securities

      114.8  

Net other assets (liabilities)

      (14.8 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (96.7%):

  

 

Aerospace & Defense (1.7%):

  

  26,628       BE Aerospace, Inc.    $ 1,461,878  
  7,728       Esterline Technologies Corp.*      736,788  
  12,199       Huntington Ingalls Industries, Inc.      1,373,485  
  13,231       KLX, Inc.*      583,884  
  14,906       Orbital Atk, Inc.      1,093,504  
  8,863       Teledyne Technologies, Inc.*      935,135  
  12,376       Triumph Group, Inc.      816,692  
     

 

 

 
        7,001,366  
     

 

 

 

 

Airlines (0.8%):

  

  32,515       Alaska Air Group, Inc.      2,094,941  
  66,001       JetBlue Airways Corp.*^      1,370,181  
     

 

 

 
        3,465,122  
     

 

 

 

 

Auto Components (0.5%):

  

  40,917       Dana Holding Corp.^      842,072  
  73,789       Gentex Corp.      1,211,615  
     

 

 

 
        2,053,687  
     

 

 

 

 

Automobiles (0.2%):

  

  11,467       Thor Industries, Inc.      645,363  
     

 

 

 

 

Banks (5.6%):

  

  38,255       Associated Banc-Corp.      775,429  
  21,552       BancorpSouth, Inc.^      555,180  
  10,940       Bank of Hawaii Corp.^      729,479  
  17,630       Bank of the Ozarks, Inc.^      806,573  
  18,641       Cathay General Bancorp      604,900  
  12,134       City National Corp.      1,096,792  
  20,953       Commerce Bancshares, Inc.^      979,972  
  13,787       Cullen/Frost Bankers, Inc.^      1,083,382  
  36,309       East West Bancorp, Inc.      1,627,369  
  58,566       First Horizon National Corp.^      917,729  
  88,366       First Niagara Financial Group, Inc.      834,175  
  41,583       FirstMerit Corp.      866,174  
  44,317       Fulton Financial Corp.      578,780  
  19,537       Hancock Holding Co.      623,426  
  14,494       International Bancshares Corp.      389,454  
  24,553       PacWest Bancorp      1,148,098  
  15,109       Prosperity Bancshares, Inc.      872,394  
  12,750       Signature Bank*      1,866,472  
  12,852       SVB Financial Group*      1,850,430  
  33,518       Synovus Financial Corp.      1,033,025  
  42,369       TCF Financial Corp.      703,749  
  16,945       Trustmark Corp.^      423,286  
  55,320       Umpqua Holdings Corp.^      995,207  
  55,405       Valley National Bancorp^      571,226  
  22,770       Webster Financial Corp.      900,554  
     

 

 

 
        22,833,255  
     

 

 

 

 

Beverages (0.1%):

  

  2,288       Boston Beer Co., Inc. (The), Class A*^      530,793  
     

 

 

 

 

Biotechnology (0.5%):

  

  11,593       United Therapeutics Corp.*      2,016,602  
     

 

 

 

 

Building Products (1.0%):

  

  18,794       A.O. Smith Corp.      1,352,792  
  39,986       Fortune Brands Home & Security, Inc.      1,832,159  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Building Products, continued

  

  10,383       Lennox International, Inc.    $ 1,118,145  
     

 

 

 
        4,303,096  
     

 

 

 

 

Capital Markets (2.1%):

  

  29,581       Eaton Vance Corp.^      1,157,505  
  23,966       Federated Investors, Inc., Class B^      802,621  
  37,111       Janus Capital Group, Inc.^      635,340  
  32,110       Raymond James Financial, Inc.      1,913,114  
  32,504       SEI Investments Co.      1,593,671  
  17,026       Stifel Financial Corp.*      983,081  
  21,139       Waddell & Reed Financial, Inc., Class A      1,000,086  
  28,184       WisdomTree Investments, Inc.^      619,062  
     

 

 

 
        8,704,480  
     

 

 

 

 

Chemicals (3.3%):

  

  28,139       Albemarle Corp.      1,555,243  
  15,621       Ashland, Inc.      1,904,200  
  15,919       Cabot Corp.      593,620  
  45,601       Chemours Co. (The)*      692,040  
  17,908       Cytec Industries, Inc.      1,083,971  
  8,712       Minerals Technologies, Inc.      593,549  
  2,653       NewMarket Corp.^      1,177,640  
  19,442       Olin Corp.^      523,962  
  22,371       PolyOne Corp.      876,272  
  33,415       RPM International, Inc.      1,636,333  
  11,216       Scotts Miracle-Gro Co. (The)      664,099  
  11,722       Sensient Technologies Corp.      801,081  
  18,749       Valspar Corp. (The)^      1,534,043  
     

 

 

 
        13,636,053  
     

 

 

 

 

Commercial Services & Supplies (1.9%):

  

  13,391       Clean Harbors, Inc.*^      719,632  
  28,561       Copart, Inc.*      1,013,344  
  29,352       Corrections Corp. of America      970,964  
  12,524       Deluxe Corp.      776,488  
  14,963       Herman Miller, Inc.      432,880  
  11,158       HNI Corp.^      570,732  
  7,897       MSA Safety, Inc.      383,083  
  52,321       R.R. Donnelley & Sons Co.      911,955  
  24,131       Rollins, Inc.      688,457  
  31,068       Waste Connections, Inc.      1,463,925  
     

 

 

 
        7,931,460  
     

 

 

 

 

Communications Equipment (0.9%):

  

  33,277       Arris Group, Inc.*      1,018,276  
  29,520       Ciena Corp.*^      699,034  
  9,047       InterDigital, Inc.^      514,684  
  58,728       JDS Uniphase Corp.*      680,070  
  9,823       Plantronics, Inc.      553,133  
  33,874       Polycom, Inc.*      387,519  
     

 

 

 
        3,852,716  
     

 

 

 

 

Construction & Engineering (0.5%):

  

  37,718       Aecom Technology Corp.*^      1,247,712  
  9,120       Granite Construction, Inc.      323,851  
  36,181       KBR, Inc.      704,806  
     

 

 

 
        2,276,369  
     

 

 

 
 

 

Continued

 

2


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Construction Materials (0.2%):

  

  12,600       Eagle Materials, Inc.    $ 961,758  
     

 

 

 

 

Consumer Finance (0.3%):

  

  106,769       SLM Corp.*      1,053,810  
     

 

 

 

 

Containers & Packaging (1.3%):

  

  15,702       AptarGroup, Inc.      1,001,317  
  24,440       Bemis Co., Inc.      1,100,044  
  8,517       Greif, Inc., Class A^      305,334  
  24,849       Packaging Corp. of America      1,552,815  
  10,473       Silgan Holdings, Inc.^      552,555  
  25,308       Sonoco Products Co.      1,084,701  
     

 

 

 
        5,596,766  
     

 

 

 

 

Distributors (0.6%):

  

  76,296       LKQ Corp.*      2,307,573  
     

 

 

 

 

Diversified Consumer Services (1.0%):

  

  24,193       Apollo Group, Inc., Class A*      311,606  
  14,384       DeVry, Inc.^      431,232  
  1,112       Graham Holdings Co., Class B      1,195,456  
  50,687       Service Corp. International      1,491,718  
  15,512       Sotheby’s^      701,763  
     

 

 

 
        4,131,775  
     

 

 

 

 

Diversified Financial Services (0.7%):

  

  20,937       CBOE Holdings, Inc.      1,198,015  
  28,198       MSCI, Inc., Class A      1,735,587  
     

 

 

 
        2,933,602  
     

 

 

 

 

Electric Utilities (1.5%):

  

  15,170       Cleco Corp.      816,905  
  38,759       Great Plains Energy, Inc.      936,417  
  26,943       Hawaiian Electric Industries, Inc.      801,015  
  12,628       IDACORP, Inc.^      708,936  
  50,057       OGE Energy Corp.      1,430,129  
  19,969       PNM Resources, Inc.      491,237  
  33,168       Westar Energy, Inc.      1,135,009  
     

 

 

 
        6,319,648  
     

 

 

 

 

Electrical Equipment (1.0%):

  

  10,894       Acuity Brands, Inc.      1,960,702  
  13,351       Hubbell, Inc., Class B      1,445,646  
  11,239       Regal-Beloit Corp.      815,839  
     

 

 

 
        4,222,187  
     

 

 

 

 

Electronic Equipment, Instruments & Components (3.5%):

  

  23,999       Arrow Electronics, Inc.*      1,339,144  
  34,067       Avnet, Inc.      1,400,494  
  10,698       Belden CDT, Inc.      868,999  
  21,854       Cognex Corp.      1,051,177  
  10,424       FEI Co.      864,462  
  39,192       Ingram Micro, Inc., Class A*      980,976  
  8,977       IPG Photonics Corp.*^      764,616  
  48,599       Jabil Circuit, Inc.      1,034,673  
  42,473       Keysight Technologies, Inc.*      1,324,733  
  21,348       Knowles Corp.*^      386,399  
  25,393       National Instruments Corp.      748,078  
  9,216       Tech Data Corp.*      530,473  
  65,077       Trimble Navigation, Ltd.*      1,526,706  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Electronic Equipment, Instruments & Components, continued

  

  34,052       Vishay Intertechnology, Inc.^    $ 397,727  
  12,974       Zebra Technologies Corp., Class A*      1,440,763  
     

 

 

 
        14,659,420  
     

 

 

 

 

Energy Equipment & Services (2.1%):

  

  15,080       Atwood Oceanics, Inc.^      398,715  
  19,296       Dresser-Rand Group, Inc.*      1,643,634  
  9,769       Dril-Quip, Inc.*      735,117  
  24,706       Helix Energy Solutions Group, Inc.*      312,037  
  73,131       Nabors Industries, Ltd.      1,055,280  
  24,767       Oceaneering International, Inc.      1,153,895  
  12,941       Oil States International, Inc.*      481,793  
  37,092       Patterson-UTI Energy, Inc.      697,886  
  31,293       Rowan Cos. plc, Class A      660,595  
  37,736       Superior Energy Services, Inc.      793,965  
  11,796       Tidewater, Inc.^      268,123  
  11,757       Unit Corp.*^      318,850  
     

 

 

 
        8,519,890  
     

 

 

 

 

Food & Staples Retailing (0.5%):

  

  9,710       Casey’s General Stores, Inc.      929,635  
  51,873       Supervalu, Inc.*      419,653  
  12,560       United Natural Foods, Inc.*^      799,821  
     

 

 

 
        2,149,109  
     

 

 

 

 

Food Products (2.1%):

  

  23,667       Dean Foods Co.      382,695  
  46,368       Flowers Foods, Inc.^      980,683  
  25,734       Hain Celestial Group, Inc.*^      1,694,841  
  17,946       Ingredion, Inc.      1,432,270  
  4,872       Lancaster Colony Corp.      442,621  
  13,756       Post Holdings, Inc.*^      741,861  
  5,160       Tootsie Roll Industries, Inc.^      166,720  
  10,754       TreeHouse Foods, Inc.*      871,397  
  43,923       WhiteWave Foods Co., Class A*      2,146,957  
     

 

 

 
        8,860,045  
     

 

 

 

 

Gas Utilities (1.5%):

  

  25,338       Atmos Energy Corp.      1,299,333  
  21,174       National Fuel Gas Co.^      1,246,937  
  13,192       ONE Gas, Inc.^      561,452  
  44,071       Questar Corp.      921,525  
  43,266       UGI Corp.      1,490,513  
  12,473       WGL Holdings, Inc.      677,159  
     

 

 

 
        6,196,919  
     

 

 

 

 

Health Care Equipment & Supplies (3.6%):

  

  18,229       Align Technology, Inc.*      1,143,141  
  12,188       Cooper Cos., Inc. (The)      2,169,098  
  11,672       Halyard Health, Inc.*^      472,716  
  14,212       Hill-Rom Holdings, Inc.      772,138  
  61,311       Hologic, Inc.*      2,333,496  
  23,475       IDEXX Laboratories, Inc.*^      1,505,687  
  35,346       ResMed, Inc.^      1,992,454  
  13,935       Sirona Dental Systems, Inc.*      1,399,353  
  14,980       STERIS Corp.^      965,311  
  10,417       Teleflex, Inc.^      1,410,983  
 

 

Continued

 

3


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Equipment & Supplies, continued

  

  13,595       Thoratec Corp.*    $ 605,929  
     

 

 

 
        14,770,306  
     

 

 

 

 

Health Care Providers & Services (3.4%):

  

  29,811       Centene Corp.*      2,396,805  
  29,605       Community Health Systems, Inc.*      1,864,227  
  19,348       Health Net, Inc.*      1,240,594  
  22,208       HMS Holdings Corp.*^      381,311  
  11,114       LifePoint Hospitals, Inc.*      966,362  
  23,459       MEDNAX, Inc.*      1,738,546  
  10,053       Molina Healthcare, Inc.*      706,726  
  24,301       Omnicare, Inc.      2,290,370  
  15,836       Owens & Minor, Inc.^      538,424  
  20,608       VCA Antech, Inc.*      1,121,178  
  11,047       WellCare Health Plans, Inc.*      937,117  
     

 

 

 
        14,181,660  
     

 

 

 

 

Health Care Technology (0.1%):

  

  42,646       Allscripts Healthcare Solutions, Inc.*      583,397  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.8%):

  

  15,334       Brinker International, Inc.^      884,005  
  4,765       Buffalo Wild Wings, Inc.*      746,628  
  13,844       Domino’s Pizza, Inc.      1,569,909  
  24,138       Dunkin’ Brands Group, Inc.^      1,327,590  
  7,011       International Speedway Corp., Class A      257,093  
  6,363       Panera Bread Co., Class A*^      1,112,062  
  11,400       The Cheesecake Factory, Inc.^      621,699  
  68,317       Wendy’s Co. (The)      770,616  
     

 

 

 
        7,289,602  
     

 

 

 

 

Household Durables (1.8%):

  

  44,918       Jarden Corp.*      2,324,507  
  22,834       KB Home^      379,044  
  9,803       M.D.C. Holdings, Inc.^      293,796  
  969       NVR, Inc.*      1,298,460  
  15,307       Tempur-Pedic International, Inc.*      1,008,731  
  40,195       Toll Brothers, Inc.*      1,535,047  
  12,502       Tupperware Brands Corp.^      806,879  
     

 

 

 
        7,646,464  
     

 

 

 

 

Household Products (1.1%):

  

  32,826       Church & Dwight Co., Inc.      2,663,173  
  15,598       Energizer Holdings, Inc.      2,051,917  
     

 

 

 
        4,715,090  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):

  

  20,911       Talen Energy Corp.*      358,833  
     

 

 

 

 

Industrial Conglomerates (0.4%):

  

  16,387       Carlisle Cos., Inc.      1,640,666  
     

 

 

 

 

Insurance (4.9%):

  

  4,029       Alleghany Corp.*      1,888,634  
  18,522       American Financial Group, Inc.      1,204,671  
  42,125       Arthur J. Gallagher & Co.      1,992,512  
  15,455       Aspen Insurance Holdings, Ltd.      740,295  
  28,986       Brown & Brown, Inc.      952,480  
  49,396       CNO Financial Group, Inc.^      906,417  
  11,144       Everest Re Group, Ltd.      2,028,319  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  27,188       First American Financial Corp.^    $ 1,011,665  
  11,091       Hanover Insurance Group, Inc. (The)      821,067  
  24,004       HCC Insurance Holdings, Inc.      1,844,467  
  12,389       Kemper Corp.^      477,596  
  7,109       Mercury General Corp.^      395,616  
  60,504       Old Republic International Corp.      945,678  
  12,957       Primerica, Inc.      592,005  
  16,604       Reinsurance Group of America, Inc.      1,575,221  
  11,551       RenaissanceRe Holdings, Ltd.      1,172,542  
  10,587       StanCorp Financial Group, Inc.      800,483  
  25,050       W.R. Berkley Corp.      1,300,847  
     

 

 

 
        20,650,515  
     

 

 

 

 

Internet & Catalog Retail (0.1%):

  

  8,160       HSN, Inc.      572,750  
     

 

 

 

 

Internet Software & Services (0.3%):

  

  29,732       Rackspace Hosting, Inc.*      1,105,733  
     

 

 

 

 

IT Services (3.3%):

  

  19,608       Acxiom Corp.*      344,709  
  30,067       Broadridge Financial Solutions, Inc.      1,503,651  
  24,789       Convergys Corp.      631,872  
  22,627       CoreLogic, Inc.*      898,066  
  7,088       DST Systems, Inc.      892,946  
  20,825       Gartner, Inc.*      1,786,368  
  16,669       Global Payments, Inc.      1,724,407  
  20,511       Jack Henry & Associates, Inc.      1,327,062  
  15,674       Leidos Holdings, Inc.      632,759  
  16,527       Maximus, Inc.      1,086,320  
  12,323       NeuStar, Inc., Class A*      359,955  
  9,929       Science Applications International Corp.      524,748  
  28,667       VeriFone Systems, Inc.*      973,531  
  9,694       Wex, Inc.*      1,104,825  
     

 

 

 
        13,791,219  
     

 

 

 

 

Leisure Products (1.0%):

  

  23,251       Brunswick Corp.      1,182,546  
  15,336       Polaris Industries, Inc.^      2,271,415  
  15,956       Vista Outdoor, Inc.*      716,424  
     

 

 

 
        4,170,385  
     

 

 

 

 

Life Sciences Tools & Services (1.2%):

  

  5,189       Bio-Rad Laboratories, Inc., Class A*      781,515  
  9,319       Bio-Techne Corp.      917,642  
  11,879       Charles River Laboratories International, Inc.*      835,569  
  7,015       Mettler-Toledo International, Inc.*      2,395,342  
     

 

 

 
        4,930,068  
     

 

 

 

 

Machinery (4.3%):

  

  20,098       AGCO Corp.^      1,141,164  
  12,581       CLARCOR, Inc.      783,041  
  12,220       Crane Co.      717,681  
  31,713       Donaldson Co., Inc.^      1,135,325  
  14,718       Graco, Inc.      1,045,420  
  19,550       IDEX Corp.      1,536,240  
  22,417       ITT Corp.      937,927  
  19,884       Kennametal, Inc.      678,442  
  18,959       Lincoln Electric Holdings, Inc.      1,154,414  
 

 

Continued

 

4


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  

  14,190       Nordson Corp.    $ 1,105,259  
  19,617       Oshkosh Corp.^      831,368  
  10,290       SPX Corp.      744,893  
  26,361       Terex Corp.      612,893  
  18,274       Timken Co.      668,280  
  38,863       Trinity Industries, Inc.^      1,027,149  
  5,920       Valmont Industries, Inc.^      703,710  
  24,233       Wabtec Corp.      2,283,719  
  14,582       Woodward, Inc.      801,864  
     

 

 

 
        17,908,789  
     

 

 

 

 

Marine (0.3%):

  

  13,994       Kirby Corp.*      1,072,780  
     

 

 

 

 

Media (1.7%):

  

  14,867       AMC Networks, Inc., Class A*      1,216,863  
  26,356       Cinemark Holdings, Inc.      1,058,721  
  18,301       DreamWorks Animation SKG, Inc., Class A*^      482,780  
  11,635       John Wiley & Sons, Inc., Class A      632,595  
  20,294       Lamar Advertising Co., Class A      1,166,499  
  36,600       Live Nation, Inc.*      1,006,134  
  9,171       Meredith Corp.^      478,268  
  32,901       The New York Times Co., Class A^      449,099  
  27,470       Time, Inc.      632,085  
     

 

 

 
        7,123,044  
     

 

 

 

 

Metals & Mining (1.5%):

  

  12,643       Carpenter Technology Corp.^      489,031  
  29,075       Commercial Metals Co.      467,526  
  8,444       Compass Minerals International, Inc.      693,590  
  18,633       Reliance Steel & Aluminum Co.      1,126,924  
  16,352       Royal Gold, Inc.      1,007,120  
  60,649       Steel Dynamics, Inc.      1,256,344  
  9,431       TimkenSteel Corp.      254,543  
  36,539       United States Steel Corp.^      753,434  
  12,132       Worthington Industries, Inc.      364,688  
     

 

 

 
        6,413,200  
     

 

 

 

 

Multiline Retail (0.3%):

  

  13,527       Big Lots, Inc.^      608,580  
  76,607       J.C. Penney Co., Inc.*      648,861  
     

 

 

 
        1,257,441  
     

 

 

 

 

Multi-Utilities (0.9%):

  

  28,337       Alliant Energy Corp.      1,635,611  
  11,243       Black Hills Corp.      490,757  
  48,852       MDU Resources Group, Inc.      954,080  
  20,725       Vectren Corp.      797,498  
     

 

 

 
        3,877,946  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.4%):

  

  77,453       California Resources Corp.      467,816  
  89,446       Denbury Resources, Inc.      568,877  
  19,761       Energen Corp.      1,349,676  
  26,752       Gulfport Energy Corp.*      1,076,768  
  49,159       HollyFrontier Corp.^      2,098,597  
  40,667       QEP Resources, Inc.      752,746  
  18,986       Rosetta Resources, Inc.*^      439,336  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

  16,922       SM Energy Co.    $ 780,443  
  17,729       Western Refining, Inc.      773,339  
  18,106       World Fuel Services Corp.      868,183  
  51,353       WPX Energy, Inc.*^      630,615  
     

 

 

 
        9,806,396  
     

 

 

 

 

Paper & Forest Products (0.3%):

  

  16,055       Domtar Corp.      664,677  
  35,729       Louisiana-Pacific Corp.*^      608,465  
     

 

 

 
        1,273,142  
     

 

 

 

 

Personal Products (0.2%):

  

  109,126       Avon Products, Inc.^      683,129  
     

 

 

 

 

Pharmaceuticals (0.2%):

  

  19,805       Akorn, Inc.*^      864,686  
     

 

 

 

 

Professional Services (1.2%):

  

  8,393       CEB, Inc.      730,695  
  10,434       FTI Consulting, Inc.*      430,298  
  19,620       Manpower, Inc.      1,753,636  
  17,388       Towers Watson & Co., Class A      2,187,410  
     

 

 

 
        5,102,039  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (8.3%):

  

  18,069       Alexandria Real Estate Equities, Inc.      1,580,315  
  28,170       American Campus Communities, Inc.      1,061,727  
  51,049       BioMed Realty Trust, Inc.      987,288  
  21,782       Camden Property Trust      1,617,967  
  30,064       Communications Sales & Leasing, Inc.^      743,182  
  23,712       Corporate Office Properties Trust      558,180  
  34,372       Douglas Emmett, Inc.      925,982  
  86,544       Duke Realty Corp.      1,607,122  
  20,132       Equity One, Inc.      469,881  
  27,863       Extra Space Storage, Inc.      1,817,225  
  17,227       Federal Realty Investment Trust      2,206,605  
  23,590       Highwoods Properties, Inc.^      942,421  
  14,527       Home Properties, Inc.      1,061,197  
  35,691       Hospitality Properties Trust      1,028,615  
  22,085       Kilroy Realty Corp.      1,483,008  
  28,333       LaSalle Hotel Properties^      1,004,688  
  37,490       Liberty Property Trust      1,207,928  
  21,014       Mack-Cali Realty Corp.      387,288  
  18,899       Mid-America Apartment Communities, Inc.      1,376,036  
  33,612       National Retail Properties, Inc.^      1,176,756  
  40,331       Omega Healthcare Investors, Inc.      1,384,563  
  10,203       Potlatch Corp.      360,370  
  31,850       Rayonier, Inc.      813,768  
  23,658       Regency Centers Corp.      1,395,349  
  58,915       Senior Housing Properties Trust      1,033,958  
  24,038       Tanger Factory Outlet Centers, Inc.      762,005  
  15,204       Taubman Centers, Inc.      1,056,678  
  64,958       UDR, Inc.      2,080,605  
  23,142       Urban Edge Properties      481,122  
  28,592       Weingarten Realty Investors      934,672  
  46,426       WP Glimcher, Inc.      628,144  
     

 

 

 
        34,174,645  
     

 

 

 
 

 

Continued

 

5


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Management & Development (0.6%):

  

  11,396       Alexander & Baldwin, Inc.    $ 449,002  
  11,252       Jones Lang LaSalle, Inc.      1,924,092  
     

 

 

 
        2,373,094  
     

 

 

 

 

Road & Rail (0.9%):

  

  14,455       Con-way, Inc.      554,638  
  12,872       Genesee & Wyoming, Inc., Class A*      980,589  
  11,139       Landstar System, Inc.      744,865  
  16,994       Old Dominion Freight Line, Inc.*      1,165,873  
  11,178       Werner Enterprises, Inc.^      293,423  
     

 

 

 
        3,739,388  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.1%):

  

  158,072       Advanced Micro Devices, Inc.*^      379,373  
  104,686       Atmel Corp.      1,031,681  
  27,377       Cree, Inc.*^      712,623  
  83,249       Cypress Semiconductor Corp.      979,008  
  29,204       Fairchild Semiconductor International, Inc.*      507,566  
  37,210       Integrated Device Technology, Inc.*      807,457  
  33,065       Intersil Corp., Class A      413,643  
  9,963       Silicon Laboratories, Inc.*^      538,102  
  73,117       SunEdison, Inc.*^      2,186,929  
  53,811       Teradyne, Inc.      1,038,014  
     

 

 

 
        8,594,396  
     

 

 

 

 

Software (5.3%):

  

  29,283       ACI Worldwide, Inc.*      719,483  
  11,366       Advent Software, Inc.^      502,491  
  22,517       Ansys, Inc.*      2,054,452  
  73,408       Cadence Design Systems, Inc.*^      1,443,201  
  40,210       CDK Global, Inc.      2,170,537  
  10,664       CommVault Systems, Inc.*      452,260  
  9,743       FactSet Research Systems, Inc.      1,583,335  
  7,789       Fair Isaac Corp.      707,085  
  35,725       Fortinet, Inc.*      1,476,514  
  26,264       Informatica Corp.*      1,273,016  
  18,506       Manhattan Associates, Inc.*      1,103,883  
  24,786       Mentor Graphics Corp.      655,094  
  28,842       PTC, Inc.*      1,183,099  
  22,177       Rovi Corp.*^      353,723  
  16,669       Solarwinds, Inc.*      768,941  
  16,835       Solera Holdings, Inc.      750,168  
  38,899       Synopsys, Inc.*      1,970,234  
  8,446       Tyler Technologies, Inc.*      1,092,743  
  7,169       Ultimate Software Group, Inc. (The)*      1,178,153  
     

 

 

 
        21,438,412  
     

 

 

 

 

Specialty Retail (4.3%):

  

  16,201       Aaron’s, Inc.      586,638  
  17,450       Abercrombie & Fitch Co., Class A^      375,350  
  18,355       Advance Auto Parts, Inc.^      2,923,769  
  44,114       American Eagle Outfitters, Inc.^      759,643  
  11,536       ANN, Inc.*      557,073  
  33,114       Ascena Retail Group, Inc.*      551,514  
  12,030       Cabela’s, Inc., Class A*^      601,259  
  35,956       Chico’s FAS, Inc.      597,948  
  19,324       CST Brands, Inc.      754,795  
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Specialty Retail, continued

  

  24,363       Dick’s Sporting Goods, Inc.    $ 1,261,273  
  35,078       Foot Locker, Inc.^      2,350,577  
  16,120       Guess?, Inc.      309,020  
  10,672       Murphy USA, Inc.*      595,711  
  123,636       Office Depot, Inc.*      1,070,688  
  13,301       Rent-A-Center, Inc.^      377,083  
  20,098       Signet Jewelers, Ltd.      2,577,368  
  21,377       Williams-Sonoma, Inc.      1,758,686  
     

 

 

 
        18,008,395  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.7%):

  

  26,359       3D Systems Corp.*^      514,528  
  16,265       Diebold, Inc.^      569,275  
  15,375       Lexmark International, Inc., Class A^      679,575  
  42,514       NCR Corp.*      1,279,671  
     

 

 

 
        3,043,049  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.9%):

  

  13,178       Carter’s, Inc.      1,400,822  
  8,352       Deckers Outdoor Corp.*      601,093  
  32,019       Kate Spade & Co.*      689,689  
  10,238       Skechers U.S.A., Inc., Class A*      1,124,030  
     

 

 

 
        3,815,634  
     

 

 

 

 

Thrifts & Mortgage Finance (0.6%):

  

  111,432       New York Community Bancorp, Inc.^      2,048,120  
  23,786       Washington Federal, Inc.^      555,403  
     

 

 

 
        2,603,523  
     

 

 

 

 

Trading Companies & Distributors (0.7%):

  

  11,011       GATX Corp.^      585,235  
  12,689       MSC Industrial Direct Co., Inc., Class A^      885,311  
  26,883       NOW, Inc.*^      535,241  
  6,887       Watsco, Inc.      852,197  
     

 

 

 
        2,857,984  
     

 

 

 

 

Water Utilities (0.3%):

  

  44,412       Aqua America, Inc.      1,087,650  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  

  24,660       Telephone & Data Systems, Inc.      725,004  
     

 

 

 

 

Total Common Stocks (Cost $277,897,177)

     401,413,318  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (15.6%):

  

$ 64,666,340       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     64,666,340  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $64,666,340)

     64,666,340  
     

 

 

 

 

Unaffiliated Investment Company (2.5%):

  

  10,217,512       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      10,217,512  
     

 

 

 

 

Total Unaffiliated Investment Company
(Cost $10,217,512)

     10,217,512  
     

 

 

 

 

Total Investment Securities
(Cost $352,781,029)(c) — 114.8%

     476,297,170  

 

Net other assets (liabilities) — (14.8)%

     (61,242,123
     

 

 

 

 

Net Assets — 100.0%

   $ 415,055,047  
     

 

 

 
 

 

Continued

 

6


AZL Mid Cap Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $63,448,791.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

Futures Contracts

Cash of $522,600 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

S&P 400 Index E-mini September Futures

     Long         9/18/15         92       $ 13,782,520        $(219,578)   

 

See accompanying notes to the financial statements.

 

7


AZL Mid Cap Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 352,781,029  
    

 

 

 

Investment securities, at value*

     $ 476,297,170  

Cash

       982,500  

Segregated cash for collateral

       522,600  

Interest and dividends receivable

       390,904  

Receivable for investments sold

       5,171,071  

Receivable for variation margin on futures contracts

       13,719  

Prepaid expenses

       857  
    

 

 

 

Total Assets

       483,378,821  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       3,410,207  

Payable for capital shares redeemed

       26,761  

Payable for collateral received on loaned securities

       64,666,340  

Manager fees payable

       86,846  

Administration fees payable

       10,063  

Distribution fees payable

       86,846  

Custodian fees payable

       2,640  

Administrative and compliance services fees payable

       61  

Trustee fees payable

       797  

Other accrued liabilities

       33,213  
    

 

 

 

Total Liabilities

       68,323,774  
    

 

 

 

Net Assets

     $ 415,055,047  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 211,831,308  

Accumulated net investment income/(loss)

       7,544,705  

Accumulated net realized gains/(losses) from investment transactions

       72,382,471  

Net unrealized appreciation/(depreciation) on investments

       123,296,563  
    

 

 

 

Net Assets

     $ 415,055,047  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       17,004,936  

Net Asset Value (offering and redemption price per share)

     $ 24.41  
    

 

 

 

 

* Includes securities on loan of $63,448,791.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 4,290,156  

Income from securities lending

       143,660  
    

 

 

 

Total Investment Income

       4,433,816  
    

 

 

 

Expenses:

    

Manager fees

       635,021  

Administration fees

       70,820  

Distribution fees

       635,021  

Custodian fees

       10,779  

Administrative and compliance services fees

       3,098  

Trustee fees

       12,068  

Professional fees

       11,408  

Shareholder reports

       7,730  

Other expenses

       63,212  
    

 

 

 

Total expenses

       1,449,157  
    

 

 

 

Net Investment Income/(Loss)

       2,984,659  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       47,569,413  

Net realized gains/(losses) on futures contracts

       2,018,790  

Change in net unrealized appreciation/depreciation on investments

       (28,215,590 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       21,372,613  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 24,357,272  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

8


Statements of Changes in Net Assets

 

     AZL Mid Cap Index Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,984,659        $ 4,585,324  

Net realized gains/(losses) on investment transactions

       49,588,203          24,269,595  

Change in unrealized appreciation/depreciation on investments

       (28,215,590 )        17,590,975  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       24,357,272          46,445,894  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (3,512,445 )

From net realized gains

                (18,594,993 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (22,107,438 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       26,845,666          54,240,054  

Proceeds from dividends reinvested

                22,107,438  

Value of shares redeemed

       (190,587,468 )        (39,240,020 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (163,741,802 )        37,107,472  
    

 

 

      

 

 

 

Change in net assets

       (139,384,530 )        61,445,928  

Net Assets:

         

Beginning of period

       554,439,577          492,993,649  
    

 

 

      

 

 

 

End of period

     $ 415,055,047        $ 554,439,577  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 7,544,705        $ 4,560,046  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       1,094,516          2,379,889  

Dividends reinvested

                964,127  

Shares redeemed

       (7,691,670 )        (1,718,067 )
    

 

 

      

 

 

 

Change in shares

       (6,597,154 )        1,625,949  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

9


AZL Mid Cap Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 23.49       $ 22.43       $ 17.27       $ 15.10       $ 16.17       $ 13.09  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.25         0.19         0.14         0.14         0.07         0.05  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.67         1.85         5.47         2.45         (0.47 )       3.16  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.92         2.04         5.61         2.59         (0.40 )       3.21  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.16 )       (0.14 )       (0.07 )       (0.06 )       (0.04 )

Net Realized Gains

               (0.82 )       (0.31 )       (0.35 )       (0.61 )       (0.09 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.98 )       (0.45 )       (0.42 )       (0.67 )       (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 24.41       $ 23.49       $ 22.43       $ 17.27       $ 15.10       $ 16.17  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.92 %(b)       9.21 %       32.71 %       17.22 %       (2.32 )%       24.67 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 415,055       $ 554,440       $ 492,994       $ 311,979       $ 209,586       $ 154,995  

Net Investment Income/(Loss)(c)

       1.17 %       0.88 %       0.86 %       1.04 %       0.66 %       0.71 %

Expenses Before Reductions(c) (d)

       0.57 %       0.57 %       0.58 %       0.60 %       0.63 %       0.61 %

Expenses Net of Reductions(c)

       0.57 %       0.57 %       0.58 %       0.60 %       0.61 %       0.60 %

Portfolio Turnover Rate(e)

       13 %(b)       13 %       12 %       9 %       15 %       34 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

10


AZL Mid Cap Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

11


AZL Mid Cap Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $65.0 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $14,178 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $13.8 million as of June 30, 2015. The monthly average notional amount for these contracts was $19.1 million for the period ended June 30, 2015.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 

Equity Risk Exposure

       
Equity Contracts   Receivable for variation margin on futures contracts   $      Payable for variation margin on futures contracts   $ 219,578   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
     Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in Income
 

Equity Risk Exposure

       
Equity Contracts   Net realized gains/(losses) on futures contracts / Change in unrealized appreciation/ depreciation on investments    $ 2,018,790       $ (838,459

 

12


AZL Mid Cap Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Mid Cap Index Fund

         0.25 %          0.71 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,971 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

13


AZL Mid Cap Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy. Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks+

       $ 401,413,318          $          $ 401,413,318  

Securities Held as Collateral for Securities on Loan

                    64,666,340            64,666,340  

Unaffiliated Investment Company

         10,217,512                       10,217,512  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         411,630,830            64,666,340            476,297,170  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         (219,578 )                     (219,578 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 411,411,252          $ 64,666,340          $ 476,077,592  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 63,780,907          $ 216,014,149  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

 

14


AZL Mid Cap Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $356,147,305. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 132,935,599  

Unrealized depreciation

    (12,785,734
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 120,149,865   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

7. Federal Tax Information

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL Mid Cap Index Fund

       $ 6,714,812          $ 15,392,626          $ 22,107,438  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL Mid Cap Index Fund

       $ 6,630,030          $ 23,867,117          $          $ 148,369,320          $ 178,866,467  

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

15


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

16


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Money Market Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 11

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Money Market Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Money Market Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Money Market Fund

       $ 1,000.00          $ 1,000.00          $ 1.14            0.23 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Money Market Fund

       $ 1,000.00          $ 1,023.65          $ 1.15            0.23 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Commercial Paper

      58.9 %

Certificates of Deposit

      24.3  

Yankee Dollars

      7.0  

U.S. Government Agency Mortgages

      6.2  

U.S. Treasury Obligations

      2.4  

Corporate Bonds

      1.2  
   

 

 

 

Total Investment Securities

      100.0  

Net other assets (liabilities)

      ^
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%.

 

1


AZL Money Market Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Principal
Amount
           Fair Value  

 

Certificates of Deposit (24.3%):

  

 

Banks (23.5%)

  

$ 8,000,000      Bank of Montreal Chicago, 0.26%, 7/16/15(a)    $ 8,000,000  
  8,000,000      Bank of Nova Scotia,
0.27%, 11/9/15(a)
     8,000,000  
  5,000,000      Bank of Nova Scotia,
0.73%, 9/11/15(a)
     5,004,042  
  19,000,000      Bank of Tokyo-Mitsubishi UFJ, NY, 0.33%, 9/11/15(a)      19,000,000  
  4,000,000      Bank of Tokyo-Mitsubishi UFJ, NY, 0.33%, 10/28/15(a)      4,000,000  
  14,000,000      Citibank NA, 0.29%, 7/6/15      14,000,000  
  10,000,000      Credit Agricole CIB, NY, 0.29%, 9/3/15      10,000,000  
  8,000,000      National Bank of Canada, NY, 0.34%, 12/24/15(a)      8,000,000  
  5,000,000      National Bank of Canada, NY, 0.30%, 10/20/15(a)      5,000,000  
  8,000,000      Norinchukin Bank, NY, 0.34%, 10/20/15(a)      8,000,000  
  8,000,000      Rabobank Nederland NV, NY, 0.30%, 11/2/15      8,000,000  
  11,000,000      Rabobank Nederland NV, NY, 0.33%, 9/16/15(a)      11,000,000  
  8,000,000      Skandinav Enskilda Bank, NY, 0.26%, 7/23/15      8,000,000  
  3,000,000      State Street Bank & Trust Co., 0.28%, 10/23/15(a)      3,000,000  
  10,000,000      State Street Bank & Trust Co., 0.28%, 10/1/15(a)      10,000,000  
  7,000,000      Sumitomo Mitsui Bank, NY, 0.30%, 7/20/15      7,000,000  
  12,000,000      Toronto Dominion Bank, NY, 0.27%, 10/6/15(a)      12,000,000  
  8,000,000      Toronto Dominion Bank, NY, 0.30%, 7/15/15      8,000,000  
     

 

 

 
        156,004,042  
     

 

 

 

 

Diversified Financial Services (0.8%)

  

  5,000,000      Credit Industriel Et Commercial, NY, 0.30%, 8/3/15      5,000,000  
     

 

 

 

 

Total Certificates of Deposit (Cost $161,004,042)

     161,004,042  
     

 

 

 

 

Commercial Paper (58.9%):

  

 

Banks (20.2%)

  

  15,000,000      BNP Paribas Fortis SA, NY, 0.03%, 7/1/15(b)      15,000,000  
  12,000,000      BNP Paribas, NY, 0.30%, 9/15/15(b)      11,992,400  
  10,000,000      Commonwealth Bank of Australia, 0.30%, 3/29/16(a)(c)      9,999,300  
  15,000,000      Credit Suisse, NY, 0.27%, 9/1/15(b)      14,993,025  
  8,000,000      DNB Bank ASA, 0.32%, 8/24/15(b)(c)      7,996,220  
  7,000,000      HSBC Bank PLC,
0.28%, 10/23/15(a)(c)
     7,000,000  
  9,000,000      Macquarie Bank Ltd., 0.41%, 10/26/15(b)(c)      8,988,008  
  20,000,000      NRW.Bank, 0.10%, 7/7/15(b)(c)      19,999,667  
  18,000,000      Skandinav Enskilda Bank, NY, 0.30%, 8/25/15(b)(c)      17,991,750  
  10,000,000      Sumitomo Mitsui Bank, NY, 0.12%, 7/6/15(b)(c)      9,999,833  
  10,000,000      Westpac Banking Corp., NY, 0.30%, 4/4/16(a)(c)      10,000,000  
     

 

 

 
        133,960,203  
     

 

 

 

 

Diversified Financial Services (38.7%)

  

  14,000,000      Antalis US Funding Corp., 0.14%, 7/6/15(b)(c)      13,999,728  
  10,000,000      Antalis US Funding Corp., 0.14%, 7/2/15(b)(c)      9,999,961  
  5,000,000      Bedford Row Funding Corp., 0.31%, 11/20/15(a)(c)      5,000,000  
  20,000,000      Caisse Centrale Desjardins du Quebec, 0.13%, 7/2/15(b)(c)      19,999,927  
  10,000,000      Chariot Funding LLC, 0.33%, 11/23/15(b)(c)      9,986,708  
  3,000,000      Chariot Funding LLC,
0.26%, 8/13/15(b)(c)
     2,999,068  
  10,300,000      Chariot Funding LLC,
0.33%, 11/6/15(b)(c)
     10,287,915  
Principal
Amount
           Fair Value  

 

Commercial Paper, continued

  

 

Diversified Financial Services, continued

  

$ 10,000,000      Charta LLC, 0.30%, 8/14/15(b)    $ 9,996,333  
  5,000,000      Charta LLC, 0.34%, 11/24/15(b)      4,993,106  
  10,000,000      CIESCO LLC, 0.34%, 12/1/15(b)      9,985,550  
  20,000,000      Collateralized CP Co. LLC, 0.32%, 10/26/15(b)      19,979,199  
  5,400,000      CRC Funding LLC,
0.34%, 11/2/15(b)
     5,393,676  
  19,000,000      General Electric Capital Corp., 0.24%, 10/19/15(a)(b)      19,000,000  
  10,000,000      Kells Funding LLC, 0.27%,
9/22/15(a)(c)
     9,999,754  
  15,000,000      LMA Americas LLC,
0.11%, 7/1/15(b)(c)
     15,000,000  
  7,412,000      Mont Blanc Capital Corp., 0.29%, 9/15/15(b)(c)      7,407,462  
  15,000,000      Nederlandse Waterschapsbank NV, 0.26%, 10/1/15(a)(c)      15,000,000  
  13,000,000      Nieuw Amsterdam Receivables Corp., 0.30%, 8/4/15(b)(c)      12,996,317  
  5,000,000      Nieuw Amsterdam Receivables Corp., 0.30%, 7/27/15(b)(c)      4,998,917  
  27,467,000      Victory Receivables Corp., 0.11%, 7/1/15(b)(c)      27,466,999  
  8,000,000      Working Capital Management, 0.13%, 7/8/15(b)(c)      7,999,798  
  15,000,000      Working Capital Management, 0.15%, 7/6/15(b)(c)      14,999,688  
     

 

 

 
        257,490,106  
     

 

 

 

 

Total Commercial Paper (Cost $391,450,309)

     391,450,309  
     

 

 

 

 

Corporate Bond (1.2%):

  

 

Hotels, Restaurants & Leisure (1.2%)

  

  8,000,000      Jets Stadium Development LLC, Series A-4C, 0.14%, 4/1/47, Callable 9/4/15 @ 100.00(a)      8,000,000  
     

 

 

 

 

Total Corporate Bond (Cost $8,000,000)

     8,000,000  
     

 

 

 

 

U.S. Government Agency Mortgages (6.2%):

  

  11,000,000      0.00%, 7/17/15(b)      10,999,658  
  30,000,000      0.07%, 7/24/15(b)      29,998,658  
     

 

 

 
        40,998,316  
     

 

 

 

 
 

Total U.S. Government Agency Mortgages
(Cost $40,998,316)

     40,998,316  
     

 

 

 

 

U.S. Treasury Obligations (2.4%):

  

 

U.S. Treasury Bills (0.9%)

  

  6,000,000      0.29%, 6/23/16(b)      5,982,667  
     

 

 

 

 

U.S. Treasury Notes (1.5%)

  

  10,000,000      0.08%, 4/30/16(a)      10,000,000  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $15,982,667)

     15,982,667  
     

 

 

 

 

Yankee Dollars (7.0%):

  

 

Banks (7.0%)

  

  10,000,000      ING Bank NV, 2.00%, 9/25/15(c)      10,035,977  
  10,000,000      Norinchukin Bank, NY, 0.34%, 11/12/15(a)      10,000,000  
  15,000,000      Sumitomo Mitsui Bank, NY, 0.33%, 7/8/15(a)      15,000,000  
  6,100,000      Svenska Handelsbanken AB, 0.36%, 11/13/15(a)(c)      6,100,000  
  5,310,000      Westpac Banking Corp., 1.38%, 7/17/15(c)      5,312,355  
     

 

 

 
        46,448,332  
     

 

 

 

 

Total Yankee Dollars (Cost $46,448,332)

     46,448,332  
     

 

 

 

 

Total Investment Securities
(Cost $663,883,666)(d) — 100.0%

     663,883,666  

 

Net other assets (liabilities) — 0.0%

     38,430  
     

 

 

 

 

Net Assets — 100.0%

   $ 663,922,096  
     

 

 

 
 

 

Continued

 

2


AZL Money Market Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

 

(a) Variable Rate Security. The rate represents the rate in effect at June 30, 2015. These securities are deemed to have a maturity remaining until the next adjustment of the interest rate or the longer of the demand period or time to the next readjustment.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(d) Aggregate cost for federal income tax and financial reporting purposes is substantially the same.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Australia

    5.2

Canada

    11.1

France

    4.6

Germany

    2.9

Japan

    11.0

Netherlands

    6.7

Norway

    1.2

Sweden

    4.8

Switzerland

    2.3

United States

    50.2
 

 

 

 
    100.0
 

 

 

 

 

See accompanying notes to the financial statements.

 

3


AZL Money Market Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 663,883,666  
    

 

 

 

Investment securities, at value

     $ 663,883,666  

Cash

       720  

Interest receivable

       201,490  

Receivable from Manager

       26,406  

Prepaid expenses

       1,030  
    

 

 

 

Total Assets

       664,113,312  
    

 

 

 

Liabilities:

    

Administration fees payable

       16,068  

Distribution fees payable

       132,667  

Custodian fees payable

       7,746  

Administrative and compliance services fees payable

       750  

Trustee fees payable

       4,818  

Other accrued liabilities

       29,167  
    

 

 

 

Total Liabilities

       191,216  
    

 

 

 

Net Assets

     $ 663,922,096  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 663,844,699  

Accumulated net realized gains/(losses) from investment transactions

       77,397  
    

 

 

 

Net Assets

     $ 663,922,096  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       663,845,341  

Net Asset Value (offering and redemption price per share)

     $ 1.00  
    

 

 

 

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Interest

     $ 756,206  
    

 

 

 

Total Investment Income

       756,206  
    

 

 

 

Expenses:

    

Manager fees

       1,136,364  

Administration fees

       84,517  

Distribution fees

       811,691  

Custodian fees

       12,335  

Administrative and compliance services fees

       4,273  

Trustee fees

       17,263  

Professional fees

       19,183  

Shareholder reports

       14,062  

Other expenses

       7,382  
    

 

 

 

Total expenses before reductions

       2,107,070  

Less expenses voluntarily waived/reimbursed by the Manager

       (1,350,864 )
    

 

 

 

Net expenses

       756,206  
    

 

 

 

Net Investment Income/(Loss)

        
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       29,878  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       29,878  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 29,878  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL Money Market Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net realized gains/(losses) on investment transactions

     $ 29,878        $ 48,636  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       29,878          48,636  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net realized gains

                (57,581 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (57,581 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       161,296,037          333,098,108  

Proceeds from dividends reinvested

                57,581  

Value of shares redeemed

       (197,738,593 )        (439,453,694 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (36,442,556 )        (106,298,005 )
    

 

 

      

 

 

 

Change in net assets

       (36,412,678 )        (106,306,950 )

Net Assets:

         

Beginning of period

       700,334,774          806,641,724  
    

 

 

      

 

 

 

End of period

     $ 663,922,096        $ 700,334,774  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       161,296,037          333,098,108  

Dividends reinvested

                57,581  

Shares redeemed

       (197,738,593 )        (439,453,694 )
    

 

 

      

 

 

 

Change in shares

       (36,442,556 )        (106,298,005 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL Money Market Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 1.00       $ 1.00       $ 1.00       $ 1.00       $ 1.00       $ 1.00  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

                                               —  (a)

Net Realized and Unrealized Gains/(Losses) on Investments

       —  (a)       —  (a)       —  (a)       —  (a)       —  (a)       —  (a)
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       —  (a)       —  (a)       —  (a)       —  (a)       —  (a)       —  (a)
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

                                               —  (a)

Net Realized Gains

               (a)       —  (a)       —  (a)       —  (a)       —  (a)
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (a)       —  (a)       —  (a)       —  (a)       —  (a)
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 1.00       $ 1.00       $ 1.00       $ 1.00       $ 1.00       $ 1.00  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       (c)       0.01 %                                

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 663,922       $ 700,335       $ 806,642       $ 872,062       $ 865,626       $ 861,070  

Net Investment Income/(Loss)(d)

                                                

Expenses Before Reductions(d) (e)

       0.65 %       0.65 %       0.65 %       0.66 %       0.66 %       0.70 %

Expenses Net of Reductions(d) (f)

       0.23 %       0.20 %       0.22 %       0.29 %       0.28 %       0.33 %

 

(a) Represents less than $0.005.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) The expense ratio for the period reflects the reduction of certain expenses to maintain a certain minimum yield.

 

See accompanying notes to the financial statements.

 

6


AZL Money Market Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Money Market Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below. Investments of the Fund are valued, in accordance with Rule 2a-7 of the 1940 Act, at amortized cost, which approximates fair value. Under the amortized cost method, discounts or premiums are amortized on a constant basis to the maturity of the security.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts.

Dividends to Shareholders

Dividends from net investment income are declared daily and paid monthly from the Fund. The net realized gains, if any, are declared and paid at least annually by the Fund. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Money Market Reform

In July 2014, the United States Securities and Exchange Commission (“SEC”) issued final rules that will alter and increase the regulations to which money market funds, including the AZL Money Market Fund, are subject. The SEC’s new rules have varying implementation dates, ranging from July 2015 to October 2016 and are intended to give investors additional protection during rare periods of market stress, when redemptions in some money market mutual funds may increase significantly. The new rules will also replace much of the current Rule 2a-7 under the Investment Company Act of 1940 and add new Rule 30b1-8 (“Form N-CR”). Additionally, Forms N-MFP and N-PF, along with the instructions to Form N-1A, have been revised as part of this reform.

Certain government and U.S. treasury money market funds will not be subject to many of the new structural changes. The AZL Money Market Funds’ management has been reviewing and assessing the effect of the new rules and speaking with investors in order to properly align the interests of investors with implementation of the reforms. Further information regarding the money market mutual fund regulatory changes may be found at the SEC’s website, www.sec.gov. For further information relating to changes to the Fund, please see Note 6 of the Notes to the Financial Statements.

 

7


AZL Money Market Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Advisors, LLC (“BlackRock Advisors”), BlackRock Advisors provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Money Market Fund

         0.35 %          0.87 %

The Manager has voluntarily agreed to waive, reimburse, or pay Fund expenses to the extent necessary in order to maintain a minimum daily net investment income for the Fund of 0.00%. The Distributor may waive its Rule 12b-1 fees. The amount waived, reimbursed, or paid by the Manager and/or the Distributor will be repaid to the Manager and/or the Distributor subject to the following limitations:

 

1. The repayments will not cause the Fund’s net investment income to fall below 0.00%.
2. The repayments must be made no later than three years after the end of the fiscal year in which the waiver, reimbursement, or payment took place.
3. Any expense recovery paid by the Fund will not cause its expense ratio to exceed 0.87%.

The ability of the Manager and/or Distributor to receive such payments could negatively affect the Fund’s future yield. Amounts waived under this agreement during the period ended June 30, 2015 are reflected on the Statement of Operations as “Expenses voluntarily waived/reimbursed by the Manager.”

Any amounts waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.”

At June 30, 2015, the reimbursements that are subject to repayment by the Fund in subsequent years were as follows:

 

        Expires
12/31/2015
    

Expires

12/31/2016

    

Expires

12/31/2017

     Expires
12/31/2018
     Total

AZL Money Market Fund

       $ 3,224,807          $ 3,776,228          $ 3,323,767          $ 1,350,864          $ 11,675,666  

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers in addition to the amounts disclosed above.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

 

 

8


AZL Money Market Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $3,557 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Certificates of Deposit+

       $          $ 161,004,042          $ 161,004,042  

Commercial Paper+

                    391,450,309            391,450,309  

Corporate Bond

                    8,000,000            8,000,000  

U.S. Government Agency Mortgages

                    40,998,316            40,998,316  

U.S. Treasury Obligations

                    15,982,667            15,982,667  

Yankee Dollars

                    46,448,332            46,448,332  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $          $ 663,883,666          $ 663,883,666  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
    

Net

Long-Term
Capital Gains

    

Total

Distributions(a)

AZL Money Market Fund

       $ 54,425          $ 3,156          $ 57,581  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

    

Total
Accumulated

Earnings/
(Deficit)

AZL Money Market Fund

       $ 47,519          $          $          $          $ 47,519  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

 

9


AZL Money Market Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

6. Subsequent Events

At its meeting on June 16, 2015, the Board of Trustees considered the likely effects of the Money Market Reform rule changes on the AZL Money Market Fund and approved changes proposed by the Fund’s Manager, Allianz Investment Management LLC, to the name and principal investment strategies of the Fund. As a result of these changes, the Fund will become a government money market fund and will be called the AZL Government Money Market Fund. As a “government” money market fund, the Fund will be permitted, subject to the revised regulations, to continue to use a stable net asset value ($1.00), and the Fund will not be required to impose fees on shareholder redemptions or to temporarily suspend redemptions in the event that the Fund’s weekly liquid assets fall below a certain threshold. The Board believes that this result is in the best interests of the Fund and its shareholders.

The changes to the Fund are expected to be fully implemented by May 1, 2016, prior to the final compliance dates for the new rules; however, it is anticipated that the Fund’s subadviser, BlackRock Advisors, LLC, will begin immediately to gradually implement changes to the Fund’s portfolio in order to provide the most efficient transition. As a result, it is expected that the Fund gradually will allocate a larger percentage of its assets to government securities over time until it reaches its new allocation on or about May 1, 2016. Because the yields on government securities generally may be expected to be lower than the yields on comparable non-government securities, it should be expected that the Fund’s yield will decrease as more assets are invested in government securities.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Morgan Stanley Global Real Estate Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Morgan Stanley Global Real Estate Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Morgan Stanley Global Real Estate Fund

       $ 1,000.00          $ 978.40          $ 6.28            1.28 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Morgan Stanley Global Real Estate Fund

       $ 1,000.00          $ 1,018.45          $ 6.41            1.28 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

United States

      51.6 %

Japan

      10.9  

Hong Kong

      9.1  

United Kingdom

      7.6  

Australia

      5.2  

France

      2.9  

Bermuda

      2.4  

Canada

      2.1  

Singapore

      2.0  

Germany

      1.3  

All other countries

      3.9  
   

 

 

 

Total Common Stocks

      99.0  

Rights

      ^

Securities Held as Collateral for Securities on Loan

      7.8  

Money Market

      0.5  
   

 

 

 

Total Investment Securities

      107.3  

Net other assets (liabilities)

      (7.3 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%.

 

1


AZL Morgan Stanley Global Real Estate Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (99.0%):

  

 

Diversified Real Estate Activities (14.4%):

  

  428,900       CapitaLand, Ltd.    $ 1,113,572  
  129,000       Hang Lung Properties, Ltd.      381,785  
  109,104       Henderson Land Development Co., Ltd.      745,509  
  103,303       Kerry Properties, Ltd.      403,083  
  228,000       Mitsubishi Estate Co., Ltd.      4,898,783  
  176,000       Mitsui Fudosan Co., Ltd.      4,914,409  
  246       Mobimo Holding AG, Registered Shares^      50,102  
  787,423       New World Development Co., Ltd.      1,028,179  
  73,000       Sumitomo Realty & Development Co., Ltd.      2,559,063  
  361,544       Sun Hung Kai Properties, Ltd.      5,854,823  
  34,500       Tokyo Tatemono Co., Ltd.      477,937  
  90,310       UOL Group, Ltd.^      463,519  
  255,035       Wharf Holdings, Ltd. (The)      1,696,322  
     

 

 

 
        24,587,086  
     

 

 

 

 

Diversified REITs (12.3%):

  

  55       Activia Properties, Inc.      465,844  
  194,107       British Land Co. plc      2,422,667  
  79,318       Cousins Properties, Inc.^      823,321  
  21,255       Crombie REIT      212,244  
  84,768       Dexus Property Group      474,182  
  33,541       Duke Realty Corp.      622,856  
  2,032       Fonciere des Regions SA      173,013  
  4,208       Gecina SA      519,485  
  256,582       GPT Group      841,537  
  76,055       Green REIT plc      124,387  
  207,530       Hibernia REIT plc      291,348  
  17       Hulic REIT, Inc.      24,204  
  7,662       ICADE      546,983  
  10       Kenedix Office Investment Corp.      50,145  
  144,596       Land Securities Group plc      2,733,113  
  753       Lexington Realty Trust^      6,385  
  26,100       Liberty Property Trust      840,942  
  418,941       Mirvac Group      596,781  
  11       Premier Investment Corp.^      60,518  
  19,880       Shaftesbury plc      271,001  
  275,880       Stockland Trust Group      866,880  
  49,351       STORE Capital Corp.^      991,955  
  43       Tokyu REIT, Inc.      53,175  
  432       United Urban Investment Corp.      610,713  
  63,481       Vornado Realty Trust      6,026,251  
  7,385       Wereldhave NV^      420,396  
     

 

 

 
        21,070,326  
     

 

 

 

 

Health Care Facilities (0.1%):

  

  23,060       Extendicare, Inc.      139,786  
     

 

 

 

 

Health Care REITs (3.3%):

  

  11,876       HCP, Inc.      433,118  
  19,450       Health Care REIT, Inc.      1,276,504  
  12,706       Healthcare Realty Trust, Inc.      295,542  
  59,734       Senior Housing Properties Trust      1,048,332  
  42,107       Ventas, Inc.      2,614,424  
     

 

 

 
        5,667,920  
     

 

 

 

 

Hotel & Resort REITs (3.8%):

  

  42,532       Chesapeake Lodging Trust      1,296,375  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Hotel & Resort REITs, continued

  

  264,150       Host Hotels & Resorts, Inc.^    $ 5,238,095  
     

 

 

 
        6,534,470  
     

 

 

 

 

Hotels, Resorts & Cruise Lines (2.4%):

  

  47,281       Hilton Worldwide Holdings, Inc.*      1,302,592  
  34,396       Starwood Hotels & Resorts Worldwide, Inc.      2,789,171  
     

 

 

 
        4,091,763  
     

 

 

 

 

Industrial REITs (3.0%):

  

  165,900       Ascendas Real Estate Investment Trust      302,751  
  3,175       DCT Industrial Trust, Inc.      99,822  
  404       GLP J-REIT^      385,711  
  251,458       Macquarie Goodman Group      1,213,144  
  212       Nippon Prologis REIT, Inc.      390,323  
  49,934       ProLogis, Inc.      1,852,551  
  19,324       Rexford Industrial Realty, Inc.^      281,744  
  97,446       SERGO plc      620,485  
     

 

 

 
        5,146,531  
     

 

 

 

 

Office REITs (9.1%):

  

  6,290       Alexandria Real Estate Equities, Inc.      550,123  
  284,075       Beni Stabili SpA^      210,707  
  32,320       BioMed Realty Trust, Inc.      625,069  
  37,137       Boston Properties, Inc.      4,495,062  
  17,057       Brookfield Canada Office Properties      369,195  
  65,000       CapitaCommercial Trust      75,198  
  181,000       Champion REIT      99,332  
  13,840       Corporate Office Properties Trust      325,794  
  41       Daiwa Office Investment Corp.^      196,222  
  18,584       Derwent Valley Holdings plc      992,168  
  56,330       Douglas Emmett, Inc.^      1,517,530  
  82,250       Great Portland Estates plc      1,003,940  
  34,498       Hudson Pacific Properties, Inc.^      978,708  
  204       Japan Real Estate Investment Corp.      925,867  
  53,368       Mack-Cali Realty Corp.      983,572  
  337       Mori Hills REIT Investment Corp., C Shares      435,961  
  207       Nippon Building Fund, Inc.      905,756  
  267       ORIX JREIT, Inc.      384,464  
  24,668       Paramount Group, Inc.      423,303  
  6,755       Workspace Group plc      95,279  
     

 

 

 
        15,593,250  
     

 

 

 

 

Real Estate Development (0.6%):

  

  2,485,087       BGP Holdings plc*(a) (b)       
  8,000       China Resources Land, Ltd.      25,761  
  3,200       Dalian Wanda Commercial Properties Co., Ltd., H Shares      25,601  
  176       Helical Bar plc      1,116  
  185,418       Sino Land Co., Ltd.      309,384  
  30,708       St. Modwen Properties plc      218,785  
  103,422       Urban & Civic plc      410,223  
     

 

 

 
        990,870  
     

 

 

 

 

Real Estate Operating Companies (11.3%):

  

  46,058       Atrium European Real Estate, Ltd.      212,027  
  20,178       Atrium Ljungberg AB, B Shares^      264,205  
  62,508       BR Malls Participacoes SA      295,627  
  64,800       BR Properties SA      218,905  
 

 

Continued

 

2


AZL Morgan Stanley Global Real Estate Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Operating Companies, continued

  

  4,211       BUWOG-Bauen Und Wohnen Gesellschaft mbH^    $ 81,763  
  53,849       Capital & Counties Properties plc      367,802  
  497,118       Capital & Regional plc      449,027  
  10,353       Castellum AB      145,426  
  177,456       Citycon OYJ^      442,909  
  4,600       Daibiru Corp.      42,467  
  29,802       Deutsche Annington Immobilien SE      840,003  
  4,648       Deutsche Euroshop AG      204,021  
  29,068       Deutsche Wohnen AG      665,948  
  45,931       Entra ASA      427,856  
  19,230       Fabege AB      262,201  
  35,034       First Capital Realty, Inc.      501,608  
  20,636       Forest City Enterprises, Inc., Class A*      456,056  
  564,500       Global Logistic Properties, Ltd.      1,058,724  
  42,769       Grainger Trust plc      153,601  
  34,800       Hongkong Land Holdings, Ltd.      284,675  
  457,500       Hongkong Land Holdings, Ltd.      3,742,497  
  67,959       Hufvudstaden AB      826,683  
  16,300       Hulic Co., Ltd.      145,022  
  393,346       Hysan Development Co., Ltd.      1,699,437  
  47,438       Iguatemi Empresa de Shopping Centers SA      379,876  
  62,299       Investa Office Fund      181,480  
  5,180       LEG Immobilien AG      359,706  
  329,899       LXB Retail Properties plc      455,504  
  72,388       Norwegian Property ASA*      89,648  
  10,800       NTT Urban Development Corp.      107,410  
  21,783       Prime Office AG      103,687  
  14,741       PSP Swiss Property AG^      1,259,859  
  269,098       Quintain Estates & Development plc*      448,415  
  95,643       Sponda Oyj      353,353  
  399,050       Swire Properties, Ltd.      1,268,980  
  1,734       Swiss Prime Site AG      131,605  
  43,889       Unite Group plc      393,798  
     

 

 

 
        19,321,811  
     

 

 

 

 

Residential REITs (12.1%):

  

  96       Advance Residence Investment^      235,067  
  31,916       AvalonBay Communities, Inc.^      5,102,411  
  12,457       Boardwalk REIT      564,894  
  42,361       Camden Property Trust      3,146,575  
  3,504       Canadian Apartment Properties REIT      77,443  
  22,084       Equity Lifestyle Properties, Inc.      1,161,177  
  101,519       Equity Residential Property Trust      7,123,589  
  5,588       Essex Property Trust, Inc.      1,187,450  
  13,127       Mid-America Apartment Communities, Inc.      955,777  
  88,630       WP Glimcher, Inc.      1,199,164  
     

 

 

 
        20,753,547  
     

 

 

 

 

Retail REITs (23.2%):

  

  13,084       Acadia Realty Trust      380,875  
  7,203       Calloway REIT      166,809  
  163,200       CapitaMall Trust      260,000  
  6,720       DDR Corp.      103,891  
  8,402       Equity One, Inc.^      196,103  
  14,825       Eurocommercial Properties NV      619,716  
  2,377       Federal Realty Investment Trust      304,470  

Shares or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Retail REITs, continued

  

  173,752       Federation Centres    $ 390,708  
  13       Frontier Real Estate Investment Corp.      58,162  
  125,107       General Growth Properties, Inc.      3,210,246  
  118,315       Hammerson plc      1,145,527  
  201       Japan Retail Fund Investment Corp.      402,027  
  97,650       Kimco Realty Corp.      2,201,031  
  16,449       Klepierre      722,828  
  126,922       Liberty International plc      612,984  
  346,715       Link REIT (The)      2,028,220  
  12,600       Macerich Co. (The)      939,960  
  1,200       Mercialys SA      26,775  
  31,913       National Retail Properties, Inc.^      1,117,274  
  6,077       Realty Income Corp.^      269,758  
  45,653       Regency Centers Corp.      2,692,614  
  72,897       RioCan REIT      1,562,661  
  764,672       Scentre Group      2,208,083  
  34,200       Shopping Centres Australasia Property Group*      56,194  
  62,757       Simon Property Group, Inc.      10,858,217  
  146,900       SPH REIT      113,982  
  56,072       Tanger Factory Outlet Centers, Inc.      1,777,482  
  11,430       Unibail-Rodamco SE      2,899,962  
  17,866       Urban Edge Properties      371,434  
  297,262       Westfield Corp.      2,074,941  
     

 

 

 
        39,772,934  
     

 

 

 

 

Specialized REITs (3.4%):

  

  11,990       CubeSmart      277,688  
  12,076       LaSalle Hotel Properties^      428,215  
  23,887       Public Storage, Inc.      4,404,046  
  29,056       Safestore Holdings, Ltd.      128,893  
  6,408       Sovran Self Storage, Inc.      556,919  
  1       Sunstone Hotel Investors, Inc.      15  
     

 

 

 
        5,795,776  
     

 

 

 

 

Total Common Stocks (Cost $122,902,103)

     169,466,070  
     

 

 

 

 

Rights (0.0%):

  

 

Real Estate Operating Companies (0.0%):

  

  163,170       Citycon OYJ*      17,916  
  25,092       Deutsche Annington Immobilien SE*      38,338  
     

 

 

 
        56,254  
     

 

 

 

 

Total Rights (Cost $—)

     56,254  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (7.8%):

  

$ 13,255,043       Allianz Variable Insurance Products Securities Lending Collateral
Trust(c)
     13,255,043  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $13,255,043)

     13,255,043  
     

 

 

 

 

Unaffiliated Investment Company (0.5%):

  

  839,415      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d)      839,415  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $839,415)

     839,415  
     

 

 

 

 

Total Investment Securities (Cost $136,996,561)(e) — 107.3%

     183,616,782  

 

Net other assets (liabilities) — (7.3%)

     (12,502,687
     

 

 

 

 

Net Assets — 100.0%

   $ 171,114,095  
     

 

 

 
 

 

Continued

 

3


AZL Morgan Stanley Global Real Estate Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $12,888,349.

 

(a) Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2015. The total of all such securities represent 0.00% of the net assets of the fund.

 

(b) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.00% of the net assets of the fund.

 

(c) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(d) The rate represents the effective yield at June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

Amounts shown as “—” are $0 or rounds to less than $1.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country   Percentage  

Australia

    4.8

Austria

    %NM 

Belize

    0.1

Bermuda

    2.2

Brazil

    0.4

Canada

    2.0

China

    %NM 

Finland

    0.4

France

    2.7

Germany

    1.2

Hong Kong

    8.5

Ireland

    0.2

Italy

    0.1

Japan

    10.2

Jersey

    0.1

Netherlands

    0.6

Norway

    0.3

Singapore

    1.8

Sweden

    0.8

Switzerland

    0.8

United Kingdom

    7.0

United States

    55.8
 

 

 

 
    100.0
 

 

 

 

 

NM Not meaningful, amount is less than 0.05%.

 

See accompanying notes to the financial statements.

 

4


AZL Morgan Stanley Global Real Estate Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 136,996,561  
    

 

 

 

Investment securities, at value*

     $ 183,616,782  

Interest and dividends receivable

       556,936  

Foreign currency, at value (cost $623,404)

       621,621  

Receivable for investments sold

       289,885  

Reclaims receivable

       25,004  

Prepaid expenses

       296  
    

 

 

 

Total Assets

       185,110,524  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       433,913  

Payable for capital shares redeemed

       84,071  

Payable for collateral received on loaned securities

       13,255,043  

Manager fees payable

       129,839  

Administration fees payable

       6,775  

Distribution fees payable

       36,066  

Custodian fees payable

       41,259  

Administrative and compliance services fees payable

       165  

Trustee fees payable

       1,096  

Other accrued liabilities

       8,202  
    

 

 

 

Total Liabilities

       13,996,429  
    

 

 

 

Net Assets

     $ 171,114,095  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 146,927,413  

Accumulated net investment income/(loss)

       7,500,960  

Accumulated net realized gains/(losses) from investment transactions

       (29,932,318 )

Net unrealized appreciation/(depreciation) on investments

       46,618,040  
    

 

 

 

Net Assets

     $ 171,114,095  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       15,748,203  

Net Asset Value (offering and redemption price per share)

     $ 10.87  
    

 

 

 

 

* Includes securities on loan of $12,888,349.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 4,226,709  

Income from securities lending

       22,128  

Foreign withholding tax

       (116,609 )
    

 

 

 

Total Investment Income

       4,132,228  
    

 

 

 

Expenses:

    

Manager fees

       823,793  

Administration fees

       38,693  

Distribution fees

       228,831  

Custodian fees

       66,746  

Administrative and compliance services fees

       1,021  

Trustee fees

       4,117  

Professional fees

       4,496  

Shareholder reports

       4,336  

Other expenses

       2,170  
    

 

 

 

Total expenses

       1,174,203  
    

 

 

 

Net Investment Income/(Loss)

       2,958,025  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       6,185,670  

Change in net unrealized appreciation/depreciation on investments

       (12,556,428 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (6,370,758 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (3,412,733 )
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

     AZL Morgan Stanley Global Real Estate Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,958,025        $ 3,152,774  

Net realized gains/(losses) on investment transactions

       6,185,670          9,054,212  

Change in unrealized appreciation/depreciation on investments

       (12,556,428 )        12,055,284  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (3,412,733 )        24,262,270  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (1,799,384 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (1,799,384 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       4,586,200          9,900,160  

Proceeds from dividends reinvested

                1,799,384  

Value of shares redeemed

       (17,951,002 )        (28,066,128 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (13,364,802 )        (16,366,584 )
    

 

 

      

 

 

 

Change in net assets

       (16,777,535 )        6,096,302  

Net Assets:

         

Beginning of period

       187,891,630          181,795,328  
    

 

 

      

 

 

 

End of period

     $ 171,114,095        $ 187,891,630  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 7,500,960        $ 4,542,935  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       395,922          937,179  

Dividends reinvested

                168,324  

Shares redeemed

       (1,557,806 )        (2,641,321 )
    

 

 

      

 

 

 

Change in shares

       (1,161,884 )        (1,535,818 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL Morgan Stanley Global Real Estate Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
 

Year Ended
December 31,

2014

 

Year Ended
December 31,

2013

 

Year Ended
December 31,

2012

 

Year Ended
December 31,

2011

 

Year Ended
December 31,

2010

     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 11.11       $ 9.86       $ 9.99       $ 7.82       $ 8.99       $ 7.57  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.21         0.18         0.16         0.16         0.13         0.23  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.45 )       1.17         0.14         2.16         (1.02 )       1.34  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       (0.24 )       1.35         0.30         2.32         (0.89 )       1.57  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.10 )       (0.43 )       (0.15 )       (0.28 )       (0.15 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.10 )       (0.43 )       (0.15 )       (0.28 )       (0.15 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 10.87       $ 11.11       $ 9.86       $ 9.99       $ 7.82       $ 8.99  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       (2.16 )%(b)       13.77 %       3.02 %       29.86 %       (9.94 )%       20.86 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 171,114       $ 187,892       $ 181,795       $ 183,841       $ 168,465       $ 185,485  

Net Investment Income/(Loss)(c)

       3.23 %       1.67 %       1.43 %       1.69 %       1.44 %       2.91 %

Expenses Before Reductions(c) (d)

       1.28 %       1.29 %       1.29 %       1.34 %       1.35 %       1.35 %

Expenses Net of Reductions(c)

       1.28 %       1.28 %       1.29 %       1.34 %       1.35 %       1.34 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.28 %       1.28 %       1.28 %       1.34 %       1.35 %       1.35 %

Portfolio Turnover Rate

       13 %(b)       32 %       29 %       34 %       23 %       27 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

See accompanying notes to the financial statements.

 

7


AZL Morgan Stanley Global Real Estate Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Morgan Stanley Global Real Estate Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

8


AZL Morgan Stanley Global Real Estate Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $15.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,180 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Morgan Stanley Investment Management Inc. (“MSIM”), MSIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Morgan Stanley Global Real Estate Fund

         0.90 %          1.35 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

 

9


AZL Morgan Stanley Global Real Estate Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,003 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

During the period ended June 30, 2015, the Fund paid approximately $226 to affiliated broker/dealers of the Subadvisor on the execution of purchases and sales of the Fund’s portfolio investments.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy. The valuation of these international equity securities may represent a transfer between input levels.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Common Stocks

                           

Diversified Real Estate Activities

       $          $ 24,587,086          $             —          $ 24,587,086  

Diversified REITs

         9,523,954            11,546,372                       21,070,326  

Industrial REITs

         2,234,117            2,912,414                       5,146,531  

Office REITs

         10,268,356            5,324,894                       15,593,250  

Real Estate Development

                    990,870            ^          990,870  

Real Estate Operating Companies

         1,852,072            17,469,739                       19,321,811  

Residential REITs

         20,518,480            235,067                       20,753,547  

 

10


AZL Morgan Stanley Global Real Estate Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Level 3      Total
                             

Retail REITs

       $ 26,209,019          $ 13,563,915          $          $ 39,772,934  

Specialized REITs

         5,666,883            128,893                       5,795,776  

All Other Common Stocks+

         16,433,939                                  16,433,939  

Rights

                    56,254                       56,254  

Securities Held as Collateral for Securities on Loan

                    13,255,043                       13,255,043  

Unaffiliated Investment Company

         839,415                                  839,415  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 93,546,235          $ 90,070,547          $ ^        $ 183,616,782  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ 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, 2015.

A reconciliation of assets in which Level 3 inputs are used in determining fair value, along with additional quantitative disclosures are presented when there are significant Level 3 investments at the end of the period.

For the period ended June 30, 2015, there have been no significant changes to the Funds’ fair valuation methodologies. Changes in valuation techniques may result in transfers out of an investment’s assigned level within the hierarchy during the reporting period. There were significant total transfers from Level 1 to Level 2 and from Level 2 to Level 1 during the reporting period. Level 1 securities were valued using quoted prices from stock exchanges. Level 2 securities were valued using fair valuation methodologies. These transfers were as follows:

 

       

Transfers from

Level 2 to Level 1

    

Transfers from

Level 1 to Level 2

    

Total

Transfers*

AZL Morgan Stanley Global Real Estate Fund

       $ 894,408          $ 3,768,097          $ 4,662,505  

 

* Represents 2.72% of net assets as of June 30, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Morgan Stanley Global Real Estate Fund

       $ 24,325,919          $ 36,433,160  

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, 2015 are identified below.

 

Security      Acquisition
Date(a)
     Acquisition
Cost
     Shares or
Principal
Amount
     Fair
Value
     Percentage of
Net Assets
                                    

BGP Holdings plc

         8/21/09          $          $ 2,485,087          $            %

 

(a) Acquisition date represents the initial purchase date of the security.

7. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

 

11


AZL Morgan Stanley Global Real Estate Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

8. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $149,268,267. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 50,240,853  

Unrealized depreciation

    (15,892,338
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 34,348,515   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

       

Expires

12/31/2017

AZL Morgan Stanley Global Real Estate Fund

       $ 25,142,640  

During the year ended December 31, 2014, the Fund utilized $5,673,295 in CLCFs to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
    

Net
Long-Term

Capital Gains

     Total
Distributions(a)

AZL Morgan Stanley Global Real Estate Fund

       $ 1,799,384          $          $ 1,799,384  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Morgan Stanley Global Real Estate Fund

       $ 6,496,150          $          $ (25,142,640 )        $ 46,245,905          $ 27,599,415  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Morgan Stanley Mid Cap Growth Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Morgan Stanley Mid Cap Growth Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Morgan Stanley Mid Cap Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

       

Beginning

Account Value

1/1/15

    

Ending

Account Value

6/30/15

    

Expenses Paid

During Period

1/1/15 - 6/30/15*

    

Annualized
Expense Ratio

During Period
1/1/15 - 6/30/15

AZL Morgan Stanley Mid Cap Growth Fund

       $ 1,000.00          $ 1,023.60          $ 5.52            1.10 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Morgan Stanley Mid Cap Growth Fund

       $ 1,000.00          $ 1,019.34          $ 5.51            1.10 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      34.1 %

Health Care

      19.8  

Consumer Discretionary

      16.8  

Industrials

      8.7  

Financials

      5.8  

Consumer Staples

      5.7  

Private Placements

      4.7  
   

 

 

 

Total Common Stocks and Private Placements

      95.6  

Securities Held as Collateral for Securities on Loan

      26.6  

Money Market

      4.6  
   

 

 

 

Total Investment Securities

      126.8  

Net other assets (liabilities)

      (26.8 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Morgan Stanley Mid Cap Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (90.9%):

  

 

Aerospace & Defense (1.0%):

  

  20,418       TransDigm Group, Inc.*^    $ 4,587,312  
     

 

 

 

 

Air Freight & Logistics (0.5%):

  

  46,442       XPO Logistics, Inc.*      2,098,250  
     

 

 

 

 

Automobiles (4.6%):

  

  75,902       Tesla Motors, Inc.*^      20,361,471  
     

 

 

 

 

Beverages (1.1%):

  

  37,618       Monster Beverage Corp.*      5,041,564  
     

 

 

 

 

Biotechnology (1.7%):

  

  23,458       Alnylam Pharmaceuticals, Inc.*      2,811,911  
  2,959       Intercept Pharmaceuticals, Inc.*      714,243  
  201,532       Ironwood Pharmaceuticals, Inc.*^      2,430,476  
  29,580       Seattle Genetics, Inc.*^      1,431,672  
     

 

 

 
        7,388,302  
     

 

 

 

 

Commercial Services & Supplies (1.0%):

  

  33,287       Stericycle, Inc.*^      4,457,462  
     

 

 

 

 

Communications Equipment (1.1%):

  

  28,537       Palo Alto Networks, Inc.*^      4,985,414  
     

 

 

 

 

Diversified Financial Services (5.8%):

  

  126,829       McGraw-Hill Cos., Inc. (The)      12,739,973  
  214,181       MSCI, Inc., Class A^      13,182,841  
     

 

 

 
        25,922,814  
     

 

 

 

 

Electrical Equipment (0.5%):

  

  39,962       Solarcity Corp.*^      2,139,965  
     

 

 

 

 

Food Products (4.6%):

  

  97,815       Keurig Green Mountain, Inc.^      7,495,563  
  141,232       Mead Johnson Nutrition Co.^      12,741,951  
     

 

 

 
        20,237,514  
     

 

 

 

 

Health Care Equipment & Supplies (3.9%):

  

  35,788       Intuitive Surgical, Inc.*^      17,339,286  
     

 

 

 

 

Health Care Technology (2.6%):

  

  101,034       athenahealth, Inc.*^      11,576,476  
     

 

 

 

 

Hotels, Restaurants & Leisure (5.3%):

  

  3,045       Chipotle Mexican Grill, Inc.*^      1,842,195  
  214,468       Dunkin’ Brands Group, Inc.^      11,795,740  
  55,548       Panera Bread Co., Class A*^      9,708,124  
     

 

 

 
        23,346,059  
     

 

 

 

 

Internet & Catalog Retail (3.0%):

  

  344,213       Groupon, Inc.*^      1,731,391  
  28,467       TripAdvisor, Inc.*^      2,480,615  
  176,342       Vipshop Holdings, Ltd., ADR*^      3,923,610  
  90,934       Zalando SE*      3,035,797  
  154,098       zulily, Inc., Class A*^      2,009,438  
     

 

 

 
        13,180,851  
     

 

 

 

 

Internet Software & Services (14.6%):

  

  97,244       Autohome, Inc., ADR*^      4,914,711  
  261,270       LendingClub Corp.*^      3,853,733  
  88,560       LinkedIn Corp., Class A*      18,299,152  
  33,668       MercadoLibre, Inc.^      4,770,756  
  454,539       Twitter, Inc.*^      16,463,403  
  50,900       Yelp, Inc.*^      2,190,227  
  201,020       Youku.com, Inc., ADR*^      4,931,021  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Internet Software & Services, continued

  

  105,387       Zillow Group, Inc., Class A*^    $ 9,141,268  
     

 

 

 
        64,564,271  
     

 

 

 

 

IT Services (4.7%):

  

  67,800       FleetCor Technologies, Inc.*^      10,580,868  
  119,654       Gartner, Inc.*^      10,263,920  
     

 

 

 
        20,844,788  
     

 

 

 

 

Life Sciences Tools & Services (5.7%):

  

  115,951       Illumina, Inc.*^      25,319,060  
     

 

 

 

 

Machinery (0.9%):

  

  89,797       Colfax Corp.*^      4,144,132  
     

 

 

 

 

Media (0.7%):

  

  206,211       Pandora Media, Inc.*^      3,204,519  
     

 

 

 

 

Pharmaceuticals (5.9%):

  

  159,029       Endo International plc*      12,666,660  
  276,615       Zoetis, Inc.      13,338,375  
     

 

 

 
        26,005,035  
     

 

 

 

 

Professional Services (4.8%):

  

  77,512       IHS, Inc., Class A*^      9,970,369  
  153,323       Verisk Analytics, Inc., Class A*^      11,155,781  
     

 

 

 
        21,126,150  
     

 

 

 

 

Software (13.2%):

  

  226,884       FireEye, Inc.*^      11,096,896  
  38,692       NetSuite, Inc.*^      3,549,991  
  146,866       ServiceNow, Inc.*^      10,913,612  
  213,870       Splunk, Inc.*^      14,889,629  
  45,107       Tableau Software, Inc., Class A*^      5,200,837  
  151,155       Workday, Inc., Class A*^      11,546,730  
  535,853       Zynga, Inc.*^      1,532,540  
     

 

 

 
        58,730,235  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.5%):

  

  59,216       3D Systems Corp.*^      1,155,896  
  20,586       Stratasys, Ltd.*^      719,069  
     

 

 

 
        1,874,965  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (3.2%):

  

  90,746       Lululemon athletica, Inc.*^      5,925,714  
  140,425       Michael Kors Holdings, Ltd.*^      5,910,488  
  31,596       Under Armour, Inc., Class A*      2,636,370  
     

 

 

 
        14,472,572  
     

 

 

 

 

Total Common Stocks (Cost $314,969,054)

     402,948,467  
     

 

 

 

 

Private Placements (4.7%):

  

 

Internet & Catalog Retail (1.2%):

  

  37,815       Flipkart, Preferred Series D(a)(b)      5,378,806  
  33,446       Peixe Urbano, Inc.*(a)(b)      14,382  
     

 

 

 
        5,393,188  
     

 

 

 

 

Internet Software & Services (3.5%):

  

  76,914       Airbnb, Inc., Series D Preferred(a)(b)      6,513,077  
  245,606       Dropbox, Inc.*(a)(b)      4,079,516  
  229,712       Palantir Technologies, Inc., Series G Preferred*(a)(b)      1,977,820  
  67,672       Palantir Technologies, Inc., Series H Preferred(a)(b)      582,656  
 

 

Continued

 

2


AZL Morgan Stanley Mid Cap Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Private Placements, continued

  

 

Internet Software & Services, continued

  

  67,672       Palantir Technologies, Inc., Series H-1 Preferred(a)(b)    $ 582,656  
  116,948       Survey Monkey*(a)(b)      1,917,947  
     

 

 

 
        15,653,672  
     

 

 

 

 

Transportation Infrastructure (0.0%):

  

  818,433       Better Place LLC, Preferred(a)(b)       
     

 

 

 

 

Total Private Placements (Cost $12,470,580)

     21,046,860  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Securities Held as Collateral for Securities on Loan (26.6%):

  

$ 117,789,136       Allianz Variable Insurance Products Securities Lending Collateral Trust(c)    $ 117,789,136  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $117,789,136)

     117,789,136  
     

 

 

 

 

Unaffiliated Investment Company (4.6%):

  

  20,539,439       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d)      20,539,439  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $20,539,439)

     20,539,439  
     

 

 

 

 

Total Investment Securities (Cost $465,768,209)(e) — 126.8%

     562,323,902  

 

Net other assets (liabilities) — (26.8)%

     (118,915,647
     

 

 

 

 

Net Assets — 100.0%

   $ 443,408,255  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $116,649,126.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 4.75% of the net assets of the fund.

 

(b) Security was valued in good faith pursuant to procedures approved by the Board of Trustees as of June 30, 2015. The total of all such securities represent 4.75% 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, 2015.

 

(d) The rate represents the effective yield at June 30, 2015.

 

(e) See Federal Tax Information listed in the Notes to the Financial Statements.

Amounts shown as “—” are either $0 or round to less than $1.

 

See accompanying notes to the financial statements.

 

3


AZL Morgan Stanley Mid Cap Growth Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 465,768,209  
    

 

 

 

Investment securities, at value*

     $ 562,323,902  

Interest and dividends receivable

       128,571  

Prepaid expenses

       707  
    

 

 

 

Total Assets

       562,453,180  
    

 

 

 

Liabilities:

    

Payable for capital shares redeemed

       819,387  

Payable for collateral received on loaned securities

       117,789,136  

Manager fees payable

       298,898  

Administration fees payable

       11,374  

Distribution fees payable

       93,436  

Custodian fees payable

       5,040  

Administrative and compliance services fees payable

       504  

Trustee fees payable

       3,380  

Other accrued liabilities

       23,770  
    

 

 

 

Total Liabilities

       119,044,925  
    

 

 

 

Net Assets

     $ 443,408,255  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 272,264,341  

Accumulated net investment income/(loss)

       (1,685,881 )

Accumulated net realized gains/(losses) from investment transactions

       76,274,102  

Net unrealized appreciation/(depreciation) on investments

       96,555,693  
    

 

 

 

Net Assets

     $ 443,408,255  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       25,576,572  

Net Asset Value (offering and redemption price per share)

     $ 17.34  
    

 

 

 

 

* Includes securities on loan of $116,649,126.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 548,527  

Interest

       43  

Income from securities lending

       309,738  

Foreign tax reclaims received

       111  
    

 

 

 

Total Investment Income

       858,419  
    

 

 

 

Expenses:

    

Manager fees

       1,844,138  

Administration fees

       60,576  

Distribution fees

       576,886  

Custodian fees

       9,329  

Administrative and compliance services fees

       3,424  

Trustee fees

       13,717  

Professional fees

       15,017  

Shareholder reports

       15,999  

Other expenses

       5,214  
    

 

 

 

Total expenses

       2,544,300  
    

 

 

 

Net Investment Income/(Loss)

       (1,685,881 )
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       12,888,118  

Change in net unrealized appreciation/depreciation on investments

       379,869  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       13,267,987  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 11,582,106  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL Morgan Stanley Mid Cap Growth Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ (1,685,881 )      $ (2,065,067 )

Net realized gains/(losses) on investment transactions

       12,888,118          65,527,998  

Change in unrealized appreciation/depreciation on investments

       379,869          (59,837,454 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       11,582,106          3,625,477  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net realized gains

                (45,641,605 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (45,641,605 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       6,179,793          19,882,292  

Proceeds from dividends reinvested

                45,641,605  

Value of shares redeemed

       (45,450,652 )        (86,164,729 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (39,270,859 )        (20,640,832 )
    

 

 

      

 

 

 

Change in net assets

       (27,688,753 )        (62,656,960 )

Net Assets:

         

Beginning of period

       471,097,008          533,753,968  
    

 

 

      

 

 

 

End of period

     $ 443,408,255        $ 471,097,008  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ (1,685,881 )      $  —  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       353,408          1,108,483  

Dividends reinvested

                2,636,719  

Shares redeemed

       (2,592,870 )        (4,815,902 )
    

 

 

      

 

 

 

Change in shares

       (2,239,462 )        (1,070,700 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL Morgan Stanley Mid Cap Growth Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
       (Unaudited )                    

Net Asset Value, Beginning of Period

     $ 16.94       $ 18.48       $ 13.73       $ 13.32       $ 14.31       $ 10.80  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       (0.07 )       (0.07 )       (0.05 )       0.08         (0.04 )       0.01  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.47         0.26         5.34         1.02         (0.90 )       3.50  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.40         0.19         5.29         1.10         (0.94 )       3.51  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

                       (0.08 )               (0.05 )        

Net Realized Gains

               (1.73 )       (0.46 )       (0.69 )                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (1.73 )       (0.54 )       (0.69 )       (0.05 )        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 17.34       $ 16.94       $ 18.48       $ 13.73       $ 13.32       $ 14.31  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       2.36 %(b)       0.82 %       38.94 %       8.36 %       (6.57 )%       32.50 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 443,408       $ 471,097       $ 533,754       $ 413,777       $ 375,663       $ 456,423  

Net Investment Income/(Loss)(c)

       (0.73 )%       (0.41 )%       (0.32 )%       0.62 %       (0.20 )%       0.07 %

Expenses Before Reductions(c) (d)

       1.10 %       1.10 %       1.11 %       1.13 %       1.14 %       1.15 %

Expenses Net of Reductions(c)

       1.10 %       1.10 %       1.10 %       1.12 %       1.12 %       1.09 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.10 %       1.10 %       1.11 %       1.13 %       1.13 %       1.10 %

Portfolio Turnover Rate

       8 %(b)       46 %       49 %       32 %       32 %       42 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

See accompanying notes to the financial statements.

 

6


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Morgan Stanley Mid Cap Growth Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when

 

7


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

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, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $124.7 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $30,611 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Morgan Stanley Investment Management Inc. (“MSIM”), MSIM provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL Morgan Stanley Mid Cap Growth Fund

         0.85 %          1.30 %

 

* The fees payable to the Manager are based on a tiered structure for various net assets levels as follows: the first $100 million at 0.85%, the next $150 million at 0.80%, the next $250 million at 0.775% and above $500 million at 0.75%.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

 

8


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,520 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Level 3      Total

Common Stocks

                           

Internet & Catalog Retail

       $ 10,145,054          $ 3,035,797          $          $ 13,180,851  

All Other Common Stocks+

         389,767,616                                  389,767,616  

Private Placements+

                               21,046,860            21,046,860  

Securities Held as Collateral for Securities on Loan

                    117,789,136                       117,789,136  

Unaffiliated Investment Company

         20,539,439                                  20,539,439  
      

 

 

        

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 420,452,109          $ 120,824,933          $ 21,046,860          $ 562,323,902  
      

 

 

        

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

 

Quantitative Information about Level 3 Fair Value Measurements
Type of Assets   Fair Value at
June 30, 2015
  Valuation Basis at
June 30, 2015
  Valuation Technique(s)   Unobservable
input(s)
  Range

Investment Securities:

             

Private Placements:

             

Internet & Catalog Retail

             

Flipkart, Preferred Series D

    $ 5,378,806     Market Approach   Market Transaction Method   Proposed Transaction of Preferred Stock       N/A  

Peixe Urbano, Inc.

      14,382     Market Approach   Asset Approach   Net Tangible Assets       N/A  

Internet Software & Services

             

Airbnb, Inc., Series D Preferred

      6,513,077     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       15%-17%  
          Perpetual Growth Rate       3%-4%  
        Market Comparable Companies   Enterprise Value/Revenue       10.2x-15.5x  
          Discount for Lack of Marketability       15%  

Dropbox, Inc.

      4,079,516     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       16%-18%  
          Perpetual Growth Rate       2.5%-3.5%  
        Market Comparable Companies   Enterprise Value/Revenue       6.9x-13.5x  
          Discount for Lack of Marketability       15%  

Palantir Technologies, Inc., Series G

      1,977,820     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       15.5%-17.5%  
          Perpetual Growth Rate       2.5%-3.5%  
        Market Comparable Companies   Enterprise Value/Revenue       11.4x-17.0x  
          Discount for Lack of Marketability       15%  

Palantir Technologies, Inc., Series H Preferred

      582,656     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       15.5%-17.5%  
          Perpetual Growth Rate       2.5%-3.5%  
        Market Comparable Companies   Enterprise Value/Revenue       11.4x-17.0x  
          Discount for Lack of Marketability       15%  

Palantir Technologies, Inc., Series H-1 Preferred

      582,656     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       15.5%-17.5%  
          Perpetual Growth Rate       2.5%-3.5%  
        Market Comparable Companies   Enterprise Value/Revenue       11.4x-17.0x  
          Discount for Lack of Marketability       15%  

Survey Monkey

      1,917,947     Market Approach   Discounted Cash Flow   Weighted Average Cost of Capital       16%-18%  
          Perpetual Growth Rate       3%-4%  
        Market Comparable Companies   Enterprise Value/Revenue       4.4x-11.6x  
          Discount for Lack of Marketability       15%  
   

 

 

           

Total Investment Securities

    $ 21,046,860            
   

 

 

           

 

    Private Placements  

Balance as of December 31, 2014

  $ 17,963,254   

Change in Unrealized Appreciation/Depreciation*

    3,083,606   

Net Realized Gain (Loss)

      

Gross Purchases

      

Gross Sales

      
 

 

 

 

Balance as of June 30, 2015

  $ 21,046,860   
 

 

 

 

 

* The noted amounts of change in unrealized appreciation/depreciation relate to the fair value of Level 3 assets held on June 30, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Morgan Stanley Mid Cap Growth Fund

       $ 36,774,926          $ 87,234,296  

 

10


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (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, 2015 are identified below.

 

Security      Acquisition
Date(a)
     Acquisition
Cost
     Shares or
Principal
Amount
     Fair
Value
     Percentage of
Net Assets

Airbnb, Inc., Series D Preferred

         4/16/14          $ 3,131,402          $ 76,914          $ 6,513,078            1.47 %

Better Place LLC, Preferred

         1/25/10            2,046,081            818,433                       %

Dropbox, Inc.

         5/1/12            2,222,513            245,606            4,079,516            0.92 %

Flipkart, Preferred

         10/4/13            867,741            37,815            5,378,806            1.21 %

Palantir Technologies, Inc., Series G Preferred

         7/19/12            702,919            229,712            1,977,820            0.45 %

Palantir Technologies, Inc., Series H Preferred

         10/25/13            237,529            67,672            582,656            0.13 %

Palantir Technologies, Inc., Series H-1 Preferred

         10/25/13            237,529            67,672            582,656            0.13 %

Peixe Urbano, Inc.

         12/2/11            1,101,072            33,446            14,382            0.00 %

Survey Monkey

         11/25/14            1,923,795            116,948            1,917,947            0.43 %

 

(a) Acquisition date represents the initial purchase date of the security.

7. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

8. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $471,598,210. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 134,072,913  

Unrealized depreciation

    (43,347,221
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 90,725,692   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Morgan Stanley Mid Cap Growth Fund

       $ 7,571,845          $ 38,069,760          $ 45,641,605  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Morgan Stanley Mid Cap Growth Fund

       $ 882,844          $ 67,973,206          $          $ 90,705,758          $ 159,561,808  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

 

11


AZL Morgan Stanley Mid Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

9. Subsequent Events

At its meeting on June 16, 2015, the Board of Trustees considered and approved changes proposed by the Fund’s Manager, Allianz Investment Management LLC, to the name and principal investment strategies of the AZL Morgan Stanley Mid Cap Growth Fund. As a result of these changes, the Fund will add a second subadviser and be re-named the AZL Multi-Manager Mid Cap Growth Fund. Accordingly, the following changes will be made to the Fund’s prospectus, effective on or about November 20, 2015:

The Fund seeks to achieve its goal by investing in a combination of two subportfolios, or strategies, one of which is subadvised by J.P. Morgan Investment Management Inc., and the other of which is subadvised by Morgan Stanley Investment Management, Inc. The Manager generally makes equal allocations (approximately 50%) of the Fund’s assets to each of the strategies. The investment results of the individual strategies will vary. The percentage allocations to the strategies will be monitored daily by the Manager and will generally not exceed plus or minus 3% of 50%. The Manager may recommend additional or different strategies for investment, without seeking the approval of shareholders.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® NFJ International Value Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

Page 12

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL NFJ International Value Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL NFJ International Value Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL NFJ International Value Fund

       $ 1,000.00          $ 1,017.40          $ 5.95            1.24 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL NFJ International Value Fund

       $ 1,000.00          $ 1,018.89          $ 5.96            1.24 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      31.6 %

Consumer Discretionary

      13.9  

Materials

      11.0  

Industrials

      9.7  

Energy

      7.5  

Telecommunication Services

      5.6  

Information Technology

      5.6  

Health Care

      5.0  

Utilities

      3.7  

Consumer Staples

      3.3  
   

 

 

 

Total Common Stocks and Preferred Stocks

      96.9  

Securities Held as Collateral for Securities on Loan

      12.1  

Money Market

      3.3  
   

 

 

 

Total Investment Securities

      112.3  

Net other assets (liabilities)

      (12.3 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL NFJ International Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (94.7%):

  

 

Aerospace & Defense (2.1%):

  

  101,550       BAE Systems plc, ADR    $ 2,880,974   
     

 

 

 

 

Auto Components (1.2%):

  

  29,600       Magna International, Inc., ADR      1,660,264   
     

 

 

 

 

Automobiles (3.2%):

  

  216,850       Isuzu Motors, Ltd.      2,845,840   
  40,100       Tata Motors, Ltd., ADR      1,382,247   
     

 

 

 
        4,228,087   
     

 

 

 

 

Banks (17.9%):

  

  90,300       Australia & New Zealand Banking Group, Ltd., ADR ^      2,235,828   
  227,904       Banco Bradesco SA, ADR      2,087,601   
  1,613,100       Bank Rakyat Indonesia      1,246,056   
  791,100       BOC Hong Kong Holdings, Ltd.      3,289,747   
  3,222,000       China Construction Bank      2,927,020   
  93,397       DnB NOR ASA      1,556,751   
  118,900       ICICI Bank, Ltd., ADR      1,238,938   
  661,400       Mizuho Financial Group, Inc.      1,426,368   
  220,000       Nordea Bank AB      2,740,767   
  54,400       Toronto-Dominion Bank (The)^      2,312,544   
  75,500       United Overseas Bank, Ltd., ADR      2,599,843   
     

 

 

 
        23,661,463   
     

 

 

 

 

Capital Markets (0.9%):

  

  514,346       Man Group plc      1,267,371   
     

 

 

 

 

Chemicals (1.7%):

  

  131,400       Israel Chemicals, Ltd.      918,587   
  24,000       Methanex Corp.      1,335,840   
     

 

 

 
        2,254,427   
     

 

 

 

 

Construction Materials (1.9%):

  

  750,000       Anhui Conch Cement Co., Ltd.      2,617,118   
     

 

 

 

 

Containers & Packaging (1.2%):

  

  59,797       Smurfit Kappa Group plc      1,643,648   
     

 

 

 

 

Diversified Telecommunication Services (1.0%):

  

  226,000       TeliaSonera AB      1,330,223   
     

 

 

 

 

Electric Utilities (2.1%):

  

  140,404       Korea Electric Power Corp., ADR^      2,858,625   
     

 

 

 

 

Electronic Equipment, Instruments & Components (1.5%):

  

  454,100       AU Optronics Corp., ADR^      2,025,286   
     

 

 

 

 

Energy Equipment & Services (0.8%):

  

  16,736       Technip-Coflexip SA      1,036,489   
     

 

 

 

 

Household Durables (2.8%):

  

  118,615       Persimmon plc*      3,685,679   
     

 

 

 

 

Household Products (1.0%):

  

  54,600       Svenska Cellulosa AB, ADR^      1,395,576   
     

 

 

 

 

Industrial Conglomerates (5.0%):

  

  423,700       Keppel Corp., Ltd.      2,582,926   
  121,160       Koc Holding AS, ADR      2,819,393   
  12,866       Siemens AG, Registered Shares      1,295,505   
     

 

 

 
        6,697,824   
     

 

 

 

 

Insurance (11.3%):

  

  362,811       AEGON NV      2,663,532   
  109,118       AXA SA      2,749,462   
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  25,900       Axis Capital Holdings, Ltd.    $ 1,382,283   
  154,800       Manulife Financial Corp.^      2,877,732   
  101,300       T&D Holdings, Inc.      1,509,174   
  131,000       Zurich Insurance Group AG, ADR      3,982,400   
     

 

 

 
        15,164,583   
     

 

 

 

 

IT Services (1.0%):

  

  17,981       Atos Origin SA      1,345,091   
     

 

 

 

 

Machinery (0.9%):

  

  60,200       Komatsu, Ltd.      1,206,541   
     

 

 

 

 

Media (1.2%):

  

  100,821       British Sky Broadcasting Group plc      1,644,275   
     

 

 

 

 

Metals & Mining (6.2%):

  

  794,000       Kobe Steel, Ltd.      1,335,549   
  516,100       Norsk Hydro ASA      2,175,908   
  48,500       Rio Tinto plc, Registered Shares, ADR^      1,998,685   
  180,000       Sumitomo Metal & Mining Co., Ltd.      2,737,408   
     

 

 

 
        8,247,550   
     

 

 

 

 

Multiline Retail (2.4%):

  

  187,650       Marks & Spencer Group plc, ADR      3,167,532   
     

 

 

 

 

Multi-Utilities (1.6%):

  

  525,900       Centrica plc      2,182,986   
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.7%):

  

  1,037,418       Beach Energy, Ltd.      835,210   
  44,300       LUKOIL, ADR      1,989,513   
  58,500       Royal Dutch Shell plc, ADR      3,335,085   
  77,000       Sasol, Ltd., ADR      2,853,620   
     

 

 

 
        9,013,428   
     

 

 

 

 

Pharmaceuticals (5.0%):

  

  27,600       Sanofi-Aventis SA      2,722,582   
  69,400       Teva Pharmaceutical Industries, Ltd., ADR      4,101,540   
     

 

 

 
        6,824,122   
     

 

 

 

 

Real Estate Management & Development (1.5%):

  

  143,500       CK Hutchison Holdings, Ltd.      2,104,317   
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.3%):

  

  133,800       Taiwan Semiconductor Manufacturing Co., Ltd., ADR^      3,038,598   
     

 

 

 

 

Software (0.8%):

  

  25,600       Open Text Corp.      1,037,568   
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.0%):

  

  1,113,000       Belle International Holdings, Ltd.      1,281,356   
     

 

 

 

 

Tobacco (2.3%):

  

  64,700       Imperial Tobacco Group plc      3,123,072   
     

 

 

 

 

Trading Companies & Distributors (1.7%):

  

  8,600       Mitsui & Co., Ltd., ADR      2,337,050   
     

 

 

 

 

Wireless Telecommunication Services (4.6%):

  

  113,200       America Movil SAB de C.V., Series L, ADR^      2,412,292   
  222,800       China Mobile, Ltd.      2,849,515   
  41,400       KDDI Corp.      995,786   
     

 

 

 
        6,257,593   
     

 

 

 

 

Total Common Stocks (Cost $119,424,460)

     127,218,716   
     

 

 

 
 

 

Continued

 

2


AZL NFJ International Value Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares or

Principal
Amount

           Fair Value  

 

Preferred Stock (2.1%):

  

 

Automobiles (2.1%):

  
  12,200       Volkswagen AG, Preferred Shares^    $ 2,827,793   
     

 

 

 

 

Total Preferred Stock (Cost $2,504,340)

     2,827,793   
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (12.1%):

  

$ 16,251,469       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     16,251,469   
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $16,251,469)

     16,251,469   
     

 

 

 

 

Unaffiliated Investment Company (3.3%):

  

  4,497,598       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      4,497,598   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $4,497,598)

     4,497,598   
     

 

 

 

 

Total Investment Securities (Cost $142,677,867)(c) — 112.3%

     150,795,576   

 

Net other assets (liabilities) — (12.3)%

     (16,463,479
     

 

 

 

 

Net Assets — 100.0%

   $ 134,332,097   
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $13,041,560.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Australia

     2.0

Bermuda

     0.9

Brazil

     1.4

Canada

     6.1

Cayman Islands

     2.2

China

     3.7

France

     5.2

Germany

     2.8

Hong Kong

     4.1

India

     1.7

Indonesia

     0.8

Ireland (Republic of)

     1.1

Israel

     3.3

Japan

         9.6

Korea, Republic Of

     1.9
Country    Percentage  

Mexico

     1.6

Netherlands

     1.8

Norway

     2.5

Russian Federation

     1.3

Singapore

     3.4

South Africa

     1.9

Sweden

     3.6

Switzerland

     2.6

Taiwan

     2.0

Taiwan, Province Of China

     1.3

Turkey

     1.9

United Kingdom

     15.5

United States

     13.8
  

 

 

 
     100.0
  

 

 

 
 

 

See accompanying notes to the financial statements.

 

3


AZL NFJ International Value Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 142,677,867  
    

 

 

 

Investment securities, at value*

     $ 150,795,576  

Cash

       5,779  

Interest and dividends receivable

       412,677  

Foreign currency, at value (cost $27,152)

       27,510  

Receivable for capital shares issued

       9,191  

Reclaims receivable

       46,163  

Prepaid expenses

       227  
    

 

 

 

Total Assets

       151,297,123  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       564,075  

Payable for capital shares redeemed

       66  

Payable for collateral received on loaned securities

       16,251,469  

Manager fees payable

       101,589  

Administration fees payable

       4,614  

Distribution fees payable

       28,219  

Custodian fees payable

       10,039  

Administrative and compliance services fees payable

       95  

Trustee fees payable

       691  

Other accrued liabilities

       4,169  
    

 

 

 

Total Liabilities

       16,965,026  
    

 

 

 

Net Assets

     $ 134,332,097  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 117,421,037  

Accumulated net investment income/(loss)

       6,203,911  

Accumulated net realized gains/(losses) from investment transactions

       2,587,714  

Net unrealized appreciation/(depreciation) on investments

       8,119,435  
    

 

 

 

Net Assets

     $ 134,332,097  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       11,474,324  

Net Asset Value (offering and redemption price per share)

     $ 11.71  
    

 

 

 

 

* Includes securities on loan of $13,041,560.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 3,592,515  

Income from securities lending

       90,118  

Foreign withholding tax

       (174,072 )
    

 

 

 

Total Investment Income

       3,508,561  
    

 

 

 

Expenses:

    

Manager fees

       654,828  

Administration fees

       28,831  

Distribution fees

       181,897  

Custodian fees

       20,265  

Administrative and compliance services fees

       846  

Trustee fees

       3,376  

Professional fees

       6,561  

Shareholder reports

       783  

Other expenses

       1,758  
    

 

 

 

Total expenses

       899,145  
    

 

 

 

Net Investment Income/(Loss)

       2,609,416  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       2,103,276  

Change in net unrealized appreciation/depreciation on investments

       (1,097,410 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       1,005,866  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 3,615,282  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL NFJ International Value Fund
     

For the
Six Months Ended
June 30,

2015

  

For the
Year Ended
December 31,

2014

     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,609,416        $ 3,624,387  

Net realized gains/(losses) on investment transactions

       2,103,276          804,278  

Change in unrealized appreciation/depreciation on investments

       (1,097,410 )        (12,424,092 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       3,615,282          (7,995,427 )
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (2,966,257 )

From net realized gains

                (6,108,872 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (9,075,129 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       3,967,034          10,293,690  

Proceeds from dividends reinvested

                9,075,129  

Value of shares redeemed

       (20,303,742 )        (6,341,230 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (16,336,708 )        13,027,589  
    

 

 

      

 

 

 

Change in net assets

       (12,721,426 )        (4,042,967 )

Net Assets:

         

Beginning of period

       147,053,523          151,096,490  
    

 

 

      

 

 

 

End of period

     $ 134,332,097        $ 147,053,523  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 6,203,911        $ 3,594,495  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       342,113          809,014  

Dividends reinvested

                720,248  

Shares redeemed

       (1,648,589 )        (481,517 )
    

 

 

      

 

 

 

Change in shares

       (1,306,476 )        1,047,745  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL NFJ International Value Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 11.51       $ 12.88       $ 11.74       $ 12.14       $ 14.65       $ 13.70  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.26         0.28         0.25         0.19         0.53         0.15  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.06 )*       (0.89 )       1.11         2.14         (2.13 )       1.15  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.20         (0.61 )       1.36         2.33         (1.60 )       1.30  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.25 )       (0.22 )       (0.35 )       (0.36 )       (0.09 )

Net Realized Gains

               (0.51 )               (2.38 )       (0.55 )       (0.26 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.76 )       (0.22 )       (2.73 )       (0.91 )       (0.35 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 11.71       $ 11.51       $ 12.88       $ 11.74       $ 12.14       $ 14.65  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       1.74 %(b)       (5.26 )%       11.66 %       20.55 %       (10.92 )%       9.67 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 134,332       $ 147,054       $ 151,096       $ 135,156       $ 92,191       $ 167,175  

Net Investment Income/(Loss)(c)

       3.59 %       2.35 %       2.10 %       2.25 %       2.45 %       2.01 %

Expenses Before Reductions(c) (d)

       1.24 %       1.24 %       1.23 %       1.25 %       1.24 %       1.21 %

Expenses Net of Reductions(c)

       1.24 %       1.24 %       1.22 %       1.24 %       1.17 %       1.10 %

Expenses Net of Reductions, Excluding Expenses Paid Indirectly(c) (e)

       1.24 %       1.24 %       1.23 %       1.25 %       1.19 %       1.11 %

Portfolio Turnover Rate

       28 %(b)       20 %       24 %       21 %       43 %       29 %

 

* The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of fund shares in relation to fluctuating market values during the period.

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(e) Expenses net of reductions excludes expenses paid indirectly, pursuant to a “commission recapture” program, under which brokers remit a portion of the brokerage commission which is used to pay certain Fund expenses.

 

See accompanying notes to the financial statements.

 

6


AZL NFJ International Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL NFJ International Value Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL NFJ International Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $17.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $8,890 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an affiliated money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with NFJ Investment Group LLC (“NFJ”), NFJ provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL NFJ International Value Fund

         0.90 %          1.45 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

 

8


AZL NFJ International Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $801 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Aerospace & Defense

       $ 2,880,974          $          $ 2,880,974  

Auto Components

         1,660,264                       1,660,264  

Automobiles

         1,382,247            2,845,840            4,228,087  

Banks

         10,474,754            13,186,709            23,661,463  

Chemicals

         1,335,840            918,587            2,254,427  

Electric Utilities

         2,858,625                       2,858,625  

Electronic Equipment, Instruments & Components

         2,025,286                       2,025,286  

Household Products

         1,395,576                       1,395,576  

Industrial Conglomerates

         2,819,393            3,878,431            6,697,824  

 

9


AZL NFJ International Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Total
                      

Insurance

       $ 8,242,415          $ 6,922,168          $ 15,164,583  

Metals & Mining

         1,998,685            6,248,865            8,247,550  

Multiline Retail

         3,167,532                       3,167,532  

Oil, Gas & Consumable Fuels

         8,178,218            835,210            9,013,428  

Pharmaceuticals

         4,101,540            2,722,582            6,824,122  

Semiconductors & Semiconductor Equipment

         3,038,598                       3,038,598  

Software

         1,037,568                       1,037,568  

Trading Companies & Distributors

         2,337,050                       2,337,050  

Wireless Telecommunication Services

         2,412,292            3,845,301            6,257,593  

All Other Common Stocks+

                    24,468,166            24,468,166  

Preferred Stock

                    2,827,793            2,827,793  

Securities Held as Collateral for Securities on Loan

                    16,251,469            16,251,469  

Unaffiliated Investment Company

         4,497,598                       4,497,598  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 65,844,455          $ 84,951,121          $ 150,795,576  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL NFJ International Value Fund

       $ 40,127,071          $ 53,349,775  

6. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $142,775,618. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 16,321,565   

Unrealized depreciation

    (8,301,607
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 8,019,958   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL NFJ International Value Fund

       $ 2,966,257          $ 6,108,872          $ 9,075,129  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

 

10


AZL NFJ International Value Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL NFJ International Value Fund

       $ 3,594,496          $ 671,205          $          $ 9,030,077          $ 13,295,778  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 90% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

11


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

12


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Oppenheimer Discovery Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

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 Oppenheimer Discovery Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Oppenheimer Discovery Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Oppenheimer Discovery Fund

       $ 1,000.00          $ 1,113.10          $ 6.08            1.16 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Oppenheimer Discovery Fund

       $ 1,000.00          $ 1,019.04          $ 5.81            1.16 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      26.8 %

Health Care

      24.2  

Consumer Discretionary

      19.4  

Industrials

      11.8  

Financials

      7.5  

Consumer Staples

      3.1  

Energy

      2.7  

Materials

      1.8  
   

 

 

 

Total Common Stocks

      97.3  

Securities Held as Collateral for Securities on Loan

      27.6  

Money Market

      2.9  
   

 

 

 

Total Investment Securities

      127.8  

Net other assets (liabilities)

      (27.8 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Oppenheimer Discovery Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (97.3%):

  

 

Aerospace & Defense (0.7%):

  

  26,270       Curtiss-Wright Corp.^    $ 1,902,999   
     

 

 

 

 

Air Freight & Logistics (0.9%):

  

  53,040       XPO Logistics, Inc.*^      2,396,347   
     

 

 

 

 

Airlines (1.0%):

  

  15,727       Allegiant Travel Co.^      2,797,519   
     

 

 

 

 

Banks (4.5%):

  

  66,830       Bank of the Ozarks, Inc.^      3,057,473   
  13,830       Pinnacle Financial Partners, Inc.      751,937   
  48,090       PrivateBancorp, Inc.^      1,914,944   
  22,580       Signature Bank*^      3,305,486   
  104,990       Western Alliance Bancorp*      3,544,462   
     

 

 

 
        12,574,302   
     

 

 

 

 

Beverages (0.5%):

  

  5,870       Boston Beer Co., Inc. (The), Class A*^      1,361,781   
     

 

 

 

 

Biotechnology (5.2%):

  

  6,780       Bluebird Bio, Inc.*^      1,141,549   
  47,620       Celldex Theraputics, Inc.*^      1,200,976   
  40,170       Cepheid, Inc.*^      2,456,396   
  25,710       Dyax Corp.*^      681,315   
  34,050       Neurocrine Biosciences, Inc.*^      1,626,228   
  24,380       PTC Therapeutics, Inc.*^      1,173,409   
  7,950       Receptos, Inc.*^      1,510,898   
  47,400       Repligen Corp.*^      1,956,198   
  26,080       Ultragenyx Pharmaceutical, Inc.*^      2,670,331   
     

 

 

 
        14,417,300   
     

 

 

 

 

Building Products (4.9%):

  

  80,120       A.O. Smith Corp.^      5,767,038   
  36,960       Apogee Enterprises, Inc.^      1,945,574   
  62,120       Continental Building Products, Inc.*      1,316,323   
  25,760       Lennox International, Inc.^      2,774,094   
  25,760       Masonite International Corp.*      1,806,034   
     

 

 

 
        13,609,063   
     

 

 

 

 

Capital Markets (0.6%):

  

  39,954       HFF, Inc., Class A^      1,667,280   
     

 

 

 

 

Commercial Services & Supplies (1.1%):

  

  74,820       Mobile Mini, Inc.^      3,145,433   
     

 

 

 

 

Construction Materials (1.1%):

  

  26,120       CaesarStone Sdot-Yam, Ltd.      1,790,265   
  61,210       Headwaters, Inc.*^      1,115,246   
     

 

 

 
        2,905,511   
     

 

 

 

 

Containers & Packaging (0.7%):

  

  63,370       Berry Plastics Group, Inc.*^      2,053,188   
     

 

 

 

 

Diversified Consumer Services (1.6%):

  

  76,004       Bright Horizons Family Solutions, Inc.*^      4,393,031   
     

 

 

 

 

Diversified Financial Services (1.2%):

  

  35,420       MarketAxess Holdings, Inc.^      3,285,913   
     

 

 

 

 

Electronic Equipment, Instruments & Components (1.7%):

  

  52,160       Cognex Corp.^      2,508,895   
  5,050       Fitbit, Inc., Class A*^      193,062   
  22,700       IPG Photonics Corp.*^      1,933,473   
     

 

 

 
        4,635,430   
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Energy Equipment & Services (0.6%):

  

  95,120       Patterson-UTI Energy, Inc.^    $ 1,789,683   
     

 

 

 

 

Food & Staples Retailing (0.5%):

  

  33,440       Diplomat Pharmacy, Inc.*^      1,496,440   
     

 

 

 

 

Food Products (2.1%):

  

  41,850       Freshpet, Inc.*^      778,410   
  53,340       Hain Celestial Group, Inc.*^      3,512,973   
  12,648       J & J Snack Foods Corp.^      1,399,754   
     

 

 

 
        5,691,137   
     

 

 

 

 

Health Care Equipment & Supplies (6.1%):

  

  47,850       Cantel Medical Corp.^      2,568,109   
  39,550       Cardiovascular Systems, Inc.*^      1,046,098   
  70,008       Dexcom, Inc.*^      5,599,239   
  37,900       Inogen, Inc.*^      1,690,340   
  68,230       K2M Group Holdings, Inc.*      1,638,885   
  68,700       Merit Medical Systems, Inc.*^      1,479,798   
  53,180       Spectranetics Corp. (The)*^      1,223,672   
  28,350       West Pharmaceutical Services, Inc.^      1,646,568   
     

 

 

 
        16,892,709   
     

 

 

 

 

Health Care Providers & Services (9.0%):

  

  71,250       Acadia Healthcare Co., Inc.*^      5,581,012   
  53,090       Centene Corp.*^      4,268,436   
  57,420       ExamWorks Group, Inc.*^      2,245,122   
  54,260       HealthEquity, Inc.*      1,739,033   
  27,376       LifePoint Hospitals, Inc.*      2,380,343   
  71,820       Team Health Holdings, Inc.*      4,692,001   
  19,530       Teladoc, Inc.*      371,070   
  70,760       VCA Antech, Inc.*      3,849,698   
     

 

 

 
        25,126,715   
     

 

 

 

 

Health Care Technology (1.6%):

  

  58,210       Omnicell, Inc.*^      2,195,099   
  19,940       Press Ganey Holdings, Inc.*      571,680   
  55,900       Veeva Systems, Inc., Class A*^      1,566,877   
     

 

 

 
        4,333,656   
     

 

 

 

 

Hotels Restaurants & Leisure (0.6%):

  

  46,340       Dave & Buster’s Entertainment, Inc.*^      1,672,411   
     

 

 

 

 

Hotels, Restaurants & Leisure (7.0%):

  

  10,060       Bojangles’, Inc.*      240,032   
  18,890       Buffalo Wild Wings, Inc.*^      2,959,874   
  28,030       Fiesta Restaurant Group, Inc.*^      1,401,500   
  40,730       Jack in the Box, Inc.^      3,590,756   
  104,580       La Quinta Holdings, Inc.*^      2,389,653   
  36,200       Papa John’s International, Inc.^      2,737,082   
  56,980       Popeyes Louisiana Kitchen, Inc.*^      3,418,230   
  23,970       Wingstop, Inc.*      680,748   
  55,100       Zoe’s Kitchen, Inc.*^      2,255,794   
     

 

 

 
        19,673,669   
     

 

 

 

 

Internet & Catalog Retail (1.1%):

  

  41,510       HSN, Inc.^      2,913,587   
     

 

 

 

 

Internet Software & Services (3.5%):

  

  19,920       comScore, Inc.*^      1,060,939   
  27,050       CoStar Group, Inc.*^      5,444,083   
  25,570       Demandware, Inc.*^      1,817,516   
 

 

Continued

 

2


AZL Oppenheimer Discovery Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Internet Software & Services, continued

  

  25,020       Shutterstock, Inc.*^    $ 1,467,173   
     

 

 

 
        9,789,711   
     

 

 

 

 

Life Sciences Tools & Services (1.0%):

  

  30,040       ICON plc*^      2,021,692   
  20,810       INC Research Holdings, Inc., Class A*      834,897   
     

 

 

 
        2,856,589   
     

 

 

 

 

Machinery (3.2%):

  

  50,020       Middleby Corp. (The)*      5,613,744   
  34,690       Wabtec Corp.^      3,269,186   
     

 

 

 
        8,882,930   
     

 

 

 

 

Multiline Retail (1.4%):

  

  74,360       Burlington Stores, Inc.*      3,807,232   
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.1%):

  

  41,830       Diamondback Energy, Inc.*^      3,153,145   
  42,590       Matador Resources Co.*^      1,064,750   
  25,900       PDC Energy, Inc.*^      1,389,276   
     

 

 

 
        5,607,171   
     

 

 

 

 

Pharmaceuticals (1.3%):

  

  32,760       Akorn, Inc.*^      1,430,302   
  45,840       DepoMed, Inc.*^      983,726   
  24,000       Tetraphase Pharmaceuticals, Inc.*      1,138,560   
     

 

 

 
        3,552,588   
     

 

 

 

 

Real Estate Management & Development (0.6%):

  

  38,750       Marcus & Millichap, Inc.*^      1,787,925   
     

 

 

 

 

Semiconductors & Semiconductor Equipment (5.8%):

  

  25,990       Ambarella, Inc.*      2,668,913   
  70,630       Cavium, Inc.*^      4,860,050   
  45,080       MA-COM Technology Solutions Holdings, Inc.*^      1,724,310   
  40,870       Microsemi Corp.*      1,428,407   
  105,600       Monolithic Power Systems, Inc.^      5,354,976   
     

 

 

 
        16,036,656   
     

 

 

 

 

Software (15.8%):

  

  18,010       CyberArk Software, Ltd.*      1,131,388   
  25,020       Ellie Mae, Inc.*^      1,746,146   
  8,900       Globant SA*^      270,827   
  77,140       Guidewire Software, Inc.*^      4,083,020   
  61,140       HubSpot, Inc.*^      3,031,321   
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Software, continued

  

  35,210       Manhattan Associates, Inc.*^    $ 2,100,277   
  90,230       Paylocity Holding Corp.*^      3,234,746   
  89,980       Proofpoint, Inc.*^      5,729,026   
  47,860       ServiceNow, Inc.*^      3,556,477   
  43,820       Tableau Software, Inc., Class A*      5,052,446   
  43,660       Tyler Technologies, Inc.*      5,648,730   
  33,440       Ultimate Software Group, Inc.
(The)*^
     5,495,529   
  41,550       Verint Systems, Inc.*^      2,523,955   
     

 

 

 
        43,603,888   
     

 

 

 

 

Specialty Retail (2.4%):

  

  2,830       Asbury Automotive Group, Inc.*      256,455   
  7,440       DAVIDsTEA, Inc.*      159,886   
  32,120       Lithia Motors, Inc., Class A^      3,634,699   
  96,920       Michaels Cos., Inc. (The)*^      2,608,117   
     

 

 

 
        6,659,157   
     

 

 

 

 

Textiles, Apparel & Luxury Goods (5.3%):

  

  32,670       Carter’s, Inc.      3,472,821   
  22,500       Columbia Sportswear Co.^      1,360,350   
  75,290       G-III Apparel Group, Ltd.*^      5,296,652   
  32,510       Skechers U.S.A., Inc., Class A*      3,569,273   
  24,190       Steven Madden, Ltd.*      1,034,848   
     

 

 

 
        14,733,944   
     

 

 

 

 

Thirfts & Mortgage Finance (0.6%):

  

  58,570       Essent Group, Ltd.*^      1,601,890   
     

 

 

 

 

Total Common Stocks (Cost $205,299,917)

     269,654,785   
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (27.6%):

  

$ 76,649,320       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     76,649,320   
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $76,649,320)

     76,649,320   
     

 

 

 

 

Unaffiliated Investment Company (2.9%):

  

  7,973,243       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      7,973,243   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $7,973,243)

     7,973,243   
     

 

 

 

 

Total Investment Securities (Cost $289,922,480)(c) — 127.8%

     354,277,348   

 

Net other assets (liabilities) — (27.8)%

     (77,020,216
     

 

 

 

 

Net Assets — 100.0%

   $ 277,257,132   
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $76,079,622.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

3


AZL Oppenheimer Discovery Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 289,922,480  
    

 

 

 

Investment securities, at value*

     $ 354,277,348  

Interest and dividends receivable

       60,961  

Receivable for capital shares issued

       620,566  

Receivable for investments sold

       2,000,257  

Prepaid expenses

       436  
    

 

 

 

Total Assets

       356,959,568  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       2,764,374  

Payable for collateral received on loaned securities

       76,649,320  

Manager fees payable

       195,676  

Administration fees payable

       7,375  

Distribution fees payable

       57,552  

Custodian fees payable

       10,484  

Administrative and compliance services fees payable

       300  

Trustee fees payable

       2,132  

Other accrued liabilities

       15,223  
    

 

 

 

Total Liabilities

       79,702,436  
    

 

 

 

Net Assets

     $ 277,257,132  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 154,529,296  

Accumulated net investment income/(loss)

       (677,782 )

Accumulated net realized gains/(losses) from investment transactions

       59,050,750  

Net unrealized appreciation/(depreciation) on investments

       64,354,868  
    

 

 

 

Net Assets

     $ 277,257,132  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       17,288,341  

Net Asset Value (offering and redemption price per share)

     $ 16.04  
    

 

 

 

 

* Includes securities on loan of $76,079,622.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 841,848  

Interest

       7  

Income from securities lending

       175,762  
    

 

 

 

Total Investment Income

       1,017,617  
    

 

 

 

Expenses:

    

Manager fees

       1,241,713  

Administration fees

       39,628  

Distribution fees

       365,208  

Custodian fees

       17,278  

Administrative and compliance services fees

       2,092  

Trustee fees

       8,340  

Professional fees

       9,133  

Shareholder reports

       8,783  

Other expenses

       3,224  
    

 

 

 

Total expenses

       1,695,399  
    

 

 

 

Net Investment Income/(Loss)

       (677,782 )
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       24,350,248  

Change in net unrealized appreciation/depreciation on investments

       8,424,552  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       32,774,800  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 32,097,018  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL Oppenheimer Discovery Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ (677,782 )      $ (2,308,158 )

Net realized gains/(losses) on investment transactions

       24,350,248          34,969,440  

Change in unrealized appreciation/depreciation on investments

       8,424,552          (41,271,956 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       32,097,018          (8,610,674 )
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net realized gains

                (20,524,056 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (20,524,056 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       7,084,935          23,232,764  

Proceeds from dividends reinvested

                20,524,056  

Value of shares redeemed

       (69,347,210 )        (57,754,813 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (62,262,275 )        (13,997,993 )
    

 

 

      

 

 

 

Change in net assets

       (30,165,257 )        (43,132,723 )

Net Assets:

         

Beginning of period

       307,422,389          350,555,112  
    

 

 

      

 

 

 

End of period

     $ 277,257,132        $ 307,422,389  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ (677,782 )      $  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       460,529          1,627,249  

Dividends reinvested

                1,477,614  

Shares redeemed

       (4,508,747 )        (3,978,076 )
    

 

 

      

 

 

 

Change in shares

       (4,048,218 )        (873,213 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

5


AZL Oppenheimer Discovery Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 14.41       $ 15.78       $ 10.94       $ 9.38       $ 9.92       $ 7.70  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       (0.04 )       (0.11 )       (0.10 )       (0.01 )       (0.04 )       0.01  

Net Realized and Unrealized Gains/(Losses) on Investments

       1.67         (0.29 )       5.07         1.57         (0.50 )       2.21  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       1.63         (0.40 )       4.97         1.56         (0.54 )       2.22  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Realized Gains

               (0.97 )       (0.13 )               (a)        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.97 )       (0.13 )               (a)        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.04       $ 14.41       $ 15.78       $ 10.94       $ 9.38       $ 9.92  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       11.31 %(c)       (2.30 )%       45.52 %       16.63 %       (5.39 )%       28.83 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 277,257       $ 307,422       $ 350,555       $ 123,750       $ 79,768       $ 91,473  

Net Investment Income/(Loss)(d)

       (0.46 )%       (0.73 )%       (0.86 )%       (0.07 )%       (0.40 )%       0.11 %

Expenses Before Reductions(d) (e)

       1.16 %       1.16 %       1.16 %       1.18 %       1.19 %       1.22 %

Expenses Net of Reductions(d)

       1.16 %       1.16 %       1.16 %       1.18 %       1.19 %       1.22 %

Portfolio Turnover Rate(f)

       37 %(c)       99 %       79 %(g)       161 %       145 %(h)       97 %

 

(a) Represents less than $0.005.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

(g) Cost of purchases and proceeds from sales of portfolio securities incurred to realign the Fund’s portfolio after the fund merger are excluded from the portfolio turnover rate. If such amounts had not been excluded, the portfolio turnover rate would have been 128%.

 

(h) The portfolio turnover rate for the year ended December 31, 2011 was higher than the prior year primarily due to the amount and timing of sales and purchases of fund shares during the period.

 

See accompanying notes to the financial statements.

 

6


AZL Oppenheimer Discovery Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Oppenheimer Discovery Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL Oppenheimer Discovery Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $81.6 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $17,309 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Oppenheimer Funds, Inc. (“Oppenheimer”), Oppenheimer provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Oppenheimer Discovery Fund

         0.85 %          1.35 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

 

8


AZL Oppenheimer Discovery Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,628 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

During the period ended June 30, 2015, the Fund paid approximately 2,130 to affiliated broker/dealers of the Subadvisor on the execution of purchases and sales of the Fund’s portfolio investments.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks+

       $ 269,654,785          $          $ 269,654,785  

Securities Held as Collateral for Securities on Loan

                    76,649,320            76,649,320  

Unaffiliated Investment Company

         7,973,243                       7,973,243  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 277,628,028          $ 76,649,320          $ 354,277,348  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL Oppenheimer Discovery Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Oppenheimer Discovery Fund

       $ 106,654,366          $ 171,847,475  

6. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $290,849,981. The gross unrealized appreciation/(depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 66,027,950   

Unrealized depreciation

    (2,600,583
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 63,427,367   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Oppenheimer Discovery Fund

       $ 1,775,809          $ 18,748,247          $ 20,524,056  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Oppenheimer Discovery Fund

       $          $ 35,906,187          $          $ 54,724,631          $ 90,630,818  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

7. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Pyramis Total Bond Fund

(formerly AZL® Pyramis Core Bond Fund)

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 12

Statement of Operations

Page 12

Statements of Changes in Net Assets

Page 13

Financial Highlights

Page 14

Notes to the Financial Statements

Page 15

Other Information

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 Pyramis Total Bond Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Pyramis Total Bond Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Pyramis Total Bond Fund

       $ 1,000.00          $ 1,005.90          $ 4.03            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Pyramis Total Bond Fund

       $ 1,000.00          $ 1,020.75          $ 4.06            0.81 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of net assets

Corporate Bonds

      42.1 %

Yankee Dollars

      16.8  

U.S. Treasury Obligations

      12.3  

U.S. Government Agency Mortgages

      10.6  

Collateralized Mortgage Obligations

      10.0  

Securities Held as Collateral for Securities on Loan

      7.9  

Municipal Bonds

      4.8  

Money Markets

      3.1  

Asset Backed Securities

      3.6  
   

 

 

 

Total Investment Securities

      111.2  

Net other assets (liabilities)

      (11.2 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Asset Backed Securities (3.6%):

  

$ 1,155,000       AmeriCredit Automobile Receivables Trust, Class D, Series 2012-5, 2.35%, 12/10/18    $ 1,171,592  
  900,000       AmeriCredit Automobile Receivables Trust, Class D, Series 2013-3, 3.00%, 7/8/19      917,253  
  1,750,000       AmeriCredit Automobile Receivables Trust, Class C, Series 2013-4, 2.72%, 9/9/19      1,787,681  
  1,750,000       AmeriCredit Automobile Receivables Trust, Class D, Series 2013-4, 3.31%, 10/8/19      1,795,722  
  992       CFC LLC, Class A, Series 2013-1A, 1.65%, 7/17/17(a)      992  
  4,220,000       CFC LLC, Class B, Series 2013-1A, 2.75%, 11/15/18(a)      4,248,384  
  107,684       Countrywide Asset-Backed Certificates Trust, Class AF5, Series 2004-7, 5.87%, 1/25/35(b)      112,096  
  213,000       Invitation Homes Trust, Class E, Series 2015-SFR3, 3.93%, 8/17/32(a) (b)      212,513  
  387,000       Santander Drive Auto Receivables Trust, Class C, Series 2014-2, 2.33%, 11/15/19      390,832  
  959,000       Santander Drive Auto Receivables Trust, Class B, Series 2014-3, 1.45%, 5/15/19      960,415  
  963,000       Santander Drive Auto Receivables Trust, Class C, Series 2014-3, 2.13%, 8/17/20      971,120  
  4,220,000       Santander Drive Auto Receivables Trust, Class C, Series 2014-4, 2.60%, 11/16/20      4,279,004  
     

 

 

 

 

Total Asset Backed Securities (Cost $16,705,992)

     16,847,604  
     

 

 

 

 

Collateralized Mortgage Obligations (10.0%):

  
  99,827       Banc of America Commercial Mortgage Trust, Class A4, Series 2007-1, 5.45%, 1/15/49      105,159  
  2,072,018       Banc of America Commercial Mortgage Trust, Class A4, Series 2006-3, 5.89%, 7/10/44(b)      2,134,133  
  638,000       Banc of America Commercial Mortgage Trust, Class A4, Series 2007-2, 5.61%, 4/10/49(b)      667,458  
  189,000       CDGJ Commercial Mortgage Trust, Class DPA, Series 2014-BXCH, 3.19%, 12/15/27(a) (b)      188,486  
  162,451       Citigroup Mortgage Loan Trust, Class A, Series 2012-A, 2.50%, 6/25/51(a)      159,723  
  88,000       Credit Suisse Mortgage Trust, Class B, Series 2015-TOWN, 2.08%, 3/15/17(a) (b)      87,575  
  85,000       Credit Suisse Mortgage Trust, Class C, Series 2015-TOWN, 2.43%, 3/15/17(a) (b)      84,631  
  129,000       Credit Suisse Mortgage Trust, Class D, Series 2015-TOWN, 3.38%, 3/15/17(a) (b)      128,288  
  581,000       Credit Suisse Mortgage Trust, Class E, Series 2015-TOWN, 4.33%, 3/15/17(a) (b)      578,582  
  55,757       Extended Stay America Trust, Class BFL, Series 2013-ESFL, 1.28%, 12/5/31(a) (b)      55,445  
  40,075       Extended Stay America Trust, Class CFL, Series 2013-ESFL, 1.69%, 12/5/31(a) (b)      39,919  
  460,000       GAHR Commercial Mortgage Trust, Class BFX, Series 2015-NRF, 3.38%, 12/15/19(a)      467,432  
  390,000       GAHR Commercial Mortgage Trust, Class CFX, Series 2015-NRF, 3.38%, 12/15/19(a)      389,115  
  330,000       GAHR Commercial Mortgage Trust, Class DFX, Series 2015-NRF, 3.38%, 12/15/19(a)      325,929  
    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  
$ 5,070,000       GE Capital Commercial Mortgage Corp., Class A4, Series 2007-C1, 5.54%, 12/10/49    $ 5,292,238  
  3,700,000       Granite Master Issuer plc, Class M2, Series 2006-1A, 0.77%, 12/20/54(a) (b)      3,619,656  
  3,750,000       Granite Master Issuer plc, Class M2, Series 2006-3, 0.75%, 12/20/54(b)      3,666,025  
  624,309       Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Class A4, Series 2007-GG9, 5.82%, 7/10/38(b)      638,159  
  815,885       Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Class A4, Series 2007-GG9, 5.44%, 3/10/39      857,772  
  297,000       GS Mortgage Securities Trust, Class A4, Series 2006-GG6, 5.55%, 4/10/38(b)      298,685  
  256,346       GS Mortgage Securities Trust, Class A4, Series 2006-GG8, 5.56%, 11/10/39      265,759  
  4,112,000       Hilton USA Trust, Class DFX, Series 2013-HLT, 4.41%, 11/5/30(a)      4,147,680  
  318,182       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2006-LDP7, 5.91%, 4/15/45(b)      325,429  
  73,728       JPMorgan Chase Commercial Mortgage Securities Corp., Class A1A, Series 2006-LDP8, 5.40%, 5/15/45      76,378  
  664,453       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2007-CB18, 5.44%, 6/12/47      696,666  
  5,157,000       JPMorgan Chase Commercial Mortgage Securities Corp., Class A4, Series 2007-LD11, 5.96%, 6/15/49(b)      5,460,269  
  127,000       JPMorgan Chase Commercial Mortgage Securities Corp., Class C, Series 2014-BXH, 1.84%, 4/15/27(a) (b)      126,859  
  271,000       JPMorgan Chase Commercial Mortgage Securities Corp., Class D, Series 2014-BXH, 2.44%, 4/15/27(a) (b)      270,505  
  3,890,329       LB-UBS Commercial Mortgage Trust, Class A3, Series 2007-C7, 5.87%, 9/15/45(b)      4,209,068  
  1,390,000       Merrill Lynch/Countrywide Commercial Mortgage Trust, Class A4, Series 2007-6, 5.48%, 3/12/51(b)      1,468,712  
  444,316       Merrill Lynch/Countrywide Commercial Mortgage Trust, Class A4, Series 2007-5, 5.38%, 8/12/48      463,111  
  2,575,825       Morgan Stanley Capital I, Class A4,
Series 2007-IQ15, 5.91%, 7/11/17(b)
     2,750,196  
  1,970,000       Morgan Stanley Capital I, Class A4,
Series 2007-IQ14, 5.69%, 4/15/49(b)
     2,083,362  
  318,751       Wachovia Bank Commercial Mortgage Trust, Class A1A, Series 2006-C26, 6.01%, 6/15/45(b)      329,583  
  1,008,373       Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2007-C33, 5.95%, 7/15/17(b)      1,059,861  
  1,843,000       Wachovia Bank Commercial Mortgage Trust, Class A4, Series 2007-C31, 5.51%, 4/15/47      1,928,231  
  322,000       Wachovia Bank Commercial Mortgage Trust, Class A5, Series 2007-C31, 5.50%, 4/15/47      342,273  
 

 

Continued

 

2


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Collateralized Mortgage Obligations, continued

  
$ 1,058,000       Wachovia Bank Commercial Mortgage Trust, Class A3, Series 2007-C32, 5.72%, 6/15/49(b)    $ 1,118,685  
     

 

 

 

 

Total Collateralized Mortgage Obligations (Cost $48,341,624)

     46,907,037  
     

 

 

 

 

Corporate Bonds (42.1%):

  

 

Airlines (0.3%):

  

  1,000,000       American Airlines Group, Inc., 5.50%, 10/1/19^(a)      1,007,500  
  133,041       Continental Airlines 1998-1, Class A, Series 981, 6.65%, 9/15/17      137,271  
  224,000       Corporate Office Properties Trust, 5.00%, 7/1/25, Callable 4/1/25 @ 100      224,495  
     

 

 

 
        1,369,266  
     

 

 

 

 

Automobiles (0.2%):

  

  330,000       General Motors Co., 3.50%, 10/2/18      340,728  
  453,000       General Motors Co., 6.25%, 10/2/43^      505,347  
     

 

 

 
        846,075  
     

 

 

 

 

Banks (5.4%):

  

  320,000       Bank of America Corp., Series L, 1.35%, 11/21/16      319,935  
  113,000       Bank of America Corp., 3.88%, 3/22/17      117,484  
  1,200,000       Bank of America Corp., 2.00%, 1/11/18, MTN      1,203,932  
  3,677,000       Bank of America Corp., 2.60%, 1/15/19      3,717,043  
  872,000       Bank of America Corp., Series L, 2.65%, 4/1/19      882,331  
  466,000       Bank of America Corp., 4.20%, 8/26/24      464,878  
  600,000       Bank of America Corp., Series L, 3.95%, 4/21/25^      577,914  
  397,000       Bank of America Corp., 4.25%, 10/22/26      388,902  
  534,000       Capital One NA, Series BNKT, 2.95%, 7/23/21      528,341  
  250,000       Discover Bank, 7.00%, 4/15/20      290,960  
  590,000       Discover Bank, Series BKNT, 3.20%, 8/9/21, Callable 7/9/21 @ 100      581,602  
  4,000,000       First Tennessee Bank, 2.95%, 12/1/19, Callable 11/1/19 @ 100      3,998,012  
  2,400,000       Huntington National Bank (The), 2.00%, 6/30/18      2,402,354  
  400,000       Huntington National Bank (The), 2.20%, 4/1/19, Callable 3/1/19 @ 100      396,911  
  2,221,000       JPMorgan Chase & Co., 3.88%, 9/10/24      2,185,255  
  3,682,000       JPMorgan Chase & Co., 4.13%, 12/15/26      3,620,422  
  28,000       M&I Marshall & Ilsley Bank, Series BKNT, 5.00%, 1/17/17      29,382  
  1,278,000       Regions Bank, Series BKNT, 7.50%, 5/15/18, MTN      1,466,924  
  500,000       Regions Bank, 6.45%, 6/26/37      592,760  
  88,000       Regions Financial Corp., 2.00%, 5/15/18, Callable 4/15/18 @ 100      87,941  
  800,000       Wells Fargo & Co., 4.10%, 6/3/26^      803,372  
     

 

 

 
        24,656,655  
     

 

 

 

 

Biotechnology (0.4%):

  

  1,937,000       Amgen, Inc., 2.20%, 5/22/19, Callable 4/22/19 @ 100      1,931,489  
     

 

 

 

 

Capital Markets (3.1%):

  

  147,000       Affiliated Managers Group, Inc., 4.25%, 2/15/24      151,470  
  524,000       Affiliated Managers Group, Inc., 3.50%, 8/1/25      507,462  
  1,355,000       Goldman Sachs Group, Inc. (The), 6.25%, 9/1/17      1,483,394  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Capital Markets, continued

  

$ 400,000       Goldman Sachs Group, Inc. (The), 1.75%, 9/15/17    $ 399,444  
  1,000,000       Goldman Sachs Group, Inc. (The), 6.15%, 4/1/18      1,111,880  
  1,842,000       Goldman Sachs Group, Inc. (The), 2.90%, 7/19/18      1,885,339  
  1,142,000       Goldman Sachs Group, Inc. (The), 2.63%, 1/31/19      1,156,133  
  399,000       Goldman Sachs Group, Inc. (The), 2.55%, 10/23/19^      399,935  
  490,000       Morgan Stanley, Series G, 5.45%, 1/9/17, MTN      519,253  
  458,000       Morgan Stanley, 1.88%, 1/5/18      459,215  
  1,300,000       Morgan Stanley, Series F, 6.63%, 4/1/18, MTN      1,458,673  
  1,380,000       Morgan Stanley, 2.13%, 4/25/18      1,389,326  
  2,060,000       Morgan Stanley, 2.50%, 1/24/19      2,079,107  
  784,000       Morgan Stanley, Series G, 2.38%, 7/23/19      778,851  
  523,000       Morgan Stanley, 4.88%, 11/1/22      556,319  
  68,000       Retail Opportunity Investments Corp., 5.00%, 12/15/23, Callable 9/15/23 @ 100      71,348  
  104,000       Retail Opportunity Investments Corp., 4.00%, 12/15/24, Callable 9/15/24 @ 100      102,899  
     

 

 

 
        14,510,048  
     

 

 

 

 

Construction Materials (0.2%):

  

  800,000       Building Materials Corp., 5.38%, 11/15/24, Callable 11/15/19 @ 102.39(a)      785,480  
     

 

 

 

 

Consumer Finance (3.1%):

  

  1,150,000       Ally Financial, Inc., 3.25%, 2/13/18^      1,142,813  
  2,750,000       Ally Financial, Inc., 3.75%, 11/18/19      2,729,375  
  900,000       APX Group, Inc., 6.38%, 12/1/19, Callable 12/1/15 @ 105      873,000  
  320,000       Capital One Financial Corp., 2.45%, 4/24/19, Callable 3/24/19 @ 100      320,033  
  1,000,000       Ford Motor Credit Co. LLC, 2.50%, 1/15/16^      1,008,080  
  1,140,000       Ford Motor Credit Co. LLC, 1.50%, 1/17/17      1,138,688  
  324,000       Ford Motor Credit Co. LLC, 3.00%, 6/12/17      331,416  
  600,000       Ford Motor Credit Co. LLC, 5.00%, 5/15/18      645,053  
  533,000       Ford Motor Credit Co. LLC, 2.24%, 6/15/18      533,360  
  600,000       Ford Motor Credit Co. LLC, 2.88%, 10/1/18      609,637  
  1,100,000       Ford Motor Credit Co. LLC, 2.38%, 3/12/19      1,096,454  
  1,000,000       Ford Motor Credit Co. LLC, 2.60%, 11/4/19      992,702  
  751,000       Ford Motor Credit Co. LLC, 5.88%, 8/2/21      854,980  
  12,000       Lazard Group LLC, 6.85%, 6/15/17      13,109  
  311,000       Lazard Group LLC, 4.25%, 11/14/20      327,004  
  900,000       SLM Corp., 5.50%, 1/15/19      917,658  
  94,000       Synchrony Financial, 1.88%, 8/15/17, Callable 7/15/17 @ 100      93,961  
  138,000       Synchrony Financial, 3.00%, 8/15/19, Callable 7/15/19 @ 100^      138,982  
  510,000       Synchrony Financial, 3.75%, 8/15/21, Callable 6/15/21 @ 100      513,880  
  210,000       Synchrony Financial, 4.25%, 8/15/24, Callable 5/15/24 @ 100      210,902  
     

 

 

 
        14,491,087  
     

 

 

 
 

 

Continued

 

3


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Diversified Financial Services (4.6%):

  

$ 270,000       Bank of America NA, Series BKNT, 5.30%, 3/15/17    $ 285,974  
  642,000       Bank of America NA, Series BKNT, 1.65%, 3/26/18      641,043  
  570,000       Citigroup, Inc., 1.30%, 11/15/16      569,693  
  900,000       Citigroup, Inc., 6.00%, 8/15/17      978,919  
  910,000       Citigroup, Inc., 1.85%, 11/24/17      912,220  
  1,043,000       Citigroup, Inc., 1.80%, 2/5/18      1,040,486  
  470,000       Citigroup, Inc., 1.70%, 4/27/18      466,979  
  1,200,000       Citigroup, Inc., 2.50%, 9/26/18      1,213,514  
  1,271,000       Citigroup, Inc., 2.55%, 4/8/19      1,281,586  
  1,573,000       Citigroup, Inc., 2.50%, 7/29/19^      1,575,308  
  730,000       Citigroup, Inc., 4.05%, 7/30/22      747,505  
  1,000,000       Citigroup, Inc., 4.30%, 11/20/26      977,822  
  1,000,000       Discover Financial Services, 5.20%, 4/27/22      1,063,269  
  110,000       General Motors Financial Co., Inc., 2.63%, 7/10/17      111,197  
  180,000       General Motors Financial Co., Inc., 4.75%, 8/15/17      189,957  
  242,000       General Motors Financial Co., Inc., 3.00%, 9/25/17      246,722  
  175,000       General Motors Financial Co., Inc., 3.25%, 5/15/18^      178,980  
  383,000       General Motors Financial Co., Inc., 3.50%, 7/10/19^      391,107  
  5,763,000       General Motors Financial Co., Inc., 4.38%, 9/25/21      5,981,419  
  200,000       General Motors Financial Co., Inc., 4.25%, 5/15/23      202,372  
  378,000       Hyundai Capital America, Inc., 1.45%, 2/6/17(a)      376,794  
  124,000       Hyundai Capital America, Inc., 2.13%, 10/2/17(a)      125,236  
  161,000       Hyundai Capital America, Inc., 2.88%, 8/9/18(a)      164,807  
  378,000       Hyundai Capital America, Inc., 2.55%, 2/6/19(a)      380,949  
  500,000       MSCI, Inc., 5.25%, 11/15/24, Callable 11/15/19 @ 102.65(a)      506,250  
  500,000       Peachtree Funding Trust, 3.98%, 2/15/25^(c)      495,834  
  161,000       Tanger Properties LP, 3.88%, 12/1/23, Callable 9/1/23 @ 100      162,612  
  275,000       Tanger Properties LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100^      271,740  
     

 

 

 
        21,540,294  
     

 

 

 

 

Diversified Telecommunication Services (1.9%):

  

  322,000       AT&T, Inc., 2.45%, 6/30/20, Callable 5/30/20 @ 100      315,647  
  820,000       CenturyLink, Inc., Series N, 6.00%, 4/1/17      854,850  
  28,000       CenturyLink, Inc., Series R, 5.15%, 6/15/17      29,050  
  62,000       CenturyLink, Inc., Series Q, 6.15%, 9/15/19      65,255  
  582,000       Verizon Communications, Inc., 2.63%, 2/21/20      580,692  
  3,751,000       Verizon Communications, Inc., 4.50%, 9/15/20      4,046,334  
  346,000       Verizon Communications, Inc., 6.40%, 9/15/33      396,495  
  500,000       Verizon Communications, Inc., 6.25%, 4/1/37      564,775  
  851,000       Verizon Communications, Inc., 6.55%, 9/15/43      995,461  
  930,000       Verizon Communications, Inc., 5.01%, 8/21/54      853,356  
     

 

 

 
        8,701,915  
     

 

 

 
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Electric Utilities (2.1%):

  

$ 146,000       American Transmission Systems, Inc., 5.00%, 9/1/44, Callable 3/1/44 @ 100(a)    $ 148,375  
  500,000       Entergy Corp., 4.00%, 7/15/22, Callable 5/15/22 @ 100      503,845  
  93,000       Exelon Corp., 1.55%, 6/9/17      93,132  
  436,000       Exelon Corp., 3.95%, 6/15/25, Callable 3/15/25 @ 100      438,572  
  651,000       FirstEnergy Corp., Series A, 2.75%, 3/15/18, Callable 2/15/18 @ 100      660,655  
  1,544,000       FirstEnergy Corp., Series B, 4.25%, 3/15/23, Callable 12/15/22 @ 100^      1,553,638  
  3,602,000       FirstEnergy Corp., Series C, 7.38%, 11/15/31      4,388,687  
  34,000       Ingersoll-Rand Global Holding Co., Ltd., 2.88%, 1/15/19      34,570  
  763,000       IPALCO Enterprises, Inc., 3.45%, 7/15/20, Callable 6/15/20 @ 100(a)      759,185  
  117,000       NV Energy, Inc., 6.25%, 11/15/20      135,520  
  49,000       Puget Energy, Inc., 6.00%, 9/1/21      56,142  
  1,000,000       West Penn Power Co., 5.95%, 12/15/17(a)      1,095,296  
     

 

 

 
        9,867,617  
     

 

 

 

 

Energy Equipment & Services (0.2%):

  

  985,000       Pemex Proj FDG Master TR, 5.75%, 3/1/18      1,071,513  
     

 

 

 

 

Food & Staples Retailing (0.4%):

  

  370,000       Kroger Co. (The), 3.30%, 1/15/21, Callable 12/15/20 @ 100      377,654  
  1,000,000       Post Holdings, Inc., 6.75%, 12/1/21, Callable 12/1/17 @ 103^(a)      1,000,000  
  271,000       Walgreens Boots Alliance, Inc., 3.30%, 11/18/21, Callable 9/18/21 @ 100      269,120  
     

 

 

 
        1,646,774  
     

 

 

 

 

Food Products (0.0%):

  

  130,000       ConAgra Foods, Inc., 1.90%, 1/25/18      128,063  
     

 

 

 

 

Health Care Providers & Services (1.2%):

  

  137,000       Cardinal Health, Inc., 1.95%, 6/15/18      137,230  
  1,000,000       Community Health System, Inc., 6.88%, 2/1/22, Callable 2/1/18 @ 103^      1,055,000  
  500,000       Express Scripts Holding Co., 4.75%, 11/15/21      542,553  
  1,600,000       Express Scripts Holding Co., 3.90%, 2/15/22      1,642,990  
  300,000       McKesson Corp., 2.28%, 3/15/19      299,914  
  1,900,000       Tenet Healthcare Corp., 8.13%, 4/1/22      2,077,650  
     

 

 

 
        5,755,337  
     

 

 

 

 

Health Care Services (0.8%):

  

  355,000       HCA, Inc., 3.75%, 3/15/19      357,663  
  1,900,000       HCA, Inc., 6.50%, 2/15/20^      2,123,249  
  25,000       HCA, Inc., 5.88%, 3/15/22      27,188  
  20,000       HCA, Inc., 4.75%, 5/1/23^      20,250  
  1,400,000       HCA, Inc., 5.38%, 2/1/25      1,422,820  
     

 

 

 
        3,951,170  
     

 

 

 

 

Hotels Restaurants & Leisure (0.2%):

  

  900,000       Scientific Games International, Inc., Registered Shares, 6.63%, 5/15/21, Callable 5/15/17 @ 105      697,500  
     

 

 

 

 

Household Durables (0.2%):

  

  900,000       William Lyon Homes, Inc., 8.50%, 11/15/20, Callable 11/15/16 @ 104      972,000  
     

 

 

 
 

 

Continued

 

4


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Independent Power and Renewable Electricity Producers (1.2%):

  

  900,000       AES Corp., 4.88%, 5/15/23, Callable 3/15/18 @ 102^    $ 846,000  
  1,371,000       Dominion Resources, Inc., Series 06-B, 2.58%, 9/30/66, Callable 9/30/66 @ 100(b)      1,231,372  
  1,000,000       Dynegy, Inc., 7.38%, 11/1/22, Callable 11/1/18 @ 103.69(a)      1,047,500  
  1,400,000       NRG Energy, Inc., 6.25%, 5/1/24, Callable 5/1/19 @ 103^      1,389,500  
  843,552       NSG Holdings, LLC/NSG Holdings, Inc., 7.75%, 12/15/25(a)      930,016  
     

 

 

 
        5,444,388  
     

 

 

 

 

Insurance (1.8%):

  

  600,000       Aon plc, 5.00%, 9/30/20      661,951  
  1,100,000       Five Corners Funding Trust, 4.42%, 11/15/23(a)      1,134,605  
  700,000       Liberty Mutual Group, Inc., 5.00%, 6/1/21(a)      763,881  
  180,000       Liberty Mutual Group, Inc., 4.25%, 6/15/23(a)      185,113  
  978,000       Marsh & McLennan Cos., Inc., 4.80%, 7/15/21, Callable 4/15/21 @ 100      1,081,063  
  300,000       Northwestern Mutual Life Insurance Co. (The), 6.06%, 3/30/40(a)      358,736  
  1,077,000       Pacific Life Corp., 6.00%, 2/10/20(a)      1,216,783  
  500,000       Pacific Life Corp., 9.25%, 6/15/39(a)      746,678  
  436,000       Pacific Life Corp., 5.13%, 1/30/43(a)      439,304  
  65,000       Symetra Financial Corp., 6.13%, 4/1/16(a)      66,935  
  497,000       Teachers Insurance & Annuity Association of America, 4.90%, 9/15/44(a)      506,821  
  114,000       Tiaa Asset Management Finance LLC, 2.95%, 11/1/19(a)      114,797  
  165,000       Tiaa Asset Management Finance LLC, 4.13%, 11/1/24(a)      166,181  
  854,000       Unum Group, 5.75%, 8/15/42      931,888  
     

 

 

 
        8,374,736  
     

 

 

 

 

Life Sciences Tools & Services (0.0%):

  

  66,000       Thermo Fisher Scientific, Inc., 2.40%, 2/1/19      65,928  
     

 

 

 

 

Media (1.5%):

  

  395,000       21st Century Fox, Inc., 7.75%, 12/1/45      537,820  
  900,000       iHeartCommunications, Inc., 5.50%, 12/15/16^      837,000  
  800,000       McGraw-Hill Global Education Holdings, LLC, 9.75%, 4/1/21, Callable 4/16/21 @ 107.31      880,000  
  101,000       Time Warner Cable, Inc., 5.85%, 5/1/17      107,855  
  716,000       Time Warner Cable, Inc., 8.25%, 4/1/19      842,084  
  1,000,000       Time Warner Cable, Inc., 4.13%, 2/15/21, Callable 11/15/20 @ 100      1,032,445  
  623,000       Time Warner Cable, Inc., 4.00%, 9/1/21, Callable 6/1/21 @ 100      639,594  
  155,000       Time Warner Cable, Inc., 6.55%, 5/1/37      161,359  
  280,000       Time Warner Cable, Inc., 7.30%, 7/1/38      315,478  
  1,500,000       Time Warner Cable, Inc., 6.75%, 6/15/39^      1,601,475  
  69,000       Time Warner Cable, Inc., 5.50%, 9/1/41, Callable 3/1/41 @ 100      64,354  
  46,000       Viacom, Inc., 2.50%, 9/1/18      46,479  
     

 

 

 
        7,065,943  
     

 

 

 
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Metals & Mining (0.1%):

  

$ 274,000       Alcoa, Inc., 5.13%, 10/1/24, Callable 7/1/24 @ 100    $ 277,425  
     

 

 

 

 

Multi-Utilities (0.1%):

  

  305,000       FirstEnergy Solutions Co., 6.05%, 8/15/21^      334,147  
  56,000       PG&E Corp., 2.40%, 3/1/19, Callable 2/1/19 @ 100      56,073  
     

 

 

 
        390,220  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.1%):

  

  800,000       Access Midstream Partner, 4.88%, 3/15/24, Callable 3/15/19 @ 102      786,000  
  3,900,000       Anadarko Petroleum Corp., 6.38%, 9/15/17      4,279,875  
  1,000,000       Chesapeake Energy Corp., 6.13%, 2/15/21      940,000  
  1,000,000       Chesapeake Energy Corp., 5.75%, 3/15/23^      905,000  
  88,000       Columbia Pipeline Group, Inc., 2.45%, 6/1/18(a)      88,680  
  434,000       Columbia Pipeline Group, Inc., 3.30%, 6/1/20, Callable 5/1/20 @ 100(a)      435,693  
  132,000       Columbia Pipeline Group, Inc., 4.50%, 6/1/25, Callable 3/1/25 @ 100(a)      129,854  
  166,000       DCP Midstream Operating LLC, 2.50%, 12/1/17, Callable 11/1/17 @ 100^      160,672  
  302,000       DCP Midstream Operating LLC, 2.70%, 4/1/19, Callable 3/1/19 @ 100      284,511  
  500,000       DCP Midstream Operating LLC, 5.35%, 3/15/20(a)      513,993  
  1,300,000       DCP Midstream Operating LLC, 4.75%, 9/30/21(a)      1,284,534  
  163,000       DCP Midstream Operating LLC, 3.88%, 3/15/23, Callable 12/15/22 @ 100      150,599  
  124,000       DCP Midstream Operating LLC, 5.60%, 4/1/44, Callable 10/1/43 @ 100      110,595  
  1,000,000       El Paso Pipeline Partners LP, 5.00%, 10/1/21, Callable 7/1/21 @ 100      1,058,143  
  117,000       Enable Midstream Partners LP, 2.40%, 5/15/19, Callable 4/15/19 @ 100(a)      113,058  
  124,000       Enable Midstream Partners LP, 3.90%, 5/15/24, Callable 2/15/24 @ 100(a)      114,904  
  1,995,000       Ep Energy LLC, 9.38%, 5/1/20, Callable 5/1/16 @ 105^      2,132,056  
  5,000       Ep Energy LLC, 7.75%, 9/1/22, Callable 9/1/17 @ 104^      5,250  
  168,000       Kinder Morgan (Delaware), Inc., 2.00%, 12/1/17      167,490  
  157,000       Kinder Morgan Energy Partners LP, 2.65%, 2/1/19      155,693  
  600,000       Marathon Petroleum Corp., 5.13%, 3/1/21      658,913  
  70,000       MPLX LP, 4.00%, 2/15/25, Callable 11/15/24 @ 100      68,297  
  2,100,000       Peabody Energy Corp., 6.00%, 11/15/18^      1,008,000  
  38,000       Phillips 66 Partners LP, 2.65%, 2/15/20, Callable 1/15/20 @ 100      37,382  
  346,000       Southeast Supply Header LLC, 4.25%, 6/15/24, Callable 3/15/24 @ 100(a)      341,398  
  180,000       Southwestern Energy Co., 3.30%, 1/23/18      184,580  
  327,000       Southwestern Energy Co., 4.05%, 1/23/20, Callable 12/23/19 @ 100      336,056  
 

 

Continued

 

5


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 647,000       Western Gas Partners LP, 5.38%, 6/1/21, Callable 3/1/21 @ 100    $ 698,373  
  299,000       Williams Cos., Inc., 3.70%, 1/15/23, Callable 10/15/22 @ 100      278,402  
  1,466,000       Williams Cos., Inc., 4.55%, 6/24/24, Callable 3/24/24 @ 100      1,420,677  
  285,000       Williams Partners LP, 4.30%, 3/4/24, Callable 12/4/23 @ 100^      280,303  
     

 

 

 
        19,128,981  
     

 

 

 

 

Pharmaceuticals (0.2%):

  

  473,000       Abbvie, Inc., 3.60%, 5/14/25, Callable 2/14/25 @ 100      467,510  
  121,000       Mylan, Inc., 1.35%, 11/29/16^      120,633  
  117,000       Watson Pharmaceuticals, Inc., 1.88%, 10/1/17      117,140  
  57,000       Zoetis, Inc., 1.88%, 2/1/18      56,842  
     

 

 

 
        762,125  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (5.1%):

  

  82,000       Alexandria Real Estate Equities, Inc., 2.75%, 1/15/20, Callable 12/15/19 @ 100      81,166  
  102,000       American Campus Communities, Inc., 3.75%, 4/15/23, Callable 1/15/23 @ 100      100,162  
  500,000       American Tower Corp., 2.80%, 6/1/20, Callable 5/1/20 @ 100      493,052  
  161,000       AvalonBay Communities, Inc., 3.63%, 10/1/20, Callable 7/1/20 @ 100      167,741  
  1,159,000       BioMed Realty LP, 3.85%, 4/15/16, Callable 3/15/16 @ 100      1,180,785  
  215,000       BioMed Realty LP, 2.63%, 5/1/19, Callable 4/1/19 @ 100      214,091  
  500,000       BioMed Realty LP, 4.25%, 7/15/22, Callable 4/15/22 @ 100      506,437  
  151,000       Brandywine Operating Partners LP, 6.00%, 4/1/16      155,901  
  279,000       Brandywine Operating Partners LP, 4.95%, 4/15/18, Callable 3/15/18 @ 100      297,391  
  357,000       Brandywine Operating Partners LP, 3.95%, 2/15/23, Callable 11/15/22 @ 100      354,180  
  394,000       Brandywine Operating Partners LP, 4.10%, 10/1/24, Callable 7/1/24 @ 100      388,571  
  394,000       Brandywine Operating Partners LP, 4.55%, 10/1/29, Callable 7/1/29 @ 100      392,689  
  134,000       Camden Property Trust, 2.95%, 12/15/22      127,668  
  1,625,000       CBRE Services, Inc., 5.00%, 3/15/23, Callable 3/15/18 @ 103      1,641,250  
  255,000       Corporate Office Properties Trust, 3.70%, 6/15/21, Callable 4/15/21 @ 100      252,624  
  1,000,000       DDR Corp., 7.50%, 4/1/17      1,096,148  
  1,114,000       DDR Corp., 4.63%, 7/15/22, Callable 4/15/22 @ 100      1,169,738  
  218,000       DDR Corp., 3.63%, 2/1/25, Callable 11/1/24 @ 100      209,340  
  315,000       Digital Realty Trust LP, 3.95%, 7/1/22^      314,347  
  700,000       Duke Realty Corp., 4.38%, 6/15/22, Callable 3/15/22 @ 100      731,423  
    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

$ 256,000       Duke Realty Corp., 3.88%, 10/15/22, Callable 7/15/22 @ 100    $ 259,198  
  183,000       Duke Realty Corp., 3.63%, 4/15/23, Callable 1/15/23 @ 100      180,897  
  146,000       Duke Realty LP, 3.75%, 12/1/24, Callable 9/1/24 @ 100      145,064  
  70,000       Equity Commonwealth, 5.88%, 9/15/20, Callable 3/15/20 @ 100      76,882  
  500,000       Equity One, Inc., 3.75%, 11/15/22, Callable 8/15/22 @ 100      494,397  
  62,000       Essex Portfolio LP, 5.50%, 3/15/17      65,971  
  1,000,000       Government Properties Income Trust, 3.75%, 8/15/19, Callable 7/5/19 @ 100      1,028,636  
  500,000       HCP, Inc., 3.15%, 8/1/22, Callable 5/1/22 @ 100      481,468  
  800,000       HCP, Inc., 3.88%, 8/15/24, Callable 5/15/24 @ 100      780,671  
  48,000       Health Care REIT, Inc., 4.70%, 9/15/17      51,067  
  143,000       Health Care REIT, Inc., 2.25%, 3/15/18      144,058  
  500,000       Health Care REIT, Inc., 4.13%, 4/1/19, Callable 1/1/19 @ 100      529,238  
  135,000       Lexington Realty Trust, 4.40%, 6/15/24, Callable 3/15/24 @ 100      135,586  
  1,000,000       Liberty Property LP, 4.13%, 6/15/22, Callable 3/15/22 @ 100      1,018,195  
  184,000       Liberty Property LP, 3.38%, 6/15/23, Callable 3/15/23 @ 100      177,743  
  303,000       Mack-Cali Realty LP, 5.80%, 1/15/16      308,910  
  250,000       Mack-Cali Realty LP, 2.50%, 12/15/17      250,957  
  500,000       Mack-Cali Realty LP, 4.50%, 4/18/22, Callable 1/18/22 @ 100      494,240  
  401,000       Mack-Cali Realty LP, 3.15%, 5/15/23, Callable 2/15/23 @ 100^      354,782  
  1,573,000       Mid-America Apartments LP, 4.30%, 10/15/23, Callable 7/15/23 @ 100      1,630,089  
  126,000       Omega Healthcare Investors, Inc., 4.95%, 4/1/24, Callable 1/1/24 @ 100^      128,876  
  128,000       Omega Healthcare Investors, Inc., 4.50%, 1/15/25, Callable 10/15/24 @ 100(a)      125,938  
  1,628,000       Omega Healthcare Investors, Inc., 4.50%, 4/1/27, Callable 1/1/27 @ 100(a)      1,561,628  
  70,000       Post Apartment Homes LP, 3.38%, 12/1/22, Callable 9/1/22 @ 100      67,605  
  80,000       PPF Funding, Inc., 5.70%, 4/15/17(a)      84,136  
  116,000       Reckson Operating Partnership LP, 6.00%, 3/31/16      119,812  
  2,200,000       Sabra Healthcare REIT, Inc., 5.50%, 2/1/21, Callable 2/1/17 @ 104      2,276,999  
  63,000       Ventas Realty LP/Capital Corp., 1.55%, 9/26/16      63,232  
  225,000       Ventas Realty LP/Capital Corp., 2.00%, 2/15/18, Callable 1/15/18 @ 100      226,378  
  111,000       Ventas Realty LP/Capital Corp., 4.00%, 4/30/19, Callable 1/30/19 @ 100      117,287  
  133,000       Ventas Realty LP/Capital Corp., 3.50%, 2/1/25, Callable 11/1/24 @ 100^      127,840  
 

 

Continued

 

6


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Corporate Bonds, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

$ 79,000       Ventas Realty LP/Capital Corp., 4.38%, 2/1/45, Callable 8/1/44 @ 100    $ 70,317  
  67,000       Weingarten Realty Investors, 3.38%, 10/15/22, Callable 7/15/22 @ 100      65,136  
  545,000       WP Carey, Inc., 4.00%, 2/1/25, Callable 12/1/24 @ 100^      521,878  
     

 

 

 
        24,039,815  
     

 

 

 

 

Retail (0.3%):

  

  1,500,000       J.C. Penney Corp., Inc., 8.13%, 10/1/19^      1,485,000  
     

 

 

 

 

Road & Rail (0.3%):

  

  1,000,000       Hertz Corp., 6.75%, 4/15/19, Callable 4/15/15 @ 103      1,031,900  
  450,000       Party City Holdings, Inc., 8.88%, 8/1/20, Callable 8/1/15 @ 107      480,375  
     

 

 

 
        1,512,275  
     

 

 

 

 

Steel (0.2%):

  

  1,000,000       JMC Steel Group, 8.25%, 3/15/18, Callable 5/7/15 @ 104.13^(a)      915,000  
     

 

 

 

 

Tobacco (1.1%):

  

  1,000,000       Altria Group, Inc., 2.63%, 1/14/20, Callable 12/14/19 @ 100^      996,114  
  212,000       Altria Group, Inc., 4.00%, 1/31/24      215,281  
  209,000       Reynolds American, Inc., 2.30%, 6/12/18^      210,562  
  173,000       Reynolds American, Inc., 3.25%, 6/12/20      175,232  
  320,000       Reynolds American, Inc., 4.00%, 6/12/22      326,869  
  186,000       Reynolds American, Inc., 3.25%, 11/1/22      179,147  
  704,000       Reynolds American, Inc., 4.45%, 6/12/25, Callable 3/12/25 @ 100      717,250  
  120,000       Reynolds American, Inc., 5.70%, 8/15/35, Callable 2/15/35 @ 100      124,424  
  600,000       Reynolds American, Inc., 7.25%, 6/15/37      719,552  
  400,000       Reynolds American, Inc., 4.75%, 11/1/42      362,873  
  923,000       Reynolds American, Inc., 5.85%, 8/15/45, Callable 2/12/45 @ 100      968,130  
     

 

 

 
        4,995,434  
     

 

 

 

 

Trading Companies & Distributors (0.6%):

  

  200,000       Air Lease Corp., 2.13%, 1/15/18      198,000  
  334,000       Air Lease Corp., 4.75%, 3/1/20^      354,875  
  379,000       Air Lease Corp., 3.88%, 4/1/21, Callable 3/1/21 @ 100      382,790  
  471,000       Air Lease Corp., 3.75%, 2/1/22, Callable 12/1/21 @ 100      470,717  
  1,331,000       Air Lease Corp., 4.25%, 9/15/24, Callable 6/15/24 @ 100^      1,321,018  
     

 

 

 
        2,727,400  
     

 

 

 

 

Wireless Telecommunication Services (1.5%):

  

  2,100,000       Alcatel-Lucent USA, Inc., 6.75%, 11/15/20, Callable 11/15/16 @ 103(a)      2,220,750  
  233,000       Embarq Corp., 7.08%, 6/1/16      242,303  
  2,990,000       Embarq Corp., 8.00%, 6/1/36      3,315,013  
  1,000,000       Level 3 Financing, Inc., 7.00%, 6/1/20, Callable 6/1/16 @ 104      1,061,250  
     

 

 

 
        6,839,316  
     

 

 

 

 

Total Corporate Bonds (Cost $197,521,447)

     196,946,269  
     

 

 

 
    
Principal
Amount
           Fair Value  

 

Yankee Dollars (16.8%):

  

 

Airlines (0.5%):

  

$ 1,000,000       Air Canada, 6.75%, 10/1/19, Callable 10/1/16 @ 103(a)    $ 1,060,000  
  1,100,000       Air Canada, 7.75%, 4/15/21^(a)      1,174,249  
     

 

 

 
        2,234,249  
     

 

 

 

 

Banks (4.2%):

  

  365,000       Banco Nacional de Desenvolvimento Economico, 3.38%, 9/26/16(a)      367,738  
  754,000       Banco Nacional de Desenvolvimento Economico, 6.37%, 6/16/18(a)      806,780  
  1,820,000       Banco Nacional de Desenvolvimento Economico, 4.00%, 4/14/19(a)      1,838,199  
  126,000       Banco Nacional de Desenvolvimento Economico, 6.50%, 6/10/19(a)      135,923  
  966,000       Banco Nacional de Desenvolvimento Economico, 5.50%, 7/12/20(a)      1,004,640  
  334,000       Banco Nacional de Desenvolvimento Economico, 5.75%, 9/26/23^(a)      340,914  
  470,000       Credit Suisse Group AG, 2.75%, 3/26/20(a)      464,103  
  470,000       Credit Suisse Group AG, 3.75%, 3/26/25(a)      452,456  
  42,000       Credit Suisse, NY, 6.00%, 2/15/18      46,095  
  779,000       Deutsche Bank AG, 4.50%, 4/1/25      741,617  
  205,000       HSBC Holdings plc, 4.25%, 3/14/24      207,047  
  1,161,000       Intesa Sanpaolo SpA, 3.13%, 1/15/16      1,169,850  
  2,700,000       Intesa Sanpaolo SpA, 2.38%, 1/13/17      2,713,269  
  2,550,000       Royal Bank of Scotland Group plc, 6.13%, 12/15/22      2,745,793  
  452,000       Royal Bank of Scotland Group plc, 6.10%, 6/10/23      480,583  
  1,659,000       Royal Bank of Scotland Group plc, 6.00%, 12/19/23      1,756,768  
  2,212,000       Royal Bank of Scotland Group plc, 5.13%, 5/28/24^      2,209,308  
  1,000,000       Sumitomo Mitsui Banking Corp., 1.30%, 1/10/17      1,000,825  
  354,000       UBS AG Stamford CT, 1.38%, 6/1/17      353,172  
  694,000       UBS AG Stamford CT, 1.80%, 3/26/18      692,967  
     

 

 

 
        19,528,047  
     

 

 

 

 

Commercial Services & Supplies (0.2%):

  

  1,000,000       GardaWorld Security Corp., 7.25%, 11/15/21, Callable 11/15/16 @ 105(a)      960,000  
     

 

 

 

 

Containers & Packaging (0.2%):

  

  800,000       Ardagh Finance Holdings SA, Registered Shares, 8.63%, 6/15/19, Callable 6/15/16 @ 104(a)      828,000  
     

 

 

 

 

Diversified Financial Services (0.7%):

  

  1,450,000       Aercap Ireland Capital, Ltd./ and AerCap Global Aviation Trust, 4.63%, 7/1/22      1,453,625  
  900,000       AerCap Ireland Capital, Ltd./ and AerCap Global Aviation Trust, 5.00%, 10/1/21(a)      925,875  
  900,000       BP Capital Markets plc, 4.74%, 3/11/21      993,117  
     

 

 

 
        3,372,617  
     

 

 

 

 

Food & Staples Retailing (0.5%):

  

  2,150,000       JBS Investments GMBH, 7.75%, 10/28/20, Callable 10/28/17 @ 104^(a)      2,338,125  
     

 

 

 
 

 

Continued

 

7


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Insurance (0.0%):

  

$ 200,000       AIA Group, Ltd., 2.25%, 3/11/19(a)    $ 198,685  
     

 

 

 

 

Media (0.3%):

  

  1,000,000       Columbus International, Inc., 7.38%, 3/30/21, Callable 3/30/18 @ 104(a)      1,075,000  
  314,000       Thomson Reuters Corp., 3.85%, 9/29/24, Callable 6/29/24 @ 100^      312,025  
     

 

 

 
        1,387,025  
     

 

 

 

 

Metals & Mining (0.6%):

  

  200,000       Codelco, Inc., 4.88%, 11/4/44(a)      191,029  
  1,500,000       Codelco, Inc., Registered Shares, 4.88%, 11/4/44(a)      1,432,719  
  1,000,000       Vale Overseas, Ltd., 6.25%, 1/11/16^      1,025,050  
     

 

 

 
        2,648,798  
     

 

 

 

 

Miscellaneous Manufacturing (0.0%):

  

  107,000       Ingersoll-Rand Lux Financial Holding, 2.63%, 5/1/20, Callable 4/1/20 @ 100      106,533  
     

 

 

 

 

Oil, Gas & Consumable Fuels (4.8%):

  

  164,000       Canadian Natural Resources, Ltd., 1.75%, 1/15/18      162,891  
  676,000       Canadian Natural Resources, Ltd., 3.90%, 2/1/25, Callable 11/1/24 @ 100^      667,929  
  489,000       Cenovus Energy, Inc., 5.70%, 10/15/19      546,227  
  330,000       Empresa Nacional del Petroleo, 4.38%, 10/30/24(a)      329,858  
  34,000       Noble Holding International, Ltd., 4.00%, 3/16/18      34,810  
  219,000       Noble Holding International, Ltd., 5.95%, 4/1/25, Callable 1/1/25 @ 100^      215,929  
  212,000       Noble Holding International, Ltd., 6.95%, 4/1/45, Callable 10/1/44 @ 100^      195,252  
  385,000       Petrobras Global Finance BV, 1.90%, 5/20/16(b)      379,298  
  1,166,000       Petrobras Global Finance BV, 3.25%, 3/17/17      1,149,804  
  1,080,000       Petrobras Global Finance BV, 3.00%, 1/15/19      998,093  
  2,613,000       Petrobras Global Finance BV, 4.88%, 3/17/20^      2,484,545  
  234,000       Petrobras Global Finance BV, 4.38%, 5/20/23      203,863  
  823,000       Petrobras Global Finance BV, 5.63%, 5/20/43      636,097  
  1,793,000       Petrobras Global Finance BV, 7.25%, 3/17/44^      1,664,549  
  1,000,000       Petrobras International Finance Co., 3.50%, 2/6/17^      989,230  
  206,000       Petrobras International Finance Co., 5.88%, 3/1/18      210,120  
  1,087,000       Petrobras International Finance Co., 5.75%, 1/20/20      1,077,043  
  3,241,000       Petrobras International Finance Co., 5.38%, 1/27/21      3,117,193  
  450,000       Petroleos Mexicanos, 3.50%, 7/18/18      463,815  
  237,000       Petroleos Mexicanos, 8.00%, 5/3/19      277,669  
  151,000       Petroleos Mexicanos, 6.00%, 3/5/20^      168,743  
  515,000       Petroleos Mexicanos, 3.50%, 7/23/20^(a)      520,655  
  285,000       Petroleos Mexicanos, 3.50%, 1/30/23      270,380  
  1,169,000       Petroleos Mexicanos, 4.88%, 1/18/24      1,198,225  
  694,000       Petroleos Mexicanos, 4.50%, 1/23/26(a)      678,316  
  696,000       Petroleos Mexicanos, 6.50%, 6/2/41      723,840  
    
Principal
Amount
           Fair Value  

 

Yankee Dollars, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

$ 1,761,000       Petroleos Mexicanos, 5.50%, 6/27/44    $ 1,620,119  
  673,000       Petroleos Mexicanos, 5.63%, 1/23/46(a)      628,380  
  1,000,000       Transocean, Inc., 5.05%, 12/15/16      1,034,970  
     

 

 

 
        22,647,843  
     

 

 

 

 

Paper & Forest Products (0.2%):

  

  1,100,000       Sappi, Ltd., 6.63%, 4/15/21(a)      1,141,250  
     

 

 

 

 

Pharmaceuticals (0.9%):

  

  774,000       Actavis Funding SCS, 1.30%, 6/15/17      768,774  
  230,000       Actavis Funding SCS, 2.45%, 6/15/19      229,083  
  504,000       Actavis Funding SCS, 3.80%, 3/15/25, Callable 12/15/24 @ 100      495,090  
  731,000       Actavis Funding SCS, 4.75%, 3/15/45, Callable 9/15/44 @ 100      695,951  
  200,000       Perrigo Co. plc, 2.30%, 11/8/18      200,215  
  200,000       Perrigo Finance plc, 3.50%, 12/15/21, Callable 10/15/21 @ 100      200,389  
  200,000       Perrigo Finance plc, 3.90%, 12/15/24, Callable 9/15/24 @ 100      197,484  
  1,210,000       VRX Escrow Corp., 6.13%, 4/15/25, Callable 4/15/20 @ 103^(a)      1,244,788  
     

 

 

 
        4,031,774  
     

 

 

 

 

Sovereign Bonds (2.1%):

  

  900,000       Dominican Republic, 5.50%, 1/27/25(a)      902,250  
  255,000       Italy Government International Bond, 5.38%, 6/12/17      274,286  
  1,170,000       Republic of Argentina, 3.93%, 10/3/15      1,185,210  
  4,500,000       Republic of Argentina, 1.78%, 4/17/17(d)      4,392,000  
  1,500,000       Republic of Belarus, 8.95%, 1/26/18(a)      1,431,375  
  2,000,000       Republic of Venezuela, 5.75%, 2/26/16(a)      1,652,500  
     

 

 

 
        9,837,621  
     

 

 

 

 

Thrifts & Mortgage Finance (0.0%):

  

  200,000       RBS Citizens Financial Group, Inc., 4.15%, 9/28/22(a)      204,233  
     

 

 

 

 

Transportation & Shipping (0.2%):

  

  900,000       Navios Maritime Holdings/Finance, 7.38%, 1/15/22, Callable 1/15/17 @ 106(a)      779,625  
     

 

 

 

 

Wireless Telecommunication Services (1.4%):

  

  1,000,000       Altice SA, 9.88%, 12/15/20(a)      1,100,000  
  3,500,000       Altice SA, 7.75%, 5/15/22, Callable 5/15/17 @ 106^(a)      3,386,250  
  2,100,000       Digicel Group, Ltd., 8.25%, 9/30/20, Callable 9/30/16 @ 104(a)      2,105,250  
     

 

 

 
        6,591,500  
     

 

 

 

 

Total Yankee Dollars (Cost $80,274,575)

     78,835,925  
     

 

 

 

 

Municipal Bonds (4.8%):

  

 

California (1.5%):

  

  10,000       California State, Build America Bonds, GO, 7.35%, 11/1/39      14,038  
  15,000       California State, Build America Bonds, GO, 7.63%, 3/1/40      21,969  
  2,825,000       California State, Build America Bonds, GO, 7.60%, 11/1/40      4,127,835  
 

 

Continued

 

8


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

Municipal Bonds, continued

  

 

California, continued

  

$ 400,000       California State, Build America Bonds, GO, 7.50%, 4/1/34    $ 555,824  
  1,125,000       California State, Build America Bonds, GO, 7.55%, 4/1/39      1,626,266  
  460,000       California State, Build America Bonds, GO, 7.30%, 10/1/39      650,633  
     

 

 

 
        6,996,565  
     

 

 

 

 

Illinois (3.3%):

  

  5,665,000       Illinois State, GO, 5.10%, 6/1/33      5,279,498  
  35,000       Illinois State, GO, 4.96%, 3/1/16      35,823  
  240,000       Illinois State, GO, 4.35%, 6/1/18      246,552  
  105,000       Illinois State, GO, 4.95%, 6/1/23      106,156  
  15,000       Illinois State, GO, 5.37%, 3/1/17      15,656  
  455,000       Illinois State, GO, 1.28%, 12/1/15      455,478  
  420,000       Illinois State, GO, 4.00%, 12/1/20      415,863  
  645,000       Illinois State, GO, 5.67%, 3/1/18      690,111  
  1,340,000       Illinois State, GO, 5.88%, 3/1/19      1,444,922  
  1,935,000       Illinois State, Build America Bonds, GO, 7.35%, 7/1/35      2,141,910  
  105,000       Chicago Illinois, Taxable Project, GO, Series B, 5.43%, 1/1/42      86,775  
  770,000       Chicago Illinois, Taxable Project, GO, Series B, 6.31%, 1/1/44      683,036  
  80,000       Chicago Illinois, GO, Series B, 5.63%, 1/1/22      78,572  
  395,000       Chicago Illinois, Taxable Project, GO, Series C1, 7.78%, 1/1/35      413,178  
  2,500,000       Illinois State Finance Authority Revenue, Series A, 4.55%, 10/1/18      2,555,925  
  10,000       Illinois State, Build America Bonds, GO, Series 3, 5.55%, 4/1/19      10,603  
  185,000       Illinois State, Build America Bonds, GO, 6.20%, 7/1/21      199,145  
  315,000       Illinois State, Build America Bonds, GO, 6.63%, 2/1/35      327,962  
  315,000       Illinois State, Build America Bonds, GO, Series 3, 6.73%, 4/1/35      333,840  
     

 

 

 
        15,521,005  
     

 

 

 

 

Total Municipal Bonds (Cost $22,721,284)

     22,517,570  
     

 

 

 

 

U.S. Government Agency Mortgages (10.6%):

  

 

Federal Home Loan Mortgage Corporation (2.1%)

  

  648,483       4.00%, 6/1/33, Pool #G30718      692,417  
  1,320,837       4.00%, 2/1/41, Pool #A96807      1,401,370  
  165,925       4.50%, 3/1/41, Pool #A97673      179,679  
  268,357       4.50%, 4/1/41, Pool #A97942      290,579  
  686,862       5.00%, 6/1/41, Pool #G06596      771,834  
  117,883       3.50%, 8/1/42, Pool #Q10164      121,566  
  92,749       3.50%, 8/1/42, Pool #Q10392      95,637  
  114,588       3.50%, 8/1/42, Pool #Q10434      118,153  
  124,191       3.50%, 8/1/42, Pool #Q10047      128,071  
  127,628       3.50%, 9/1/42, Pool #Q11244      131,615  
  91,720       4.00%, 11/1/42, Pool #Q13121      97,771  
  76,527       3.50%, 11/1/42, Pool #G07231      78,816  
  850,342       3.50%, 4/1/43, Pool #Q17209      876,707  
  1,073,256       3.50%, 4/1/43, Pool #G07921      1,107,411  
    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal Home Loan Mortgage Corporation, continued

  

$ 181,642       4.00%, 5/1/43, Pool #Q18481    $ 193,548  
  87,483       4.00%, 7/1/43, Pool #Q19597      93,217  
  94,063       4.00%, 10/1/43, Pool #Q22499      100,229  
  957,086       3.00%, 10/1/43, Pool #G08553      953,566  
  559,976       4.00%, 11/1/43, Pool #Q23023      595,479  
  187,704       4.00%, 1/1/44, Pool #V80950      200,074  
  538,485       3.50%, 5/1/45, Pool #Q33547      554,922  
  88,510       3.50%, 6/1/45, Pool #Q33791      91,212  
  572,815       3.50%, 6/1/45, Pool #Q34164      590,300  
  64,490       4.00%, 6/1/45, Pool #Q34467      68,541  
  135,585       4.00%, 7/1/45, Pool #Q34458      144,102  
     

 

 

 
        9,676,816  
     

 

 

 

 

Federal National Mortgage Association (6.4%)

  

  266,849       5.00%, 9/1/23, Pool #254908      294,352  
  94,978       2.50%, 10/1/28, Pool #AU2669      96,725  
  779,085       2.50%, 8/1/29, Pool #AW0052      791,037  
  207,148       3.50%, 1/1/34, Pool #AS1612      216,753  
  95,959       3.50%, 1/1/34, Pool #AS1406      100,458  
  41,844       3.50%, 1/1/34, Pool #AS1614      43,789  
  288,381       3.50%, 1/1/34, Pool #AS1611      301,792  
  69,491       6.00%, 10/1/34, Pool #AL2130      80,119  
  508,246       5.50%, 11/1/34, Pool #725946      572,988  
  248,063       5.50%, 1/1/35, Pool #735141      279,579  
  126,262       5.50%, 9/1/36, Pool #AD0500      142,401  
  868,675       6.00%, 1/1/37, Pool #932030      988,338  
  184,025       6.00%, 3/1/37, Pool #889506      209,277  
  228,560       6.00%, 1/1/38, Pool #889371      263,460  
  78,338       6.00%, 3/1/38, Pool #889219      89,979  
  44,755       6.00%, 7/1/38, Pool #889733      51,241  
  307,913       6.00%, 5/1/40, Pool #AL2129      355,011  
  159,571       4.00%, 12/1/40, Pool #AA4757      169,077  
  73,620       4.00%, 12/1/40, Pool #AE7856      78,047  
  209,981       4.50%, 8/1/41, Pool #AI8715      228,979  
  800,578       4.00%, 10/1/41, Pool #AL2512      853,608  
  29,465       6.00%, 1/1/42, Pool #AL2128      34,114  
  45,710       4.00%, 4/1/42, Pool #AK6908      48,649  
  147,546       4.00%, 4/1/42, Pool #AK5549      157,055  
  220,958       4.50%, 4/1/42, Pool #AK8453      239,154  
  231,662       4.50%, 4/1/42, Pool #AO0186      251,533  
  180,457       4.50%, 6/1/42, Pool #AO6381      195,887  
  198,141       4.50%, 7/1/42, Pool #AO5544      215,107  
  247,866       4.50%, 10/1/42, Pool #AP9743      269,020  
  468,180       2.50%, 2/1/43, Pool #AB8465      449,868  
  377,361       3.00%, 6/1/43, Pool #AT5691      377,692  
  369,759       3.00%, 6/1/43, Pool #AR7110      369,968  
  143,948       3.00%, 6/1/43, Pool #AU5339      144,052  
  344,716       3.00%, 7/1/43, Pool #AU2555      344,910  
  10,700,000       3.00%, 7/25/43      10,660,085  
  1,300,000       4.50%, 6/25/44      1,405,443  
  300,000       5.00%, 7/25/44      331,406  
  1,100,000       4.00%, 7/25/44      1,165,428  
  55,930       4.00%, 12/1/44, Pool #AY0045      59,361  
  70,803       4.00%, 12/1/44, Pool #AW9502      75,073  
  900,629       4.00%, 3/1/45, Pool #AL6541      958,948  
 

 

Continued

 

9


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Principal
Amount
           Fair Value  

 

U.S. Government Agency Mortgages, continued

  

 

Federal National Mortgage Association, continued

  

$ 99,838       4.00%, 5/1/45, Pool #AZ1876    $ 106,179  
  5,800,000       3.50%, 7/25/45      5,977,173  
     

 

 

 
        30,043,115  
     

 

 

 

 

Government National Mortgage Association (2.1%)

  

  25,471       5.00%, 6/15/34, Pool #629493      28,271  
  451,876       5.50%, 6/15/35, Pool #783800      510,747  
  20,694       5.00%, 3/15/38, Pool #676766      22,925  
  15,988       5.00%, 4/15/38, Pool #672672      17,747  
  50,399       5.00%, 8/15/38, Pool #687818      55,940  
  509,839       5.00%, 1/15/39, Pool #705997      565,964  
  442,709       5.00%, 3/15/39, Pool #646746      489,889  
  4,018       5.00%, 3/15/39, Pool #697946      4,457  
  649,269       4.00%, 10/15/40, Pool #783143      692,010  
  1,471,971       4.50%, 3/20/41, Pool #4978      1,606,169  
  531,955       4.50%, 5/20/41, Pool #005055      580,454  
  1,041,903       4.00%, 5/20/41, Pool #5054      1,116,105  
  349,452       4.50%, 6/20/41, Pool #005082      381,313  
  199,948       3.50%, 7/20/42, Pool #MA0220      208,083  
  78,401       3.50%, 4/20/43, Pool #MA0934      81,611  
  693,729       3.00%, 3/20/45, Pool #MA2677      701,397  
  1,391,851       3.50%, 4/20/45, Pool #MA2754      1,452,019  
  200,000       3.50%, 7/20/45      207,570  
  1,000,000       4.00%, 7/20/45      1,059,746  
     

 

 

 
        9,782,417  
     

 

 

 

 

Total U.S. Government Agency Mortgages (Cost $49,388,705)

     49,502,348  
     

 

 

 
Principal
Amount or
Shares
           Fair Value  

 

U.S. Treasury Obligations (12.3%):

  

 

U.S. Treasury Bonds (2.0%)

  

$ 9,575,000       3.00%, 5/15/45    $ 9,383,500  
     

 

 

 

 

U.S. Treasury Inflation Index Bonds (3.0%)

  

  2,700,000       0.25%, 1/15/25      2,645,459  
  4,930,000       1.38%, 2/15/44      5,342,717  
  6,447,000       0.75%, 2/15/45      5,916,907  
     

 

 

 
        13,905,083  
     

 

 

 

 

U.S. Treasury Notes (7.3%)

  

  1,758,000       1.50%, 7/31/16      1,779,427  
  7,320,000       0.50%, 4/30/17      7,307,988  
  13,468,000       0.63%, 5/31/17      13,465,900  
  2,655,000       2.00%, 2/15/25      2,579,497  
  9,141,000       2.13%, 5/15/25      8,975,319  
     

 

 

 
        34,108,131  
     

 

 

 

 

Total U.S. Treasury Obligations (Cost $58,491,049)

     57,396,714  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (7.9%):

  

  37,008,815       Allianz Variable Insurance Products Securities Lending Collateral Trust(e)      37,008,815  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $37,008,815)

     37,008,815  
     

 

 

 

 

Unaffiliated Investment Company (3.1%):

  

  14,657,022       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(d)      14,657,022  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $14,657,022)

     14,657,022  
     

 

 

 

 

Total Investment Securities (Cost $525,110,513)(f) — 111.2%

     520,619,304   

 

Net other assets (liabilities) — (11.2)%

     (52,528,770
     

 

 

 

 

Net Assets — 100.0%

   $ 468,090,534  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

GO—General Obligation

MTN—Medium Term Note

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $35,591,306.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be liquid based on procedures approved by the Board of Trustees.

 

(b) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(c) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these securities represent 0.10% of the net assets of the fund.

 

(d) The rate represents the effective yield at June 30, 2015.

 

(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, 2015.

 

(f) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

10


AZL Pyramis Total Bond Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Argentina

     1.1

Austria

     0.7

Barbados

     0.2

Belarus

     0.3

Bermuda

     0.4

Brazil

     0.9

Canada

     1.2

Cayman Islands

     1.4

Chile

     0.4

Dominican Republic

     0.2

Germany

     0.1

Guernsey

     0.2

Hong Kong

     %NM 

Ireland

     0.6

Italy

     0.8

Japan

     0.2

Luxembourg

     1.5

Marshall Islands

     0.2

Mexico

     1.3

Netherlands

     1.4

Switzerland

     0.2

United Kingdom

     1.6

United States

     84.8

Venezuela

     0.3
  

 

 

 
     100.0
  

 

 

 
 

 

NM Not meaningful, amount is less than 0.05%.

Securities Sold Short (-0.3%):

 

Security Description    Coupon
Rate
  Maturity
Date
   Par
Amount
     Proceeds
Received
     Fair Value      Unrealized
Appreciation/
Deprecation
 

Federal Home Loan Mortgage Corporation

   3.50%   7/15/45    $ (1,200,000 )    $ (1,233,000    $ (1,234,500 )    $ (1,500 )
          

 

 

    

 

 

    

 

 

 
           $ (1,233,000    $ (1,234,500 )    $ (1,500 )
          

 

 

    

 

 

    

 

 

 

 

See accompanying notes to the financial statements.

 

11


AZL Pyramis Total Bond Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 525,110,513  
    

 

 

 

Investment securities, at value*

     $ 520,619,304  

Interest and dividends receivable

       3,933,713  

Receivable for investments sold

       9,429,846  

Prepaid expenses

       594  
    

 

 

 

Total Assets

       533,983,457  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       26,588,838  

Payable for capital shares redeemed

       736,696  

Payable for collateral received on loaned securities

       37,008,815  

Securities sold short (Proceeds received $1,233,000)

       1,234,500  

Interest payable on securities sold short

       1,517  

Manager fees payable

       192,906  

Administration fees payable

       15,438  

Distribution fees payable

       96,453  

Custodian fees payable

       4,243  

Administrative and compliance services fees payable

       393  

Trustee fees payable

       2,541  

Other accrued liabilities

       10,583  
    

 

 

 

Total Liabilities

       65,892,923  
    

 

 

 

Net Assets

     $ 468,090,534  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 457,461,920  

Accumulated net investment income/(loss)

       15,452,902  

Accumulated net realized gains/(losses) from investment transactions

       (331,579 )

Net unrealized appreciation/(depreciation) on investments

       (4,492,709 )
    

 

 

 

Net Assets

     $ 468,090,534  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       45,871,511  

Net Asset Value (offering and redemption price per share)

     $ 10.20  
    

 

 

 

 

* Includes securities on loan of $35,591,306.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Interest

     $ 8,464,090  

Dividends

       19,032  

Income from securities lending

       45,685  
    

 

 

 

Total Investment Income

       8,528,807  
    

 

 

 

Expenses:

    

Manager fees

       1,160,980  

Administration fees

       97,544  

Distribution fees

       580,490  

Custodian fees

       9,561  

Administrative and compliance services fees

       2,953  

Trustee fees

       11,889  

Professional fees

       14,436  

Shareholder reports

       3,576  

Interest on securities sold short

       6,125  

Other expenses

       4,565  
    

 

 

 

Total expenses

       1,892,119  
    

 

 

 

Net Investment Income/(Loss)

       6,636,688  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       560,547  

Net realized gains/(losses) on futures contracts

       128,325  

Change in net unrealized appreciation/depreciation on investments

       (4,581,031 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (3,892,159 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 2,744,529  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

12


Statements of Changes in Net Assets

 

     AZL Pyramis Total Bond Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 6,636,688        $ 8,372,032  

Net realized gains/(losses) on investment transactions

       688,872          6,219,355  

Change in unrealized appreciation/depreciation on investments

       (4,581,031 )        5,528,827  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       2,744,529          20,120,214  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (6,291,393 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (6,291,393 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       23,148,692          116,507,125  

Proceeds from dividends reinvested

                6,291,393  

Value of shares redeemed

       (15,089,355 )        (49,963,875 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       8,059,337          72,834,643  
    

 

 

      

 

 

 

Change in net assets

       10,803,866          86,663,464  

Net Assets:

         

Beginning of period

       457,286,668          370,623,204  
    

 

 

      

 

 

 

End of period

     $ 468,090,534        $ 457,286,668  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 15,452,902        $ 8,816,214  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       2,250,240          11,531,535  

Dividends reinvested

                627,884  

Shares redeemed

       (1,470,150 )        (4,953,034 )
    

 

 

      

 

 

 

Change in shares

       780,090          7,206,385  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

13


AZL Pyramis Total Bond Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  September 5, 2012
to
December 31,
2012 (a)
     (Unaudited)            

Net Asset Value, Beginning of Period

     $ 10.14       $ 9.78       $ 10.06       $ 10.00  
    

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                

Net Investment Income/(Loss)

       0.14         0.18         0.12         0.02  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.08 )       0.34         (0.34 )       0.04  
    

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.06         0.52         (0.22 )       0.06  
    

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                

Net Investment Income

               (0.16 )       (0.04 )        

Net Realized Gains

                       (0.02 )        
    

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.16 )       (0.06 )        
    

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 10.20       $ 10.14       $ 9.78       $ 10.06  
    

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       0.59 %(c)       5.37 %       (2.20 )%       0.60 %(c)

Ratios to Average Net Assets/Supplemental Data:

                

Net Assets, End of Period (000’s)

     $ 468,091       $ 457,287       $ 370,623       $ 357,699  

Net Investment Income/(Loss)(d)

       2.86 %       2.11 %       1.24 %       0.78 %

Expenses Before Reductions(d) (e)

       0.81 %       0.81 %       0.81 %       0.80 %

Expenses Net of Reductions(d)

       0.81 %       0.81 %       0.81 %       0.80 %

Portfolio Turnover Rate(f)

       85 %(c)       421 %       488 %       303 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) The portfolio turnover rate can be volatile due to the amount and timing of purchases and sales of fund shares during the period.

 

See accompanying notes to the financial statements.

 

14


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Pyramis Total Bond Fund (formerly AZL Pyramis Core Bond Fund) (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Securities Purchased on a When-Issued Basis

The Fund may purchase securities on a when-issued basis. When-issued securities are securities purchased for delivery beyond the normal settlement date at a stated price and yield and thereby involve risk that the yield obtained in the transaction will be less than that available in the market when the delivery takes place. A Fund will not pay for such securities or start earning interest on them until they are received. When a Fund agrees to purchase securities on a when-issued basis, the Fund will segregate or designate cash or liquid assets equal to the amount of the commitment. Securities purchased on a when-issued basis are recorded as an asset and are subject to changes in the value based upon changes in the general level of interest rates. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss.

Short Sales

The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.

 

15


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $34.8 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $4,537 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. There were no futures contracts outstanding as of June 30, 2015. The monthly average notional amount for these contracts was $1.9 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

 

16


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Summary of Derivative Instruments

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, 2015:

 

    

Realized Gain (Loss) on Derivatives
Recognized as a Result from Operations

   Net Change in Unrealized
Appreciation (Depreciation)
on Derivatives Recognized
as a Result from Operations
 
Primary Risk Exposure    Net Realized
Gains (Losses) on
Futures Contracts
  

Change in Net Unrealized

Appreciation/Depreciation

on Investments

 

Interest Rate Risk Exposure

     

Interest Rate Contracts

   $128,325      $—   

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Pyramis Global Advisors, LLC (“Pyramis”), Pyramis provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Pyramis Total Bond Fund

         0.50 %          0.95 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.” In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,471 was paid from the Fund relating to these fees and expenses.

 

17


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Asset Backed Securities

       $          $ 16,847,604.00          $ 16,847,604  

Collateralized Mortgage Obligations

                    46,907,037            46,907,037  

Corporate Bonds+

                    196,946,269            196,946,269  

Municipal Bonds

                    22,517,570            22,517,570  

Securities Held as Collateral for Securities on Loan

                    37,008,815            37,008,815  

U.S. Government Agency Mortgages

                    49,502,348            49,502,348  

U.S. Treasury Obligations

                    57,396,714            57,396,714  

Yankee Dollars+

                    78,835,925            78,835,925  

Unaffiliated Investment Company

         14,657,022                       14,657,022  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         14,657,022            505,962,282            520,619,304  
      

 

 

        

 

 

        

 

 

 

Securities Sold Short

                    (1,234,500 )          (1,234,500 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 14,657,022          $ 504,727,782          $ 519,384,804  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

18


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Pyramis Total Bond Fund

       $ 386,664,033          $ 387,966,524  

For the period ended June 30, 2015, purchases and sales on long-term U.S. government securities were as follows:

 

        Purchases      Sales

AZL Pyramis Total Bond Fund

       $ 102,817,035          $ 117,514,652  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $525,293,619. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 3,227,027  

Unrealized depreciation

    (7,901,342
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ (4,674,315
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs not subject to expiration:

 

        Short Term
Amount
     Long Term
Amount
     Total
Amount

AZL Pyramis Total Bond Fund

       $ 983,986          $ 31,085          $ 1,015,071  

During the year ended December 31, 2014, the Fund utilized $5,550,252 in CLCFs to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Pyramis Total Bond Fund

       $ 6,291,393          $          $ 6,291,393  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

 

19


AZL Pyramis Total Bond Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Pyramis Total Bond Fund

       $ 8,819,574          $          $ (1,015,071 )        $ 79,624          $ 7,884,127  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

20


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

21


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Russell 1000 Growth Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 10

Statement of Operations

Page 10

Statements of Changes in Net Assets

Page 11

Financial Highlights

Page 12

Notes to the Financial Statements

Page 13

Other Information

Page 18

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Russell 1000 Growth Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Russell 1000 Growth Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Russell 1000 Growth Index Fund

       $ 1,000.00          $ 1,035.10          $ 3.89            0.77 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Russell 1000 Growth Index Fund

       $ 1,000.00          $ 1,020.98          $ 3.86            0.77 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      26.4 %

Consumer Discretionary

      20.5  

Health Care

      18.0  

Industrials

      10.7  

Consumer Staples

      10.2  

Financials

      5.0  

Materials

      3.8  

Telecommunication Services

      1.8  

Energy

      0.9  

Utilities

      ^
   

 

 

 

Total Common Stocks

      97.3  

Securities Held as Collateral for Securities on Loan

      8.5  

Money Market

      2.7  
   

 

 

 

Total Investment Securities

      108.5  

Net other assets (liabilities)

      (8.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (97.3%):

  

 

Aerospace & Defense (2.7%):

  

  1,030       BE Aerospace, Inc.    $ 56,547  
  6,708       Boeing Co. (The)      930,534  
  866       General Dynamics Corp.      122,704  
  921       Hexcel Corp.^      45,811  
  7,582       Honeywell International, Inc.      773,137  
  472       Huntington Ingalls Industries, Inc.      53,142  
  1,890       Lockheed Martin Corp.      351,351  
  572       Northrop Grumman Corp.      90,736  
  257       Precision Castparts Corp.      51,367  
  1,283       Rockwell Collins, Inc.^      118,485  
  1,268       Spirit AeroSystems Holdings, Inc., Class A*      69,879  
  612       Textron, Inc.      27,314  
  517       TransDigm Group, Inc.*      116,154  
  795       United Technologies Corp.      88,189  
     

 

 

 
        2,895,350  
     

 

 

 

 

Air Freight & Logistics (0.9%):

  

  1,399       C.H. Robinson Worldwide, Inc.^      87,284  
  1,860       Expeditors International of Washington, Inc.      85,755  
  997       FedEx Corp.      169,889  
  6,805       United Parcel Service, Inc., Class B      659,472  
     

 

 

 
        1,002,400  
     

 

 

 

 

Airlines (1.1%):

  

  1,258       Alaska Air Group, Inc.^      81,053  
  6,720       American Airlines Group, Inc.      268,363  
  7,918       Delta Air Lines, Inc.      325,272  
  1,134       JetBlue Airways Corp.*      23,542  
  6,482       Southwest Airlines Co.      214,489  
  708       Spirit Airlines, Inc.*^      43,967  
  3,706       United Continental Holdings, Inc.*      196,455  
     

 

 

 
        1,153,141  
     

 

 

 

 

Auto Components (0.5%):

  

  2,195       BorgWarner, Inc.      124,765  
  2,801       Delphi Automotive plc      238,337  
  1,427       Gentex Corp.      23,431  
  1,391       Johnson Controls, Inc.      68,896  
  571       Lear Corp.      64,100  
  433       Visteon Corp.*      45,456  
     

 

 

 
        564,985  
     

 

 

 

 

Automobiles (0.3%):

  

  1,105       Harley-Davidson, Inc.      62,267  
  946       Tesla Motors, Inc.*^      253,774  
  433       Thor Industries, Inc.      24,369  
     

 

 

 
        340,410  
     

 

 

 

 

Banks (0.1%):

  

  451       Signature Bank*      66,022  
  313       SVB Financial Group*      45,066  
     

 

 

 
        111,088  
     

 

 

 

 

Beverages (3.4%):

  

  1,138       Brown-Forman Corp., Class B      114,005  
  247       Brown-Forman Corp., Class A      27,521  
  38,033       Coca-Cola Co. (The)      1,492,034  
  2,260       Coca-Cola Enterprises, Inc.      98,174  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Beverages, continued

  

  1,587       Constellation Brands, Inc., Class A    $ 184,124  
  1,851       Dr Pepper Snapple Group, Inc.      134,938  
  1,452       Monster Beverage Corp.*      194,597  
  14,317       PepsiCo, Inc.      1,336,349  
     

 

 

 
        3,581,742  
     

 

 

 

 

Biotechnology (6.5%):

  

  251       Agios Pharmaceuticals, Inc.*      27,896  
  2,093       Alexion Pharmaceuticals, Inc.*      378,352  
  1,166       Alkermes plc*      75,020  
  28       Alkermes plc*      1,802  
  589       Alnylam Pharmaceuticals, Inc.*      70,603  
  7,375       Amgen, Inc.      1,132,210  
  2,282       Biogen Idec, Inc.*      921,791  
  1,556       BioMarin Pharmaceutical, Inc.*      212,830  
  319       Bluebird Bio, Inc.*      53,710  
  7,693       Celgene Corp.*      890,349  
  14,254       Gilead Sciences, Inc.      1,668,859  
  1,518       Incyte Corp.*      158,191  
  155       Intercept Pharmaceuticals, Inc.*      37,414  
  449       Intrexon Corp.      21,911  
  1,162       Isis Pharmaceuticals, Inc.*      66,873  
  116       Juno Therapeutics, Inc.*^      6,186  
  764       Medivation, Inc.*      87,249  
  2,278       OPKO Health, Inc.*      36,630  
  243       Puma Biotechnology, Inc.*      28,370  
  307       Receptos, Inc.*      58,345  
  761       Regeneron Pharmaceuticals, Inc.*      388,209  
  921       Seattle Genetics, Inc.*^      44,576  
  452       United Therapeutics Corp.*^      78,625  
  2,365       Vertex Pharmaceuticals, Inc.*      292,030  
     

 

 

 
        6,738,031  
     

 

 

 

 

Building Products (0.3%):

  

  721       A.O. Smith Corp.      51,898  
  909       Allegion plc      54,667  
  239       Armstrong World Industries, Inc.*      12,734  
  542       Fortune Brands Home & Security, Inc.      24,834  
  393       Lennox International, Inc.      42,322  
  3,360       Masco Corp.      89,611  
  876       USG Corp.*^      24,344  
     

 

 

 
        300,410  
     

 

 

 

 

Capital Markets (1.3%):

  

  531       Affiliated Managers Group, Inc.*      116,077  
  1,466       Ameriprise Financial, Inc.      183,147  
  345       Artisan Partners Asset Management, Inc.^      16,029  
  1,175       Bank of New York Mellon Corp. (The)      49,315  
  387       BlackRock, Inc., Class A+      133,894  
  7,857       Charles Schwab Corp. (The)      256,532  
  1,133       Eaton Vance Corp.^      44,334  
  910       Federated Investors, Inc., Class B^      30,476  
  49       Interactive Brokers Group, Inc., Class A      2,036  
  523       Invesco, Ltd.      19,607  
  1,223       Lazard, Ltd., Class A      68,781  
  310       Legg Mason, Inc.      15,974  
 

 

Continued

 

2


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Capital Markets, continued

  

  800       LPL Financial Holdings, Inc.^    $ 37,192  
  1,881       NorthStar Asset Management Group, Inc.      34,780  
  1,352       SEI Investments Co.      66,289  
  2,528       T. Rowe Price Group, Inc.      196,501  
  2,216       TD Ameritrade Holding Corp.      81,593  
  767       Waddell & Reed Financial, Inc., Class A      36,287  
     

 

 

 
        1,388,844  
     

 

 

 

 

Chemicals (3.1%):

  

  1,715       Air Products & Chemicals, Inc.      234,663  
  149       Airgas, Inc.      15,761  
  63       Ashland, Inc.      7,680  
  979       Axalta Coating Systems, Ltd.*      32,385  
  106       Celanese Corp., Series A      7,619  
  2,283       CF Industries Holdings, Inc.      146,751  
  61       Cytec Industries, Inc.      3,692  
  1,465       Dow Chemical Co. (The)      74,964  
  4,057       E.I. du Pont de Nemours & Co.      259,445  
  360       Eastman Chemical Co.      29,455  
  2,561       Ecolab, Inc.      289,572  
  938       FMC Corp.      49,292  
  1,260       Huntsman Corp.      27,808  
  785       International Flavor & Fragrances, Inc.      85,793  
  3,734       LyondellBasell Industries NV, Class A      386,544  
  4,618       Monsanto Co.      492,232  
  85       NewMarket Corp.^      37,731  
  191       Platform Speciality Products Corp.*      4,886  
  2,637       PPG Industries, Inc.      302,517  
  2,330       Praxair, Inc.      278,552  
  1,293       RPM International, Inc.      63,318  
  393       Scotts Miracle-Gro Co. (The)      23,270  
  786       Sherwin Williams Co.^      216,166  
  452       Sigma Aldrich Corp.      62,986  
  797       Valspar Corp. (The)^      65,211  
  706       W.R. Grace & Co.*      70,812  
     

 

 

 
        3,269,105  
     

 

 

 

 

Commercial Services & Supplies (0.5%):

  

  926       Cintas Corp.      78,330  
  385       Clean Harbors, Inc.*^      20,690  
  1,228       Copart, Inc.*      43,569  
  1,110       Covanta Holding Corp.^      23,521  
  801       Iron Mountain, Inc.^      24,831  
  462       KAR Auction Services, Inc.      17,279  
  758       Pitney Bowes, Inc.      15,774  
  1,063       R.R. Donnelley & Sons Co.      18,528  
  896       Rollins, Inc.      25,563  
  825       Stericycle, Inc.*      110,476  
  3,570       Tyco International plc      137,374  
  373       Waste Management, Inc.      17,289  
     

 

 

 
        533,224  
     

 

 

 

 

Communications Equipment (0.5%):

  

  327       Arista Networks, Inc.*^      26,729  
  221       Arris Group, Inc.*      6,763  
  453       CommScope Holding Co., Inc.*      13,821  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Communications Equipment, continued

  

  698       F5 Networks, Inc.*    $ 84,004  
  205       Harris Corp.      15,767  
  678       Juniper Networks, Inc.      17,608  
  2,046       Motorola Solutions, Inc.      117,318  
  704       Palo Alto Networks, Inc.*^      122,988  
  2,404       QUALCOMM, Inc.      150,562  
     

 

 

 
        555,560  
     

 

 

 

 

Construction & Engineering (0.0%):

  

  193       Aecom Technology Corp.*      6,384  
  393       Quanta Services, Inc.*      11,327  
     

 

 

 
        17,711  
     

 

 

 

 

Construction Materials (0.1%):

  

  471       Eagle Materials, Inc.      35,952  
  92       Martin Marietta Materials, Inc.^      13,019  
  169       Vulcan Materials Co.      14,184  
     

 

 

 
        63,155  
     

 

 

 

 

Consumer Finance (0.2%):

  

  346       Ally Financial, Inc.*      7,761  
  1,627       American Express Co.      126,450  
  83       Credit Acceptance Corp.*      20,433  
  70       Santander Consumer USA Holdings, Inc.*      1,790  
  3,799       SLM Corp.*      37,496  
     

 

 

 
        193,930  
     

 

 

 

 

Containers & Packaging (0.4%):

  

  113       AptarGroup, Inc.^      7,206  
  822       Avery Dennison Corp.      50,093  
  1,338       Ball Corp.      93,861  
  104       Bemis Co., Inc.      4,681  
  595       Crown Holdings, Inc.*      31,481  
  1,841       Graphic Packaging Holding Co.      25,645  
  99       Owens-Illinois, Inc.*      2,271  
  950       Packaging Corp. of America      59,366  
  261       Rock-Tenn Co., Class A      15,712  
  2,035       Sealed Air Corp.      104,558  
  411       Silgan Holdings, Inc.^      21,684  
     

 

 

 
        416,558  
     

 

 

 

 

Distributors (0.2%):

  

  1,372       Genuine Parts Co.      122,835  
  2,951       LKQ Corp.*      89,253  
     

 

 

 
        212,088  
     

 

 

 

 

Diversified Consumer Services (0.2%):

  

  2,497       H&R Block, Inc.      74,037  
  1,961       Service Corp. International^      57,712  
  997       ServiceMaster Global Holdings, Inc.*      36,061  
     

 

 

 
        167,810  
     

 

 

 

 

Diversified Financial Services (0.8%):

  

  1,173       Berkshire Hathaway, Inc., Class B*      159,657  
  810       CBOE Holdings, Inc.      46,348  
  385       IntercontinentalExchange Group, Inc.      86,090  
  428       Leucadia National Corp.^      10,392  
  2,655       McGraw-Hill Cos., Inc. (The)      266,695  
  1,722       Moody’s Corp.      185,907  
 

 

Continued

 

3


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Diversified Financial Services, continued

  

  1,091       MSCI, Inc., Class A    $ 67,151  
     

 

 

 
        822,240  
     

 

 

 

 

Diversified Telecommunication Services (1.7%):

  

  334       Level 3 Communications, Inc.*      17,592  
  36,710       Verizon Communications, Inc.      1,711,053  
  1       Windstream Holdings, Inc.      3  
  1,205       Zayo Group Holdings, Inc.*^      30,993  
     

 

 

 
        1,759,641  
     

 

 

 

 

Electric Utilities (0.0%):

  

  556       ITC Holdings Corp.      17,892  
     

 

 

 

 

Electrical Equipment (0.6%):

  

  422       Acuity Brands, Inc.      75,952  
  2,343       AMETEK, Inc.      128,350  
  207       Babcock & Wilcox Co. (The)      6,790  
  4,467       Emerson Electric Co.      247,605  
  75       Hubbell, Inc., Class B      8,121  
  24       Regal-Beloit Corp.      1,742  
  1,305       Rockwell Automation, Inc.^      162,655  
  574       Solarcity Corp.*^      30,738  
     

 

 

 
        661,953  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.4%):

  

  2,997       Amphenol Corp., Class A      173,735  
  1,280       CDW Corp.      43,878  
  846       Cognex Corp.      40,693  
  858       FLIR Systems, Inc.      26,444  
  85       Ingram Micro, Inc., Class A*      2,128  
  336       IPG Photonics Corp.*^      28,619  
  350       Jabil Circuit, Inc.      7,452  
  1,379       Keysight Technologies, Inc.*      43,011  
  240       National Instruments Corp.      7,070  
  134       Trimble Navigation, Ltd.*      3,144  
  502       Zebra Technologies Corp., Class A*      55,747  
     

 

 

 
        431,921  
     

 

 

 

 

Energy Equipment & Services (0.2%):

  

  747       Dresser-Rand Group, Inc.*      63,630  
  1,459       FMC Technologies, Inc.*      60,534  
  168       Oceaneering International, Inc.      7,827  
  70       RPC, Inc.^      968  
  1,491       Schlumberger, Ltd.      128,509  
     

 

 

 
        261,468  
     

 

 

 

 

Entertainment (0.0%):

  

  615       International Game Technology plc*      10,922  
     

 

 

 

 

Food & Staples Retailing (2.2%):

  

  4,268       Costco Wholesale Corp.      576,436  
  10,145       CVS Health Corp.      1,064,008  
  4,755       Kroger Co. (The)      344,785  
  5,697       Rite AID Corp.*      47,570  
  1,488       Sprouts Farmers Market, Inc.*^      40,146  
  1,797       Sysco Corp.^      64,872  
  1,260       Walgreens Boots Alliance, Inc.      106,394  
  3,184       Whole Foods Market, Inc.      125,577  
     

 

 

 
        2,369,788  
     

 

 

 

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Common Stocks, continued

  

 

Food Products (1.7%):

  

  995       Campbell Soup Co.^    $ 47,412  
  564       ConAgra Foods, Inc.      24,658  
  1,504       Flowers Foods, Inc.^      31,810  
  5,793       General Mills, Inc.^      322,786  
  996       Hain Celestial Group, Inc.*^      65,597  
  1,409       Hershey Co.      125,161  
  1,298       Hormel Foods Corp.      73,168  
  86       Ingredion, Inc.      6,864  
  2,180       Kellogg Co.^      136,686  
  1,254       Keurig Green Mountain, Inc.^      96,094  
  5,742       Kraft Foods Group, Inc.      488,873  
  1,230       McCormick & Co.^      99,569  
  1,965       Mead Johnson Nutrition Co.      177,282  
  104       Pilgrim’s Pride Corp.^      2,389  
  137       Tyson Foods, Inc., Class A^      5,840  
  1,699       WhiteWave Foods Co., Class A*      83,047  
     

 

 

 
        1,787,236  
     

 

 

 

 

Health Care Equipment & Supplies (1.8%):

  

  531       Alere, Inc.*      28,010  
  769       Align Technology, Inc.*      48,224  
  3,353       Baxter International, Inc.      234,475  
  2,031       Becton, Dickinson & Co.      287,691  
  1,015       Boston Scientific Corp.*      17,966  
  719       C.R. Bard, Inc.      122,733  
  320       Cooper Cos., Inc. (The)      56,950  
  348       DENTSPLY International, Inc.      17,939  
  770       Dexcom, Inc.*      61,585  
  1,044       Edwards Lifesciences Corp.*      148,697  
  506       Hill-Rom Holdings, Inc.      27,491  
  2,385       Hologic, Inc.*      90,773  
  898       IDEXX Laboratories, Inc.*^      57,598  
  358       Intuitive Surgical, Inc.*      173,451  
  1,367       ResMed, Inc.^      77,058  
  539       Sirona Dental Systems, Inc.*^      54,126  
  1,539       St. Jude Medical, Inc.      112,455  
  1,661       Stryker Corp.      158,742  
  968       Varian Medical Systems, Inc.*      81,631  
  103       Zimmer Holdings, Inc.      11,251  
     

 

 

 
        1,868,846  
     

 

 

 

 

Health Care Providers & Services (3.9%):

  

  502       Acadia Healthcare Co., Inc.*      39,322  
  834       Aetna, Inc.      106,302  
  2,129       AmerisourceBergen Corp.      226,398  
  509       Anthem, Inc.      83,547  
  386       Brookdale Senior Living, Inc.*      13,394  
  2,901       Cardinal Health, Inc.      242,669  
  1,142       Catamaran Corp.*      69,753  
  1,153       Centene Corp.*      92,701  
  2,497       CIGNA Corp.      404,514  
  493       DaVita, Inc.*      39,179  
  1,801       Envision Healthcare Holdings, Inc.*      71,103  
  5,942       Express Scripts Holding Co.*^      528,481  
  243       HCA Holdings, Inc.*      22,045  
  124       Health Net, Inc.*      7,951  
 

 

Continued

 

4


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

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Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  805       Henry Schein, Inc.*    $ 114,407  
  1,346       Humana, Inc.      257,463  
  323       Laboratory Corp. of America Holdings*      39,154  
  43       LifePoint Hospitals, Inc.*      3,739  
  2,246       McKesson, Inc.      504,923  
  524       MEDNAX, Inc.*^      38,834  
  319       Omnicare, Inc.      30,066  
  457       Patterson Cos., Inc.      22,233  
  365       Premier, Inc., Class A*      14,038  
  963       Tenet Healthcare Corp.*      55,738  
  8,771       UnitedHealth Group, Inc.      1,070,061  
  161       Universal Health Services, Inc., Class B      22,878  
  752       VCA Antech, Inc.*      40,913  
     

 

 

 
        4,161,806  
     

 

 

 

 

Health Care Technology (0.3%):

  

  546       Allscripts Healthcare Solutions, Inc.*^      7,469  
  374       athenahealth, Inc.*^      42,853  
  2,907       Cerner Corp.*      200,758  
  1,297       IMS Health Holdings, Inc.*      39,753  
  246       Inovalon Holdings, Inc., Class A*      6,863  
  689       Veeva Systems, Inc., Class A*^      19,313  
     

 

 

 
        317,009  
     

 

 

 

 

Hotels, Restaurants & Leisure (3.2%):

  

  1,716       Aramark Holdings Corp.      53,145  
  593       Brinker International, Inc.^      34,186  
  302       Chipotle Mexican Grill, Inc.*      182,707  
  344       Choice Hotels International, Inc.^      18,662  
  243       Darden Restaurants, Inc.      17,272  
  536       Domino’s Pizza, Inc.^      60,782  
  919       Dunkin’ Brands Group, Inc.      50,545  
  580       Extended Stay America, Inc.      10,887  
  5,038       Hilton Worldwide Holdings, Inc.*      138,797  
  3,545       Las Vegas Sands Corp.^      186,361  
  2,033       Marriott International, Inc., Class A^      151,235  
  9,297       McDonald’s Corp.      883,865  
  279       MGM Resorts International*      5,092  
  1,172       Norwegian Cruise Line Holdings, Ltd.*      65,679  
  246       Panera Bread Co., Class A*^      42,993  
  686       Six Flags Entertainment Corp.^      30,767  
  14,554       Starbucks Corp.      780,313  
  1,658       Starwood Hotels & Resorts Worldwide, Inc.      134,447  
  1,165       Wyndham Worldwide Corp.      95,425  
  698       Wynn Resorts, Ltd.^      68,872  
  4,194       Yum! Brands, Inc.      377,796  
     

 

 

 
        3,389,828  
     

 

 

 

 

Household Durables (0.6%):

  

  1,319       D.R. Horton, Inc.      36,088  
  866       GoPro, Inc., Class A*^      45,656  
  691       Harman International Industries, Inc.      82,188  
  1,868       Jarden Corp.*      96,668  
  1,337       Leggett & Platt, Inc.^      65,085  
  37       Lennar Corp., Class B      1,595  
  662       Lennar Corp., Class A^      33,788  

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Household Durables, continued

  

  421       Mohawk Industries, Inc.*    $ 80,369  
  1,314       Newell Rubbermaid, Inc.      54,019  
  40       NVR, Inc.*      53,600  
  572       Tempur-Pedic International, Inc.*^      37,695  
  595       Toll Brothers, Inc.*      22,723  
  458       Tupperware Brands Corp.^      29,559  
  58       Whirlpool Corp.      10,037  
     

 

 

 
        649,070  
     

 

 

 

 

Household Products (1.0%):

  

  1,281       Church & Dwight Co., Inc.      103,928  
  1,005       Clorox Co. (The)^      104,540  
  7,695       Colgate-Palmolive Co.      503,329  
  2,801       Kimberly-Clark Corp.      296,822  
  246       Spectrum Brands Holdings, Inc.      25,090  
     

 

 

 
        1,033,709  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.0%):

  

  419       Calpine Corp.*      7,538  
     

 

 

 

 

Industrial Conglomerates (1.1%):

  

  6,153       3M Co.      949,407  
  138       Carlisle Cos., Inc.      13,817  
  1,159       Danaher Corp.      99,199  
  374       Roper Industries, Inc.      64,500  
     

 

 

 
        1,126,923  
     

 

 

 

 

Insurance (0.5%):

  

  21       AmTrust Financial Services      1,376  
  2,734       Aon plc      272,525  
  905       Arthur J. Gallagher & Co.      42,807  
  230       Erie Indemnity Co., Class A      18,876  
  14       Markel Corp.*      11,210  
  3,120       Marsh & McLennan Cos., Inc.      176,903  
     

 

 

 
        523,697  
     

 

 

 

 

Internet & Catalog Retail (2.8%):

  

  3,698       Amazon.com, Inc.*      1,605,264  
  953       Expedia, Inc.^      104,211  
  4,804       Groupon, Inc.*^      24,164  
  296       HomeAway, Inc.*      9,212  
  1,953       Liberty Media Corp. — Interactive, Class A*      54,196  
  1,352       Liberty Ventures, Inc., Series A*      53,093  
  588       Netflix, Inc.*      386,281  
  503       Priceline Group, Inc. (The)*      579,139  
  1,088       TripAdvisor, Inc.*^      94,808  
     

 

 

 
        2,910,368  
     

 

 

 

 

Internet Software & Services (6.2%):

  

  1,732       Akamai Technologies, Inc.*      120,928  
  315       CoStar Group, Inc.*^      63,397  
  11,783       eBay, Inc.*      709,808  
  553       Equinix, Inc.      140,462  
  20,990       Facebook, Inc., Class A*      1,800,206  
  229       GoDaddy, Inc., Class A*      6,456  
  2,854       Google, Inc., Class C*      1,485,536  
  2,796       Google, Inc., Class A*      1,509,952  
  713       IAC/InterActiveCorp      56,798  
 

 

Continued

 

5


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

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Common Stocks, continued

  

 

Internet Software & Services, continued

  

  648       LendingClub Corp.*    $ 9,558  
  1,062       LinkedIn Corp., Class A*      219,441  
  1,195       Rackspace Hosting, Inc.*      44,442  
  5,482       Twitter, Inc.*^      198,558  
  1,004       VeriSign, Inc.*^      61,967  
  630       Yelp, Inc.*^      27,109  
  256       Zillow Group, Inc., Class A*^      22,205  
     

 

 

 
        6,476,823  
     

 

 

 

 

IT Services (5.3%):

  

  6,093       Accenture plc, Class A      589,680  
  602       Alliance Data Systems Corp.*      175,748  
  3,657       Automatic Data Processing, Inc.      293,401  
  177       Black Knight Financial Services, Inc., Class A*      5,464  
  914       Booz Allen Hamilton Holding Corp.      23,069  
  1,137       Broadridge Financial Solutions, Inc.      56,861  
  5,922       Cognizant Technology Solutions Corp., Class A*      361,775  
  393       CoreLogic, Inc.*      15,598  
  276       DST Systems, Inc.      34,770  
  1,185       Fidelity National Information Services, Inc.      73,233  
  2,297       Fiserv, Inc.*      190,261  
  891       FleetCor Technologies, Inc.*      139,049  
  806       Gartner, Inc.*      69,139  
  1,543       Genpact, Ltd.*      32,912  
  642       Global Payments, Inc.      66,415  
  4,888       International Business Machines Corp.      795,082  
  797       Jack Henry & Associates, Inc.      51,566  
  56       Leidos Holdings, Inc.      2,261  
  9,696       MasterCard, Inc., Class A      906,382  
  2,734       Paychex, Inc.^      128,170  
  1,103       Sabre Corp.^      26,251  
  1,024       Teradata Corp.*^      37,888  
  1,603       Total System Services, Inc.      66,957  
  1,391       Vantive, Inc., Class A*      53,122  
  1,104       VeriFone Systems, Inc.*      37,492  
  18,986       Visa, Inc., Class A^      1,274,911  
  5,008       Western Union Co.^      101,813  
  375       Wex, Inc.*      42,739  
     

 

 

 
        5,652,009  
     

 

 

 

 

Leisure Products (0.2%):

  

  663       Brunswick Corp.      33,720  
  878       Hasbro, Inc.^      65,666  
  645       Polaris Industries, Inc.^      95,531  
  81       Vista Outdoor, Inc.*      3,637  
     

 

 

 
        198,554  
     

 

 

 

 

Life Sciences Tools & Services (0.8%):

  

  149       Bio-Techne Corp.      14,672  
  1,036       Bruker Corp.*      21,145  
  460       Charles River Laboratories International, Inc.*      32,356  
  1,398       Illumina, Inc.*      305,267  
  272       Mettler-Toledo International, Inc.*      92,877  
  171       PerkinElmer, Inc.^      9,001  
  728       Quintiles Transnational Holdings, Inc.*      52,860  
  1,302       Thermo Fisher Scientific, Inc.      168,948  

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Life Sciences Tools & Services, continued

  

  151       VWR Corp.*^    $ 4,036  
  799       Waters Corp.*      102,576  
     

 

 

 
        803,738  
     

 

 

 

 

Machinery (1.5%):

  

  947       Allison Transmission Holdings, Inc.      27,709  
  1,019       Caterpillar, Inc.^      86,432  
  1,309       Cummins, Inc.      171,728  
  583       Deere & Co.^      56,580  
  1,192       Donaldson Co., Inc.^      42,674  
  608       Flowserve Corp.      32,017  
  571       Graco, Inc.^      40,558  
  701       IDEX Corp.      55,085  
  2,903       Illinois Tool Works, Inc.      266,466  
  180       Ingersoll-Rand plc      12,136  
  676       Lincoln Electric Holdings, Inc.      41,162  
  557       Middleby Corp. (The)*      62,512  
  591       Nordson Corp.^      46,033  
  3,111       PACCAR, Inc.^      198,513  
  1,035       Pall Corp.      128,806  
  610       Parker Hannifin Corp.^      70,961  
  564       Snap-On, Inc.      89,817  
  138       Stanley Black & Decker, Inc.      14,523  
  531       Toro Co.      35,991  
  21       Valmont Industries, Inc.^      2,496  
  534       WABCO Holdings, Inc.*^      66,066  
  938       Wabtec Corp.      88,397  
     

 

 

 
        1,636,662  
     

 

 

 

 

Media (6.0%):

  

  581       AMC Networks, Inc., Class A*      47,555  
  283       Cablevision Systems Corp., Class A      6,775  
  4,774       CBS Corp., Class B      264,957  
  728       Charter Communications, Inc., Class A*^      124,670  
  1,124       Cinemark Holdings, Inc.      45,151  
  232       Clear Channel Outdoor Holdings, Inc., Class A      2,350  
  3,339       Comcast Corp., Class A      200,140  
  18,593       Comcast Corp., Class A      1,118,182  
  4,585       DIRECTV, Inc., Class A*      425,442  
  2,420       Discovery Communications, Inc., Class C*      75,214  
  1,375       Discovery Communications, Inc., Class A*^      45,733  
  1,421       DISH Network Corp., Class A*      96,216  
  3,992       Interpublic Group of Cos., Inc. (The)      76,926  
  786       Lamar Advertising Co., Class A      45,179  
  921       Lions Gate Entertainment Corp.^      34,123  
  1,413       Live Nation, Inc.*      38,843  
  597       Madison Square Garden, Inc., Class A*      49,844  
  182       Morningstar, Inc.^      14,478  
  2,370       Omnicom Group, Inc.^      164,691  
  2,051       Pandora Media, Inc.*^      31,873  
  803       Regal Entertainment Group, Class A^      16,791  
  887       Scripps Networks Interactive, Class A^      57,983  
  22,293       Sirius XM Holdings, Inc.*^      83,153  
  837       Starz — Liberty Capital*^      37,431  
  2,742       Time Warner Cable, Inc., Class A      488,541  
  4,119       Time Warner, Inc., Class A      360,042  
 

 

Continued

 

6


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

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Media, continued

  

  8,267       Twenty-First Century Fox, Inc.    $ 269,050  
  3,176       Twenty-First Century Fox, Inc., Class B      102,331  
  101       Viacom, Inc., Class A      6,552  
  3,362       Viacom, Inc., Class B      217,320  
  16,458       Walt Disney Co. (The)^      1,878,515  
     

 

 

 
        6,426,051  
     

 

 

 

 

Metals & Mining (0.0%):

  

  316       Compass Minerals International, Inc.      25,956  
  34       Royal Gold, Inc.      2,094  
  362       Southern Copper Corp.^      10,646  
  261       Steel Dynamics, Inc.      5,407  
  128       Tahoe Resources, Inc.      1,553  
     

 

 

 
        45,656  
     

 

 

 

 

Multiline Retail (0.7%):

  

  28       Dillard’s, Inc., Class A^      2,945  
  2,946       Dollar General Corp.      229,022  
  2,000       Dollar Tree, Inc.*      157,980  
  880       Family Dollar Stores, Inc.      69,353  
  2,389       Macy’s, Inc.      161,186  
  1,362       Nordstrom, Inc.^      101,469  
  14       Sears Holdings Corp.*^      374  
  514       Target Corp.      41,958  
     

 

 

 
        764,287  
     

 

 

 

 

Multi-Utilities (0.0%):

  

  288       Dominion Resources, Inc.^      19,259  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.7%):

  

  4,012       Cabot Oil & Gas Corp.      126,538  
  274       Continental Resources, Inc.*^      11,615  
  78       CVR Energy, Inc.^      2,936  
  458       EOG Resources, Inc.      40,098  
  282       HollyFrontier Corp.      12,039  
  396       Marathon Petroleum Corp.      20,715  
  801       Memorial Resource Development Corp.*      15,195  
  912       ONEOK, Inc.      36,006  
  109       Range Resources Corp.^      5,382  
  266       Targa Resources Corp.^      23,733  
  196       Teekay Shipping Corp.      8,393  
  75       Tesoro Corp.      6,331  
  7,265       Williams Cos., Inc. (The)      416,937  
  130       World Fuel Services Corp.      6,234  
     

 

 

 
        732,152  
     

 

 

 

 

Paper & Forest Products (0.2%):

  

  3,879       International Paper Co.      184,602  
     

 

 

 

 

Personal Products (0.2%):

  

  807       Coty, Inc., Class A      25,800  
  2,035       Estee Lauder Co., Inc. (The), Class A      176,352  
  606       Herbalife, Ltd.*^      33,385  
  120       Nu Skin Enterprises, Inc., Class A^      5,656  
     

 

 

 
        241,193  
     

 

 

 

 

Pharmaceuticals (4.7%):

  

  16,974       AbbVie, Inc.      1,140,483  
  761       Akorn, Inc.*      33,225  

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Pharmaceuticals, continued

  

  1,721       Allergan plc*    $ 522,255  
  16,169       Bristol-Myers Squibb Co.      1,075,885  
  9,491       Eli Lilly & Co.      792,404  
  626       Endo International plc*      49,861  
  1,308       Hospira, Inc.*      116,033  
  560       Jazz Pharmaceuticals plc*      98,599  
  33       Jazz Pharmaceuticals plc*      5,810  
  3,470       Johnson & Johnson Co.      338,186  
  448       Mallinckrodt plc*      52,739  
  3,124       Merck & Co., Inc.      177,849  
  3,457       Mylan NV*      234,592  
  263       Perrigo Co. plc      48,610  
  4,850       Zoetis, Inc.      233,867  
     

 

 

 
        4,920,398  
     

 

 

 

 

Professional Services (0.5%):

  

  104       Dun & Bradstreet Corp.      12,688  
  1,155       Equifax, Inc.      112,139  
  572       IHS, Inc., Class A*      73,576  
  2,460       Nielsen Holdings NV      110,134  
  1,296       Robert Half International, Inc.      71,928  
  120       Towers Watson & Co., Class A      15,096  
  1,640       Verisk Analytics, Inc., Class A*      119,327  
     

 

 

 
        514,888  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.9%):

  

  4,104       American Tower Corp.      382,863  
  1,359       Boston Properties, Inc.      164,493  
  140       Columbia Property Trust, Inc.      3,437  
  302       Communications Sales & Leasing, Inc.      7,465  
  3,238       Crown Castle International Corp.      260,011  
  757       Digital Realty Trust, Inc.      50,477  
  509       Empire State Realty Trust, Inc., Class A      8,684  
  818       Equity Lifestyle Properties, Inc.      43,010  
  1,130       Extra Space Storage, Inc.      73,699  
  667       Federal Realty Investment Trust^      85,436  
  106       Gaming & Leisure Properties, Inc.      3,886  
  1,534       Health Care REIT, Inc.      100,676  
  119       Healthcare Trust of America, Inc., Class A      2,850  
  483       Omega Healthcare Investors, Inc.      16,581  
  699       Plum Creek Timber Co., Inc.      28,358  
  179       Post Properties, Inc.      9,732  
  1,283       Public Storage, Inc.      236,547  
  3,020       Simon Property Group, Inc.      522,521  
  930       Tanger Factory Outlet Centers, Inc.      29,481  
  223       Taubman Centers, Inc.      15,499  
  432       Weyerhaeuser Co.      13,608  
     

 

 

 
        2,059,314  
     

 

 

 

 

Real Estate Management & Development (0.2%):

  

  2,775       CBRE Group, Inc.*      102,675  
  156       Howard Hughes Corp. (The)*      22,392  
  317       Jones Lang LaSalle, Inc.      54,207  
  518       Realogy Holdings Corp.*^      24,201  
     

 

 

 
        203,475  
     

 

 

 
 

 

Continued

 

7


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Road & Rail (1.1%):

  

  34       AMERCO, Inc.    $ 11,115  
  1,027       Avis Budget Group, Inc.*      45,270  
  2,473       CSX Corp.      80,744  
  201       Genesee & Wyoming, Inc., Class A*      15,312  
  3,937       Hertz Global Holdings, Inc.*^      71,338  
  893       J.B. Hunt Transport Services, Inc.      73,306  
  423       Landstar System, Inc.      28,286  
  677       Old Dominion Freight Line, Inc.*      46,446  
  8,493       Union Pacific Corp.      809,978  
     

 

 

 
        1,181,795  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.1%):

  

  909       Altera Corp.      46,541  
  2,783       Analog Devices, Inc.      178,627  
  7,072       Applied Materials, Inc.      135,924  
  3,963       Atmel Corp.      39,055  
  2,489       Avago Technologies, Ltd.      330,863  
  392       Broadcom Corp., Class A      20,184  
  913       Freescale Semiconductor Holdings I, Ltd.*      36,493  
  70       Freescale Semiconductor, Ltd.*      2,798  
  3,221       Intel Corp.      97,967  
  1,552       KLA-Tencor Corp.      87,238  
  1,097       Lam Research Corp.      89,241  
  2,323       Linear Technology Corp.      102,746  
  951       Maxim Integrated Products, Inc.      32,881  
  1,963       Microchip Technology, Inc.^      93,095  
  829       Micron Technology, Inc.*      15,618  
  3,843       ON Semiconductor Corp.*      44,925  
  1,450       Qorvo, Inc.*      116,392  
  1,854       Skyworks Solutions, Inc.      193,001  
  2,431       SunEdison, Inc.*^      72,711  
  64       Sunpower Corp.*^      1,818  
  10,091       Texas Instruments, Inc.      519,788  
  580       Xilinx, Inc.      25,613  
     

 

 

 
        2,283,519  
     

 

 

 

 

Software (5.1%):

  

  4,853       Adobe Systems, Inc.*      393,142  
  165       Ansys, Inc.*^      15,055  
  1,641       Autodesk, Inc.*      82,173  
  2,839       Cadence Design Systems, Inc.*^      55,815  
  1,555       CDK Global, Inc.      83,939  
  1,555       Citrix Systems, Inc.*      109,099  
  3,052       Electronic Arts, Inc.*      202,958  
  399       FactSet Research Systems, Inc.^      64,841  
  1,338       FireEye, Inc.*      65,442  
  1,386       Fortinet, Inc.*      57,283  
  1,016       Informatica Corp.*      49,246  
  2,676       Intuit, Inc.      269,661  
  780       King Digital Entertainment plc      11,115  
  44,488       Microsoft Corp.      1,964,144  
  391       NetSuite, Inc.*^      35,874  
  18,439       Oracle Corp.      743,091  
  1,117       PTC, Inc.*      45,819  
  1,785       Red Hat, Inc.*      135,535  
  6,363       Salesforce.com, Inc.*      443,056  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Software, continued

  

  1,492       ServiceNow, Inc.*^    $ 110,871  
  619       Solarwinds, Inc.*      28,554  
  648       Solera Holdings, Inc.      28,875  
  1,216       Splunk, Inc.*^      84,658  
  621       SS&C Technologies Holdings, Inc.      38,813  
  110       Synopsys, Inc.*      5,572  
  481       Tableau Software, Inc., Class A*      55,459  
  278       Ultimate Software Group, Inc. (The)*      45,687  
  795       VMware, Inc., Class A*      68,163  
  1,029       Workday, Inc., Class A*^      78,605  
     

 

 

 
        5,372,545  
     

 

 

 

 

Specialty Retail (4.3%):

  

  94       Aaron’s, Inc.      3,404  
  710       Advance Auto Parts, Inc.^      113,096  
  707       AutoNation, Inc.*      44,527  
  303       AutoZone, Inc.*      202,071  
  1,662       Bed Bath & Beyond, Inc.*^      114,645  
  47       Cabela’s, Inc., Class A*^      2,349  
  2,030       CarMax, Inc.*^      134,406  
  607       CST Brands, Inc.      23,709  
  615       Dick’s Sporting Goods, Inc.      31,839  
  43       DSW, Inc., Class A      1,435  
  1,174       Foot Locker, Inc.^      78,670  
  2,312       Gap, Inc. (The)^      88,249  
  857       GNC Holdings, Inc., Class A      38,119  
  12,599       Home Depot, Inc. (The)      1,400,128  
  2,401       L Brands, Inc.      205,838  
  9,231       Lowe’s Cos., Inc.      618,200  
  608       Michaels Cos., Inc. (The)*^      16,361  
  27       Murphy USA, Inc.*      1,507  
  940       Office Depot, Inc.*      8,140  
  980       O’Reilly Automotive, Inc.*^      221,460  
  155       Penske Automotive Group, Inc.      8,077  
  4,004       Ross Stores, Inc.      194,634  
  1,530       Sally Beauty Holdings, Inc.*      48,317  
  779       Signet Jewelers, Ltd.      99,899  
  827       Tiffany & Co.      75,919  
  6,602       TJX Cos., Inc. (The)      436,854  
  1,324       Tractor Supply Co.      119,081  
  624       Ulta Salon, Cosmetics & Fragrance, Inc.*      96,377  
  949       Urban Outfitters, Inc.*^      33,215  
  887       Williams-Sonoma, Inc.      72,973  
     

 

 

 
        4,533,499  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (6.8%):

  

  398       3D Systems Corp.*^      7,769  
  55,877       Apple, Inc.      7,008,372  
  1,545       EMC Corp.      40,773  
  908       NetApp, Inc.      28,656  
     

 

 

 
        7,085,570  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.5%):

  

  506       Carter’s, Inc.      53,788  
  376       Coach, Inc.^      13,013  
  334       Fossil Group, Inc.*      23,166  
 

 

Continued

 

8


AZL Russell 1000 Growth Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    

    

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Textiles, Apparel & Luxury Goods, continued

  

  3,896       Hanesbrands, Inc.    $ 129,815  
  1,192       Kate Spade & Co.*^      25,676  
  1,082       Lululemon athletica, Inc.*      70,654  
  1,925       Michael Kors Holdings, Ltd.*      81,023  
  6,585       Nike, Inc., Class B      711,311  
  32       Ralph Lauren Corp.      4,236  
  397       Skechers U.S.A., Inc., Class A*      43,587  
  1,733       Under Armour, Inc., Class A*      144,602  
  3,279       VF Corp.      228,677  
     

 

 

 
        1,529,548  
     

 

 

 

 

Tobacco (1.7%):

  

  17,949       Altria Group, Inc.      877,886  
  7,483       Philip Morris International, Inc.      599,912  
  4,005       Reynolds American, Inc.      299,013  
     

 

 

 
        1,776,811  
     

 

 

 

 

Trading Companies & Distributors (0.4%):

  

  53       Air Lease Corp.^      1,797  
  2,852       Fastenal Co.^      120,297  
  1,654       HD Supply Holdings, Inc.*      58,188  
  142       MSC Industrial Direct Co., Inc., Class A      9,907  
  941       United Rentals, Inc.*      82,450  
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Trading Companies & Distributors, continued

  

  650       W.W. Grainger, Inc.^    $ 153,823  
  253       Watsco, Inc.      31,306  
     

 

 

 
        457,768  
     

 

 

 

 

Wireless Telecommunication Services (0.1%):

  

  619       SBA Communications Corp., Class A*      71,167  
     

 

 

 

 

Total Common Stocks (Cost $61,498,685)

     102,788,680  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (8.5%):

  

$ 9,020,802       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      9,020,802  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $9,020,802)

     9,020,802  
     

 

 

 

 

Unaffiliated Investment Company (2.7%):

  

  2,856,372       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      2,856,372   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $2,856,372)

     2,856,372  
     

 

 

 

 

Total Investment Securities (Cost $73,375,859)(c) — 108.5%

     114,665,854   

 

Net other assets (liabilities) — (8.5)%

     (8,944,821
     

 

 

 

 

Net Assets — 100.0%

   $ 105,721,033  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $8,879,931.

 

+ Affiliated Securities

 

(a) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

Futures Contracts

Cash of $124,400 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

NASDAQ 100 E-Mini September Futures

     Long         9/18/15         9       $ 790,245      $ (15,839

S&P 500 Index E-Mini September Futures

     Long         9/18/15         19         1,951,680        (41,803
              

 

 

 

Total

               $ (57,642
              

 

 

 

 

See accompanying notes to the financial statements.

 

9


AZL Russell 1000 Growth Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investments in non-affiliates, at cost

     $ 73,304,513  

Investments in affiliates, at cost

       71,346  
    

 

 

 

Total Investment securities, at cost

     $ 73,375,859  
    

 

 

 

Investments in non-affiliates, at value

     $ 114,531,960  

Investments in affiliates, at value

       133,894  
    

 

 

 

Total Investment securities, at value*

     $ 114,665,854  

Cash

       997  

Segregated cash for collateral

       124,400  

Interest and dividends receivable

       91,120  

Receivable for capital shares issued

       191,671  

Receivable for investments sold

       14,052,569  

Receivable for variation margin on futures contracts

       6,020  

Prepaid expenses

       209  
    

 

 

 

Total Assets

       129,132,840  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       14,300,343  

Payable for capital shares redeemed

       2,470  

Payable for collateral received on loaned securities

       9,020,802  

Manager fees payable

       38,967  

Administration fees payable

       3,715  

Distribution fees payable

       22,140  

Custodian fees payable

       2,200  

Administrative and compliance services fees payable

       45  

Trustee fees payable

       431  

Other accrued liabilities

       20,694  
    

 

 

 

Total Liabilities

       23,411,807  
    

 

 

 

Net Assets

     $ 105,721,033  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 31,592,704  

Accumulated net investment income/(loss)

       1,595,366  

Accumulated net realized gains/(losses) from investment transactions

       31,300,610  

Net unrealized appreciation/(depreciation) on investments

       41,232,353  
    

 

 

 

Net Assets

     $ 105,721,033  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       5,967,974  

Net Asset Value (offering and redemption price per share)

     $ 17.71  
    

 

 

 

 

* Includes securities on loan of $8,879,931.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 945,519  

Dividends from affiliates

       2,267  

Income from securities lending

       14,912  

Foreign withholding tax

       (292 )
    

 

 

 

Total Investment Income

       962,406  
    

 

 

 

Expenses:

    

Manager fees

       269,558  

Administration fees

       23,348  

Distribution fees

       153,158  

Custodian fees

       4,273  

Administrative and compliance services fees

       614  

Trustee fees

       2,409  

Professional fees

       3,030  

Shareholder reports

       657  

Other expenses

       15,664  
    

 

 

 

Total expenses

       472,711  
    

 

 

 

Net Investment Income/(Loss)

       489,695  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       17,911,696  

Net realized gains/(losses) on futures contracts

       60,696  

Change in net unrealized appreciation/depreciation on investments

       (13,139,138 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       4,833,254  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 5,322,949  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

10


Statements of Changes in Net Assets

 

     AZL Russell 1000 Growth Index Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 489,695        $ 1,089,825  

Net realized gains/(losses) on investment transactions

       17,972,392          13,598,695  

Change in unrealized appreciation/depreciation on investments

       (13,139,138 )        39,430  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       5,322,949          14,727,950  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (1,219,475 )

From net realized gains

                (8,853,703 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (10,073,178 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       7,709,666          6,103,472  

Proceeds from dividends reinvested

                10,073,178  

Value of shares redeemed

       (37,570,658 )        (34,906,975 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (29,860,992 )        (18,730,325 )
    

 

 

      

 

 

 

Change in net assets

       (24,538,043 )        (14,075,553 )

Net Assets:

         

Beginning of period

       130,259,076          144,334,629  
    

 

 

      

 

 

 

End of period

     $ 105,721,033        $ 130,259,076  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 1,595,366        $ 1,105,671  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       433,212          359,122  

Dividends reinvested

                611,237  

Shares redeemed

       (2,079,024 )        (2,079,653 )
    

 

 

      

 

 

 

Change in shares

       (1,645,812 )        (1,109,294 )
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

11


AZL Russell 1000 Growth Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  April 30, 2010
to
December 31,
2010 (a)
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 17.11       $ 16.55       $ 12.63       $ 11.10       $ 10.95       $ 10.00  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.12         0.17         0.18         0.12         0.08         0.05  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.48         1.80         3.90         1.48         0.13         0.90  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.60         1.97         4.08         1.60         0.21         0.95  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.17 )       (0.16 )       (0.07 )       (0.06 )        

Net Realized Gains

               (1.24 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (1.41 )       (0.16 )       (0.07 )       (0.06 )        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 17.71       $ 17.11       $ 16.55       $ 12.63       $ 11.10       $ 10.95  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       3.51 %(c)       12.21 %       32.48 %       14.40 %       1.92 %       9.50 %(c)

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 105,721       $ 130,259       $ 144,335       $ 145,865       $ 111,887       $ 105,577  

Net Investment Income/(Loss)(d)

       0.80 %       0.83 %       0.89 %       1.09 %       0.72 %       0.87 %

Expenses Before Reductions(d) (e)

       0.77 %       0.78 %       0.78 %       0.80 %       0.84 %       0.87 %

Expenses Net of Reductions(d)

       0.77 %       0.78 %       0.78 %       0.80 %       0.84 %       0.84 %

Portfolio Turnover Rate

       13 %(c)       13 %       13 %       16 %       24 %       29 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

12


AZL Russell 1000 Growth Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

13


AZL Russell 1000 Growth Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $14.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $1,454 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $2.7 million as of June 30, 2015. The monthly average notional amount for these contracts was $2.7 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 

Equity Risk Exposure

       
Equity Contracts   Receivable for variation margin on futures contracts   $ —        Payable for variation margin on futures contracts   $ 57,642   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

Primary Risk Exposure  

Location of Gains/(Losses)

on Derivatives

Recognized in Income

   Realized Gains/(Losses)
on Derivatives
Recognized in Income
    

Change in Unrealized

Appreciation/Depreciation on
Derivatives Recognized in Income

 

Equity Risk Exposure

       
Equity Contracts   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments    $ 60,696       $ (54,304

 

14


AZL Russell 1000 Growth Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Russell 1000 Growth Index Fund

         0.44 %          0.84 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $699 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

15


AZL Russell 1000 Growth Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks+

       $ 102,788,680          $          $ 102,788,680  

Securities Held as Collateral for Securities on Loan

                    9,020,802            9,020,802  

Unaffiliated Investment Company

         2,856,372                       2,856,372  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         105,645,052            9,020,802            114,665,854  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         (57,642 )                     (57,642 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 105,587,410          $ 9,020,802          $ 114,608,212  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 15,273,842          $ 46,449,652  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

 

16


AZL Russell 1000 Growth Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $73,528,980. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 41,720,033  

Unrealized depreciation

    (583,159
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 41,136,874   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL Russell 1000 Growth Index Fund

       $ 1,219,475          $ 8,853,703          $ 10,073,178  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL Russell 1000 Growth Index Fund

       $ 1,628,187          $ 13,025,316          $          $ 54,151,877          $ 68,805,380  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50% of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

17


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

18


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Russell 1000 Value Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 11

Statement of Operations

Page 11

Statements of Changes in Net Assets

Page 12

Financial Highlights

Page 13

Notes to the Financial Statements

Page 14

Other Information

Page 19

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Russell 1000 Value Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Russell 1000 Value Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Russell 1000 Value Index Fund

       $ 1,000.00          $ 990.60          $ 3.80            0.77 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Russell 1000 Value Index Fund

       $ 1,000.00          $ 1,020.98          $ 3.86            0.77 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      28.9 %

Energy

      14.1  

Health Care

      11.7  

Information Technology

      10.8  

Industrials

      9.9  

Consumer Staples

      6.4  

Utilities

      5.5  

Consumer Discretionary

      5.1  

Materials

      2.9  

Telecommunication Services

      2.4  
   

 

 

 

Total Common Stocks

      97.7  

Securities Held as Collateral for Securities on Loan

      9.2  

Money Market

      1.9  
   

 

 

 

Total Investment Securities

      108.8  

Net other assets (liabilities)

      (8.8 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (97.7%):

  

 

Aerospace & Defense (2.2%):

  

  3,916       General Dynamics Corp.    $ 554,858  
  1,594       L-3 Communications Holdings, Inc.      180,728  
  1,481       Lockheed Martin Corp.      275,318  
  2,611       Northrop Grumman Corp.      414,183  
  1,179       Orbital Atk, Inc.      86,491  
  2,165       Precision Castparts Corp.      432,719  
  5,906       Raytheon Co.      565,086  
  212       Spirit AeroSystems Holdings, Inc., Class A*      11,683  
  4,154       Textron, Inc.      185,393  
  954       Triumph Group, Inc.      62,954  
  15,644       United Technologies Corp.      1,735,389  
     

 

 

 
        4,504,802  
     

 

 

 

 

Air Freight & Logistics (0.3%):

  

  3,504       FedEx Corp.      597,082  
     

 

 

 

 

Airlines (0.0%):

  

  638       Copa Holdings SA, Class A^      52,692  
  3,802       JetBlue Airways Corp.*      78,930  
     

 

 

 
        131,622  
     

 

 

 

 

Auto Components (0.4%):

  

  2,847       Gentex Corp.      46,748  
  5,224       Goodyear Tire & Rubber Co.      157,504  
  9,898       Johnson Controls, Inc.      490,247  
  366       Lear Corp.      41,087  
     

 

 

 
        735,586  
     

 

 

 

 

Automobiles (1.1%):

  

  75,565       Ford Motor Co.      1,134,230  
  31,105       General Motors Co.      1,036,730  
  1,825       Harley-Davidson, Inc.      102,839  
     

 

 

 
        2,273,799  
     

 

 

 

 

Banks (11.4%):

  

  2,969       Associated Banc-Corp.^      60,182  
  203,251       Bank of America Corp.      3,459,331  
  845       Bank of Hawaii Corp.^      56,345  
  2,029       BankUnited, Inc.      72,902  
  14,122       BB&T Corp.      569,258  
  529       BOK Financial Corp.^      36,808  
  3,369       CIT Group, Inc.      156,625  
  58,721       Citigroup, Inc.      3,243,747  
  6,036       Citizens Financial Group, Inc.      164,843  
  931       City National Corp.      84,153  
  3,446       Comerica, Inc.      176,849  
  1,594       Commerce Bancshares, Inc.^      74,551  
  1,057       Cullen/Frost Bankers, Inc.^      83,059  
  2,784       East West Bancorp, Inc.      124,779  
  15,675       Fifth Third Bancorp      326,354  
  4,519       First Horizon National Corp.^      70,813  
  6,872       First Niagara Financial Group, Inc.^      64,872  
  2,747       First Republic Bank      173,143  
  15,648       Huntington Bancshares, Inc.      176,979  
  71,822       JPMorgan Chase & Co.      4,866,658  
  16,418       KeyCorp      246,598  
  2,574       M&T Bank Corp.      321,570  
  1,972       PacWest Bancorp^      92,211  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Banks, continued

  

  5,983       People’s United Financial, Inc.^    $ 96,984  
  10,024       PNC Financial Services Group, Inc.      958,796  
  2,004       Popular, Inc.*      57,835  
  25,941       Regions Financial Corp.      268,749  
  75       Signature Bank*      10,979  
  9,991       SunTrust Banks, Inc.      429,813  
  369       SVB Financial Group*      53,129  
  2,578       Synovus Financial Corp.      79,454  
  3,286       TCF Financial Corp.      54,580  
  32,421       U.S. Bancorp      1,407,071  
  90,165       Wells Fargo & Co.      5,070,879  
  3,933       Zions Bancorp      124,814  
     

 

 

 
        23,315,713  
     

 

 

 

 

Beverages (0.1%):

  

  171       Brown-Forman Corp., Class B      17,131  
  38       Brown-Forman Corp., Class A      4,234  
  2,669       Molson Coors Brewing Co., Class B      186,323  
     

 

 

 
        207,688  
     

 

 

 

 

Biotechnology (0.0%):

  

  420       Alkermes plc*      27,022  
  75       Alkermes plc*      4,826  
  262       Alnylam Pharmaceuticals, Inc.*      31,406  
     

 

 

 
        63,254  
     

 

 

 

 

Building Products (0.1%):

  

  282       Armstrong World Industries, Inc.*      15,025  
  2,006       Fortune Brands Home & Security, Inc.      91,915  
  2,284       Owens Corning, Inc.      94,215  
     

 

 

 
        201,155  
     

 

 

 

 

Capital Markets (3.3%):

  

  587       Ameriprise Financial, Inc.      73,334  
  19,361       Bank of New York Mellon Corp. (The)      812,581  
  1,655       BlackRock, Inc., Class A+      572,597  
  6,497       Charles Schwab Corp. (The)      212,127  
  5,611       E*TRADE Financial Corp.*      168,049  
  7,507       Franklin Resources, Inc.      368,068  
  8,361       Goldman Sachs Group, Inc. (The)      1,745,694  
  1,018       Interactive Brokers Group, Inc., Class A^      42,308  
  7,313       Invesco, Ltd.      274,164  
  1,260       Legg Mason, Inc.      64,928  
  29,668       Morgan Stanley      1,150,822  
  4,517       Northern Trust Corp.      345,370  
  2,473       Raymond James Financial, Inc.      147,341  
  7,968       State Street Corp.      613,536  
  765       TD Ameritrade Holding Corp.      28,167  
  102       Waddell & Reed Financial, Inc., Class A      4,826  
     

 

 

 
        6,623,912  
     

 

 

 

 

Chemicals (1.6%):

  

  736       Air Products & Chemicals, Inc.      100,707  
  1,020       Airgas, Inc.      107,896  
  2,172       Albemarle Corp.      120,046  
  1,184       Ashland, Inc.      144,330  
  1,204       Cabot Corp.      44,897  
  2,756       Celanese Corp., Series A      198,101  
 

 

Continued

 

2


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  

  1,260       Cytec Industries, Inc.    $ 76,268  
  19,390       Dow Chemical Co. (The)      992,185  
  9,426       E.I. du Pont de Nemours & Co.      602,792  
  2,161       Eastman Chemical Co.      176,813  
  714       FMC Corp.      37,521  
  1,452       Huntsman Corp.      32,046  
  6,743       Mosaic Co. (The)      315,910  
  1,955       Platform Speciality Products Corp.*      50,009  
  932       Praxair, Inc.      111,421  
  90       Scotts Miracle-Gro Co. (The)      5,329  
  1,415       Sigma Aldrich Corp.      197,180  
  779       Westlake Chemical Corp.      53,432  
     

 

 

 
        3,366,883  
     

 

 

 

 

Commercial Services & Supplies (0.5%):

  

  3,316       ADT Corp. (The)^      111,318  
  368       Clean Harbors, Inc.*^      19,776  
  2,265       Corrections Corp. of America^      74,926  
  2,478       Iron Mountain, Inc.^      76,818  
  1,822       KAR Auction Services, Inc.      68,143  
  2,393       Pitney Bowes, Inc.      49,798  
  1,918       R.R. Donnelley & Sons Co.      33,431  
  4,693       Republic Services, Inc., Class A      183,825  
  1,027       Tyco International plc      39,519  
  2,398       Waste Connections, Inc.      112,994  
  8,117       Waste Management, Inc.      376,223  
     

 

 

 
        1,146,771  
     

 

 

 

 

Communications Equipment (2.4%):

  

  2,193       Arris Group, Inc.*      67,106  
  8,088       Brocade Communications Systems, Inc.      96,085  
  98,429       Cisco Systems, Inc.      2,702,860  
  1,135       CommScope Holding Co., Inc.*      34,629  
  854       EchoStar Corp., Class A*      41,573  
  1,992       Harris Corp.      153,205  
  4,608       JDS Uniphase Corp.*^      53,361  
  6,289       Juniper Networks, Inc.      163,325  
  26,754       QUALCOMM, Inc.      1,675,603  
     

 

 

 
        4,987,747  
     

 

 

 

 

Construction & Engineering (0.2%):

  

  2,527       Aecom Technology Corp.*^      83,593  
  1,896       Chicago Bridge & Iron Co. NV      94,876  
  2,837       Fluor Corp.      150,389  
  2,431       Jacobs Engineering Group, Inc.*^      98,747  
  2,792       KBR, Inc.^      54,388  
  3,175       Quanta Services, Inc.*      91,504  
     

 

 

 
        573,497  
     

 

 

 

 

Construction Materials (0.2%):

  

  1,124       Martin Marietta Materials, Inc.      159,057  
  2,232       Vulcan Materials Co.      187,332  
     

 

 

 
        346,389  
     

 

 

 

 

Consumer Finance (1.4%):

  

  8,630       Ally Financial, Inc.*      193,571  
  13,480       American Express Co.      1,047,665  
  10,576       Capital One Financial Corp.      930,371  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Consumer Finance, continued

  

  8,564       Discover Financial Services    $ 493,458  
  7,529       Navient Corp.      137,103  
  1,591       Santander Consumer USA Holdings, Inc.*      40,682  
  660       SLM Corp.*      6,514  
  1,009       Springleaf Holdings, Inc.*      46,323  
  2,486       Synchrony Financial*^      81,864  
     

 

 

 
        2,977,551  
     

 

 

 

 

Containers & Packaging (0.3%):

  

  988       AptarGroup, Inc.^      63,005  
  124       Avery Dennison Corp.      7,557  
  1,681       Bemis Co., Inc.^      75,662  
  1,509       Crown Holdings, Inc.*      79,841  
  2,693       Graphic Packaging Holding Co.      37,513  
  3,248       MeadWestvaco Corp.      153,272  
  2,925       Owens-Illinois, Inc.*      67,100  
  2,205       Rock-Tenn Co., Class A      132,741  
  1,953       Sonoco Products Co.      83,706  
     

 

 

 
        700,397  
     

 

 

 

 

Distributors (0.0%):

  

  196       Genuine Parts Co.      17,548  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  68       Graham Holdings Co., Class B      73,103  
  347       H&R Block, Inc.      10,289  
     

 

 

 
        83,392  
     

 

 

 

 

Diversified Financial Services (2.9%):

  

  33,655       Berkshire Hathaway, Inc., Class B*      4,580,782  
  6,205       CME Group, Inc.      577,437  
  1,388       IntercontinentalExchange Group, Inc.      310,371  
  5,507       Leucadia National Corp.^      133,710  
  2,241       NASDAQ OMX Group, Inc. (The)      109,383  
  4,432       Voya Financial, Inc.      205,955  
     

 

 

 
        5,917,638  
     

 

 

 

 

Diversified Telecommunication Services (2.2%):

  

  100,502       AT&T, Inc.^      3,569,832  
  10,911       CenturyLink, Inc.      320,565  
  19,418       Frontier Communications Corp.^      96,119  
  4,932       Level 3 Communications, Inc.*      259,768  
  5,684       Verizon Communications, Inc.      264,931  
  376       Zayo Group Holdings, Inc.*^      9,671  
     

 

 

 
        4,520,886  
     

 

 

 

 

Electric Utilities (2.8%):

  

  9,482       American Electric Power Co., Inc.      502,262  
  13,384       Duke Energy Corp.      945,177  
  6,306       Edison International      350,487  
  3,475       Entergy Corp.      244,988  
  6,148       Eversource Energy      279,181  
  16,668       Exelon Corp.^      523,709  
  8,168       FirstEnergy Corp.      265,868  
  2,986       Great Plains Energy, Inc.^      72,142  
  2,079       Hawaiian Electric Industries, Inc.^      61,809  
  1,896       ITC Holdings Corp.      61,013  
  8,596       NextEra Energy, Inc.      842,666  
 

 

Continued

 

3


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Electric Utilities, continued

  

  3,863       OGE Energy Corp.    $ 110,366  
  4,898       Pepco Holdings, Inc.      131,952  
  2,144       Pinnacle West Capital Corp.      121,972  
  12,931       PPL Corp.      381,077  
  17,578       Southern Co. (The)^      736,518  
  2,573       Westar Energy, Inc.      88,048  
     

 

 

 
        5,719,235  
     

 

 

 

 

Electrical Equipment (0.5%):

  

  1,659       Babcock & Wilcox Co. (The)      54,415  
  9,040       Eaton Corp. plc      610,110  
  4,023       Emerson Electric Co.      222,995  
  972       Hubbell, Inc., Class B      105,248  
  822       Regal-Beloit Corp.      59,669  
     

 

 

 
        1,052,437  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.5%):

  

  1,852       Arrow Electronics, Inc.*      103,342  
  2,629       Avnet, Inc.      108,078  
  24,358       Corning, Inc.      480,583  
  950       Dolby Laboratories, Inc., Class A      37,696  
  1,001       FLIR Systems, Inc.      30,851  
  2,855       Ingram Micro, Inc., Class A*      71,461  
  3,053       Jabil Circuit, Inc.      64,998  
  521       Keysight Technologies, Inc.*      16,250  
  1,698       National Instruments Corp.      50,023  
  4,756       Trimble Navigation, Ltd.*      111,576  
     

 

 

 
        1,074,858  
     

 

 

 

 

Energy Equipment & Services (2.3%):

  

  8,413       Baker Hughes, Inc.      519,082  
  3,705       Cameron International Corp.*^      194,031  
  1,243       Diamond Offshore Drilling, Inc.^      32,082  
  754       Dril-Quip, Inc.*      56,739  
  4,535       Ensco plc, Class A, ADR      100,995  
  1,560       FMC Technologies, Inc.*      64,724  
  553       Frank’s International NV      10,419  
  117       Frank’s International NV      2,204  
  16,468       Halliburton Co.      709,277  
  1,867       Helmerich & Payne, Inc.^      131,474  
  6,394       Nabors Industries, Ltd.      92,265  
  7,507       National-Oilwell Varco, Inc.^      362,438  
  4,683       Noble Corp. plc      72,071  
  1,577       Oceaneering International, Inc.      73,472  
  2,842       Patterson-UTI Energy, Inc.      53,472  
  2,415       Rowan Cos. plc, Class A      50,981  
  974       RPC, Inc.      13,470  
  21,601       Schlumberger, Ltd.      1,861,790  
  7,232       Seadrill, Ltd.^      74,779  
  2,914       Superior Energy Services, Inc.^      61,311  
     

 

 

 
        4,537,076  
     

 

 

 

 

Entertainment (0.0%):

  

  596       International Game Technology plc*      10,585  
     

 

 

 

 

Food & Staples Retailing (1.9%):

  

  1,595       CVS Health Corp.      167,284  
  7,770       Rite AID Corp.*      64,880  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing, continued

  

  7,906       Sysco Corp.^    $ 285,407  
  14,126       Walgreens Boots Alliance, Inc.      1,192,799  
  30,571       Wal-Mart Stores, Inc.      2,168,400  
  583       Whole Foods Market, Inc.      22,994  
     

 

 

 
        3,901,764  
     

 

 

 

 

Food Products (1.6%):

  

  12,007       Archer-Daniels-Midland Co.      578,978  
  2,780       Bunge, Ltd.      244,084  
  1,385       Campbell Soup Co.^      65,995  
  7,141       ConAgra Foods, Inc.      312,205  
  368       Flowers Foods, Inc.      7,783  
  1,210       Ingredion, Inc.      96,570  
  2,316       J.M. Smucker Co. (The)^      251,078  
  464       Kellogg Co.^      29,093  
  31,481       Mondelez International, Inc., Class A      1,295,127  
  1,140       Pilgrim’s Pride Corp.^      26,186  
  2,256       Pinnacle Foods, Inc.      102,738  
  5,420       Tyson Foods, Inc., Class A^      231,055  
     

 

 

 
        3,240,892  
     

 

 

 

 

Gas Utilities (0.2%):

  

  2,322       AGL Resources, Inc.      108,112  
  1,956       Atmos Energy Corp.      100,304  
  1,634       National Fuel Gas Co.^      96,226  
  3,401       Questar Corp.      71,115  
  3,339       UGI Corp.      115,029  
     

 

 

 
        490,786  
     

 

 

 

 

Health Care Equipment & Supplies (2.6%):

  

  28,813       Abbott Laboratories      1,414,142  
  590       Alere, Inc.*      31,123  
  3,845       Baxter International, Inc.      268,881  
  23,887       Boston Scientific Corp.*      422,800  
  298       Cooper Cos., Inc. (The)      53,035  
  2,014       DENTSPLY International, Inc.      103,822  
  89       Hill-Rom Holdings, Inc.      4,835  
  27,580       Medtronic plc      2,043,677  
  2,373       St. Jude Medical, Inc.      173,395  
  3,223       Stryker Corp.      308,022  
  804       Teleflex, Inc.^      108,902  
  3,098       Zimmer Holdings, Inc.      338,395  
     

 

 

 
        5,271,029  
     

 

 

 

 

Health Care Providers & Services (1.8%):

  

  5,096       Aetna, Inc.      649,536  
  4,084       Anthem, Inc.      670,347  
  3,603       Apple Hospitality REIT, Inc.      67,989  
  2,795       Brookdale Senior Living, Inc.*      96,987  
  615       Cardinal Health, Inc.      51,445  
  1,748       Catamaran Corp.*      106,768  
  2,301       Community Health Systems, Inc.*      144,894  
  2,432       DaVita, Inc.*      193,271  
  2,259       Express Scripts Holding Co.*^      200,915  
  5,721       HCA Holdings, Inc.*      519,009  
  1,247       Health Net, Inc.*      79,958  
  215       Humana, Inc.      41,125  
 

 

Continued

 

4


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  1,300       Laboratory Corp. of America Holdings*    $ 157,586  
  774       LifePoint Hospitals, Inc.*      67,299  
  766       MEDNAX, Inc.*^      56,768  
  1,240       Omnicare, Inc.^      116,870  
  755       Patterson Cos., Inc.      36,731  
  2,780       Quest Diagnostics, Inc.^      201,606  
  922       UnitedHealth Group, Inc.      112,484  
  1,458       Universal Health Services, Inc., Class B      207,182  
  91       VCA Antech, Inc.*      4,951  
     

 

 

 
        3,783,721  
     

 

 

 

 

Health Care Technology (0.0%):

  

  2,412       Allscripts Healthcare Solutions, Inc.*^      32,996  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.5%):

  

  318       Aramark Holdings Corp.      9,848  
  8,221       Carnival Corp.      406,036  
  1,951       Darden Restaurants, Inc.      138,678  
  660       Hyatt Hotels Corp., Class A*^      37,415  
  8,016       MGM Resorts International*      146,293  
  206       Norwegian Cruise Line Holdings, Ltd.*      11,544  
  3,314       Royal Caribbean Cruises, Ltd.      260,779  
  5,269       Wendy’s Co. (The)^      59,434  
  181       Wynn Resorts, Ltd.      17,859  
     

 

 

 
        1,087,886  
     

 

 

 

 

Household Durables (0.4%):

  

  3,723       D.R. Horton, Inc.      101,861  
  2,293       Garmin, Ltd.      100,731  
  2,047       Lennar Corp., Class A^      104,479  
  115       Lennar Corp., Class B      4,959  
  357       Mohawk Industries, Inc.*      68,151  
  2,580       Newell Rubbermaid, Inc.      106,064  
  7,057       PulteGroup, Inc.^      142,199  
  2,213       Toll Brothers, Inc.*      84,514  
  53       Tupperware Brands Corp.      3,421  
  1,409       Whirlpool Corp.      243,827  
     

 

 

 
        960,206  
     

 

 

 

 

Household Products (2.2%):

  

  526       Clorox Co. (The)^      54,715  
  2,154       Colgate-Palmolive Co.      140,893  
  1,204       Energizer Holdings, Inc.      158,386  
  1,459       Kimberly-Clark Corp.      154,610  
  52,506       Procter & Gamble Co. (The)      4,108,070  
     

 

 

 
        4,616,674  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.2%):

  

  13,208       AES Corp. (The)      175,139  
  6,371       Calpine Corp.*      114,614  
  6,455       NRG Energy, Inc.      147,690  
  939       TerraForm Power, Inc., Class A      35,663  
     

 

 

 
        473,106  
     

 

 

 

 

Industrial Conglomerates (3.2%):

  

  986       Carlisle Cos., Inc.      98,718  
  9,670       Danaher Corp.      827,655  
  195,003       General Electric Co.      5,181,231  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Industrial Conglomerates, continued

  

  1,201       Roper Industries, Inc.    $ 207,124  
     

 

 

 
        6,314,728  
     

 

 

 

 

Insurance (5.4%):

  

  6,321       ACE, Ltd.      642,719  
  8,398       AFLAC, Inc.      522,356  
  310       Alleghany Corp.*      145,316  
  1,848       Allied World Assurance Co. Holdings AG      79,871  
  7,916       Allstate Corp. (The)      513,511  
  1,335       American Financial Group, Inc.      86,828  
  25,806       American International Group, Inc.      1,595,327  
  139       American National Insurance Co.      14,222  
  702       AmTrust Financial Services      45,988  
  2,401       Arch Capital Group, Ltd.*      160,770  
  1,447       Arthur J. Gallagher & Co.      68,443  
  1,193       Aspen Insurance Holdings, Ltd.      57,145  
  1,315       Assurant, Inc.      88,105  
  2,921       Assured Guaranty, Ltd.      70,075  
  1,954       Axis Capital Holdings, Ltd.      104,285  
  2,269       Brown & Brown, Inc.^      74,559  
  4,447       Chubb Corp. (The)      423,088  
  3,181       Cincinnati Financial Corp.      159,623  
  526       CNA Financial Corp.      20,098  
  874       Endurance Specialty Holdings, Ltd.^      57,422  
  860       Everest Re Group, Ltd.      156,529  
  5,428       FNF Group      200,782  
  9,627       Genworth Financial, Inc., Class A*      72,876  
  856       Hanover Insurance Group, Inc. (The)      63,370  
  8,128       Hartford Financial Services Group, Inc. (The)      337,881  
  1,853       HCC Insurance Holdings, Inc.      142,385  
  4,897       Lincoln National Corp.      290,000  
  6,026       Loews Corp.      232,061  
  243       Markel Corp.*^      194,565  
  4,167       Marsh & McLennan Cos., Inc.      236,269  
  537       Mercury General Corp.^      29,884  
  18,130       MetLife, Inc.      1,015,099  
  5,055       Old Republic International Corp.^      79,010  
  924       PartnerRe, Ltd.      118,734  
  5,698       Principal Financial Group, Inc.      292,250  
  1,065       ProAssurance Corp.      49,214  
  11,356       Progressive Corp. (The)      316,037  
  8,768       Prudential Financial, Inc.      767,375  
  1,282       Reinsurance Group of America, Inc.      121,623  
  892       RenaissanceRe Holdings, Ltd.      90,547  
  817       StanCorp Financial Group, Inc.      61,773  
  2,441       Torchmark Corp.^      142,115  
  6,168       Travelers Cos., Inc. (The)      596,199  
  4,829       UnumProvident Corp.      172,637  
  1,637       Validus Holdings, Ltd.      72,012  
  1,882       W.R. Berkley Corp.      97,732  
  116       White Mountains Insurance Group, Ltd.      75,973  
  5,935       XL Group plc      220,782  
     

 

 

 
        11,175,465  
     

 

 

 
 

 

Continued

 

5


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Internet & Catalog Retail (0.1%):

  

  1,248       HomeAway, Inc.*    $ 38,838  
  5,250       Liberty Media Corp. — Interactive, Class A*      145,687  
     

 

 

 
        184,525  
     

 

 

 

 

Internet Software & Services (0.4%):

  

  18,162       Yahoo!, Inc.*      713,585  
  343       Zillow Group, Inc., Class A*      29,752  
     

 

 

 
        743,337  
     

 

 

 

 

IT Services (1.2%):

  

  2,993       Amdocs, Ltd.      163,388  
  1,791       Automatic Data Processing, Inc.      143,692  
  50       Black Knight Financial Services, Inc., Class A*      1,544  
  130       Booz Allen Hamilton Holding Corp.      3,281  
  2,686       Computer Sciences Corp.      176,309  
  962       CoreLogic, Inc.*      38,182  
  162       DST Systems, Inc.      20,409  
  3,122       Fidelity National Information Services, Inc.      192,940  
  7,821       International Business Machines Corp.      1,272,163  
  1,181       Leidos Holdings, Inc.^      47,677  
  804       Paychex, Inc.^      37,692  
  707       Teradata Corp.*^      26,159  
  21,365       Xerox Corp.      227,323  
     

 

 

 
        2,350,759  
     

 

 

 

 

Leisure Products (0.1%):

  

  472       Brunswick Corp.      24,006  
  406       Hasbro, Inc.^      30,365  
  6,548       Mattel, Inc.^      168,218  
  1,076       Vista Outdoor, Inc.*      48,312  
     

 

 

 
        270,901  
     

 

 

 

 

Life Sciences Tools & Services (0.7%):

  

  6,445       Agilent Technologies, Inc.      248,648  
  400       Bio-Rad Laboratories, Inc., Class A*      60,244  
  423       Bio-Techne Corp.      41,653  
  1,833       PerkinElmer, Inc.^      96,489  
  4,491       QIAGEN NV*^      111,332  
  82       Quintiles Transnational Holdings, Inc.*      5,954  
  5,108       Thermo Fisher Scientific, Inc.      662,814  
  225       VWR Corp.*^      6,014  
     

 

 

 
        1,233,148  
     

 

 

 

 

Machinery (1.9%):

  

  1,468       AGCO Corp.^      83,353  
  1,590       Allison Transmission Holdings, Inc.      46,523  
  9,650       Caterpillar, Inc.^      818,512  
  1,944       Colfax Corp.*      89,716  
  932       Crane Co.      54,736  
  899       Cummins, Inc.      117,940  
  5,299       Deere & Co.^      514,268  
  249       Donaldson Co., Inc.^      8,914  
  3,104       Dover Corp.      217,839  
  1,390       Flowserve Corp.      73,197  
  119       IDEX Corp.      9,351  
  4,765       Ingersoll-Rand plc      321,256  
  1,727       ITT Corp.      72,258  
  1,885       Joy Global, Inc.^      68,237  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Machinery, continued

  

  1,535       Kennametal, Inc.^    $ 52,374  
  116       Lincoln Electric Holdings, Inc.      7,063  
  1,514       Oshkosh Corp.^      64,163  
  660       PACCAR, Inc.^      42,115  
  1,469       Parker Hannifin Corp.^      170,889  
  3,477       Pentair, plc      239,044  
  794       SPX Corp.      57,478  
  2,702       Stanley Black & Decker, Inc.      284,358  
  2,035       Terex Corp.^      47,314  
  2,635       The Manitowoc Co., Inc.      51,646  
  1,522       Timken Co.      55,660  
  2,999       Trinity Industries, Inc.^      79,264  
  432       Valmont Industries, Inc.^      51,352  
  3,511       Xylem, Inc.      130,153  
     

 

 

 
        3,828,973  
     

 

 

 

 

Marine (0.0%):

  

  1,080       Kirby Corp.*      82,793  
     

 

 

 

 

Media (1.2%):

  

  3,355       Cablevision Systems Corp., Class A      80,319  
  518       Clear Channel Outdoor Holdings, Inc., Class A^      5,247  
  716       Comcast Corp., Class A      42,917  
  3,986       Comcast Corp., Class A      239,718  
  477       Discovery Communications, Inc., Class C*      14,825  
  271       Discovery Communications, Inc., Class A*      9,013  
  1,378       DISH Network Corp., Class A*      93,304  
  2,196       Gannett Co., Inc.*^      30,715  
  881       John Wiley & Sons, Inc., Class A      47,900  
  506       Liberty Broadband Corp., Class A*^      25,791  
  1,285       Liberty Broadband Corp., Class C*      65,741  
  2,024       Liberty Media Corp.*^      72,945  
  3,881       Liberty Media Corp., Class C*      139,328  
  2,340       News Corp., Class B*      33,322  
  7,424       News Corp., Class A*      108,316  
  4,391       Tegna, Inc.      140,819  
  6,380       Thomson Reuters Corp.      242,886  
  7,740       Time Warner, Inc., Class A      676,554  
  1,561       Tribune Media Co., Class A      83,342  
  7,870       Twenty-First Century Fox, Inc.      256,129  
  3,024       Twenty-First Century Fox, Inc., Class B      97,433  
     

 

 

 
        2,506,564  
     

 

 

 

 

Metals & Mining (0.8%):

  

  23,658       Alcoa, Inc.      263,787  
  2,114       Allegheny Technologies, Inc.^      63,843  
  20,129       Freeport-McMoRan Copper & Gold, Inc.^      374,802  
  9,674       Newmont Mining Corp.      225,985  
  6,177       Nucor Corp.^      272,220  
  1,438       Reliance Steel & Aluminum Co.      86,970  
  1,188       Royal Gold, Inc.      73,169  
  1,487       Southern Copper Corp.      43,733  
  4,161       Steel Dynamics, Inc.      86,195  
  2,706       Tahoe Resources, Inc.      32,824  
  2,820       United States Steel Corp.^      58,148  
     

 

 

 
        1,581,676  
     

 

 

 
 

 

Continued

 

6


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail (0.7%):

  

  407       Dillard’s, Inc., Class A^    $ 42,812  
  119       Family Dollar Stores, Inc.      9,378  
  5,906       J.C. Penney Co., Inc.*      50,024  
  3,933       Kohl’s Corp.^      246,245  
  1,845       Macy’s, Inc.      124,482  
  230       Sears Holdings Corp.*^      6,141  
  11,332       Target Corp.      925,032  
     

 

 

 
        1,404,114  
     

 

 

 

 

Multi-Utilities (2.2%):

  

  2,187       Alliant Energy Corp.^      126,234  
  4,696       Ameren Corp.      176,945  
  8,326       CenterPoint Energy, Inc.      158,444  
  5,378       CMS Energy Corp.      171,236  
  5,669       Consolidated Edison, Inc.^      328,122  
  10,898       Dominion Resources, Inc.^      728,750  
  3,471       DTE Energy Co.      259,075  
  3,770       MDU Resources Group, Inc.^      73,628  
  6,143       NiSource, Inc.      280,059  
  9,274       PG&E Corp.      455,353  
  9,791       Public Service Enterprise Group, Inc.      384,590  
  2,766       SCANA Corp.      140,098  
  4,792       Sempra Energy      474,120  
  4,551       TECO Energy, Inc.      80,371  
  1,600       Vectren Corp.      61,568  
  6,111       WEC Energy Group, Inc.      274,818  
  9,811       Xcel Energy, Inc.      315,718  
     

 

 

 
        4,489,129  
     

 

 

 

 

Oil & Gas Equipment and Services (0.1%):

  

  14,995       Weatherford International plc*      183,989  
     

 

 

 

 

Oil, Gas & Consumable Fuels (11.7%):

  

  9,831       Anadarko Petroleum Corp.      767,408  
  1,350       Antero Resources Corp.*      46,359  
  7,299       Apache Corp.      420,641  
  6,086       California Resources Corp.      36,759  
  4,579       Cheniere Energy, Inc.*      317,142  
  11,354       Chesapeake Energy Corp.^      126,824  
  36,394       Chevron Corp.      3,510,928  
  1,831       Cimarex Energy Co.      201,978  
  7,097       Cobalt International Energy, Inc.*^      68,912  
  2,323       Concho Resources, Inc.*      264,497  
  23,862       ConocoPhillips^      1,465,365  
  4,429       CONSOL Energy, Inc.^      96,286  
  1,114       Continental Resources, Inc.*      47,222  
  204       CVR Energy, Inc.^      7,679  
  7,022       Denbury Resources, Inc.^      44,660  
  7,957       Devon Energy Corp.      473,362  
  1,220       Diamondback Energy, Inc.*      91,964  
  1,415       Energen Corp.      96,645  
  9,711       EOG Resources, Inc.      850,198  
  729       EP Energy Corp., Class A*^      9,280  
  2,949       EQT Corp.      239,872  
  80,919       Exxon Mobil Corp.      6,732,460  
  1,741       Golar LNG, Ltd.^      81,479  
  1,871       Gulfport Energy Corp.*      75,308  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Oil, Gas & Consumable Fuels, continued

  

  4,880       Hess Corp.^    $ 326,374  
  3,207       HollyFrontier Corp.^      136,907  
  34,557       Kinder Morgan, Inc.^      1,326,643  
  3,052       Kosmos Energy, Ltd.*      25,728  
  2,384       Laredo Petroleum Holdings, Inc.*^      29,991  
  13,063       Marathon Oil Corp.      346,692  
  9,726       Marathon Petroleum Corp.      508,767  
  3,445       Murphy Oil Corp.^      143,209  
  3,151       Newfield Exploration Co.*      113,814  
  7,511       Noble Energy, Inc.      320,569  
  14,866       Occidental Petroleum Corp.      1,156,129  
  2,223       ONEOK, Inc.      87,764  
  1,666       PBF Energy, Inc., Class A      47,348  
  10,483       Phillips 66      844,510  
  2,890       Pioneer Natural Resources Co.      400,814  
  3,419       QEP Resources, Inc.      63,286  
  3,057       Range Resources Corp.      150,955  
  1,306       SM Energy Co.      60,233  
  7,443       Southwestern Energy Co.*      169,179  
  12,993       Spectra Energy Corp.^      423,572  
  556       Targa Resources Corp.      49,606  
  553       Teekay Shipping Corp.      23,679  
  2,287       Tesoro Corp.      193,046  
  9,844       Valero Energy Corp.      616,234  
  3,951       Whiting Petroleum Corp.*      132,754  
  1,119       World Fuel Services Corp.      53,656  
  4,037       WPX Energy, Inc.*^      49,574  
     

 

 

 
        23,874,261  
     

 

 

 

 

Paper & Forest Products (0.0%):

  

  1,233       Domtar Corp.      51,046  
  408       International Paper Co.      19,417  
     

 

 

 
        70,463  
     

 

 

 

 

Personal Products (0.0%):

  

  8,421       Avon Products, Inc.^      52,715  
  209       Herbalife, Ltd.*      11,514  
  897       Nu Skin Enterprises, Inc., Class A      42,276  
     

 

 

 
        106,505  
     

 

 

 

 

Pharmaceuticals (6.6%):

  

  4,163       Allergan plc*      1,263,304  
  2,211       Endo International plc*      176,106  
  736       Hospira, Inc.*      65,291  
  46,745       Johnson & Johnson Co.      4,555,767  
  1,372       Mallinckrodt plc*      161,512  
  48,445       Merck & Co., Inc.      2,757,974  
  1,237       Mylan NV*      83,943  
  2,308       Perrigo Co. plc      426,588  
  119,172       Pfizer, Inc.      3,995,836  
     

 

 

 
        13,486,321  
     

 

 

 

 

Professional Services (0.2%):

  

  491       Dun & Bradstreet Corp.      59,902  
  192       IHS, Inc., Class A*      24,697  
  1,514       Manpower, Inc.      135,321  
  2,216       Nielsen Holdings NV      99,210  
 

 

Continued

 

7


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Professional Services, continued

  

  1,103       Towers Watson & Co., Class A^    $ 138,758  
     

 

 

 
        457,888  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (4.3%):

  

  1,395       Alexandria Real Estate Equities, Inc.      122,007  
  2,174       American Campus Communities, Inc.      81,938  
  6,828       American Capital Agency Corp.      125,430  
  3,207       American Homes 4 Rent, Class A^      51,440  
  17,519       American Realty Capital Properties, Inc.      142,429  
  18,342       Annaly Capital Management, Inc.      168,563  
  3,025       Apartment Investment & Management Co., Class A      111,713  
  2,559       AvalonBay Communities, Inc.^      409,108  
  3,940       BioMed Realty Trust, Inc.      76,200  
  259       Boston Properties, Inc.      31,349  
  3,514       Brandywine Realty Trust      46,666  
  3,349       Brixmor Property Group, Inc.      77,462  
  1,681       Camden Property Trust^      124,865  
  3,232       CBL & Associates Properties, Inc.      52,358  
  3,979       Chimera Investment Corp.      54,552  
  2,121       Columbia Property Trust, Inc.      52,071  
  2,384       Communications Sales & Leasing, Inc.^      58,932  
  1,846       Corporate Office Properties Trust      43,455  
  5,862       DDR Corp.      90,627  
  1,120       Digital Realty Trust, Inc.^      74,682  
  2,823       Douglas Emmett, Inc.^      76,052  
  6,678       Duke Realty Corp.      124,010  
  1,141       Empire State Realty Trust, Inc., Class A      19,465  
  2,511       Equity Commonwealth*      64,457  
  7,045       Equity Residential Property Trust      494,349  
  1,265       Essex Property Trust, Inc.      268,813  
  1,476       Gaming & Leisure Properties, Inc.^      54,110  
  11,168       General Growth Properties, Inc.      286,571  
  8,935       HCP, Inc.      325,859  
  3,726       Health Care REIT, Inc.      244,537  
  2,199       Healthcare Trust of America, Inc., Class A      52,666  
  1,121       Home Properties, Inc.      81,889  
  2,903       Hospitality Properties Trust      83,664  
  14,664       Host Hotels & Resorts, Inc.^      290,787  
  1,705       Kilroy Realty Corp.^      114,491  
  7,989       Kimco Realty Corp.      180,072  
  2,893       Liberty Property Trust      93,212  
  3,063       Macerich Co. (The)      228,500  
  7,169       MFA Financial, Inc.^      52,979  
  1,459       Mid-America Apartment Communities, Inc.      106,230  
  2,594       National Retail Properties, Inc.^      90,816  
  6,713       NorthStar Realty Finance Corp.      106,737  
  2,575       Omega Healthcare Investors, Inc.      88,400  
  2,660       Outfront Media, Inc.      67,138  
  3,457       Paramount Group, Inc.      59,322  
  2,988       Piedmont Office Realty Trust, Inc., Class A      52,559  
  2,006       Plum Creek Timber Co., Inc.      81,383  
  701       Post Properties, Inc.      38,113  
  10,143       ProLogis, Inc.      376,305  
  244       Public Storage, Inc.      44,986  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Real Estate Investment Trusts (REITs), continued

  

  2,456       Rayonier, Inc.    $ 62,751  
  4,501       Realty Income Corp.^      199,799  
  1,826       Regency Centers Corp.      107,697  
  4,591       Retail Properties of America, Inc., Class A      63,953  
  4,549       Senior Housing Properties Trust      79,835  
  1,928       SL Green Realty Corp.^      211,868  
  8,544       Spirit Realty Capital, Inc.      82,620  
  4,609       Starwood Property Trust, Inc.^      99,416  
  702       Taubman Centers, Inc.      48,789  
  7,095       Two Harbors Investment Corp.      69,105  
  5,018       UDR, Inc.      160,727  
  6,137       Ventas, Inc.      381,047  
  3,644       Vornado Realty Trust      345,925  
  2,398       Weingarten Realty Investors^      78,391  
  9,159       Weyerhaeuser Co.      288,509  
  2,020       WP Carey, Inc.^      119,059  
  3,586       WP Glimcher, Inc.      48,519  
     

 

 

 
        8,692,329  
     

 

 

 

 

Real Estate Management & Development (0.1%):

  

  4,227       Forest City Enterprises, Inc., Class A*      93,416  
  459       Howard Hughes Corp. (The)*      65,885  
  237       Jones Lang LaSalle, Inc.      40,527  
  1,804       Realogy Holdings Corp.*^      84,283  
     

 

 

 
        284,111  
     

 

 

 

 

Road & Rail (0.6%):

  

  74       AMERCO, Inc.      24,191  
  14,188       CSX Corp.      463,238  
  627       Genesee & Wyoming, Inc., Class A*      47,765  
  2,140       Kansas City Southern      195,168  
  5,900       Norfolk Southern Corp.      515,424  
  1,032       Ryder System, Inc.      90,166  
     

 

 

 
        1,335,952  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.4%):

  

  4,015       Altera Corp.      205,568  
  516       Analog Devices, Inc.      33,119  
  9,725       Applied Materials, Inc.      186,915  
  9,912       Broadcom Corp., Class A      510,369  
  2,112       Cree, Inc.*^      54,975  
  6,424       Cypress Semiconductor Corp.      75,546  
  1,463       First Solar, Inc.*^      68,732  
  84       Freescale Semiconductor Holdings I, Ltd.*      3,357  
  93       Freescale Semiconductor, Ltd.*      3,717  
  85,386       Intel Corp.      2,597,015  
  877       Lam Research Corp.      71,344  
  8,768       Marvell Technology Group, Ltd.      115,607  
  3,601       Maxim Integrated Products, Inc.      124,505  
  19,278       Micron Technology, Inc.*      363,198  
  10,413       NVIDIA Corp.^      209,405  
  640       ON Semiconductor Corp.*      7,482  
  422       SunEdison, Inc.*^      12,622  
  979       Sunpower Corp.*^      27,813  
  4,153       Teradyne, Inc.      80,111  
  3,850       Xilinx, Inc.      170,016  
     

 

 

 
        4,921,416  
     

 

 

 
 

 

Continued

 

8


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    

    

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Software (2.5%):

  

  9,766       Activision Blizzard, Inc.    $ 236,435  
  1,410       Ansys, Inc.*^      128,648  
  1,133       Autodesk, Inc.*      56,735  
  6,112       CA, Inc.^      179,020  
  67,791       Microsoft Corp.      2,992,974  
  4,899       Nuance Communications, Inc.*      85,781  
  24,528       Oracle Corp.      988,478  
  144       SS&C Technologies Holdings, Inc.      9,000  
  13,175       Symantec Corp.      306,319  
  2,783       Synopsys, Inc.*      140,959  
  14,869       Zynga, Inc.*      42,525  
     

 

 

 
        5,166,874  
     

 

 

 

 

Specialty Retail (0.4%):

  

  1,081       Aaron’s, Inc.      39,143  
  5,874       Best Buy Co., Inc.^      191,551  
  883       Cabela’s, Inc., Class A*^      44,132  
  241       CST Brands, Inc.      9,413  
  554       Dick’s Sporting Goods, Inc.      28,681  
  1,335       DSW, Inc., Class A      44,549  
  366       Foot Locker, Inc.^      24,526  
  2,054       GameStop Corp., Class A^      88,240  
  823       Murphy USA, Inc.*      45,940  
  8,720       Office Depot, Inc.*      75,515  
  515       Penske Automotive Group, Inc.      26,837  
  12,399       Staples, Inc.      189,829  
  538       Tiffany & Co.      49,388  
     

 

 

 
        857,744  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (1.4%):

  

  1,370       3D Systems Corp.*      26,742  
  34,504       EMC Corp.      910,561  
  35,176       Hewlett-Packard Co.      1,055,633  
  1,187       Lexmark International, Inc., Class A^      52,465  
  3,281       NCR Corp.*      98,758  
  4,224       NetApp, Inc.      133,309  
  4,024       SanDisk Corp.^      234,277  
  4,349       Western Digital Corp.      341,049  
     

 

 

 
        2,852,794  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.2%):

  

  4,599       Coach, Inc.      159,171  
  150       Fossil Group, Inc.*      10,404  
  1,600       PVH Corp.      184,321  
  1,095       Ralph Lauren Corp.      144,934  
     

 

 

 
        498,830  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Thrifts & Mortgage Finance (0.1%):

  

  10,249       Hudson City Bancorp, Inc.    $ 101,260  
  8,599       New York Community Bancorp, Inc.^      158,050  
  1,278       TFS Financial Corp.^      21,496  
     

 

 

 
        280,806  
     

 

 

 

 

Tobacco (0.6%):

  

  2,246       Altria Group, Inc.      109,852  
  15,051       Philip Morris International, Inc.      1,206,639  
     

 

 

 
        1,316,491  
     

 

 

 

 

Trading Companies & Distributors (0.1%):

  

  1,904       Air Lease Corp.^      64,545  
  850       GATX Corp.^      45,178  
  639       MSC Industrial Direct Co., Inc., Class A      44,583  
  2,075       NOW, Inc.*^      41,313  
  856       WESCO International, Inc.*^      58,756  
     

 

 

 
        254,375  
     

 

 

 

 

Transportation Infrastructure (0.1%):

  

  1,338       Macquarie Infrastructure Corp.      110,560   
     

 

 

 

 

Water Utilities (0.1%):

  

  3,483       American Water Works Co., Inc.      169,379  
  3,427       Aqua America, Inc.      83,927  
     

 

 

 
        253,306  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  

  1,271       SBA Communications Corp., Class A*      146,127  
  14,543       Sprint Corp.*      66,316  
  1,820       Telephone & Data Systems, Inc.      53,508  
  5,299       T-Mobile US, Inc.*      205,441  
  246       United States Cellular Corp.*^      9,267  
     

 

 

 
        480,659  
     

 

 

 

 

Total Common Stocks (Cost $153,411,774)

     201,198,349  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (9.2%):

  

$ 19,039,164       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     19,039,164  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $19,039,164)

     19,039,164  
     

 

 

 

 

Unaffiliated Investment Company (1.9%):

  

  3,998,703      Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      3,998,703  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $3,998,703)

     3,998,703  
     

 

 

 

 

Total Investment Securities (Cost $176,449,641)(c) — 108.8%

     224,236,215   

 

Net other assets (liabilities) — (8.8)%

     (18,086,711
     

 

 

 

 

Net Assets — 100.0%

   $ 206,149,504  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $18,482,943

 

+ Affiliated Securities

 

(a) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

9


AZL Russell 1000 Value Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Futures Contracts

Cash of $234,600 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

S&P 500 Index E-Mini September Futures

     Long         9/18/15         47       $ 4,827,840      $ (100,862

 

See accompanying notes to the financial statements.

 

10


AZL Russell 1000 Value Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investments in non-affiliates, at cost

     $ 176,099,512  

Investments in affiliates, at cost

       350,129  
    

 

 

 

Total Investment securities, at cost

     $ 176,449,641  
    

 

 

 

Investments in non-affiliates, at value

     $ 223,663,618  

Investments in affiliates, at value

       572,597  
    

 

 

 

Total Investment securities, at value*

     $ 224,236,215  

Cash

       1,601  

Segregated cash for collateral

       234,600  

Interest and dividends receivable

       300,952  

Receivable for capital shares issued

       142,708  

Receivable for investments sold

       28,208,318  

Receivable for variation margin on futures contracts

       9,605  

Reclaims receivable

       903  

Prepaid expenses

       352  
    

 

 

 

Total Assets

       253,135,254  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       27,803,613  

Payable for collateral received on loaned securities

       19,039,164  

Manager fees payable

       76,277  

Administration fees payable

       5,548  

Distribution fees payable

       43,339  

Custodian fees payable

       1,603  

Administrative and compliance services fees payable

       103  

Trustee fees payable

       697  

Other accrued liabilities

       15,406  
    

 

 

 

Total Liabilities

       46,985,750  
    

 

 

 

Net Assets

     $ 206,149,504  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 124,673,414  

Accumulated net investment income/(loss)

       5,093,566  

Accumulated net realized gains/(losses) from investment transactions

       28,696,812  

Net unrealized appreciation/(depreciation) on investments

       47,685,712  
    

 

 

 

Net Assets

     $ 206,149,504  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       14,040,369  

Net Asset Value (offering and redemption price per share)

     $ 14.68  
    

 

 

 

 

* Includes securities on loan of $18,410,851.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,495,660  

Dividends from affiliates

       7,011  

Income from securities lending

       30,566  

Foreign withholding tax

       (1,584 )
    

 

 

 

Total Investment Income

       2,531,653  
    

 

 

 

Expenses:

    

Manager fees

       472,537  

Administration fees

       37,642  

Distribution fees

       268,486  

Custodian fees

       5,672  

Administrative and compliance services fees

       1,423  

Trustee fees

       5,697  

Professional fees

       9,854  

Shareholder reports

       1,459  

Other expenses

       23,485  
    

 

 

 

Total expenses

       826,255  
    

 

 

 

Net Investment Income/(Loss)

       1,705,398  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       15,295,947  

Net realized gains/(losses) on futures contracts

       210,792  

Change in net unrealized appreciation/depreciation on investments

       (19,040,486 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       (3,533,747 )
    

 

 

 

Change in Net Assets Resulting From Operations

     $ (1,828,349 )
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

11


Statements of Changes in Net Assets

 

     AZL Russell 1000 Value Index Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 1,705,398        $ 3,416,947  

Net realized gains/(losses) on investment transactions

       15,506,739          13,790,069  

Change in unrealized appreciation/depreciation on investments

       (19,040,486 )        8,536,244  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       (1,828,349 )        25,743,260  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (3,178,169 )

From net realized gains

                (19,713,140 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (22,891,309 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       5,758,465          15,525,801  

Proceeds from dividends reinvested

                22,891,309  

Value of shares redeemed

       (16,938,987 )        (27,917,422 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (11,180,522 )        10,499,688  
    

 

 

      

 

 

 

Change in net assets

       (13,008,871 )        13,351,639  

Net Assets:

         

Beginning of period

       219,158,375          205,806,736  
    

 

 

      

 

 

 

End of period

     $ 206,149,504        $ 219,158,375  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 5,093,566        $ 3,388,168  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       390,012          1,037,755  

Dividends reinvested

                1,597,440  

Shares redeemed

       (1,133,285 )        (1,850,048 )
    

 

 

      

 

 

 

Change in shares

       (743,273 )        785,147  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

12


AZL Russell 1000 Value Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  April 30, 2010
to
December 31,
2010 (a)
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 14.82       $ 14.70       $ 11.84       $ 10.36       $ 10.49       $ 10.00  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.13         0.24         0.31         0.20         0.16         0.10  

Net Realized and Unrealized Gains/(Losses) on Investments

       (0.27 )       1.55         3.35         1.52         (0.19 )       0.39  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       (0.14 )       1.79         3.66         1.72         (0.03 )       0.49  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.23 )       (0.29 )       (0.15 )       (0.10 )        

Net Realized Gains

               (1.44 )       (0.51 )       (0.09 )                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (1.67 )       (0.80 )       (0.24 )       (0.10 )        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 14.68       $ 14.82       $ 14.70       $ 11.84       $ 10.36       $ 10.49  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       (0.94 )%(c)       12.59 %       31.52 %       16.63 %       (0.25 )%       4.90 %(c)

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 206,150       $ 219,158       $ 205,807       $ 224,382       $ 182,515       $ 169,075  

Net Investment Income/(Loss)(d)

       1.59 %       1.60 %       1.54 %       1.85 %       1.59 %       1.68 %

Expenses Before Reductions(d) (e)

       0.77 %       0.76 %       0.77 %       0.78 %       0.79 %       0.84 %

Expenses Net of Reductions(d)

       0.77 %       0.76 %       0.77 %       0.78 %       0.79 %       0.84 %

Portfolio Turnover Rate

       15 %(c)       16 %       11 %       18 %       20 %       25 %(c)

 

(a) Period from commencement of operations.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

13


AZL Russell 1000 Value Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

14


AZL Russell 1000 Value Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $23.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,995 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide equity exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $4.8 million as of June 30, 2015. The monthly average notional amount for these contracts was $5.4 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 
Equity Risk Exposure        
Equity Contracts   Receivable for variation margin on futures contracts   $      Payable for variation margin on futures contracts   $ 100,862   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

Primary Risk Exposure    Location of Gains/(Losses)
on Derivatives
Recognized in Income
     Realized Gains/(Losses)
on Derivatives
Recognized in Income
       Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in  Income
 
Equity Risk Exposure             
Equity Contracts    Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments      $ 210,792         $ (125,002

 

15


AZL Russell 1000 Value Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Russell 1000 Value Index Fund

         0.44 %          0.84 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,170 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

16


AZL Russell 1000 Value Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 201,198,348          $          $ 201,198,348  

Securities Held as Collateral for Securities on Loan

                    19,039,164            19,039,164  

Unaffiliated Investment Company

         3,998,703                       3,998,703  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         205,197,051            19,039,164            224,236,215  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         (100,862 )                     (100,862 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 205,096,189          $ 19,039,164          $ 224,135,353  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 30,511,583          $ 42,397,460  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

 

17


AZL Russell 1000 Value Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $176,816,015. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 51,057,373  

Unrealized depreciation

    (3,637,173
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 47,420,200   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL Russell 1000 Value Index Fund

       $ 4,571,941          $ 18,319,368          $ 22,891,309  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
    

Unrealized

Appreciation/

(Depreciation)(a)

     Total
Accumulated
Earnings/
(Deficit)

AZL Russell 1000 Value Index Fund

       $ 5,611,100          $ 11,428,023          $          $ 66,265,316          $ 83,304,439  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

18


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

19


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® S&P 500 Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 9

Statement of Operations

Page 9

Statements of Changes in Net Assets

Page 10

Financial Highlights

Page 11

Notes to the Financial Statements

Page 12

Other Information

Page 18

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL S&P 500 Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL S&P 500 Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL S&P 500 Index Fund, Class 1

       $ 1,000.00          $ 1,011.00          $ 1.20            0.24 %

AZL S&P 500 Index Fund, Class 2

       $ 1,000.00          $ 1,010.40          $ 2.44            0.49 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL S&P 500 Index Fund, Class 1

       $ 1,000.00          $ 1,023.60          $ 1.20            0.24 %

AZL S&P 500 Index Fund, Class 2

       $ 1,000.00          $ 1,022.36          $ 2.46            0.49 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      19.3 %

Financials

      16.0  

Health Care

      15.0  

Consumer Discretionary

      12.4  

Industrials

      9.9  

Consumer Staples

      9.1  

Energy

      7.6  

Materials

      3.1  

Utilities

      2.8  

Telecommunication Services

      2.2  
   

 

 

 

Total Common Stocks

      97.4  

Securities Held as Collateral for Securities on Loan

      8.8  

Money Market

      2.5  
   

 

 

 

Total Investment Securities

      108.7  

Net other assets (liabilities)

      (8.7 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (97.4%):

  

 

Aerospace & Defense (2.6%):

  

  42,865       Boeing Co. (The)    $ 5,946,233  
  20,810       General Dynamics Corp.      2,948,569  
  52,010       Honeywell International, Inc.      5,303,460  
  5,486       L-3 Communications Holdings, Inc.      622,003  
  17,826       Lockheed Martin Corp.      3,313,853  
  12,913       Northrop Grumman Corp.      2,048,389  
  9,208       Precision Castparts Corp.      1,840,403  
  20,423       Raytheon Co.      1,954,073  
  8,836       Rockwell Collins, Inc.^      816,005  
  18,399       Textron, Inc.      821,147  
  55,182       United Technologies Corp.      6,121,338  
     

 

 

 
        31,735,473  
     

 

 

 

 

Air Freight & Logistics (0.7%):

  

  9,726       C.H. Robinson Worldwide, Inc.^      606,805  
  12,745       Expeditors International of Washington, Inc.      587,608  
  17,510       FedEx Corp.      2,983,704  
  46,182       United Parcel Service, Inc., Class B      4,475,498  
     

 

 

 
        8,653,615  
     

 

 

 

 

Airlines (0.4%):

  

  46,162       American Airlines Group, Inc.      1,843,479  
  54,777       Delta Air Lines, Inc.      2,250,239  
  44,530       Southwest Airlines Co.      1,473,498  
     

 

 

 
        5,567,216  
     

 

 

 

 

Auto Components (0.4%):

  

  15,049       BorgWarner, Inc.      855,385  
  19,291       Delphi Automotive plc      1,641,471  
  17,996       Goodyear Tire & Rubber Co.      542,579  
  43,681       Johnson Controls, Inc.      2,163,521  
     

 

 

 
        5,202,956  
     

 

 

 

 

Automobiles (0.6%):

  

  264,884       Ford Motor Co.      3,975,909  
  89,893       General Motors Co.      2,996,134  
  14,058       Harley-Davidson, Inc.      792,168  
     

 

 

 
        7,764,211  
     

 

 

 

 

Banks (5.9%):

  

  699,787       Bank of America Corp.      11,910,375  
  48,686       BB&T Corp.      1,962,533  
  202,159       Citigroup, Inc.      11,167,263  
  11,855       Comerica, Inc.      608,399  
  54,149       Fifth Third Bancorp      1,127,382  
  53,841       Huntington Bancshares, Inc.      608,942  
  247,260       JPMorgan Chase & Co.      16,754,338  
  56,847       KeyCorp      853,842  
  8,834       M&T Bank Corp.      1,103,632  
  20,491       People’s United Financial, Inc.^      332,159  
  34,600       PNC Financial Services Group, Inc.      3,309,490  
  89,251       Regions Financial Corp.      924,640  
  34,412       SunTrust Banks, Inc.      1,480,404  
  118,365       U.S. Bancorp      5,137,041  
  312,305       Wells Fargo & Co.      17,564,032  
  13,490       Zions Bancorp      428,105  
     

 

 

 
        75,272,577  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Beverages (2.0%):

  

  10,356       Brown-Forman Corp., Class B^    $ 1,037,464  
  261,130       Coca-Cola Co. (The)      10,244,130  
  14,422       Coca-Cola Enterprises, Inc.      626,492  
  11,294       Constellation Brands, Inc., Class A      1,310,330  
  12,824       Dr Pepper Snapple Group, Inc.^      934,870  
  10,625       Molson Coors Brewing Co., Class B      741,731  
  9,763       Monster Beverage Corp.*      1,308,437  
  98,506       PepsiCo, Inc.      9,194,550  
     

 

 

 
        25,398,004  
     

 

 

 

 

Biotechnology (3.1%):

  

  14,916       Alexion Pharmaceuticals, Inc.*      2,696,365  
  50,644       Amgen, Inc.      7,774,867  
  15,668       Biogen Idec, Inc.*      6,328,932  
  52,851       Celgene Corp.*      6,116,710  
  97,930       Gilead Sciences, Inc.      11,465,645  
  5,024       Regeneron Pharmaceuticals, Inc.*      2,562,893  
  16,239       Vertex Pharmaceuticals, Inc.*      2,005,192  
     

 

 

 
        38,950,604  
     

 

 

 

 

Building Products (0.1%):

  

  6,382       Allegion plc      383,813  
  23,233       Masco Corp.      619,625  
     

 

 

 
        1,003,438  
     

 

 

 

 

Capital Markets (2.3%):

  

  3,629       Affiliated Managers Group, Inc.*      793,299  
  12,130       Ameriprise Financial, Inc.      1,515,401  
  74,763       Bank of New York Mellon Corp. (The)      3,137,803  
  8,430       BlackRock, Inc., Class A+      2,916,611  
  76,671       Charles Schwab Corp. (The)      2,503,308  
  19,197       E*TRADE Financial Corp.*^      574,950  
  26,035       Franklin Resources, Inc.      1,276,496  
  26,769       Goldman Sachs Group, Inc. (The)      5,589,100  
  28,526       Invesco, Ltd.      1,069,440  
  6,523       Legg Mason, Inc.      336,130  
  102,455       Morgan Stanley      3,974,229  
  14,586       Northern Trust Corp.      1,115,246  
  27,398       State Street Corp.      2,109,646  
  17,508       T. Rowe Price Group, Inc.^      1,360,897  
     

 

 

 
        28,272,556  
     

 

 

 

 

Chemicals (2.4%):

  

  12,816       Air Products & Chemicals, Inc.      1,753,613  
  4,494       Airgas, Inc.      475,375  
  15,925       CF Industries Holdings, Inc.      1,023,659  
  72,317       Dow Chemical Co. (The)      3,700,461  
  60,167       E.I. du Pont de Nemours & Co.      3,847,679  
  9,880       Eastman Chemical Co.      808,382  
  17,899       Ecolab, Inc.      2,023,840  
  8,861       FMC Corp.      465,646  
  5,367       International Flavor & Fragrances, Inc.^      586,559  
  26,176       LyondellBasell Industries NV, Class A      2,709,740  
  31,736       Monsanto Co.      3,382,740  
  20,667       Mosaic Co. (The)      968,249  
  18,084       PPG Industries, Inc.      2,074,596  
  19,192       Praxair, Inc.      2,294,404  
 

 

Continued

 

2


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Chemicals, continued

  

  5,278       Sherwin Williams Co.    $ 1,451,556  
  7,938       Sigma Aldrich Corp.      1,106,160  
     

 

 

 
        28,672,659  
     

 

 

 

 

Commercial Services & Supplies (0.4%):

  

  11,396       ADT Corp. (The)^      382,564  
  6,327       Cintas Corp.      535,201  
  12,428       Iron Mountain, Inc.^      385,268  
  13,404       Pitney Bowes, Inc.      278,937  
  16,661       Republic Services, Inc., Class A      652,611  
  5,646       Stericycle, Inc.*      756,056  
  27,916       Tyco International plc      1,074,208  
  28,377       Waste Management, Inc.      1,315,274  
     

 

 

 
        5,380,119  
     

 

 

 

 

Communications Equipment (1.5%):

  

  339,219       Cisco Systems, Inc.      9,314,953  
  4,817       F5 Networks, Inc.*      579,726  
  8,211       Harris Corp.      631,508  
  23,415       Juniper Networks, Inc.^      608,088  
  12,364       Motorola Solutions, Inc.      708,952  
  108,619       QUALCOMM, Inc.      6,802,808  
     

 

 

 
        18,646,035  
     

 

 

 

 

Construction & Engineering (0.1%):

  

  9,823       Fluor Corp.      520,717  
  8,589       Jacobs Engineering Group, Inc.*^      348,885  
  14,056       Quanta Services, Inc.*      405,094  
     

 

 

 
        1,274,696  
     

 

 

 

 

Construction Materials (0.1%):

  

  4,110       Martin Marietta Materials, Inc.^      581,606  
  8,780       Vulcan Materials Co.      736,906  
     

 

 

 
        1,318,512  
     

 

 

 

 

Consumer Finance (0.8%):

  

  58,245       American Express Co.      4,526,801  
  36,421       Capital One Financial Corp.      3,203,955  
  29,485       Discover Financial Services      1,698,926  
  25,922       Navient Corp.      472,040  
     

 

 

 
        9,901,722  
     

 

 

 

 

Containers & Packaging (0.2%):

  

  6,032       Avery Dennison Corp.      367,590  
  9,129       Ball Corp.      640,399  
  22,254       MeadWestvaco Corp.      1,050,167  
  10,744       Owens-Illinois, Inc.*^      246,467  
  13,968       Sealed Air Corp.      717,676  
     

 

 

 
        3,022,299  
     

 

 

 

 

Distributors (0.1%):

  

  10,149       Genuine Parts Co.      908,640  
     

 

 

 

 

Diversified Consumer Services (0.0%):

  

  18,295       H&R Block, Inc.      542,447  
     

 

 

 

 

Diversified Financial Services (1.9%):

  

  121,557       Berkshire Hathaway, Inc., Class B*      16,545,124  
  21,073       CME Group, Inc.      1,961,053  
  7,444       IntercontinentalExchange Group, Inc.      1,664,553  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Diversified Financial Services, continued

  

  20,959       Leucadia National Corp.^    $ 508,885  
  18,176       McGraw-Hill Cos., Inc. (The)      1,825,779  
  11,817       Moody’s Corp.      1,275,763  
  7,856       NASDAQ OMX Group, Inc. (The)      383,451  
     

 

 

 
        24,164,608  
     

 

 

 

 

Diversified Telecommunication Services (2.2%):

  

  346,006       AT&T, Inc.^      12,290,133  
  37,647       CenturyLink, Inc.      1,106,069  
  76,837       Frontier Communications Corp.^      380,343  
  19,609       Level 3 Communications, Inc.*      1,032,806  
  271,752       Verizon Communications, Inc.^      12,666,361  
     

 

 

 
        27,475,712  
     

 

 

 

 

Electric Utilities (1.5%):

  

  32,538       American Electric Power Co., Inc.      1,723,538  
  46,100       Duke Energy Corp.      3,255,581  
  21,653       Edison International      1,203,474  
  11,995       Entergy Corp.      845,648  
  21,054       Eversource Energy^      956,062  
  57,141       Exelon Corp.^      1,795,370  
  27,992       FirstEnergy Corp.      911,140  
  29,602       NextEra Energy, Inc.      2,901,883  
  16,805       Pepco Holdings, Inc.      452,727  
  7,350       Pinnacle West Capital Corp.      418,142  
  44,325       PPL Corp.^      1,306,258  
  60,465       Southern Co. (The)^      2,533,484  
     

 

 

 
        18,303,307  
     

 

 

 

 

Electrical Equipment (0.5%):

  

  16,022       AMETEK, Inc.      877,685  
  31,113       Eaton Corp. plc      2,099,816  
  44,538       Emerson Electric Co.^      2,468,742  
  9,006       Rockwell Automation, Inc.^      1,122,508  
     

 

 

 
        6,568,751  
     

 

 

 

 

Electronic Equipment, Instruments & Components (0.4%):

  

  20,615       Amphenol Corp., Class A      1,195,052  
  83,884       Corning, Inc.      1,655,031  
  9,294       FLIR Systems, Inc.      286,441  
  26,996       TE Connectivity, Ltd.      1,735,843  
     

 

 

 
        4,872,367  
     

 

 

 

 

Energy Equipment & Services (1.3%):

  

  28,877       Baker Hughes, Inc.      1,781,711  
  12,876       Cameron International Corp.*^      674,316  
  4,551       Diamond Offshore Drilling, Inc.^      117,461  
  15,576       Ensco plc, Class A, ADR      346,878  
  15,383       FMC Technologies, Inc.*      638,241  
  56,464       Halliburton Co.^      2,431,904  
  7,155       Helmerich & Payne, Inc.^      503,855  
  25,836       National-Oilwell Varco, Inc.^      1,247,362  
  16,178       Noble Corp. plc      248,979  
  0       Paragon Offshore plc       
  84,572       Schlumberger, Ltd.      7,289,261  
  22,639       Transocean, Ltd.      364,941  
     

 

 

 
        15,644,909  
     

 

 

 
 

 

Continued

 

3


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Food & Staples Retailing (2.4%):

  

  29,238       Costco Wholesale Corp.    $ 3,948,884  
  75,179       CVS Health Corp.      7,884,774  
  32,651       Kroger Co. (The)      2,367,524  
  39,366       Sysco Corp.^      1,421,113  
  58,170       Walgreens Boots Alliance, Inc.      4,911,875  
  105,166       Wal-Mart Stores, Inc.      7,459,424  
  23,976       Whole Foods Market, Inc.      945,613  
     

 

 

 
        28,939,207  
     

 

 

 

 

Food Products (1.6%):

  

  41,358       Archer-Daniels-Midland Co.      1,994,283  
  11,813       Campbell Soup Co.^      562,889  
  28,306       ConAgra Foods, Inc.      1,237,538  
  39,703       General Mills, Inc.      2,212,251  
  9,833       Hershey Co.      873,465  
  8,952       Hormel Foods Corp.      504,624  
  6,462       J.M. Smucker Co. (The)^      700,545  
  16,825       Kellogg Co.      1,054,928  
  7,694       Keurig Green Mountain, Inc.^      589,591  
  39,470       Kraft Foods Group, Inc.      3,360,476  
  8,525       McCormick & Co.^      690,099  
  13,445       Mead Johnson Nutrition Co.      1,213,008  
  108,373       Mondelez International, Inc., Class A      4,458,466  
  19,419       Tyson Foods, Inc., Class A^      827,832  
     

 

 

 
        20,279,995  
     

 

 

 

 

Gas Utilities (0.0%):

  

  7,954       AGL Resources, Inc.      370,338  
     

 

 

 

 

Health Care Equipment & Supplies (2.1%):

  

  99,168       Abbott Laboratories      4,867,165  
  36,282       Baxter International, Inc.      2,537,200  
  13,875       Becton, Dickinson & Co.      1,965,394  
  89,315       Boston Scientific Corp.*      1,580,876  
  4,936       C.R. Bard, Inc.      842,575  
  9,329       DENTSPLY International, Inc.      480,910  
  7,168       Edwards Lifesciences Corp.*      1,020,938  
  2,433       Intuitive Surgical, Inc.*      1,178,789  
  94,951       Medtronic plc      7,035,868  
  18,693       St. Jude Medical, Inc.      1,365,898  
  19,884       Stryker Corp.      1,900,314  
  6,651       Varian Medical Systems, Inc.*^      560,879  
  11,292       Zimmer Holdings, Inc.      1,233,425  
     

 

 

 
        26,570,231  
     

 

 

 

 

Health Care Providers & Services (2.9%):

  

  23,372       Aetna, Inc.      2,978,995  
  13,865       AmerisourceBergen Corp.      1,474,404  
  17,619       Anthem, Inc.      2,891,983  
  21,939       Cardinal Health, Inc.      1,835,197  
  17,175       CIGNA Corp.      2,782,350  
  11,474       DaVita, Inc.*      911,839  
  48,595       Express Scripts Holding Co.*^      4,322,039  
  19,324       HCA Holdings, Inc.*      1,753,073  
  5,570       Henry Schein, Inc.*^      791,608  
  9,942       Humana, Inc.      1,901,706  
  6,667       Laboratory Corp. of America Holdings*      808,174  
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Health Care Providers & Services, continued

  

  15,474       McKesson, Inc.    $ 3,478,710  
  5,766       Patterson Cos., Inc.      280,516  
  9,592       Quest Diagnostics, Inc.^      695,612  
  6,548       Tenet Healthcare Corp.*^      378,998  
  63,376       UnitedHealth Group, Inc.      7,731,873  
  6,051       Universal Health Services, Inc., Class B      859,847  
     

 

 

 
        35,876,924  
     

 

 

 

 

Health Care Technology (0.1%):

  

  20,263       Cerner Corp.*^      1,399,363  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.7%):

  

  29,936       Carnival Corp.      1,478,539  
  2,062       Chipotle Mexican Grill, Inc.*      1,247,489  
  8,245       Darden Restaurants, Inc.      586,055  
  13,784       Marriott International, Inc., Class A^      1,025,392  
  63,869       McDonald’s Corp.      6,072,025  
  10,948       Royal Caribbean Cruises, Ltd.      861,498  
  99,966       Starbucks Corp.      5,359,677  
  11,411       Starwood Hotels & Resorts Worldwide, Inc.      925,318  
  8,013       Wyndham Worldwide Corp.      656,345  
  5,385       Wynn Resorts, Ltd.^      531,338  
  28,783       Yum! Brands, Inc.      2,592,773  
     

 

 

 
        21,336,449  
     

 

 

 

 

Household Durables (0.4%):

  

  22,102       D.R. Horton, Inc.      604,711  
  8,033       Garmin, Ltd.      352,890  
  4,741       Harman International Industries, Inc.      563,895  
  9,196       Leggett & Platt, Inc.^      447,661  
  11,866       Lennar Corp., Class A^      605,641  
  4,125       Mohawk Industries, Inc.*      787,462  
  18,019       Newell Rubbermaid, Inc.      740,761  
  22,028       PulteGroup, Inc.^      443,864  
  5,191       Whirlpool Corp.      898,302  
     

 

 

 
        5,445,187  
     

 

 

 

 

Household Products (1.7%):

  

  8,718       Clorox Co. (The)      906,846  
  56,662       Colgate-Palmolive Co.      3,706,261  
  24,288       Kimberly-Clark Corp.      2,573,799  
  180,784       Procter & Gamble Co. (The)      14,144,541  
     

 

 

 
        21,331,447  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.1%):

  

  45,473       AES Corp. (The)      602,972  
  22,446       NRG Energy, Inc.^      513,564  
     

 

 

 
        1,116,536  
     

 

 

 

 

Industrial Conglomerates (2.3%):

  

  42,273       3M Co.      6,522,724  
  41,046       Danaher Corp.      3,513,127  
  671,472       General Electric Co.      17,841,011  
  6,670       Roper Industries, Inc.      1,150,308  
     

 

 

 
        29,027,170  
     

 

 

 

 

Insurance (2.7%):

  

  21,752       ACE, Ltd.      2,211,743  
  28,902       AFLAC, Inc.      1,797,704  
 

 

Continued

 

4


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Insurance, continued

  

  27,253       Allstate Corp. (The)    $ 1,767,902  
  88,865       American International Group, Inc.      5,493,635  
  18,771       Aon plc      1,871,093  
  4,559       Assurant, Inc.      305,453  
  15,342       Chubb Corp. (The)      1,459,638  
  9,821       Cincinnati Financial Corp.      492,818  
  33,022       Genworth Financial, Inc., Class A*      249,977  
  27,976       Hartford Financial Services Group, Inc. (The)      1,162,962  
  17,040       Lincoln National Corp.      1,009,109  
  19,842       Loews Corp.      764,115  
  35,805       Marsh & McLennan Cos., Inc.      2,030,144  
  74,258       MetLife, Inc.      4,157,706  
  18,179       Principal Financial Group, Inc.      932,401  
  35,618       Progressive Corp. (The)      991,249  
  30,170       Prudential Financial, Inc.      2,640,478  
  8,504       Torchmark Corp.      495,103  
  21,229       Travelers Cos., Inc. (The)      2,051,995  
  16,711       UnumProvident Corp.      597,418  
  20,425       XL Group plc      759,810  
     

 

 

 
        33,242,453  
     

 

 

 

 

Internet & Catalog Retail (1.5%):

  

  25,435       Amazon.com, Inc.*      11,041,079  
  6,570       Expedia, Inc.^      718,430  
  4,021       Netflix, Inc.*      2,641,556  
  3,452       Priceline Group, Inc. (The)*      3,974,529  
  7,410       TripAdvisor, Inc.*^      645,707  
     

 

 

 
        19,021,301  
     

 

 

 

 

Internet Software & Services (3.3%):

  

  11,886       Akamai Technologies, Inc.*      829,881  
  73,664       eBay, Inc.*      4,437,519  
  3,754       Equinix, Inc.^      953,516  
  140,333       Facebook, Inc., Class A*      12,035,659  
  19,140       Google, Inc., Class C*      9,962,398  
  19,065       Google, Inc., Class A*      10,295,863  
  6,993       VeriSign, Inc.*^      431,608  
  57,855       Yahoo!, Inc.*      2,273,123  
     

 

 

 
        41,219,567  
     

 

 

 

 

IT Services (3.3%):

  

  41,741       Accenture plc, Class A      4,039,694  
  4,174       Alliance Data Systems Corp.*      1,218,558  
  31,298       Automatic Data Processing, Inc.      2,511,039  
  40,512       Cognizant Technology Solutions Corp., Class A*      2,474,878  
  9,175       Computer Sciences Corp.      602,247  
  18,945       Fidelity National Information Services, Inc.      1,170,801  
  15,863       Fiserv, Inc.*      1,313,932  
  61,085       International Business Machines Corp.      9,936,086  
  64,610       MasterCard, Inc., Class A      6,039,743  
  21,721       Paychex, Inc.^      1,018,280  
  9,649       Teradata Corp.*^      357,013  
  10,948       Total System Services, Inc.      457,298  
  128,912       Visa, Inc., Class A^      8,656,441  
  34,658       Western Union Co.^      704,597  
  69,480       Xerox Corp.      739,267  
     

 

 

 
        41,239,874  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Leisure Products (0.1%):

  

  7,437       Hasbro, Inc.^    $ 556,213  
  22,482       Mattel, Inc.^      577,563  
     

 

 

 
        1,133,776  
     

 

 

 

 

Life Sciences Tools & Services (0.4%):

  

  22,318       Agilent Technologies, Inc.      861,028  
  7,513       PerkinElmer, Inc.^      395,484  
  26,515       Thermo Fisher Scientific, Inc.      3,440,587  
  5,519       Waters Corp.*      708,529  
     

 

 

 
        5,405,628  
     

 

 

 

 

Machinery (1.5%):

  

  40,282       Caterpillar, Inc.      3,416,718  
  11,193       Cummins, Inc.      1,468,410  
  22,245       Deere & Co.^      2,158,877  
  10,836       Dover Corp.^      760,470  
  8,954       Flowserve Corp.      471,518  
  22,533       Illinois Tool Works, Inc.      2,068,304  
  17,500       Ingersoll-Rand plc      1,179,850  
  6,490       Joy Global, Inc.^      234,938  
  23,560       PACCAR, Inc.^      1,503,364  
  7,088       Pall Corp.      882,102  
  9,242       Parker Hannifin Corp.^      1,075,122  
  12,126       Pentair, plc      833,663  
  3,864       Snap-On, Inc.      615,342  
  10,240       Stanley Black & Decker, Inc.      1,077,658  
  12,119       Xylem, Inc.      449,251  
     

 

 

 
        18,195,587  
     

 

 

 

 

Media (3.6%):

  

  14,585       Cablevision Systems Corp., Class A      349,165  
  30,168       CBS Corp., Class B      1,674,324  
  167,463       Comcast Corp., Class A      10,071,225  
  33,413       DIRECTV, Inc., Class A*      3,100,392  
  17,404       Discovery Communications, Inc.,
Class C*
     540,916  
  9,877       Discovery Communications, Inc.,
Class A*^
     328,509  
  1       Gannett Co., Inc.*^      7  
  27,466       Interpublic Group of Cos., Inc. (The)      529,270  
  33,196       News Corp., Class A*      484,330  
  16,397       Omnicom Group, Inc.^      1,139,428  
  6,476       Scripps Networks Interactive, Class A^      423,336  
  15,079       Tegna, Inc.      483,584  
  18,844       Time Warner Cable, Inc., Class A      3,357,435  
  54,972       Time Warner, Inc., Class A      4,805,103  
  117,898       Twenty-First Century Fox, Inc.      3,836,990  
  23,802       Viacom, Inc., Class B      1,538,561  
  103,904       Walt Disney Co. (The)^      11,859,602  
     

 

 

 
        44,522,177  
     

 

 

 

 

Metals & Mining (0.3%):

  

  81,230       Alcoa, Inc.      905,715  
  7,302       Allegheny Technologies, Inc.^      220,520  
  69,106       Freeport-McMoRan Copper & Gold, Inc.^      1,286,753  
  35,235       Newmont Mining Corp.      823,090  
  21,204       Nucor Corp.^      934,460  
     

 

 

 
        4,170,538  
     

 

 

 
 

 

Continued

 

5


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Multiline Retail (0.8%):

  

  19,799       Dollar General Corp.    $ 1,539,174  
  13,668       Dollar Tree, Inc.*      1,079,635  
  6,390       Family Dollar Stores, Inc.      503,596  
  13,183       Kohl’s Corp.^      825,388  
  22,415       Macy’s, Inc.      1,512,340  
  9,350       Nordstrom, Inc.      696,575  
  42,546       Target Corp.^      3,473,030  
     

 

 

 
        9,629,738  
     

 

 

 

 

Multi-Utilities (1.2%):

  

  16,127       Ameren Corp.      607,665  
  28,568       CenterPoint Energy, Inc.      543,649  
  18,309       CMS Energy Corp.      582,959  
  19,465       Consolidated Edison, Inc.^      1,126,634  
  39,544       Dominion Resources, Inc.^      2,644,307  
  11,948       DTE Energy Co.      891,799  
  21,016       NiSource, Inc.      958,119  
  31,990       PG&E Corp.      1,570,709  
  33,639       Public Service Enterprise Group, Inc.      1,321,340  
  9,500       SCANA Corp.      481,175  
  15,388       Sempra Energy      1,522,489  
  15,659       TECO Energy, Inc.      276,538  
  20,962       WEC Energy Group, Inc.      942,656  
  33,627       Xcel Energy, Inc.      1,082,117  
     

 

 

 
        14,552,156  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.3%):

  

  33,845       Anadarko Petroleum Corp.      2,641,941  
  25,042       Apache Corp.      1,443,170  
  27,460       Cabot Oil & Gas Corp.      866,088  
  34,391       Chesapeake Energy Corp.^      384,147  
  125,360       Chevron Corp.      12,093,480  
  6,242       Cimarex Energy Co.      688,555  
  82,145       ConocoPhillips^      5,044,525  
  15,306       CONSOL Energy, Inc.^      332,752  
  25,681       Devon Energy Corp.      1,527,763  
  36,446       EOG Resources, Inc.      3,190,847  
  10,095       EQT Corp.      821,127  
  278,470       Exxon Mobil Corp.      23,168,705  
  16,147       Hess Corp.^      1,079,911  
  115,614       Kinder Morgan, Inc.      4,438,421  
  44,855       Marathon Oil Corp.      1,190,452  
  36,294       Marathon Petroleum Corp.      1,898,539  
  11,090       Murphy Oil Corp.^      461,011  
  10,688       Newfield Exploration Co.*      386,051  
  25,703       Noble Energy, Inc.      1,097,004  
  51,206       Occidental Petroleum Corp.      3,982,291  
  13,851       ONEOK, Inc.      546,837  
  36,118       Phillips 66      2,909,666  
  9,900       Pioneer Natural Resources Co.^      1,373,031  
  11,060       Range Resources Corp.^      546,143  
  25,554       Southwestern Energy Co.*^      580,842  
  44,598       Spectra Energy Corp.^      1,453,895  
  8,301       Tesoro Corp.      700,687  
  33,886       Valero Energy Corp.      2,121,264  
  44,731       Williams Cos., Inc. (The)*      2,567,112  
     

 

 

 
        79,536,257  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Paper & Forest Products (0.1%):

  

  28,101       International Paper Co.    $ 1,337,327  
     

 

 

 

 

Personal Products (0.1%):

  

  14,824       Estee Lauder Co., Inc. (The), Class A      1,284,648  
     

 

 

 

 

Pharmaceuticals (6.4%):

  

  114,603       AbbVie, Inc.      7,700,176  
  26,161       Allergan plc*      7,938,817  
  111,120       Bristol-Myers Squibb Co.      7,393,925  
  64,976       Eli Lilly & Co.      5,424,846  
  13,390       Endo International plc*      1,066,514  
  11,392       Hospira, Inc.*      1,010,584  
  184,767       Johnson & Johnson Co.      18,007,391  
  7,742       Mallinckrodt plc*      911,388  
  188,303       Merck & Co., Inc.      10,720,090  
  27,436       Mylan NV*      1,861,807  
  9,750       Perrigo Co. plc^      1,802,093  
  410,294       Pfizer, Inc.      13,757,157  
  33,281       Zoetis, Inc.      1,604,810  
     

 

 

 
        79,199,598  
     

 

 

 

 

Professional Services (0.2%):

  

  2,402       Dun & Bradstreet Corp.      293,044  
  7,941       Equifax, Inc.      770,992  
  24,667       Nielsen Holdings NV      1,104,341  
  8,983       Robert Half International, Inc.      498,557  
     

 

 

 
        2,666,934  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (2.3%):

  

  28,081       American Tower Corp.      2,619,676  
  10,389       Apartment Investment & Management Co., Class A      383,666  
  8,775       AvalonBay Communities, Inc.^      1,402,859  
  10,181       Boston Properties, Inc.      1,232,308  
  22,487       Crown Castle International Corp.      1,805,706  
  24,177       Equity Residential Property Trust      1,696,500  
  4,329       Essex Property Trust, Inc.      919,913  
  41,755       General Growth Properties, Inc.      1,071,433  
  30,622       HCP, Inc.      1,116,784  
  23,224       Health Care REIT, Inc.      1,524,191  
  50,345       Host Hotels & Resorts, Inc.^      998,341  
  27,422       Kimco Realty Corp.      618,092  
  9,356       Macerich Co. (The)      697,958  
  11,703       Plum Creek Timber Co., Inc.^      474,791  
  34,927       ProLogis, Inc.      1,295,792  
  9,647       Public Storage, Inc.      1,778,617  
  15,496       Realty Income Corp.^      687,867  
  20,734       Simon Property Group, Inc.      3,587,398  
  6,555       SL Green Realty Corp.^      720,329  
  20,568       Ventas, Inc.      1,277,067  
  11,613       Vornado Realty Trust      1,102,422  
  34,500       Weyerhaeuser Co.      1,086,750  
     

 

 

 
        28,098,460  
     

 

 

 

 

Real Estate Management & Development (0.1%):

  

  18,593       CBRE Group, Inc.*      687,941  
     

 

 

 
 

 

Continued

 

6


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Road & Rail (0.9%):

  

  65,828       CSX Corp.    $ 2,149,284  
  6,130       J.B. Hunt Transport Services, Inc.      503,212  
  7,338       Kansas City Southern      669,226  
  20,429       Norfolk Southern Corp.      1,784,677  
  3,523       Ryder System, Inc.      307,805  
  58,341       Union Pacific Corp.      5,563,981  
     

 

 

 
        10,978,185  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (2.3%):

  

  19,998       Altera Corp.      1,023,898  
  20,896       Analog Devices, Inc.      1,341,210  
  81,655       Applied Materials, Inc.      1,569,409  
  17,052       Avago Technologies, Ltd.      2,266,722  
  36,225       Broadcom Corp., Class A      1,865,225  
  5,001       First Solar, Inc.*^      234,947  
  316,100       Intel Corp.^      9,614,182  
  10,812       KLA-Tencor Corp.      607,743  
  10,589       Lam Research Corp.      861,415  
  15,898       Linear Technology Corp.      703,169  
  13,389       Microchip Technology, Inc.^      634,973  
  71,593       Micron Technology, Inc.*      1,348,812  
  34,319       NVIDIA Corp.^      690,155  
  9,868       Qorvo, Inc.*      792,104  
  12,682       Skyworks Solutions, Inc.      1,320,196  
  69,586       Texas Instruments, Inc.      3,584,375  
  17,376       Xilinx, Inc.      767,324  
     

 

 

 
        29,225,859  
     

 

 

 

 

Software (3.7%):

  

  31,624       Adobe Systems, Inc.*      2,561,860  
  15,067       Autodesk, Inc.*      754,480  
  21,190       CA, Inc.^      620,655  
  0       CDK Global, Inc.      0  
  10,623       Citrix Systems, Inc.*      745,310  
  20,664       Electronic Arts, Inc.*^      1,374,156  
  18,390       Intuit, Inc.      1,853,160  
  538,771       Microsoft Corp.      23,786,739  
  212,401       Oracle Corp.      8,559,760  
  12,190       Red Hat, Inc.*      925,587  
  40,617       Salesforce.com, Inc.*      2,828,162  
  45,350       Symantec Corp.      1,054,388  
     

 

 

 
        45,064,257  
     

 

 

 

 

Specialty Retail (2.3%):

  

  4,984       AutoNation, Inc.*      313,892  
  2,120       AutoZone, Inc.*      1,413,828  
  11,412       Bed Bath & Beyond, Inc.*^      787,200  
  19,350       Best Buy Co., Inc.^      631,004  
  13,958       CarMax, Inc.*^      924,159  
  7,234       GameStop Corp., Class A^      310,773  
  17,628       Gap, Inc. (The)^      672,861  
  86,561       Home Depot, Inc. (The)      9,619,523  
  16,339       L Brands, Inc.      1,400,742  
  62,136       Lowe’s Cos., Inc.      4,161,248  
  6,756       O’Reilly Automotive, Inc.*^      1,526,721  
  27,512       Ross Stores, Inc.      1,337,358  
  42,570       Staples, Inc.      651,747  
  7,480       Tiffany & Co.      686,664  

Shares or

Principal
Amount

           Fair Value  

 

Common Stocks, continued

  

 

Specialty Retail, continued

  

  45,368       TJX Cos., Inc. (The)    $ 3,002,001  
  9,052       Tractor Supply Co.      814,137  
  6,509       Urban Outfitters, Inc.*^      227,815  
     

 

 

 
        28,481,673  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (4.8%):

  

  383,706       Apple, Inc.      48,126,324  
  129,409       EMC Corp.      3,415,104  
  120,364       Hewlett-Packard Co.      3,612,124  
  20,720       NetApp, Inc.      653,923  
  13,853       SanDisk Corp.      806,522  
  21,147       Seagate Technology plc^      1,004,483  
  14,433       Western Digital Corp.      1,131,836  
     

 

 

 
        58,750,316  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.9%):

  

  18,333       Coach, Inc.^      634,505  
  2,890       Fossil Group, Inc.*^      200,450  
  26,638       Hanesbrands, Inc.      887,578  
  13,343       Michael Kors Holdings, Ltd.*      561,607  
  46,503       Nike, Inc., Class B      5,023,255  
  5,480       PVH Corp.      631,296  
  4,005       Ralph Lauren Corp.      530,102  
  11,089       Under Armour, Inc., Class A*      925,266  
  22,752       VF Corp.      1,586,724  
     

 

 

 
        10,980,783  
     

 

 

 

 

Thrifts & Mortgage Finance (0.0%):

  

  32,000       Hudson City Bancorp, Inc.      316,160  
     

 

 

 

 

Tobacco (1.3%):

  

  130,866       Altria Group, Inc.      6,400,656  
  103,189       Philip Morris International, Inc.      8,272,661  
  27,688       Reynolds American, Inc.      2,067,186  
     

 

 

 
        16,740,503  
     

 

 

 

 

Trading Companies & Distributors (0.2%):

  

  18,068       Fastenal Co.^      762,108  
  6,415       United Rentals, Inc.*^      562,082  
  3,990       W.W. Grainger, Inc.^      944,234  
     

 

 

 
        2,268,424  
     

 

 

 

 

Total Common Stocks (Cost $652,479,931)

     1,214,160,400  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (8.8%):

  

$ 109,900,850       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      109,900,850  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $109,900,850)

     109,900,850  
     

 

 

 

 

Unaffiliated Investment Company (2.5%):

  

  31,780,427       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      31,780,427  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $31,780,427)

     31,780,427  
     

 

 

 

 

Total Investment Securities (Cost $794,161,208)(c) — 108.7%

     1,355,841,677  

 

Net other assets (liabilities) — (8.7)%

     (108,754,832
     

 

 

 

 

Net Assets — 100.0%

   $ 1,247,086,845  
     

 

 

 
 

 

Continued

 

7


AZL S&P 500 Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

 

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $107,237,775.

 

+ Affiliated Securities

 

(a) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

Securities Sold Short (-0.0%):

 

Security Description    Proceeds
Received
   Fair Value    Unrealized
Appreciation/
Deprecation
 

Chemours Co. (The)

   $(192,476)    $(182,613)    $ 9,863  

TopBuild Corp.

   (67,357)    (67,367)      (10 )
  

 

  

 

  

 

 

 
   $(259,833)    $(249,980)    $ 9,853  
  

 

  

 

  

 

 

 

Futures Contracts

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

S&P 500 Index E-Mini September Futures

     Long         9/18/15         316       $ 32,459,520      $ (678,971

 

See accompanying notes to the financial statements.

 

8


AZL S&P 500 Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investments in non-affiliates, at cost

     $ 793,798,920  

Investments in affiliates, at cost

       1,662,288  
    

 

 

 

Total Investment securities, at cost

     $ 794,161,208  
    

 

 

 

Investments in non-affiliates, at value

     $ 1,352,925,066  

Investments in affiliates, at value

       2,916,611  
    

 

 

 

Total Investment securities, at value*

     $ 1,355,841,677  

Cash

       4,178  

Interest and dividends receivable

       1,413,094  

Receivable for capital shares issued

       1,122,082  

Receivable for investments sold

       568,104  

Receivable for variation margin on futures contracts

       62,936  

Reclaims receivable

       7,722  

Prepaid expenses

       2,890  
    

 

 

 

Total Assets

       1,359,022,684  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       1,034,470  

Payable for capital shares redeemed

       162,699  

Payable for collateral received on loaned securities

       109,900,850  

Securities sold short (Proceeds received $259,833)

       249,980  

Manager fees payable

       177,260  

Administration fees payable

       30,364  

Distribution fees payable

       256,283  

Custodian fees payable

       8,399  

Administrative and compliance services fees payable

       118  

Trustee fees payable

       2,803  

Other accrued liabilities

       112,613  
    

 

 

 

Total Liabilities

       111,935,839  
    

 

 

 

Net Assets

     $ 1,247,086,845  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 550,837,126  

Accumulated net investment income/(loss)

       37,541,842  

Accumulated net realized gains/(losses) from investment transactions

       97,696,526  

Net unrealized appreciation/(depreciation) on investments

       561,011,351  
    

 

 

 

Net Assets

     $ 1,247,086,845  
    

 

 

 

Class 1

    

Net Assets

     $ 20,876,270  

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       1,423,788  

Net Asset Value (offering and redemption price per share)

     $ 14.66  
    

 

 

 

Class 2

    

Net Assets

     $ 1,226,210,575  

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       84,301,880  

Net Asset Value (offering and redemption price per share)

     $ 14.55  
    

 

 

 

 

* Includes securities on loan of $107,237,775.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 15,806,471  

Dividends from affiliates

       44,677  

Income from securities lending

       166,675  

Foreign tax reclaims received

       395  
    

 

 

 

Total Investment Income

       16,018,218  
    

 

 

 

Expenses:

    

Manager fees

       1,358,240  

Administration fees

       212,043  

Distribution fees — Class 2

       1,970,785  

Custodian fees

       29,047  

Administrative and compliance services fees

       10,891  

Trustee fees

       42,192  

Professional fees

       47,023  

Shareholder reports

       22,783  

Other expenses

       177,271  
    

 

 

 

Total expenses

       3,870,275  
    

 

 

 

Net Investment Income/(Loss)

       12,147,943  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       166,570,140  

Net realized gains/(losses) on futures contracts

       2,436,077  

Change in net unrealized appreciation/depreciation on investments

       (149,785,973 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       19,220,244  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 31,368,187  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

9


Statements of Changes in Net Assets

 

     AZL S&P 500 Index Fund
     

For the

Six Months Ended

June 30,

2015

  

For the
Year Ended

December 31,
2014

     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 12,147,943        $ 25,292,465  

Net realized gains/(losses) on investment transactions

       169,006,217          16,497,975  

Change in unrealized appreciation/depreciation on investments

       (149,785,973 )        167,334,457  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       31,368,187          209,124,897  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income:

         

Class 1

                (264,526 )

Class 2

                (19,712,701 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (19,977,227 )
    

 

 

      

 

 

 

Capital Transactions:

         

Class 1

         

Proceeds from shares issued

       662,054          2,319,500  

Proceeds from dividends reinvested

                264,526  

Value of shares redeemed

       (1,334,444 )        (2,824,368 )
    

 

 

      

 

 

 

Total Class 1

       (672,390 )        (240,342 )
    

 

 

      

 

 

 

Class 2

         

Proceeds from shares issued

       115,772,979          148,739,164  

Proceeds from dividends reinvested

                19,712,701  

Value of shares redeemed

       (664,604,839 )        (159,158,737 )
    

 

 

      

 

 

 

Total Class 2

       (548,831,860 )        9,293,128  
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (549,504,250 )        9,052,786  
    

 

 

      

 

 

 

Change in net assets

       (518,136,063 )        198,200,456  

Net Assets:

         

Beginning of period

       1,765,222,908          1,567,022,452  
    

 

 

      

 

 

 

End of period

     $ 1,247,086,845        $ 1,765,222,908  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 37,541,842        $ 25,393,899  
    

 

 

      

 

 

 

Share Transactions:

         

Class 1

         

Shares issued

       45,455          168,399  

Dividends reinvested

                19,017  

Shares redeemed

       (90,701 )        (210,215 )
    

 

 

      

 

 

 

Total Class 1 Shares

       (45,246 )        (22,799 )
    

 

 

      

 

 

 

Class 2

         

Shares issued

       7,963,812          11,227,373  

Dividends reinvested

                1,425,358  

Shares redeemed

       (44,737,711 )        (11,729,494 )
    

 

 

      

 

 

 

Total Class 2 Shares

       (36,773,899 )        923,237  
    

 

 

      

 

 

 

Change in shares

       (36,819,145 )        900,438  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

10


AZL S&P 500 Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Class 1

                        

Net Asset Value, Beginning of Period

     $ 14.50       $ 12.96       $ 9.95       $ 8.71       $ 8.68       $ 7.71  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.13 (a)       0.24 (a)       0.21 (a)       0.19 (a)       0.16 (a)       0.14 (a)

Net Realized and Unrealized Gains/(Losses) on Investments

       0.03         1.49         2.96         1.17         —  (b)       0.98  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.16         1.73         3.17         1.36         0.16         1.12  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.19 )       (0.16 )       (0.12 )       (0.13 )       (0.13 )

Net Realized Gains

                                               (0.02 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.19 )       (0.16 )       (0.12 )       (0.13 )       (0.15 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 14.66       $ 14.50       $ 12.96       $ 9.95       $ 8.71       $ 8.68  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       1.10 %(d)       13.41 %       32.02 %       15.66 %       1.88 %       14.75 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 20,876       $ 21,304       $ 19,334       $ 14,828       $ 13,488       $ 15,506  

Net Investment Income/(Loss)(e)

       1.80 %       1.76 %       1.81 %       2.00 %       1.79 %       1.79 %

Expenses Before Reductions(e) (f)

       0.24 %       0.24 %       0.24 %       0.26 %       0.27 %       0.29 %

Expenses Net of Reductions(e)

       0.24 %       0.24 %       0.24 %       0.26 %       0.26 %       0.24 %

Portfolio Turnover Rate(g)

       5 %(d)       3 %       4 %       3 %       2 %       14 %

Class 2

                        

Net Asset Value, Beginning of Period

     $ 14.40       $ 12.88       $ 9.90       $ 8.67       $ 8.65       $ 7.68  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.11 (a)       0.20 (a)       0.18 (a)       0.17 (a)       0.14 (a)       0.12 (a)

Net Realized and Unrealized Gains/(Losses) on Investments

       0.04         1.48         2.94         1.17         (0.01 )       0.98  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.15         1.68         3.12         1.34         0.13         1.10  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.16 )       (0.14 )       (0.11 )       (0.11 )       (0.11 )

Net Realized Gains

                                               (0.02 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.16 )       (0.14 )       (0.11 )       (0.11 )       (0.13 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 14.55       $ 14.40       $ 12.88       $ 9.90       $ 8.67       $ 8.65  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(c)

       1.04 %(d)       13.12 %       31.66 %       15.42 %       1.55 %       14.57 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 1,226,211       $ 1,743,919       $ 1,547,689       $ 1,019,853       $ 732,892       $ 594,350  

Net Investment Income/(Loss)(e)

       1.51 %       1.51 %       1.56 %       1.77 %       1.56 %       1.51 %

Expenses Before Reductions(e) (f)

       0.49 %       0.49 %       0.49 %       0.51 %       0.52 %       0.54 %

Expenses Net of Reductions(e)

       0.49 %       0.49 %       0.49 %       0.51 %       0.51 %       0.49 %

Portfolio Turnover Rate(g)

       5 %(d)       3 %       4 %       3 %       2 %       14 %

 

(a) Average shares method used in calculation.

 

(b) Represents less than $0.005.

 

(c) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(d) Not annualized.

 

(e) Annualized for periods less than one year.

 

(f) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(g) Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

 

See accompanying notes to the financial statements.

 

11


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. In addition, income and realized and unrealized gains and losses are allocated to each class of shares based on its relative net assets on a daily basis.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Short Sales

The Fund may engage in short sales against the box (i.e., where the Fund owns or has an unconditional right to acquire at no additional cost a security substantially similar to the security sold short) for hedging purposes to limit exposure to a possible market decline in the value of its portfolio securities. In a short sale, the Fund sells a borrowed security and has a corresponding obligation to the lender to return the identical security. The Fund may also incur an interest expense if a security that has been sold short has an interest payment. When a Fund engages in a short sale, the Fund records a liability for securities sold short and records an asset equal to the proceeds received. The amount of the liability is subsequently marked to market to reflect the market value of the securities sold short. To borrow the security, a Fund also may be required to pay a premium, which would increase the cost of the security sold.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

 

12


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (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 and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $140.9 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $16,438 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $32.5 million as of June 30, 2015. The monthly average notional amount for these contracts was $55.2 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location  

Total

Fair Value*

 

Equity Risk Exposure

       
Equity Contracts   Receivable for variation margin on futures contracts   $      Payable for variation margin on futures contracts   $ 678,971   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

 

13


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (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, 2015:

 

Primary Risk Exposure  

Location of Gains/(Losses)

on Derivatives

Recognized in Income

  

Realized Gains/(Losses)

on Derivatives

Recognized in Income

    

Change in Unrealized

Appreciation/Depreciation on
Derivatives Recognized in Income

 
Equity Risk Exposure        
Equity Contracts   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments    $ 2,436,077       $ (934,545

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL S&P 500 Index Fund Class 1

         0.17 %          0.46 %

AZL S&P 500 Index Fund Class 2

         0.17 %          0.71 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $9,509 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for

 

14


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks+

       $ 1,214,160,400          $          $ 1,214,160,400  

Securities Held as Collateral for Securities on Loan

                    109,900,850            109,900,850  

Unaffiliated Investment Company

         31,780,427                       31,780,427  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         1,245,940,827            109,900,850            1,355,841,677  
      

 

 

        

 

 

        

 

 

 

Securities Sold Short

         (249,980 )                     (249,980 )

Other Financial Instruments:*

                    

Futures Contracts

         (678,971 )                     (678,971 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 1,245,011,876          $ 109,900,850          $ 1,354,912,726  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.
* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

15


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 79,498,163          $ 611,134,242  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $806,223,478. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 569,695,442  

Unrealized depreciation

    (20,077,243
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 549,618,199   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs subject to expiration:

 

        Expires
12/31/2016

AZL S&P 500 Index Fund

       $ 57,858,950  

During the year ended December 31, 2014, the Fund utilized $14,962,755 in CLCFs to offset capital gains.

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
    

Total

Distributions(a)

AZL S&P 500 Index Fund

       $ 19,977,227          $          $ 19,977,227  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, 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

       $ 25,076,633          $          $ (57,858,950 )        $ 697,663,849          $ 664,881,532  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

 

16


AZL S&P 500 Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

17


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

18


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Schroder Emerging Markets Equity Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 5

Statement of Operations

Page 5

Statements of Changes in Net Assets

Page 6

Financial Highlights

Page 7

Notes to the Financial Statements

Page 8

Other Information

Page 13

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Schroder Emerging Markets Equity Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Schroder Emerging Markets Equity Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Schroder Emerging Markets Equity Fund, Class 1

       $ 1,000.00          $ 1,028.60          $ 6.79            1.35 %

AZL Schroder Emerging Markets Equity Fund, Class 2

       $ 1,000.00          $ 1,027.20          $ 8.04            1.60 %

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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Schroder Emerging Markets Equity Fund, Class 1

       $ 1,000.00          $ 1,018.10          $ 6.76            1.35 %

AZL Schroder Emerging Markets Equity Fund, Class 2

       $ 1,000.00          $ 1,016.86          $ 8.00            1.60 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      34.1 %

Information Technology

      25.5  

Consumer Discretionary

      11.7  

Telecommunication Services

      7.0  

Energy

      6.2  

Industrials

      4.7  

Materials

      3.0  

Consumer Staples

      2.9  

Health Care

      2.0  

Utilities

      1.8  
   

 

 

 

Total Common Stocks and Preferred Stocks

      98.9  

Money Market

      0.8  

Securities Held as Collateral for Securities on Loan

      0.6  
   

 

 

 

Total Investment Securities

      100.3  

Net other assets (liabilities)

      (0.3 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Schroder Emerging Markets Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (98.5%):

  

 

Aerospace & Defense (0.5%):

  

  38,300       Embraer SA, ADR    $ 1,160,107  
     

 

 

 

 

Auto Components (0.3%):

  

  4,006       Hyundai Mobis Co., Ltd.      763,693  
     

 

 

 

 

Automobiles (4.9%):

  

  1,258,000       Brilliance China Automotive Holdings, Ltd.      1,954,136  
  426,200       Chongqing Changan Automobile Co., Ltd., Class B      1,086,011  
  28,188       Hyundai Motor Co.      3,432,027  
  53,127       Maruti Suzuki India, Ltd.      3,356,320  
  951,480       PT Astra International TbK      505,059  
  217,308       Tata Motors, Ltd.      1,478,328  
     

 

 

 
        11,811,881  
     

 

 

 

 

Banks (21.8%):

  

  868,249       Akbank T.A.S.      2,491,368  
  475,587       Axis Bank, Ltd.*      4,163,854  
  115,571       Banco Bradesco SA, ADR      1,058,630  
  11,361,832       China Construction Bank      10,321,636  
  3,884,597       Chinatrust Financial Holding Co., Ltd.      3,059,309  
  44,017       Commercial International Bank Egypt SAE, GDR      323,533  
  150,045       Commercial International Bank Egypt SAE      1,110,119  
  137,477       DGB Financial Group, Inc.      1,440,659  
  180,151       Grupo Financiero Banorte SAB de C.V.      990,674  
  83,317       Hana Financial Holdings Group, Inc.      2,156,575  
  273,790       HDFC Bank, Ltd.*      4,587,976  
  3,140,385       Industrial & Commercial Bank of China      2,483,929  
  327,855       Itau Unibanco Banco Multiplo SA, ADR      3,590,012  
  526,500       Kasikornbank Public Co., Ltd.      2,942,400  
  2,380       Komercni Banka AS      528,015  
  349,092       National Bank of Greece SA*      442,207  
  331,792       National Bank of Kuwait      944,238  
  98,022       OTP Bank Nyrt      1,939,422  
  114,665       Powszechna Kasa Oszczednosci Bank Polski SA      948,896  
  1,514,500       PT Bank Mandiri Tbk      1,139,911  
  20,052       Qatar National Bank      1,060,981  
  253,642       Sberbank of Russia, ADR      1,346,839  
  11,387       Shinhan Financial Group Co., Ltd.      423,727  
  540,521       Turkiye Garanti Bankasi AS      1,682,733  
  561,884       Turkiye Is Bankasi AS, Class C      1,173,616  
     

 

 

 
        52,351,259  
     

 

 

 

 

Beverages (1.0%):

  

  334,365       Ambev SA, ADR      2,039,627  
  5,317       Fomento Economico Mexicano SAB de C.V., ADR      473,692  
     

 

 

 
        2,513,319  
     

 

 

 

 

Chemicals (1.7%):

  

  12,347       LG Chem, Ltd.      3,077,875  
  15,058       Samsung C&T Corp.      892,888  
     

 

 

 
        3,970,763  
     

 

 

 

 

Commercial Services & Supplies (0.3%):

  

  11,363       S1 Corp.      798,082  
     

 

 

 

 

Distributors (0.1%):

  

  3,533       Ultra Tech Cement, Ltd.      165,832  
     

 

 

 

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Diversified Financial Services (1.6%):

  

  38,941       Bank Pekao SA    $ 1,864,291  
  453,061       FirstRand, Ltd.      1,986,462  
     

 

 

 
        3,850,753  
     

 

 

 

 

Diversified Telecommunication Services (0.9%):

  

  718,000       China Unicom (Hong Kong), Ltd.      1,125,361  
  37,356       Hellenic Telecommunications Organization SA (OTE)      335,770  
  47,900       Telefonica Brasil SA, ADR      667,247  
     

 

 

 
        2,128,378  
     

 

 

 

 

Electric Utilities (1.1%):

  

  89,700       Enersis SA, ADR      1,419,951  
  26,680       Korea Electric Power Corp., Ltd.      1,091,437  
     

 

 

 
        2,511,388  
     

 

 

 

 

Electrical Equipment (0.6%):

  

  186,000       Zhuzhou CSR Times Electric Co., Ltd.      1,383,336  
     

 

 

 

 

Electronic Equipment, Instruments & Components (2.5%):

  

  1,898,480       Hon Hai Precision Industry Co., Ltd.      5,922,416  
     

 

 

 

 

Food & Staples Retailing (0.5%):

  

  20,648       Magnit PJSC, Registered Shares, GDR      1,150,362  
     

 

 

 

 

Food Products (0.3%):

  

  692       Orion Corp.      650,327  
  56,000       Tingyi (Caymen Is) Holding Corp.      113,821  
     

 

 

 
        764,148  
     

 

 

 

 

Health Care Equipment & Supplies (0.6%):

  

  47,347       Mindray Medical International, Ltd., ADR      1,349,390  
     

 

 

 

 

Hotels, Restaurants & Leisure (1.6%):

  

  1,156,660       MINI International Public Co., Ltd.      1,026,107  
  32,648       Yum! Brands, Inc.      2,940,932  
     

 

 

 
        3,967,039  
     

 

 

 

 

Household Durables (0.8%):

  

  23,119       Coway Co., Ltd.      1,896,615  
     

 

 

 

 

Independent Power and Renewable Electricity Producers (0.7%):

  

  1,496,000       China Longyuan Power Group Corp.      1,648,886  
     

 

 

 

 

Industrial Conglomerates (1.9%):

  

  486,808       KOC Holdings AS      2,252,203  
  18,803       LG Corp.      1,037,925  
  78,110       SM Investments Corp.      1,550,367  
     

 

 

 
        4,840,495  
     

 

 

 

 

Insurance (8.1%):

  

  897,600       AIA Group, Ltd.      5,866,873  
  164,700       BB Seguridade Participacoes SA      1,814,339  
  2,031,781       Cathay Financial Holding Co., Ltd.      3,545,247  
  854,000       China Life Insurance Co., Ltd.      3,686,255  
  887,000       China Pacific Insurance Group Co., Ltd., Class H      4,224,853  
  1,288       Powszechny Zaklad Ubezpieczen SA      148,131  
     

 

 

 
        19,285,698  
     

 

 

 

 

Internet Software & Services (7.1%):

  

  7,913       Baidu, Inc., ADR*      1,575,320  
  4,817       NHN Corp.      2,736,566  
  640,000       Tencent Holdings, Ltd.      12,743,194  
     

 

 

 
        17,055,080  
     

 

 

 
 

 

Continued

 

2


AZL Schroder Emerging Markets Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

IT Services (3.5%):

  

  141,800       Cielo SA    $ 2,005,054  
  47,365       Infosys Technologies-SP, ADR^      750,735  
  140,168       Infosys, Ltd.      2,168,305  
  89,982       Tata Consultancy Services, Ltd.      3,597,411  
     

 

 

 
        8,521,505  
     

 

 

 

 

Machinery (0.8%):

  

  189,000       WEG SA      1,163,236  
  206,799       Weichai Power Co., Ltd., Class H      684,290  
     

 

 

 
        1,847,526  
     

 

 

 

 

Media (1.5%):

  

  22,929       Naspers, Ltd.      3,548,264  
     

 

 

 

 

Metals & Mining (1.3%):

  

  19,903       KGHM Polska Miedz SA      564,191  
  77,278       Mining and Metallurgical Co. Norilsk Nickel, ADR      1,309,862  
  4,212       POSCO      835,732  
  120,600       Vale SA, ADR^      710,334  
     

 

 

 
        3,420,119  
     

 

 

 

 

Multiline Retail (1.4%):

  

  9,279       Hotel Shilla Co., Ltd.      926,935  
  9,925       Hyundai Department Store Co., Ltd.      1,299,698  
  151,413       Woolworths Holdings, Ltd.      1,225,263  
     

 

 

 
        3,451,896  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.2%):

  

  8,606,400       China Petroleum & Chemical Corp., Class H      7,399,868  
  34,735       LUKOIL, ADR      1,559,948  
  7,400       NovaTek OAO, Registered Shares, GDR      754,222  
  173,900       PTT pcl      1,846,957  
  3,312       SK Energy Co., Ltd.*      364,139  
  57,432       Tupras-Turkiye Petrol Rafine*      1,454,673  
  71,042       Ultrapar Participacoes SA      1,501,431  
     

 

 

 
        14,881,238  
     

 

 

 

 

Personal Products (0.9%):

  

  6,663       Amorepacific Corp.      2,494,439  
     

 

 

 

 

Pharmaceuticals (1.4%):

  

  47,062       Aspen Pharmacare Holdings, Ltd.      1,393,453  
  65,640       Lupin, Ltd.      1,943,872  
     

 

 

 
        3,337,325  
     

 

 

 

 

Real Estate Management & Development (2.6%):

  

  1,910,500       Ayala Land, Inc.      1,579,446  
  2,115,471       Emaar Properties PJSC      4,519,431  
     

 

 

 
        6,098,877  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment (10.9%):

  

  2,159,000       Advanced Semiconductor Engineering, Inc.    $ 2,899,237  
  10,449       Samsung Electronics Co., Ltd.      11,872,552  
  71,811       SK Hynix, Inc.      2,730,001  
  1,887,110       Taiwan Semiconductor Manufacturing Co., Ltd.      8,503,757  
     

 

 

 
        26,005,547  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (1.5%):

  

  285,000       Catcher Technology Co., Ltd.      3,564,749  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.9%):

  

  1,404,000       Belle International Holdings, Ltd.      1,616,373  
  41,960       Eclat Textile Co., Ltd.      688,117  
     

 

 

 
        2,304,490  
     

 

 

 

 

Transportation Infrastructure (0.6%):

  

  278,956       Companhia de Concessoes Rodoviarias      1,343,534  
     

 

 

 

 

Wireless Telecommunication Services (6.1%):

  

  371,800       Advanced Info Service pcl      2,635,235  
  547,000       China Mobile, Ltd.      6,995,893  
  7,247       SK Telecom Co., Ltd.      1,623,251  
  670,000       Taiwan Mobile Co., Ltd.      2,236,645  
  274,063       Turkcell Iletisim Hizmetleri AS      1,258,821  
     

 

 

 
        14,749,845  
     

 

 

 

 

Total Common Stocks (Cost $192,045,956)

     236,858,274  
     

 

 

 

 

Preferred Stocks (0.4%):

  

 

Food & Staples Retailing (0.2%):

  
  22,900       Companhia Brasileira de Destribuicao Grupo Pao de Acucar, Series A, Preferred Shares      540,856  
     

 

 

 

 

Multiline Retail (0.2%):

  

  80,800       Lojas Americanas SA      453,626  
     

 

 

 

 

Total Preferred Stocks (Cost $1,470,663)

     994,482  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (0.6%):

  

  $1,439,870       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      1,439,870  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $1,439,870)

     1,439,870  
     

 

 

 

 

Unaffiliated Investment Company (0.8%):

  

  1,948,592       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      1,948,592  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $1,948,592)

     1,948,592  
     

 

 

 

 

Total Investment Securities (Cost $196,905,081)(c) — 100.3%

     241,241,218   

 

Net other assets (liabilities) — (0.3)%

     (804,984
     

 

 

 

 

Net Assets — 100.0%

   $ 240,436,234  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

GDR—Global Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $1,013,713.

 

(a) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

Continued

 

3


AZL Schroder Emerging Markets Equity Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

The following represents the concentrations by country of risk (based on the domicile of the security issuer) relative to the total fair value of investments as of June 30, 2015:

 

Country    Percentage  

Brazil

     7.5

Cayman Islands

     1.9

Chile

     0.6

China

     15.9

Czech Republic

     0.2

Egypt

     0.6

Greece

     0.3

Hong Kong

     7.9

Hungary

     0.8

India

     9.2

Indonesia

     0.7

Korea, Republic Of

     3.6

Kuwait

     0.4

Mexico

     0.6

Philippines

     1.3

Poland

     1.5

Qatar

     0.4

Republic of Korea (South)

     14.0

Russian Federation

     2.5

South Africa

     3.4

Switzerland

     1.8

Taiwan

     12.6

Thailand

     3.5

Turkey

     4.3

United Arab Emirates

     1.9

United States

     2.6
  

 

 

 
     100.0
  

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


AZL Schroder Emerging Markets Equity Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 196,905,081  
    

 

 

 

Investment securities, at value*

     $ 241,241,218  

Interest and dividends receivable

       1,295,187  

Foreign currency, at value (cost $177,098)

       177,249  

Receivable for investments sold

       486,024  

Reclaims receivable

       9,751  

Prepaid expenses

       510  
    

 

 

 

Total Assets

       243,209,939  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       543,285  

Payable for capital shares redeemed

       340,198  

Payable for collateral received on loaned securities

       1,439,870  

Manager fees payable

       215,782  

Administration fees payable

       8,490  

Distribution fees payable

       44,614  

Custodian fees payable

       163,092  

Administrative and compliance services fees payable

       265  

Trustee fees payable

       1,699  

Other accrued liabilities

       16,410  
    

 

 

 

Total Liabilities

       2,773,705  
    

 

 

 

Net Assets

     $ 240,436,234  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 187,118,890  

Accumulated net investment income/(loss)

       3,410,319  

Accumulated net realized gains/(losses) from investment transactions

       5,574,205  

Net unrealized appreciation/(depreciation) on investments

       44,332,820  
    

 

 

 

Net Assets

     $ 240,436,234  
    

 

 

 

Class 1

    

Net Assets

     $ 25,800,179  

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       3,414,878  

Net Asset Value (offering and redemption price per share)

     $ 7.56  
    

 

 

 

Class 2

    

Net Assets

     $ 214,636,055  

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       28,479,871  

Net Asset Value (offering and redemption price per share)

     $ 7.54  
    

 

 

 

 

* Includes securities on loan of $1,013,713.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 3,396,487  

Income from securities lending

       20,507  

Foreign withholding tax

       (384,314 )
    

 

 

 

Total Investment Income

       3,032,680  
    

 

 

 

Expenses:

    

Manager fees

       1,543,634  

Administration fees

       47,384  

Distribution fees — Class 2

       280,641  

Custodian fees

       259,892  

Administrative and compliance services fees

       1,551  

Trustee fees

       6,295  

Professional fees

       6,987  

Shareholder reports

       10,604  

Other expenses

       3,298  
    

 

 

 

Total expenses before reductions

       2,160,286  

Less expenses voluntarily waived/reimbursed by the Manager

       (188,249 )
    

 

 

 

Net expenses

       1,972,037  
    

 

 

 

Net Investment Income/(Loss)

       1,060,643  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       (1,104,180 )

Change in net unrealized appreciation/depreciation on investments

       6,950,090  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       5,845,910  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 6,906,553  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

5


Statements of Changes in Net Assets

 

      AZL Schroder Emerging Markets Equity Fund  
    

For the
Six Months Ended
June 30,

2015

     For the
Year Ended
December 31,
2014
    (Unaudited)       

Change In Net Assets:

          

Operations:

          

Net investment income/(loss)

    $ 1,060,643          $ 2,599,452  

Net realized gains/(losses) on investment transactions

      (1,104,180 )          8,455,489  

Change in unrealized appreciation/depreciation on investments

      6,950,090            (24,537,832 )
   

 

 

        

 

 

 

Change in net assets resulting from operations

      6,906,553            (13,482,891 )
   

 

 

        

 

 

 

Dividends to Shareholders:

          

From net investment income:

          

Class 1

                 (253,318 )

Class 2

                 (1,478,612 )

From net realized gains:

          

Class 1

                 (44,382 )

Class 2

                 (380,578 )
   

 

 

        

 

 

 

Change in net assets resulting from dividends to shareholders

                 (2,156,890 )
   

 

 

        

 

 

 

Capital Transactions:

          

Class 1

          

Proceeds from shares issued

      102,495            75,407  

Proceeds from dividends reinvested

                 297,700  

Value of shares redeemed

      (1,231,900 )          (4,229,928 )
   

 

 

        

 

 

 

Total Class 1

      (1,129,405 )          (3,856,821 )
   

 

 

        

 

 

 

Class 2

          

Proceeds from shares issued

      2,593,843            10,680,833  

Proceeds from dividends reinvested

                 1,859,190  

Value of shares redeemed

      (19,404,648 )          (40,235,190 )
   

 

 

        

 

 

 

Total Class 2

      (16,810,805 )          (27,695,167 )
   

 

 

        

 

 

 

Change in net assets resulting from capital transactions

      (17,940,210 )          (31,551,988 )
   

 

 

        

 

 

 

Change in net assets

      (11,033,657 )          (47,191,769 )

Net Assets:

          

Beginning of period

      251,469,891            298,661,660  
   

 

 

        

 

 

 

End of period

    $ 240,436,234          $ 251,469,891  
   

 

 

        

 

 

 

Accumulated net investment income/(loss)

    $ 3,410,319          $ 2,349,676  
   

 

 

        

 

 

 

Share Transactions:

          

Class 1

          

Shares issued

      13,038            9,781  

Dividends reinvested

                 36,708  

Shares redeemed

      (160,761 )          (543,859 )
   

 

 

        

 

 

 

Total Class 1 Shares

      (147,723 )          (497,370 )
   

 

 

        

 

 

 

Class 2

          

Shares issued

      337,817            1,402,596  

Dividends reinvested

                 229,530  

Shares redeemed

      (2,535,452 )          (5,180,975 )
   

 

 

        

 

 

 

Total Class 2 Shares

      (2,197,635 )          (3,548,849 )
   

 

 

        

 

 

 

Change in shares

      (2,345,358 )          (4,046,219 )
   

 

 

        

 

 

 

 

See accompanying notes to the financial statements.

 

6


AZL Schroder Emerging Markets Equity Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Class 1

                        

Net Asset Value, Beginning of Period

     $ 7.35       $ 7.81       $ 8.05       $ 7.08       $ 8.76       $ 7.84  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.04         0.10         0.09         0.08         0.12         0.10 (a)

Net Realized and Unrealized Gains/(Losses) on Investments

       0.17         (0.48 )       (0.25 )       1.39         (1.61 )       0.88  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.21         (0.38 )       (0.16 )       1.47         (1.49 )       0.98  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.07 )       (0.08 )       (0.08 )       (0.08 )       (0.06 )

Net Realized Gains

               (0.01 )               (0.42 )       (0.11 )        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.08 )       (0.08 )       (0.50 )       (0.19 )       (0.06 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 7.56       $ 7.35       $ 7.81       $ 8.05       $ 7.08       $ 8.76  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       2.86 %(c)       (4.96 )%       (1.96 )%       21.52 %       (17.09 )%       12.61 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 25,800       $ 26,194       $ 31,711       $ 36,970       $ 34,046       $ 47,962  

Net Investment Income/(Loss)(d)

       1.08 %       1.14 %       1.04 %       0.99 %       1.28 %       1.19 %

Expenses Before Reductions(d)

       1.50 %       1.46 %       1.45 %       1.43 %       1.45 %       1.45 %

Expenses Net of Reductions(d) (e)

       1.35 %       1.31 %       1.30 %       1.28 %       1.25 %       1.17 %

Portfolio Turnover Rate(f)

       24 %(c)       58 %       49 %       51 %       66 %       101 %

Class 2

                        

Net Asset Value, Beginning of Period

     $ 7.34       $ 7.80       $ 8.03       $ 7.07       $ 8.74       $ 7.82  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.04         0.08         0.07         0.05         0.09         0.08 (a)

Net Realized and Unrealized Gains/(Losses) on Investments

       0.16         (0.48 )       (0.24 )       1.39         (1.59 )       0.89  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.20         (0.40 )       (0.17 )       1.44         (1.50 )       0.97  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.05 )       (0.06 )       (0.06 )       (0.06 )       (0.05 )

Net Realized Gains

               (0.01 )               (0.42 )       (0.11 )        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.06 )       (0.06 )       (0.48 )       (0.17 )       (0.05 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 7.54       $ 7.34       $ 7.80       $ 8.03       $ 7.07       $ 8.74  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(b)

       2.72 %(c)       (5.22 )%       (2.10 )%       21.04 %       (17.27 )%       12.40 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 214,636       $ 225,276       $ 266,951       $ 298,895       $ 266,106       $ 376,825  

Net Investment Income/(Loss)(d)

       0.82 %       0.90 %       0.79 %       0.74 %       1.03 %       0.91 %

Expenses Before Reductions(d)

       1.75 %       1.71 %       1.70 %       1.68 %       1.70 %       1.70 %

Expenses Net of Reductions(d) (e)

       1.60 %       1.56 %       1.55 %       1.53 %       1.50 %       1.42 %

Portfolio Turnover Rate(f)

       24 %(c)       58 %       49 %       51 %       66 %       101 %

 

(a) Average shares method used in calculation.

 

(b) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(c) Not annualized.

 

(d) Annualized for the 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.

 

7


AZL Schroder Emerging Markets Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Schroder Emerging Markets Equity Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available. In addition, income and realized and unrealized gains and losses are allocated to each class of shares based on its relative net assets on a daily basis.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign

 

8


AZL Schroder Emerging Markets Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $5.5 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund pays the Securities Lending Agent 9% of the gross revenues received from securities lending activities and keeps 91%. The Fund paid securities lending fees of $2,022 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with Schroder Investment Management North America Inc. (“Schroder”), Schroder provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

3. Related Party Transactions

 

        Annual Rate*      Annual Expense Limit

AZL Schroder Emerging Markets Equity Fund Class 1

         1.23 %          1.40 %

AZL Schroder Emerging Markets Equity Fund Class 2

         1.23 %          1.65 %

 

* The Manager voluntarily reduced the management fee to 1.08% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

9


AZL Schroder Emerging Markets Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $1,363 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks

                    

Aerospace & Defense

       $ 1,160,107          $          $ 1,160,107  

Banks

         6,986,155            45,365,104            52,351,259  

Beverages

         2,513,319                       2,513,319  

Diversified Telecommunication Services

         667,247            1,461,131            2,128,378  

Electric Utilities

         1,419,951            1,091,437            2,511,388  

Health Care Equipment & Supplies

         1,349,390                       1,349,390  

 

10


AZL Schroder Emerging Markets Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Investment Securities:      Level 1      Level 2      Total
                      

Hotels, Restaurants & Leisure

       $ 2,940,932          $ 1,026,107          $ 3,967,039  

Insurance

         1,814,339            17,471,359            19,285,698  

Internet Software & Services

         1,575,320            15,479,760            17,055,080  

IT Services

         2,755,789            5,765,716            8,521,505  

Machinery

         1,163,236            684,290            1,847,526  

Metals & Mining

         2,020,196            1,399,923            3,420,119  

Oil, Gas & Consumable Fuels

         3,815,601            11,065,637            14,881,238  

Transportation Infrastructure

         1,343,534                       1,343,534  

All Other Common Stocks+

                    104,522,694            104,522,694  

Preferred Stocks+

         994,482                       994,482  

Securities Held as Collateral for Securities on Loan

                    1,439,870            1,439,870  

Unaffiliated Investment Company

         1,948,592                       1,948,592  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 34,468,190          $ 206,773,028          $ 241,241,218  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

For the period ended June 30, 2015, there have been no significant changes to the Funds’ fair valuation methodologies. Changes in valuation techniques may result in transfers out of an investment’s assigned level within the hierarchy during the reporting period. There were significant total transfers from Level 1 to Level 2 and from Level 2 to Level 1 during the reporting period. Level 1 securities were valued using quoted prices from stock exchanges. Level 2 securities were valued using fair valuation methodologies. These transfers were as follows:

 

        Transfers from
Level 2 to Level 1
     Transfers from
Level 1 to Level 2
     Total
Transfers*

AZL Schroder Emerging Markets Fund

       $ 8,368,450          $ 2,493,455          $ 10,861,905  

 

* Represents 4.51% of net assets as of June 30, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Schroder Emerging Markets Equity Fund

       $ 59,470,712          $ 76,965,962  

6. Investment Risks

Emerging Markets Risk: Emerging markets may have less developed trading markets and exchanges which may make it more difficult to sell securities at an acceptable price and their prices may be more volatile than securities of companies in more developed markets. Settlements of trades may be subject to greater delays so that the Fund may not receive the proceeds of a sale of a security on a timely basis. Emerging countries may also have less developed legal and accounting systems and investments may be subject to greater risks of government restrictions, nationalization, or confiscation.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $198,965,351. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 53,372,331  

Unrealized depreciation

    (11,096,464
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 42,275,867   
 

 

 

 

 

11


AZL Schroder Emerging Markets Equity Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Schroder Emerging Markets Equity Fund

       $ 1,731,930          $ 424,960          $ 2,156,890  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Schroder Emerging Markets Equity Fund

       $ 2,350,442          $ 8,691,500          $          $ 35,368,849          $ 46,410,791  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

12


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

13


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Small Cap Stock Index Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 10

Statement of Operations

Page 10

Statements of Changes in Net Assets

Page 11

Financial Highlights

Page 12

Notes to the Financial Statements

Page 13

Other Information

Page 18

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL Small Cap Stock Index Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Small Cap Stock Index Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Small Cap Stock Index Fund

       $ 1,000.00          $ 1,038.90          $ 2.98            0.59 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 -  6/30/15

AZL Small Cap Stock Index Fund

       $ 1,000.00          $ 1,021.87          $ 2.96            0.59 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Financials

      23.2 %

Industrials

      16.2  

Information Technology

      16.2  

Consumer Discretionary

      15.2  

Health Care

      13.5  

Materials

      5.2  

Utilities

      3.4  

Energy

      3.0  

Consumer Staples

      2.6  

Telecommunication Services

      0.7  
   

 

 

 

Total Common Stocks

      99.2  

Right

      ^

Securities Held as Collateral for Securities on Loan

      29.0  

Money Market

      0.9  
   

 

 

 

Total Investment Securities

      129.1  

Net other assets (liabilities)

      (29.1 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

^ Represents less than 0.05%

 

1


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks (99.2%):  
Aerospace & Defense (1.9%):  
  14,640       AAR Corp.^    $ 466,577  
  27,193       Aerojet Rocketdyne Holdings, Inc.*^      560,448  
  8,755       AeroVironment, Inc.*      228,330  
  3,183       American Science & Engineering, Inc.      139,447  
  9,458       Cubic Corp.^      450,012  
  20,637       Curtiss-Wright Corp.      1,494,944  
  7,540       Engility Holdings, Inc.*      189,706  
  16,798       Moog, Inc., Class A*      1,187,283  
  2,140       National Presto Industries, Inc.^      171,885  
  23,209       TASER International, Inc.*^      773,092  
     

 

 

 
        5,661,724  
     

 

 

 

 

Air Freight & Logistics (0.9%):

  

  10,794       Atlas Air Worldwide Holdings, Inc.*^      593,238  
  10,269       Echo Global Logistics, Inc.*^      335,386  
  13,393       Forward Air Corp.^      699,917  
  14,878       Hub Group, Inc.*^      600,179  
  39,628       UTI Worldwide, Inc.*^      395,884  
     

 

 

 
        2,624,604  
     

 

 

 

 

Airlines (0.7%):

  

  5,840       Allegiant Travel Co.^      1,038,819  
  23,733       Hawaiian Holdings, Inc.*^      563,659  
  21,488       Republic Airways Holdings, Inc.*^      197,260  
  21,895       SkyWest, Inc.^      329,301  
     

 

 

 
        2,129,039  
     

 

 

 

 

Auto Components (0.8%):

  

  13,174       Dorman Products, Inc.*^      627,873  
  10,350       Drew Industries, Inc.      600,507  
  15,441       Gentherm, Inc.*^      847,866  
  8,928       Standard Motor Products, Inc.^      313,551  
  9,624       Superior Industries International, Inc.^      176,215  
     

 

 

 
        2,566,012  
     

 

 

 

 

Automobiles (0.1%):

  

  11,779       Winnebago Industries, Inc.^      277,867  
     

 

 

 

 

Banks (8.4%):

  

  8,328       Banner Corp.      399,161  
  34,476       BBCN Bancorp, Inc.^      509,900  
  36,066       Boston Private Financial Holdings, Inc.      483,645  
  13,908       Cardinal Financial Corp.^      303,055  
  11,651       Central Pacific Financial Corp.      276,711  
  6,597       City Holding Co.^      324,902  
  23,159       Columbia Banking System, Inc.^      753,594  
  17,904       Community Bank System, Inc.^      676,234  
  42,023       CVB Financial Corp.^      740,025  
  75,814       F.N.B. Corp.^      1,085,656  
  45,164       First Bancorp*      217,690  
  39,105       First Commonwealth Financial Corp.      375,017  
  26,703       First Financial Bancorp      479,052  
  27,917       First Financial Bankshares, Inc.^      967,045  
  33,846       First Midwest Bancorp, Inc.      642,059  
  32,768       Glacier Bancorp, Inc.^      964,035  
  13,938       Hanmi Financial Corp.      346,220  
  25,459       Home Bancshares, Inc.^      930,781  
  11,412       Independent Bank Corp.      535,109  
    
    
Shares
           Fair Value  
Common Stocks, continued  
Banks, continued  
  15,828       LegacyTexas Financial Group, Inc.    $ 478,006  
  27,901       MB Financial, Inc.^      960,910  
  60,860       National Penn Bancshares, Inc.      686,501  
  19,157       NBT Bancorp, Inc.^      501,339  
  19,757       OFG Bancorp^      210,807  
  46,604       Old National Bancorp^      673,894  
  14,415       Pinnacle Financial Partners, Inc.^      783,744  
  30,681       PrivateBancorp, Inc.      1,221,717  
  12,290       S & T Bancorp, Inc.      363,661  
  6,799       Simmons First National Corp., Class A^      317,377  
  10,211       Southside Bancshares, Inc.^      298,463  
  39,554       Sterling Bancorp^      581,444  
  78,837       Susquehanna Bancshares, Inc.      1,113,178  
  25,269       Talmer Bancorp, Inc., Class A      423,256  
  19,906       Texas Capital Bancshares, Inc.*      1,238,949  
  5,183       Tompkins Financial Corp.^      278,431  
  17,772       UMB Financial Corp.^      1,013,359  
  27,689       United Bankshares, Inc.^      1,113,928  
  19,546       United Community Banks, Inc.      407,925  
  11,259       Westamerica Bancorp^      570,268  
  30,566       Wilshire Bancorp, Inc.      386,049  
  20,678       Wintrust Financial Corp.^      1,103,792  
     

 

 

 
        25,736,889  
     

 

 

 

 

Biotechnology (1.2%):

  

  18,641       Acorda Therapeutics, Inc.*^      621,305  
  12,992       Emergent Biosolutions, Inc.*^      428,086  
  7,748       Ligand Pharmaceuticals, Inc., Class B*^      781,773  
  41,435       Mimedx Group, Inc.*      480,232  
  25,749       Momenta Pharmaceuticals, Inc.*      587,335  
  13,352       Repligen Corp.*^      551,037  
  25,811       Spectrum Pharmaceuticals, Inc.*^      176,547  
     

 

 

 
        3,626,315  
     

 

 

 

 

Building Products (1.2%):

  

  17,758       AAON, Inc.^      399,910  
  5,404       American Woodmark Corp.*      296,409  
  12,578       Apogee Enterprises, Inc.      662,106  
  12,330       Gibraltar Industries, Inc.*      251,162  
  17,605       Griffon Corp.^      280,272  
  20,620       PGT, Inc.*      299,196  
  14,830       Quanex Building Products Corp.      317,807  
  18,057       Simpson Manufacturing Co., Inc.^      613,938  
  8,522       Universal Forest Products, Inc.^      443,400  
     

 

 

 
        3,564,200  
     

 

 

 

 

Capital Markets (1.4%):

  

  8,620       Calamos Asset Management, Inc., A      105,595  
  22,851       Financial Engines, Inc.^      970,710  
  12,304       Greenhill & Co., Inc.^      508,524  
  14,367       HFF, Inc., Class A^      599,535  
  25,661       Interactive Brokers Group, Inc., Class A^      1,066,471  
  15,392       Investment Technology Group, Inc.      381,722  
  7,229       Piper Jaffray Cos., Inc.*      315,474  
  3,119       Virtus Investment Partners, Inc.^      412,488  
     

 

 

 
        4,360,519  
     

 

 

 
 

 

Continued

 

2


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  

 

Chemicals (2.2%):

  

  12,680       A. Schulman, Inc.^    $ 554,370  
  11,220       American Vanguard Corp.^      154,836  
  13,471       Balchem Corp.^      750,604  
  23,068       Calgon Carbon Corp.^      447,058  
  21,658       Flotek Industries, Inc.*^      271,375  
  9,621       Futurefuel Corp.      123,822  
  22,022       H.B. Fuller Co.^      894,534  
  4,085       Hawkins, Inc.^      164,993  
  9,122       Innophos Holdings, Inc.      480,182  
  24,902       Intrepid Potash, Inc.*^      297,330  
  8,917       Koppers Holdings, Inc.      220,428  
  13,722       Kraton Performance Polymers, Inc.*      327,681  
  8,451       LSB Industries, Inc.*      345,139  
  13,187       OM Group, Inc.      443,083  
  5,799       Quaker Chemical Corp.^      515,183  
  18,752       Rayonier Advanced Materials, Inc.^      304,908  
  8,337       Stepan Co.      451,115  
  10,962       Tredegar Corp.      242,370  
     

 

 

 
        6,989,011  
     

 

 

 

 

Commercial Services & Supplies (2.6%):

  

  22,597       ABM Industries, Inc.^      742,763  
  20,755       Brady Corp., Class A^      513,479  
  8,577       G&K Services, Inc., Class A^      593,014  
  30,824       Healthcare Services Group, Inc.^      1,018,733  
  28,702       Interface, Inc.^      718,985  
  12,764       Matthews International Corp., Class A      678,279  
  19,964       Mobile Mini, Inc.      839,287  
  26,250       Tetra Tech, Inc.^      673,050  
  21,117       The Brink’s Co.^      621,473  
  6,811       UniFirst Corp.      761,810  
  9,436       US Ecology, Inc.^      459,722  
  8,462       Viad Corp.      229,405  
     

 

 

 
        7,850,000  
     

 

 

 

 

Communications Equipment (1.1%):

  

  23,396       ADTRAN, Inc.      380,185  
  4,573       Bel Fuse, Inc., B      93,838  
  6,611       Black Box Corp.^      132,220  
  15,733       CalAmp Corp.*^      287,285  
  7,032       Comtech Telecommunications Corp.      204,280  
  10,417       Digi International, Inc.*      99,482  
  38,334       Harmonic, Inc.*      261,821  
  25,696       Ixia*^      319,658  
  15,088       NETGEAR, Inc.*^      452,942  
  19,011       ViaSat, Inc.*^      1,145,603  
     

 

 

 
        3,377,314  
     

 

 

 

 

Construction & Engineering (1.0%):

  

  16,133       Aegion Corp.*      305,559  
  16,091       Comfort Systems USA, Inc.      369,288  
  14,724       Dycom Industries, Inc.*^      866,507  
  27,199       Emcor Group, Inc.      1,299,296  
  9,062       MYR Group, Inc.*      280,560  
  11,913       Orion Marine Group, Inc.*      86,012  
     

 

 

 
        3,207,222  
     

 

 

 
    
    
Shares
           Fair Value  
Common Stocks, continued  

 

Construction Materials (0.2%):

  

  31,979       Headwaters, Inc.*    $ 582,657  
     

 

 

 

 

Consumer Finance (1.1%):

  

  12,059       Cash America International, Inc.^      315,825  
  10,526       Encore Capital Group, Inc.*^      449,881  
  11,764       Enova International, Inc.*^      219,752  
  21,064       EZCORP, Inc., Class A*      156,506  
  12,335       First Cash Financial Services, Inc.*      562,353  
  21,054       PRA Group, Inc.*^      1,311,874  
  3,808       World Acceptance Corp.*^      234,230  
     

 

 

 
        3,250,421  
     

 

 

 

 

Containers & Packaging (0.1%):

  

  10,637       Myers Industries, Inc.^      202,103  
     

 

 

 

 

Distributors (0.5%):

  

  18,862       Pool Corp.^      1,323,735  
  8,278       VOXX International Corp.*      68,542  
     

 

 

 
        1,392,277  
     

 

 

 

 

Diversified Consumer Services (0.4%):

  

  7,471       American Public Education, Inc.*      192,154  
  4,719       Capella Education Co.      253,269  
  25,805       Career Education Corp.*      85,157  
  19,140       Regis Corp.*^      301,645  
  4,821       Strayer Education, Inc.*^      207,785  
  9,346       Universal Technical Institute, Inc.^      80,376  
     

 

 

 
        1,120,386  
     

 

 

 

 

Diversified Financial Services (0.6%):

  

  17,924       Green Dot Corp., A*^      342,707  
  16,313       MarketAxess Holdings, Inc.^      1,513,357  
     

 

 

 
        1,856,064  
     

 

 

 

 

Diversified Telecommunication Services (0.6%):

  

  38,115       8x8, Inc.*^      341,510  
  4,376       Atlantic Tele-Network, Inc.^      302,294  
  91,789       Cincinnati Bell, Inc.*^      350,634  
  20,103       Consolidated Communications Holdings, Inc.^      422,364  
  12,906       General Communication, Inc., Class A*      219,531  
  34,721       Iridium Communications, Inc.*^      315,614  
  8,787       Lumos Networks Corp.      129,960  
     

 

 

 
        2,081,907  
     

 

 

 

 

Electric Utilities (0.9%):

  

  19,516       ALLETE, Inc.      905,347  
  17,503       El Paso Electric Co.      606,654  
  24,553       UIL Holdings Corp.      1,125,019  
     

 

 

 
        2,637,020  
     

 

 

 

 

Electrical Equipment (1.1%):

  

  11,239       AZZ, Inc.      582,180  
  8,100       Encore Wire Corp.      358,749  
  19,196       EnerSys^      1,349,287  
  17,314       Franklin Electric Co., Inc.^      559,762  
  21,366       General Cable Corp.      421,551  
  4,041       Powell Industries, Inc.      142,122  
  7,054       Vicor Corp.*      85,988  
     

 

 

 
        3,499,639  
     

 

 

 
 

 

Continued

 

3


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  

 

Electronic Equipment, Instruments & Components (4.1%):

  

  6,360       Agilysys, Inc.*^    $ 58,385  
  11,895       Anixter International, Inc.*      774,959  
  6,232       Badger Meter, Inc.^      395,670  
  22,850       Benchmark Electronics, Inc.*      497,673  
  18,273       Checkpoint Systems, Inc.      186,019  
  10,369       Coherent, Inc.*      658,224  
  14,435       CTS Corp.^      278,162  
  16,694       Daktronics, Inc.      197,991  
  7,629       DTS, Inc.*      232,608  
  11,298       Electro Scientific Industries, Inc.^      59,540  
  12,859       Fabrinet*      240,849  
  7,560       FARO Technologies, Inc.*      353,052  
  22,381       II-VI, Inc.*      424,791  
  16,701       Insight Enterprises, Inc.*^      499,527  
  16,667       Itron, Inc.*      574,011  
  9,812       Littlelfuse, Inc.      931,062  
  14,019       Mercury Computer Systems, Inc.*      205,238  
  16,682       Methode Electronics, Inc., Class A      457,921  
  6,511       MTS Systems Corp.^      448,933  
  17,150       Newport Corp.*      325,164  
  8,092       OSI Systems, Inc.*^      572,833  
  9,052       Park Electrochemical Corp.^      173,436  
  14,582       Plexus Corp.*      639,858  
  12,151       Rofin-Sinar Technologies, Inc.*      335,368  
  8,098       Rogers Corp.*      535,602  
  35,764       Sanmina Corp.*      721,002  
  12,395       ScanSource, Inc.*^      471,754  
  12,139       SYNNEX Corp.^      888,453  
  27,029       TTM Technologies, Inc.*^      270,020  
     

 

 

 
        12,408,105  
     

 

 

 

 

Energy Equipment & Services (1.5%):

  

  15,325       Basic Energy Services, Inc.*^      115,704  
  15,049       Bristow Group, Inc.^      802,112  
  8,777       CARBO Ceramics, Inc.      365,387  
  8,435       Era Group, Inc.*^      172,749  
  29,984       Exterran Holdings, Inc.^      978,977  
  5,786       Geospace Technologies Corp.*^      133,367  
  4,923       Gulf Island Fabrication, Inc.^      54,990  
  11,024       Gulfmark Offshore, Inc., A^      127,878  
  13,953       Hornbeck Offshore Services, Inc.*^      286,455  
  56,071       ION Geophysical Corp.*      59,996  
  11,548       Matrix Service Co.*      211,097  
  36,393       Newpark Resources, Inc.*^      295,875  
  7,491       SEACOR Holdings, Inc.*^      531,412  
  15,023       Tesco Corp.      163,751  
  34,432       TETRA Technologies, Inc.*      219,676  
     

 

 

 
        4,519,426  
     

 

 

 

 

Food & Staples Retailing (0.3%):

  

  11,569       Andersons, Inc. (The)^      451,191  
  15,981       SpartanNash Co.      520,022  
     

 

 

 
        971,213  
     

 

 

 

 

Food Products (1.8%):

  

  25,188       B&G Foods, Inc.^      718,614  
  6,639       Calavo Growers, Inc.^      344,763  
    
    
Shares
           Fair Value  
Common Stocks, continued  
Food Products, continued  
  13,006       Cal-Maine Foods, Inc.^    $ 678,913  
  71,692       Darling International, Inc.*^      1,051,005  
  11,539       Diamond Foods, Inc.*^      362,094  
  6,496       J & J Snack Foods Corp.      718,912  
  8,782       Sanderson Farms, Inc.^      660,055  
  2,625       Seneca Foods Corp., Class A*      72,896  
  22,502       Snyders-Lance, Inc.^      726,140  
     

 

 

 
        5,333,392  
     

 

 

 

 

Gas Utilities (1.7%):

  

  37,024       New Jersey Resources Corp.^      1,020,011  
  11,831       Northwest Natural Gas Co.^      499,032  
  34,177       Piedmont Natural Gas Co., Inc.^      1,206,790  
  29,696       South Jersey Industries, Inc.      734,382  
  20,216       Southwest Gas Corp.      1,075,693  
  18,876       The Laclede Group, Inc.^      982,685  
     

 

 

 
        5,518,593  
     

 

 

 

 

Health Care Equipment & Supplies (4.6%):

  

  9,262       Abaxis, Inc.^      476,808  
  16,232       ABIOMED, Inc.*      1,066,930  
  5,409       Analogic Corp.^      426,770  
  11,125       AngioDynamics, Inc.*^      182,450  
  6,487       Anika Therapeutics, Inc.*^      214,266  
  15,306       Cantel Medical Corp.^      821,473  
  12,001       CONMED Corp.      699,298  
  11,134       CryoLife, Inc.^      125,592  
  11,364       Cyberonics, Inc.*^      675,703  
  9,564       Cynosure, Inc., Class A*      368,979  
  11,125       Greatbatch, Inc.*      599,860  
  22,503       Haemonetics Corp.*      930,724  
  6,022       ICU Medical, Inc.*      576,065  
  10,977       Integra LifeSciences Holdings Corp.*^      739,520  
  12,675       Invacare Corp.      274,160  
  20,716       Masimo Corp.*^      802,538  
  18,230       Meridian Bioscience, Inc.^      339,807  
  19,021       Merit Medical Systems, Inc.*      409,712  
  14,258       Natus Medical, Inc.*      606,820  
  16,055       Neogen Corp.*^      761,649  
  20,988       NuVasive, Inc.*      994,412  
  5,647       Surmodics, Inc.*      132,253  
  6,852       Vascular Solutions, Inc.*      237,901  
  31,202       West Pharmaceutical Services, Inc.^      1,812,213  
     

 

 

 
        14,275,903  
     

 

 

 

 

Health Care Providers & Services (3.7%):

  

  11,804       Aceto Corp.      290,733  
  15,607       Air Methods Corp.*^      645,193  
  3,374       Almost Family, Inc.*      134,656  
  14,597       Amedisys, Inc.*^      579,939  
  20,582       AMN Healthcare Services, Inc.*^      650,185  
  20,945       AmSurg Corp.*^      1,465,103  
  10,769       Bio-Reference Laboratories, Inc.*^      444,221  
  7,447       Chemed Corp.^      976,302  
  3,954       CorVel Corp.*      126,607  
  12,813       Cross Country Healthcare, Inc.*      162,469  
 

 

Continued

 

4


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  
Health Care Providers & Services, continued  
  15,258       ExamWorks Group, Inc.*^    $ 596,588  
  15,420       Hanger Orthopedic Group, Inc.*^      361,445  
  14,704       HealthEquity, Inc.*      471,263  
  15,434       Healthways, Inc.*^      184,899  
  7,552       IPC Healthcare, Inc.*      418,305  
  36,271       Kindred Healthcare, Inc.      735,939  
  4,218       Landauer, Inc.^      150,330  
  5,296       LHC Group, Inc.*      202,572  
  11,824       Magellan Health Services, Inc.*      828,508  
  13,184       PharMerica Corp.*      439,027  
  5,198       Providence Service Corp.*      230,167  
  42,204       Select Medical Holdings Corp.^      683,705  
  9,841       The Ensign Group, Inc.^      502,481  
     

 

 

 
        11,280,637  
     

 

 

 

 

Health Care Technology (1.1%):

  

  4,563       Computer Programs & Systems, Inc.^      243,755  
  10,257       HealthStream, Inc.*      312,018  
  26,087       MedAssets, Inc.*^      575,479  
  23,858       Medidata Solutions, Inc.*^      1,295,968  
  15,678       Omnicell, Inc.*      591,217  
  19,078       Quality Systems, Inc.      316,122  
     

 

 

 
        3,334,559  
     

 

 

 

 

Hotels, Restaurants & Leisure (4.1%):

  

  738       Biglari Holdings, Inc.*^      305,348  
  9,417       BJ’s Restaurants, Inc.*^      456,254  
  10,282       Bob Evans Farms, Inc.      524,896  
  34,803       Boyd Gaming Corp.*^      520,305  
  10,358       Cracker Barrel Old Country Store, Inc.^      1,545,000  
  7,198       DineEquity, Inc.      713,250  
  16,976       Interval Leisure Group, Inc.^      387,902  
  16,176       Jack in the Box, Inc.      1,426,076  
  7,986       Marcus Corp.      153,171  
  11,996       Marriott Vacations Worldwide Corp.      1,100,633  
  4,320       Monarch Casino & Resort, Inc.*      88,819  
  12,669       Papa John’s International, Inc.^      957,903  
  25,944       Pinnacle Entertainment, Inc.*^      967,192  
  9,965       Popeyes Louisiana Kitchen, Inc.*      597,800  
  6,084       Red Robin Gourmet Burgers*^      522,129  
  26,611       Ruby Tuesday, Inc.*^      166,851  
  14,840       Ruth’s Hospitality Group, Inc.^      239,221  
  21,446       Scientific Games Corp., A*^      333,271  
  21,378       Sonic Corp.^      615,686  
  27,167       Texas Roadhouse, Inc.^      1,016,861  
     

 

 

 
        12,638,568  
     

 

 

 

 

Household Durables (1.9%):

  

  11,385       Ethan Allen Interiors, Inc.^      299,881  
  11,562       Helen of Troy, Ltd.*      1,127,178  
  12,972       iRobot Corp.*^      413,547  
  22,278       La-Z-Boy, Inc.      586,803  
  10,692       M/I Homes, Inc.*^      263,772  
  16,385       Meritage Corp.*^      771,570  
  64,716       Standard Pacific Corp.*^      576,620  
  20,420       The Ryland Group, Inc.^      946,875  
    
    
Shares
           Fair Value  
Common Stocks, continued  
Household Durables, continued  
  16,717       TopBuild Corp.*    $ 484,793  
  6,857       Universal Electronics, Inc.*      341,753  
     

 

 

 
        5,812,792  
     

 

 

 

 

Household Products (0.2%):

  

  17,617       Central Garden & Pet Co., A*      201,010  
  5,935       WD-40 Co.^      517,295  
     

 

 

 
        718,305  
     

 

 

 

 

Insurance (2.7%):

  

  33,216       American Equity Investment Life Holding Co.^      896,168  
  8,244       Amerisafe, Inc.      387,963  
  8,203       eHealth, Inc.*      104,096  
  13,735       Employers Holdings, Inc.      312,883  
  4,021       HCI Group, Inc.^      177,768  
  17,777       Horace Mann Educators Corp.      646,727  
  5,003       Infinity Property & Casualty Corp.      379,428  
  20,357       Meadowbrook Insurance Group, Inc.^      175,070  
  16,484       Montpelier Re Holdings, Ltd.      651,118  
  4,787       Navigators Group, Inc.*      371,280  
  24,120       ProAssurance Corp.      1,114,586  
  16,230       RLI Corp.^      834,060  
  5,520       Safety Insurance Group, Inc.      318,559  
  24,669       Selective Insurance Group, Inc.^      691,965  
  9,624       Stewart Information Services Corp.      383,035  
  8,990       United Fire Group, Inc.      294,512  
  7,387       United Insurance Holdings Co.^      114,794  
  13,323       Universal Insurance Holdings, Inc.^      322,417  
     

 

 

 
        8,176,429  
     

 

 

 

 

Internet & Catalog Retail (0.3%):

  

  5,220       Blue Nile, Inc.*^      158,636  
  8,239       FTD Cos., Inc.*^      232,257  
  12,723       Nutri/System, Inc.^      316,548  
  8,826       PetMed Express, Inc.^      152,425  
     

 

 

 
        859,866  
     

 

 

 

 

Internet Software & Services (2.1%):

  

  17,995       Blucora, Inc.*^      290,619  
  14,647       comScore, Inc.*      780,099  
  19,427       DealerTrack Holdings, Inc.*^      1,219,822  
  16,872       DHI Group, Inc.*^      149,992  
  19,912       j2 Global, Inc.^      1,352,822  
  10,991       Liquidity Services, Inc.*^      105,843  
  22,637       LivePerson, Inc.*      222,069  
  10,652       LogMeIn, Inc.*      686,947  
  39,936       Monster Worldwide, Inc.*^      261,181  
  26,545       NIC, Inc.^      485,243  
  14,975       QuinStreet, Inc.*      96,589  
  6,532       Stamps.com, Inc.*      480,559  
  10,472       XO Group, Inc.*      171,217  
     

 

 

 
        6,303,002  
     

 

 

 

 

IT Services (2.2%):

  

  10,447       CACI International, Inc., Class A*      845,057  
  19,312       Cardtronics, Inc.*^      715,510  
  29,830       CIBER, Inc.*      102,914  
 

 

Continued

 

5


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  
IT Services, continued  
  14,028       CSG Systems International, Inc.^    $ 444,126  
  16,506       Essendant, Inc.^      647,861  
  13,621       Exlservice Holdings, Inc.*      471,014  
  4,604       Forrester Research, Inc.      165,836  
  15,810       Heartland Payment Systems, Inc.^      854,530  
  15,333       iGATE Corp.*^      731,231  
  10,040       ManTech International Corp., Class A      291,160  
  15,346       Perficient, Inc.*      295,257  
  16,676       Sykes Enterprises, Inc.*      404,393  
  7,344       TeleTech Holdings, Inc.      198,876  
  11,567       Virtusa Corp.*      594,544  
     

 

 

 
        6,762,309  
     

 

 

 

 

Leisure Products (0.3%):

  

  5,597       Arctic Cat, Inc.      185,876  
  33,799       Callaway Golf Co.^      302,163  
  8,229       Sturm, Ruger & Co., Inc.^      472,756  
     

 

 

 
        960,795  
     

 

 

 

 

Life Sciences Tools & Services (1.0%):

  

  33,412       Affymetrix, Inc.*^      364,859  
  10,496       Albany Molecular Research, Inc.*^      212,229  
  13,597       Cambrex Corp.*      597,452  
  16,634       Luminex Corp.*      287,103  
  23,817       PAREXEL International Corp.*^      1,531,671  
     

 

 

 
        2,993,314  
     

 

 

 

 

Machinery (3.7%):

  

  25,982       Actuant Corp., A^      599,924  
  12,356       Albany International Corp., Class A      491,769  
  8,096       Astec Industries, Inc.      338,575  
  21,274       Barnes Group, Inc.^      829,473  
  19,276       Briggs & Stratton Corp.^      371,256  
  7,483       CIRCOR International, Inc.^      408,048  
  9,889       EnPro Industries, Inc.^      565,849  
  11,366       ESCO Technologies, Inc.^      425,202  
  27,205       Federal Signal Corp.      405,627  
  34,714       Harsco Corp.      572,781  
  27,399       Hillenbrand, Inc.^      841,149  
  12,576       John Bean Technologies Corp.      472,732  
  5,159       Lindsay Corp.^      453,528  
  7,423       Lydall, Inc.*^      219,424  
  24,419       Mueller Industries, Inc.^      847,828  
  5,489       Standex International Corp.^      438,736  
  7,995       Tennant Co.^      522,393  
  23,352       Titan International, Inc.^      250,800  
  23,996       Toro Co.^      1,626,449  
  12,218       Watts Water Technologies, Inc., Class A      633,503  
     

 

 

 
        11,315,046  
     

 

 

 

 

Marine (0.3%):

  

  18,827       Matson, Inc.^      791,487  
     

 

 

 

 

Media (0.6%):

  

  48,931       Gannett Co., Inc.*      684,544  
  18,160       Harte-Hanks, Inc.      108,234  
  11,614       Scholastic Corp.^      512,526  
    
    
Shares
           Fair Value  
Common Stocks, continued  
Media, continued  
  8,837       Sizmek, Inc.*    $ 62,743  
  22,952       The E.W. Scripps Co., Class A^      524,453  
     

 

 

 
        1,892,500  
     

 

 

 

 

Metals & Mining (1.4%):

  

  7,541       A.M. Castle & Co.*^      46,528  
  77,751       AK Steel Holding Corp.*^      300,896  
  21,792       Century Aluminum Co.*^      227,291  
  27,607       Globe Specialty Metals, Inc.^      488,644  
  5,304       Haynes International, Inc.      261,593  
  7,448       Kaiser Aluminum Corp.^      618,780  
  8,637       Materion Corp.      304,454  
  3,638       Olympic Steel, Inc.^      63,447  
  13,347       RTI International Metals, Inc.*^      420,697  
  52,435       Stillwater Mining Co.*^      607,722  
  28,289       SunCoke Energy, Inc.      367,757  
  23,289       US Silica Holdings, Inc.^      683,765  
     

 

 

 
        4,391,574  
     

 

 

 

 

Multiline Retail (0.2%):

  

  14,896       Fred’s, Inc.^      287,343  
  19,217       Tuesday Morning Corp.*^      216,480  
     

 

 

 
        503,823  
     

 

 

 

 

Multi-Utilities (0.6%):

  

  24,906       Avista Corp.^      763,369  
  20,438       NorthWestern Corp.^      996,352  
     

 

 

 
        1,759,721  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.5%):

  

  16,161       Approach Resources, Inc.*^      110,703  
  22,124       Bill Barrett Corp.*^      190,045  
  16,952       Bonanza Creek Energy, Inc.*^      309,374  
  20,473       Carrizo Oil & Gas, Inc.*^      1,008,090  
  27,758       Cloud Peak Energy, Inc.*^      129,352  
  19,536       Comstock Resources, Inc.^      65,055  
  6,769       Contango Oil & Gas Co.*      83,056  
  15,109       Green Plains Renewable Energy, Inc.      416,253  
  25,351       Northern Oil & Gas, Inc.*^      171,626  
  17,320       PDC Energy, Inc.*^      929,045  
  31,368       Penn Virginia Corp.*^      137,392  
  25,440       PetroQuest Energy, Inc.*      50,371  
  27,751       Pioneer Energy Services Corp.*^      175,941  
  21,889       Rex Energy Corp.*^      122,360  
  24,904       Stone Energy Corp.*^      313,541  
  19,492       Swift Energy Co.*^      39,569  
  39,149       Synergy Resources Corp.*^      447,473  
     

 

 

 
        4,699,246  
     

 

 

 

 

Paper & Forest Products (1.3%):

  

  17,125       Boise Cascade Co.*      628,145  
  8,257       Clearwater Paper Corp.*      473,126  
  4,827       Deltic Timber Corp.^      326,498  
  36,781       KapStone Paper & Packaging Corp.^      850,377  
  7,189       Neenah Paper, Inc.^      423,863  
  18,647       P.H. Glatfelter Co.      410,048  
 

 

Continued

 

6


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  
Paper & Forest Products, continued  
  13,176       Schweitzer-Mauduit International, Inc.^    $ 525,459  
  21,769       Wausau Paper Corp.^      199,839  
     

 

 

 
        3,837,355  
     

 

 

 

 

Personal Products (0.1%):

  

  7,313       Inter Parfums, Inc.^      248,130  
  4,898       Medifast, Inc.*^      158,303  
     

 

 

 
        406,433  
     

 

 

 

 

Pharmaceuticals (1.9%):

  

  3,592       ANI Pharmaceuticals, Inc.*^      222,884  
  26,033       DepoMed, Inc.*^      558,668  
  28,873       Impax Laboratories, Inc.*^      1,325,848  
  11,725       Lannett Co., Inc.*^      696,934  
  56,637       Nektar Therapeutics*^      708,529  
  22,717       Prestige Brands Holdings, Inc.*^      1,050,434  
  9,851       Sagent Pharmaceuticals, Inc.*^      239,478  
  12,364       Supernus Pharmaceuticals, Inc.*^      209,941  
  28,763       The Medicines Co.*^      822,909  
     

 

 

 
        5,835,625  
     

 

 

 

 

Professional Services (1.5%):

  

  5,842       CDI Corp.      75,946  
  11,062       Exponent, Inc.      495,356  
  7,014       Heidrick & Struggles International, Inc.      182,925  
  9,765       Insperity, Inc.^      497,039  
  12,441       Kelly Services, Inc., A      190,969  
  21,920       Korn/Ferry International      762,158  
  20,746       Navigant Consulting, Inc.*^      308,493  
  20,159       On Assignment, Inc.*      791,846  
  16,019       Resources Connection, Inc.^      257,746  
  18,172       Trueblue, Inc.*^      543,343  
  14,416       Wageworks, Inc.*^      583,127  
     

 

 

 
        4,688,948  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (7.7%):

  

  29,842       Acadia Realty Trust^      868,701  
  7,707       Agree Realty Corp.      224,813  
  14,582       American Assets Trust, Inc.      571,760  
  25,365       Associated Estates Realty Corp.      726,200  
  42,138       Capstead Mortgage Corp.^      467,732  
  12,051       CareTrust REIT, Inc.^      152,686  
  32,046       Cedar Shopping Centers, Inc.      205,094  
  25,848       Chesapeake Lodging Trust      787,847  
  11,387       Coresite Realty Corp.^      517,425  
  89,384       Cousins Properties, Inc.^      927,806  
  87,760       DiamondRock Hospitality, Co.^      1,124,206  
  14,103       EastGroup Properties, Inc.^      793,012  
  21,019       Education Realty Trust, Inc.      659,156  
  24,874       EPR Properties^      1,362,597  
  38,367       Franklin Street Properties Corp.^      433,931  
  32,286       Geo Group, Inc. (The)      1,102,890  
  11,340       Getty Realty Corp.^      185,522  
  30,376       Government Properties Income Trust^      563,475  
  43,572       Healthcare Realty Trust, Inc.      1,013,485  
  38,714       Inland Real Estate Corp.      364,686  
  36,301       Kite Realty Group Trust      888,285  
    
    
Shares
           Fair Value  
Common Stocks, continued  
Real Estate Investment Trusts (REITs), continued  
  93,020       Lexington Realty Trust    $ 788,810  
  15,534       LTC Properties, Inc.^      646,214  
  91,378       Medical Properties Trust, Inc.      1,197,966  
  36,927       Parkway Properties, Inc.      644,007  
  30,309       Pennsylvania Real Estate Investment Trust^      646,794  
  23,882       Post Properties, Inc.      1,298,464  
  8,457       PS Business Parks, Inc.      610,173  
  40,308       Retail Opportunity Investments Corp.^      629,611  
  25,628       Sabra Health Care REIT, Inc.      659,665  
  4,949       Saul Centers, Inc.      243,441  
  15,575       Sovran Self Storage, Inc.      1,353,623  
  37,515       Summit Hotel Properties, Inc.^      488,070  
  5,335       Universal Health Realty Income Trust      247,864  
  11,098       Urstadt Biddle Properties, Inc., A      207,311  
     

 

 

 
        23,603,322  
     

 

 

 

 

Real Estate Management & Development (0.1%):

  

  14,531       Forestar Group, Inc.*^      191,228  
     

 

 

 

 

Road & Rail (0.8%):

  

  10,473       ArcBest Corp.      333,041  
  11,854       Celadon Group, Inc.      245,141  
  24,058       Heartland Express, Inc.^      486,693  
  26,989       Knight Transportation, Inc.^      721,686  
  12,049       Roadrunner Transportation System, Inc.*^      310,864  
  10,868       Saia, Inc.*^      427,004  
     

 

 

 
        2,524,429  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (3.8%):

  

  16,586       Advanced Energy Industries, Inc.*^      455,949  
  29,019       Brooks Automation, Inc.      332,268  
  10,693       Cabot Microelectronics Corp.*      503,747  
  8,880       CEVA, Inc.*      172,538  
  27,495       Cirrus Logic, Inc.*      935,655  
  10,999       Cohu, Inc.      145,517  
  15,983       Diodes, Inc.*      385,350  
  9,220       DSP Group, Inc.*      95,243  
  20,624       Exar Corp.*      201,703  
  26,129       Kopin Corp.*^      90,145  
  33,330       Kulicke & Soffa Industries, Inc.*      390,294  
  19,487       Micrel, Inc.      270,869  
  41,163       Microsemi Corp.*      1,438,648  
  23,031       MKS Instruments, Inc.^      873,796  
  15,889       Monolithic Power Systems, Inc.      805,731  
  10,456       Nanometrics, Inc.*^      168,551  
  8,607       Pericom Semiconductor Corp.^      113,182  
  12,773       Power Integrations, Inc.^      577,084  
  14,009       Rudolph Technologies, Inc.*^      168,248  
  28,797       Semtech Corp.*      571,620  
  15,991       Synaptics, Inc.*^      1,386,979  
  20,291       Tessera Technologies, Inc.      770,652  
  11,931       Ultratech, Inc.*      221,439  
  17,598       Veeco Instruments, Inc.*^      505,767  
     

 

 

 
        11,580,975  
     

 

 

 
 

 

Continued

 

7


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  
Common Stocks, continued  

 

Software (2.3%):

  

  20,181       Blackbaud, Inc.^    $ 1,149,308  
  16,407       Bottomline Technologies, Inc.*^      456,279  
  12,079       Ebix, Inc.      393,896  
  13,633       EPIQ Systems, Inc.      230,125  
  7,460       Interactive Intelligence Group*^      331,746  
  3,926       MicroStrategy, Inc., A*^      667,734  
  17,222       Monotype Imaging Holdings, Inc.      415,222  
  16,097       NetScout Systems, Inc.*^      590,277  
  21,934       Progress Software Corp.*      603,185  
  15,905       Synchronoss Technologies, Inc.*^      727,336  
  36,651       Take-Two Interactive Software, Inc.*^      1,010,468  
  15,813       Tangoe, Inc.*      198,928  
  12,723       VASCO Data Security International, Inc.*^      384,107  
     

 

 

 
        7,158,611  
     

 

 

 

 

Specialty Retail (4.2%):

  

  19,744       Barnes & Noble, Inc.*^      512,554  
  7,735       Big 5 Sporting Goods Corp.      109,914  
  18,857       Caleres, Inc.^      599,275  
  11,151       Cato Corp.^      432,213  
  16,072       Christopher & Banks Corp.*      64,449  
  18,423       Francesca’s Holdings Corp.*      248,158  
  10,485       Genesco, Inc.*^      692,325  
  9,284       Group 1 Automotive, Inc.^      843,266  
  8,992       Haverty Furniture Cos., Inc.      194,407  
  10,809       Hibbett Sports, Inc.*^      503,483  
  6,382       Kirkland’s, Inc.      177,866  
  9,889       Lithia Motors, Inc., Class A^      1,119,040  
  12,038       Lumber Liquidators Holdings, Inc.*^      249,307  
  10,905       MarineMax, Inc.*^      256,377  
  13,782       Monro Muffler Brake, Inc.^      856,690  
  8,090       Outerwall, Inc.^      615,730  
  23,151       Pep Boys—Manny, Moe & Jack*      284,063  
  22,717       Select Comfort Corp.*^      683,100  
  14,328       Sonic Automotive, Inc., Class A^      341,436  
  14,038       Stage Store, Inc.^      246,086  
  11,989       Stein Mart, Inc.      125,525  
  12,420       The Buckle, Inc.^      568,463  
  9,028       The Children’s Place Retail Stores, Inc.^      590,521  
  20,188       The Finish Line, Inc., Class A^      561,630  
  19,943       The Men’s Wearhouse, Inc.^      1,277,749  
  13,146       Vitamin Shoppe, Inc.*^      489,951  
  9,345       Zumiez, Inc.*^      248,857  
     

 

 

 
        12,892,435  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (0.6%):

  

  20,359       Electronics for Imaging, Inc.*^      885,820  
  37,946       QLogic Corp.*      538,454  
  15,552       Super Micro Computer, Inc.*^      460,028  
     

 

 

 
        1,884,302  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (1.8%):

  

  33,302       Crocs, Inc.*^      489,872  
  16,455       G-III Apparel Group, Ltd.*      1,157,609  
  20,788       Iconix Brand Group, Inc.*^      519,076  
  7,505       Movado Group, Inc.^      203,836  
Shares or
Principal
Amount
           Fair Value  
Common Stocks, continued  
Textiles, Apparel & Luxury Goods, continued  
  6,276       Oxford Industries, Inc.    $ 548,836  
  5,020       Perry Ellis International, Inc.*      119,325  
  24,110       Steven Madden, Ltd.*^      1,031,426  
  6,120       Unifi, Inc.*      205,020  
  44,671       Wolverine World Wide, Inc.^      1,272,231  
     

 

 

 
        5,547,231  
     

 

 

 

 

Thrifts & Mortgage Finance (1.2%):

  

  39,151       Astoria Financial Corp.^      539,892  
  18,477       Bank Mutual Corp.^      141,719  
  5,944       BofI Holding, Inc.*^      628,341  
  30,386       Brookline Bancorp, Inc.^      343,058  
  13,309       Dime Community Bancshares      225,454  
  41,566       Northwest Bancshares, Inc.^      532,876  
  16,583       Oritani Financial Corp.      266,157  
  23,615       Provident Financial Services, Inc.^      448,449  
  40,890       TrustCo Bank Corp.      287,457  
  11,626       Wawlker & Dunlop, Inc.*      310,879  
     

 

 

 
        3,724,282  
     

 

 

 

 

Tobacco (0.2%):

  

  9,775       Universal Corp.^      560,303  
     

 

 

 

 

Trading Companies & Distributors (0.5%):

  

  17,368       Applied Industrial Technologies, Inc.^      688,640  
  5,589       Dxp Enterprises, Inc.*^      259,889  
  11,691       Kaman Corp., Class A^      490,321  
  3,409       Veritiv Corp.*      124,292  
     

 

 

 
        1,563,142  
     

 

 

 

 

Water Utilities (0.2%):

  

  16,439       American States Water Co.^      614,654  
     

 

 

 

 

Wireless Telecommunication Services (0.1%):

  

  9,649       Spok Holdings, Inc.      162,489  
     

 

 

 

 

Total Common Stocks (Cost $192,208,032)

     303,589,559  
     

 

 

 

 

Right (0.0%):

  

 

Electronic Equipment, Instruments & Components (0.0%):

  

  10,537       Gerber Scientific, Inc.*       
     

 

 

 

 

Total Right (Cost $—)

      
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (29.0%):

  

  $88,737,457       Allianz Variable Insurance Products Securities Lending Collateral
Trust(a)
     88,737,457  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $88,737,457)

     88,737,457  
     

 

 

 

 

Unaffiliated Investment Company (0.9%):

  

  2,606,363       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      2,606,363  
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $2,606,363)

     2,606,363  
     

 

 

 

 

Total Investment Securities (Cost $283,551,852)(c) — 129.1%

     394,933,379   

 

Net other assets (liabilities) — (29.1)%

     (88,954,228
     

 

 

 

 

Net Assets — 100.0%

   $ 305,979,151  
     

 

 

 
 

 

Continued

 

8


AZL Small Cap Stock Index Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Percentages indicated are based on net assets as of June 30, 2015.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $86,998,989.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

Amounts shown as “—” are $0 or rounds to less than $1.

Futures Contracts

Cash of $112,200 has been segregated to cover margin requirements for the following open contracts as of June 30, 2015:

 

Description    Type      Expiration
Date
     Number of
Contracts
     Notional
Value
     Unrealized
Appreciation/
(Depreciation)
 

Russell 2000 Mini Index September Futures

     Long         9/18/15         22       $ 2,750,880      $ (18,748

 

See accompanying notes to the financial statements.

 

9


AZL Small Cap Stock Index Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 283,551,852  
    

 

 

 

Investment securities, at value*

     $ 394,933,379  

Interest and dividends receivable

       339,510  

Receivable for investments sold

       3,588,453  

Receivable for variation margin on futures contracts

       9,339  

Prepaid expenses

       584  
    

 

 

 

Total Assets

       398,871,265  
    

 

 

 

Liabilities:

    

Cash overdraft

       984  

Cash received as collateral for derivatives

       88,480  

Payable for investments purchased

       3,687,267  

Payable for capital shares redeemed

       211,355  

Payable for collateral received on loaned securities

       88,737,457  

Manager fees payable

       66,591  

Administration fees payable

       7,840  

Distribution fees payable

       64,029  

Custodian fees payable

       3,948  

Administrative and compliance services fees payable

       88  

Trustee fees payable

       845  

Other accrued liabilities

       23,230  
    

 

 

 

Total Liabilities

       92,892,114  
    

 

 

 

Net Assets

     $ 305,979,151  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 144,150,885  

Accumulated net investment income/(loss)

       5,177,266  

Accumulated net realized gains/(losses) from investment transactions

       45,288,221  

Net unrealized appreciation/(depreciation) on investments

       111,362,779  
    

 

 

 

Net Assets

     $ 305,979,151  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       19,091,531  

Net Asset Value (offering and redemption price per share)

     $ 16.03  
    

 

 

 

 

* Includes securities on loan of $86,998,989.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 2,968,423  

Interest

       28,242  

Income from securities lending

       205,636  

Foreign withholding tax

       (379 )
    

 

 

 

Total Investment Income

       3,201,922  
    

 

 

 

Expenses:

    

Manager fees

       460,983  

Administration fees

       53,806  

Distribution fees

       443,251  

Custodian fees

       12,983  

Administrative and compliance services fees

       2,243  

Trustee fees

       8,787  

Professional fees

       9,663  

Shareholder reports

       9,992  

Other expenses

       37,164  
    

 

 

 

Total expenses

       1,038,872  
    

 

 

 

Net Investment Income/(Loss)

       2,163,050  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       27,450,574  

Net realized gains/(losses) on futures contracts

       497,446  

Change in net unrealized appreciation/depreciation on investments

       (14,742,853 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       13,205,167  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 15,368,217  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

10


Statements of Changes in Net Assets

 

     AZL Small Cap Stock Index Fund
      For the
Six Months Ended
June 30,
2015
   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 2,163,050        $ 3,014,227  

Net realized gains/(losses) on investment transactions

       27,948,020          26,370,301  

Change in unrealized appreciation/depreciation on investments

       (14,742,853 )        (10,424,079 )
    

 

 

      

 

 

 

Change in net assets resulting from operations

       15,368,217          18,960,449  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (2,252,073 )

From net realized gains

                (21,348,069 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (23,600,142 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       15,967,632          31,350,526  

Proceeds from dividends reinvested

                23,600,142  

Value of shares redeemed

       (106,941,707 )        (51,878,166 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (90,974,075 )        3,072,502  
    

 

 

      

 

 

 

Change in net assets

       (75,605,858 )        (1,567,191 )

Net Assets:

         

Beginning of period

       381,585,009          383,152,200  
    

 

 

      

 

 

 

End of period

     $ 305,979,151        $ 381,585,009  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 5,177,266        $ 3,014,216  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       1,015,733          2,069,433  

Dividends reinvested

                1,604,360  

Shares redeemed

       (6,661,949 )        (3,415,127 )
    

 

 

      

 

 

 

Change in shares

       (5,646,216 )        258,666  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

11


AZL Small Cap Stock Index Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 15.43       $ 15.65       $ 11.39       $ 9.87       $ 9.90       $ 7.94  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.15         0.12         0.09         0.13         0.05         0.07  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.45         0.65         4.50         1.43         (0.03 )       1.94  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.60         0.77         4.59         1.56         0.02         2.01  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.09 )       (0.14 )       (0.04 )       (0.05 )       (0.05 )

Net Realized Gains

               (0.90 )       (0.19 )                        
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (0.99 )       (0.33 )       (0.04 )       (0.05 )       (0.05 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.03       $ 15.43       $ 15.65       $ 11.39       $ 9.87       $ 9.90  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.89 %(b)       5.23 %       40.62 %       15.82 %       0.29 %       25.49 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 305,979       $ 381,585       $ 383,152       $ 267,053       $ 203,895       $ 199,967  

Net Investment Income/(Loss)(c)

       1.22 %       0.81 %       0.71 %       1.33 %       0.46 %       0.62 %

Expenses Before Reductions(c) (d)

       0.59 %       0.59 %       0.59 %       0.61 %       0.63 %       0.65 %

Expenses Net of Reductions(c)

       0.59 %       0.59 %       0.59 %       0.61 %       0.62 %       0.58 %

Portfolio Turnover Rate

       8 %(b)       14 %       17 %       10 %       21 %       24 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) Annualized for periods less than one year.

 

(d) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

12


AZL Small Cap Stock Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

13


AZL Small Cap Stock Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $102.8 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $20,255 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The notional amount of futures contracts outstanding was $2.8 million as of June 30, 2015. The monthly average notional amount for these contracts was $4.4 million for the period ended June 30, 2015. Realized gains and losses are reported as “Net realized gains/(losses) on futures contracts” on the Statement of Operations.

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value*
    Statement of Assets and Liabilities Location   Total Fair
Value*
 

Equity Risk Exposure

       
Equity Contracts   Receivable for variation margin on futures contracts   $      Payable for variation margin on futures contracts   $ 18,748   

 

* For futures contracts, the amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities as Variation Margin on Futures Contracts.

The following is a summary of the effect of derivative instruments on the Statement of Operations, categorized by risk exposure, for the period ended June 30, 2015:

 

Primary Risk Exposure   Location of Gains/(Losses)
on Derivatives
Recognized in Income
   Realized Gains/(Losses)
on Derivatives
Recognized in Income
     Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in Income

Equity Risk Exposure

       
Equity Contracts   Net realized gains/(losses) on futures contracts/Change in unrealized appreciation/depreciation on investments    $ 497,446       $(156,665)

 

14


AZL Small Cap Stock Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a subadvisory agreement with BlackRock Investment Management, LLC (“BlackRock Investment”), BlackRock Investment provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate      Annual Expense Limit

AZL Small Cap Stock Index Fund

         0.26 %          0.71 %

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations. During the period ended June 30, 2015, there were no voluntary waivers.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $2,028 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

15


AZL Small Cap Stock Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Common Stocks+

       $ 303,589,559          $          $ 303,589,559  

Right

                    ^          ^

Securities Held as Collateral for Securities on Loan

                    88,737,457            88,737,457  

Unaffiliated Investment Company

         2,606,363                       2,606,363  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

         306,195,922            88,737,457            394,933,379  
      

 

 

        

 

 

        

 

 

 

Other Financial Instruments:*

                    

Futures Contracts

         (18,748 )                     (18,748 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 306,177,174          $ 88,737,457          $ 394,914,631  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as futures contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

 

^ Represents the interest in securities that were determined to have a value of zero at June 30, 2015.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 26,974,196          $ 111,941,865  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

 

16


AZL Small Cap Stock Index Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $290,613,374. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 120,017,154  

Unrealized depreciation

    (15,697,149
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 104,320,005   
 

 

 

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL Small Cap Stock Index Fund

       $ 4,385,860          $ 19,214,282          $ 23,600,142  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, the components of accumulated earnings on a tax basis were as follows:

 

        Undistributed
Ordinary
Income
     Undistributed
Long-Term
Capital Gains
     Accumulated
Capital and
Other Losses
     Unrealized
Appreciation/
(Depreciation)(a)
     Total
Accumulated
Earnings/
(Deficit)

AZL Small Cap Stock Index Fund

       $ 4,086,973          $ 24,227,906          $          $ 118,145,170          $ 146,460,049  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

17


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

18


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® T. Rowe Price Capital Appreciation Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

LOGO


Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 9

Statement of Operations

Page 9

Statements of Changes in Net Assets

Page 10

Financial Highlights

Page 11

Notes to the Financial Statements

Page 12

Other Information

Page 19

 

This report is submitted for the general information of the shareholder of the Fund. The report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus, which contains details concerning the sales charges and other pertinent information.


AZL T. Rowe Price Capital Appreciation Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL T. Rowe Price Capital Appreciation Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL T. Rowe Price Capital Appreciation Fund

       $ 1,000.00          $ 1,035.20          $ 5.05            1.00 %

The Hypothetical Expense table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL T. Rowe Price Capital Appreciation Fund

       $ 1,000.00          $ 1,019.84          $ 5.01            1.00 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Common Stocks, Preferred Stocks and Convertible Preferred Stocks

      63.3 %

Corporate Bonds

      22.4  

Money Markets

      12.0  

Securities Held as Collateral for Securities on Loan

      7.5  

Yankee Dollars

      2.4  

Foreign Bonds

      0.2  

Asset Backed Securities

      0.1  

Convertible Bonds

      0.1  
   

 

 

 

Total Investment Securities

      108.0  

Net other assets (liabilities)

      (8.0 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 
 

 

1


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Common Stocks (60.9%):

  

 

Aerospace & Defense (0.7%):

  

  52,500       Boeing Co. (The)    $ 7,282,800  
     

 

 

 

 

Auto Components (1.3%):

  
  251,800       Johnson Controls, Inc.      12,471,654  
     

 

 

 

 

Beverages (0.9%):

  
  89,600       PepsiCo, Inc.      8,363,264  
  28,244       SABMiller plc      1,464,028  
     

 

 

 
        9,827,292  
     

 

 

 

 

Capital Markets (3.3%):

  
  20,800       Affiliated Managers Group, Inc.*      4,546,880  
  681,000       Bank of New York Mellon Corp. (The)      28,581,570  
     

 

 

 
        33,128,450  
     

 

 

 

 

Chemicals (0.8%):

  
  126,000       Cytec Industries, Inc.      7,626,780  
     

 

 

 

 

Commercial Services & Supplies (2.3%):

  
  273,313       Iron Mountain, Inc.^      8,472,703  
  353,800       Tyco International plc      13,614,224  
     

 

 

 
        22,086,927  
     

 

 

 

 

Electric Utilities (1.0%):

  
  299,700       FirstEnergy Corp.^      9,755,235  
     

 

 

 

 

Electrical Equipment (1.7%):

  
  257,900       AMETEK, Inc.      14,127,762  
  54,400       Sensata Technologies Holding NV*      2,869,056  
     

 

 

 
        16,996,818  
     

 

 

 

 

Food & Staples Retailing (0.9%):

  
  80,400       CVS Health Corp.      8,432,352  
     

 

 

 

 

Food Products (2.2%):

  
  141,000       General Mills, Inc.      7,856,520  
  28,200       Kraft Foods Group, Inc.      2,400,948  
  276,200       Mondelez International, Inc., Class A      11,362,868  
     

 

 

 
        21,620,336  
     

 

 

 

 

Health Care Equipment & Supplies (3.3%):

  
  242,300       Abbott Laboratories^      11,892,084  
  145,897       Becton, Dickinson & Co.      20,666,310  
     

 

 

 
        32,558,394  
     

 

 

 

 

Health Care Providers & Services (2.3%):

  
  82,400       CIGNA Corp.      13,348,800  
  9,800       Henry Schein, Inc.*      1,392,776  
  65,300       UnitedHealth Group, Inc.      7,966,600  
     

 

 

 
        22,708,176  
     

 

 

 

 

Industrial Conglomerates (5.8%):

  
  572,500       Danaher Corp.      49,000,276  
  53,000       Roper Industries, Inc.      9,140,380  
     

 

 

 
        58,140,656  
     

 

 

 

 

Insurance (3.6%):

  
  634,500       Marsh & McLennan Cos., Inc.      35,976,150  
     

 

 

 

 

Internet Software & Services (1.1%):

  
  49,200       eBay, Inc.*      2,963,808  

Shares

           Fair Value  

 

Common Stocks, continued

  

 

Internet Software & Services, continued

  
  12,730       Google, Inc., Class C*    $ 6,626,092  
  2,800       Google, Inc., Class A*      1,512,112  
     

 

 

 
        11,102,012  
     

 

 

 

 

IT Services (4.8%):

  
  91,700       Fidelity National Information Services, Inc.      5,667,060  
  345,400       Fiserv, Inc.*^      28,609,482  
  200,600       Visa, Inc., Class A      13,470,290  
     

 

 

 
        47,746,832  
     

 

 

 

 

Life Sciences Tools & Services (3.5%):

  
  14,000       Agilent Technologies, Inc.      540,120  
  130,500       PerkinElmer, Inc.^      6,869,520  
  206,800       Thermo Fisher Scientific, Inc.      26,834,368  
     

 

 

 
        34,244,008  
     

 

 

 

 

Machinery (1.2%):

  
  80,400       IDEX Corp.^      6,317,832  
  85,600       Pentair, plc^      5,885,000  
     

 

 

 
        12,202,832  
     

 

 

 

 

Media (1.1%):

  
  39,200       Comcast Corp., Class A      2,357,488  
  31,800       Liberty Global plc, Class A*      1,719,426  
  84,100       Liberty Global plc, Series C*      4,257,983  
  14,200       Time Warner Cable, Inc., Class A      2,530,014  
     

 

 

 
        10,864,911  
     

 

 

 

 

Multi-Utilities (2.8%):

  
  437,900       PG&E Corp.      21,500,890  
  206,500       Xcel Energy, Inc.      6,645,170  
     

 

 

 
        28,146,060  
     

 

 

 

 

Oil, Gas & Consumable Fuels (1.8%):

  
  578,900       Canadian Natural Resources, Ltd.      15,722,924  
  31,400       Occidental Petroleum Corp.      2,441,978  
     

 

 

 
        18,164,902  
     

 

 

 

 

Paper & Forest Products (0.0%):

  
  488,000       Sino-Forest Corp.#*(a)       
     

 

 

 

 

Pharmaceuticals (5.6%):

  
  75,774       Allergan plc*      22,994,378  
  111,600       Eli Lilly & Co.^      9,317,484  
  384,000       Pfizer, Inc.      12,875,520  
  204,100       Zoetis, Inc.      9,841,702  
     

 

 

 
        55,029,084  
     

 

 

 

 

Professional Services (0.4%):

  
  34,500       IHS, Inc., Class A*      4,437,735  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (1.6%):

  
  141,600       American Tower Corp.      13,209,864  
  27,400       Crown Castle International Corp.      2,200,220  
     

 

 

 
        15,410,084  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.3%):

  
  58,400       Texas Instruments, Inc.^      3,008,184  
     

 

 

 
 

 

Continued

 

2


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

Notional

Amount or

Principal

Amount

           Fair Value  

 

Common Stocks, continued

  

 

Software (1.7%):

  
  298,600       Microsoft Corp.    $ 13,183,190  
  53,700       SS&C Technologies Holdings, Inc.^      3,356,250  
     

 

 

 
        16,539,440  
     

 

 

 

 

Specialty Retail (3.5%):

  
  39,400       AutoZone, Inc.*      26,275,860  
  105,800       Lowe’s Cos., Inc.      7,085,426  
  5,300       O’Reilly Automotive, Inc.*^      1,197,694  
     

 

 

 
        34,558,980  
     

 

 

 

 

Tobacco (1.0%):

  
  88,500       Altria Group, Inc.      4,328,535  
  70,000       Philip Morris International, Inc.      5,611,900  
     

 

 

 
        9,940,435  
     

 

 

 

 

Wireless Telecommunication Services (0.4%):

  
  35,500       SBA Communications Corp., Class A*      4,081,436  
     

 

 

 

 

Total Common Stocks (Cost $549,269,449)

     604,088,955  
     

 

 

 

 

Preferred Stocks (0.2%):

  

 

Banks (0.1%):

  
  9,874       U.S. Bancorp, Series F, Preferred Shares^      278,644  
  25,000       U.S. Bancorp, Series G, Preferred Shares^      665,750  
     

 

 

 
        944,394  
     

 

 

 

 

Capital Markets (0.1%):

  
  21,000       State Street Corp., Preferred Shares      525,630  
     

 

 

 

 

Pharmaceuticals (0.0%):

  
  300       Allergan plc, Preferred Shares, Series A      312,774  
     

 

 

 

 

Total Preferred Stocks (Cost $1,776,676)

     1,782,798  
     

 

 

 

 

Convertible Preferred Stocks (2.2%):

  

 

Electric Utilities (0.1%):

  
  16,700       SCE Trust I, 0.93%, Perpetual Bond^      402,136  
  2,930       SCE Trust II, 0.89%, Perpetual Bond^      66,892  
  32,472       SCE Trust III, 0.86%, Perpetual Bond^      864,405  
     

 

 

 
        1,333,433  
     

 

 

 

 

Pharmaceuticals (1.3%):

  
  12,033       Actavis plc, Series A      12,545,364  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.6%):

  
  54,871       American Tower Corp.^      5,487,100  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  
  31,099       T-Mobile US, Inc., Series A      2,099,183  
     

 

 

 

 

Total Convertible Preferred Stocks (Cost $20,445,760)

     21,465,080  
     

 

 

 

 

Asset Backed Securities (0.1%):

  
$ 384,038       DB Master Finance LLC, Class A2I, Series 2015-1A, 3.26%, 2/20/45(b)      385,492  
     

 

 

 
  960,000       Wendys Funding LLC, Class A2I, Series 2015-1A, 3.37%, 6/15/45(b)      958,557  
     

 

 

 

 

Total Asset Backed Securities (Cost $1,344,038)

     1,344,049  
     

 

 

 

 

Convertible Bonds (0.1%):

  

 

Media (0.1%):

  
  662,000       Priceline Group, Inc. (The), 0.35%, 6/15/20^      733,993  
     

 

 

 

 

Total Convertible Bonds (Cost $715,658)

     733,993  
     

 

 

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds (22.4%):

  

 

Advertising (0.1%):

  
$ 1,350,000       CCO Holdings LLC/CCO Holdings Capital Corp., 7.38%, 6/1/20, Callable 12/1/15 @ 103.69^    $ 1,425,938  
     

 

 

 

 

Aerospace & Defense (0.0%):

  
  200,000       Moog, Inc., 5.25%, 12/1/22, Callable 12/1/17 @ 103.94(b)      203,500  
     

 

 

 

 

Airlines (0.1%):

  
  556,324       U.S. Airways 2010-1A PTT, Series A, 6.25%, 10/22/24      625,864  
     

 

 

 

 

Automobiles (0.4%):

  
  850,000       American Honda Finance Corp., 0.95%, 5/5/17, MTN^      849,310  
  3,100,000       Toyota Motor Credit Corp., 0.66%, 3/12/20, MTN^(c)      3,101,355  
     

 

 

 
        3,950,665  
     

 

 

 

 

Banks (0.5%):

  
  2,705,000       JPMorgan Chase & Co., Series Z, 5.30%, 12/31/49, Callable 5/1/20 @ 100(c)      2,684,983  
  1,601,860       Pinnacle Foods Finance LLC, 3.00%, 4/29/20(c)      1,593,626  
  492,500       Pinnacle Foods Finance LLC, 3.00%, 4/29/20(c)      489,900  
     

 

 

 
        4,768,509  
     

 

 

 

 

Beverages (0.0%):

  
  450,000       PepsiCo, Inc., 1.25%, 4/30/18      448,128  
     

 

 

 

 

Capital Markets (2.1%):

  
  1,575,000       Bank of New York Mellon Corp. (The), Series E, 4.95%, 12/29/49, Callable 6/20/20 @ 100(c)      1,563,188  
  250,000       Ford Motor Credit Co. LLC, 4.25%, 2/3/17      259,845  
  3,440,000       Ford Motor Credit Co. LLC, 0.91%, 3/27/17^(c)      3,429,865  
  3,415,000       Ford Motor Credit Co. LLC, 1.46%, 3/27/17      3,399,731  
  500,000       Ford Motor Credit Co. LLC, 6.63%, 8/15/17      548,542  
  1,000,000       Ford Motor Credit Co. LLC, 0.80%, 9/8/17^(c)      994,184  
  1,800,000       Ford Motor Credit Co. LLC, 0.85%, 12/6/17(c)      1,787,127  
  475,000       Ford Motor Credit Co. LLC, 1.72%, 12/6/17      472,534  
  960,000       Ford Motor Credit Co. LLC, 2.15%, 1/9/18^      963,952  
  1,625,000       Ford Motor Credit Co. LLC, 5.00%, 5/15/18      1,747,018  
  1,975,000       Ford Motor Credit Co. LLC, 2.38%, 3/12/19      1,968,632  
  1,400,000       Ford Motor Credit Co. LLC, 2.60%, 11/4/19      1,389,783  
  310,000       National Rural Utilities Cooperative Finance Corp., 0.95%, 4/24/17, MTN      309,477  
  1,535,000       State Street Corp., Series F, 5.25%, 12/31/49, Callable 9/15/20 @ 100(c)      1,536,919  
     

 

 

 
        20,370,797  
     

 

 

 

 

Chemicals (0.3%):

  
  905,000       Cytec Industries, Inc., 3.95%, 5/1/25, Callable 2/1/25 @ 100      890,377  
  1,033,602       Kronos, Inc., 4.50%, 10/30/19(c)      1,032,569  
  1,249,020       Kronos, Inc., 9.75%, 4/30/20(c)      1,286,491  
     

 

 

 
        3,209,437  
     

 

 

 
 

 

Continued

 

3


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds, continued

  

 

Commercial Services & Supplies (0.1%):

  
$ 500,000       International Lease Finance Corp., 2.24%, 6/15/16(c)    $ 499,375  
  450,000       Iron Mountain, Inc., 7.75%, 10/1/19, Callable 10/1/15 @ 104      470,250  
     

 

 

 
        969,625  
     

 

 

 

 

Communications Equipment (0.3%):

  
  2,500,000       Echostar DBS Corp., 7.13%, 2/1/16      2,565,625  
  365,000       Harris Corp., 2.00%, 4/27/18      363,937  
     

 

 

 
        2,929,562  
     

 

 

 

 

Consumer Finance (0.0%):

  
  250,000       First Data Corp., 3.68%, 3/24/18(c)      249,063  
     

 

 

 

 

Diversified Financial Services (1.2%):

  
  970,000       Caterpillar Financial Services Corp., 2.25%, 12/1/19, MTN      978,462  
  50,000       CNH Industrial Capital LLC, 3.88%, 11/1/15      50,125  
  2,300,000       CNH Industrial Capital LLC, 6.25%, 11/1/16      2,386,250  
  775,000       CNH Industrial Capital LLC, 3.25%, 2/1/17^      772,094  
  1,075,000       CNH Industrial Capital LLC, 3.63%, 4/15/18^      1,075,000  
  6,300,000       UPC Financing Partnership, 3.25%, 6/30/21(c)      6,202,098  
     

 

 

 
        11,464,029  
     

 

 

 

 

Diversified Telecommunication Services (1.6%):

  
  13,600,000       Intelsat Jackson Holding SA, 3.75%, 6/30/19(c)      13,483,855  
  1,969,849       Telesat Canada, 3.50%, 3/28/19(c)      1,961,635  
     

 

 

 
        15,445,490  
     

 

 

 

 

Electric Utilities (0.0%):

  
  253,960       Texas Competitive Electric Holdings Co. LLC, 3.75%, 5/5/16(c)      253,960  
     

 

 

 

 

Electrical Equipment (0.0%):

  
  210,000       Amphenol Corp., 1.55%, 9/15/17      210,226  
     

 

 

 

 

Food & Staples Retailing (0.8%):

  
  2,275,000       Rite Aid Corp., 9.25%, 3/15/20, Callable 3/15/16 @ 104.63      2,465,531  
  5,675,000       Rite Aid Corp., 8.00%, 8/15/20, Callable 8/15/15 @ 104      5,916,188  
     

 

 

 
        8,381,719  
     

 

 

 

 

Food Products (0.7%):

  
  250,000       B&G Foods, Inc., 4.63%, 6/1/21, Callable 6/1/16 @ 103.47      246,250  
  6,828,644       H.J. Heinz Co., 3.50%, 6/5/20(c)      6,825,230  
     

 

 

 
        7,071,480  
     

 

 

 

 

Gas Utilities (0.1%):

  
  950,000       Southern Calif Gas Co., 3.20%, 6/15/25, Callable 3/15/25 @ 100      952,260  
     

 

 

 

 

Health Care Equipment & Supplies (0.5%):

  
  2,325,000       Becton, Dickinson & Co., 1.80%, 12/15/17      2,325,284  
  630,000       Becton, Dickinson & Co., 2.68%, 12/15/19      630,476  
  1,000,000       Medtronic, Inc., 1.50%, 3/15/18(b)      997,738  
  795,000       Medtronic, Inc., 2.50%, 3/15/20(b)      796,328  
     

 

 

 
        4,749,826  
     

 

 

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds, continued

  

 

Health Care Providers & Services (2.1%):

  
$ 750,000       CHS/Community Health Systems, Inc., 5.13%, 8/15/18, Callable 8/15/15 @ 102.6    $ 768,750  
  2,836,980       DaVita Healthcare Partners, Inc., 3.50%, 6/24/21(c)      2,834,511  
  1,350,000       DaVita Healthcare Partners, Inc., 5.00%, 5/1/25, Callable 5/1/20 @ 102.5      1,299,375  
  3,700,000       DaVita HealthCare Partners, Inc., 5.13%, 7/15/24, Callable 7/15/19 @ 102.56      3,637,563  
  4,675,000       DaVita, Inc., 5.75%, 8/15/22, Callable 8/15/17 @ 102.88^      4,955,500  
  7,009,810       HCA, Inc., 2.94%, 3/31/17(c)      7,009,809  
  325,000       HCA, Inc., 8.00%, 10/1/18^      377,000  
  350,000       Omnicare, Inc., 5.00%, 12/1/24, Callable 9/1/24 @ 100      376,250  
  470,000       UnitedHealth Group, Inc., 1.40%, 12/15/17      469,160  
  200,000       WellCare Health Plans, Inc., 5.75%, 11/15/20, Callable 11/15/16 @ 102.88^      208,000  
     

 

 

 
        21,935,918  
     

 

 

 

 

Health Care Services (0.2%):

  
  1,417,000       Fresenius Medical Care, 5.63%, 7/31/19^(b)      1,533,903  
  725,000       Fresenius Medical Care, 5.88%, 1/31/22(b)      768,500  
     

 

 

 
        2,302,403  
     

 

 

 

 

Health Care Technology (0.0%):

  
  325,000       IMS Health, Inc., 6.00%, 11/1/20, Callable 11/1/15 @ 103^(b)      334,750  
     

 

 

 

 

Hotels, Restaurants & Leisure (0.4%):

  
  200,000       Cedar Fair LP, 5.25%, 3/15/21, Callable 3/15/16 @ 103.94      205,500  
  783,333       Hilton Worldwide Finance LLC, 3.50%, 10/25/20(c)      783,459  
  2,150,000       Hilton Worldwide Finance LLC, 5.63%, 10/15/21, Callable 10/15/16 @ 102.81      2,233,205  
  750,000       Wendy’s International LLC, 3.25%, 5/15/19(c)      750,000  
     

 

 

 
        3,972,164  
     

 

 

 

 

Insurance (0.1%):

  
  740,000       Marsh & McLennan Cos., Inc., 2.35%, 3/6/20, Callable 2/6/20 @ 100      737,010  
     

 

 

 

 

Internet & Catalog Retail (0.2%):

  
  1,305,000       Amazon.com, Inc., 2.60%, 12/5/19, Callable 11/5/19 @ 100      1,313,174  
  650,000       Amazon.com, Inc., 3.80%, 12/5/24, Callable 9/5/24 @ 100      652,432  
     

 

 

 
        1,965,606  
     

 

 

 

 

IT Services (0.1%):

  
  810,000       Fiserv, Inc., 2.70%, 6/1/20, Callable 5/1/20 @ 100      808,446  
     

 

 

 

 

Machinery (0.1%):

  
  125,000       Case New Holland, Inc., 7.88%, 12/1/17      136,875  
  550,000       Xylem, Inc., 3.55%, 9/20/16      564,213  
     

 

 

 
        701,088  
     

 

 

 
 

 

Continued

 

4


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds, continued

  

 

Media (1.4%):

  
$ 600,000       Cablevision Systems Corp., 7.75%, 4/15/18^    $ 648,000  
  1,400,000       Cequel Communications Holdings I LLC, 6.38%, 9/15/20, Callable 9/15/20 @ 105^(b)      1,390,550  
  500,000       Charter Communications Operating LLC, 0.00%, 7/1/20(c)      494,107  
  250,000       Dish DBS Corp., 4.63%, 7/15/17^      257,500  
  250,000       Lamar Media Corp., 5.88%, 2/1/22, Callable 2/1/17 @ 102.94      258,750  
  270,000       Lamar Media Corp., 5.00%, 5/1/23, Callable 5/1/18 @ 102.5      266,625  
  1,751,000       Metropcs Wireless, Inc., 6.63%, 11/15/20, Callable 11/15/15 @ 103.31      1,821,040  
  74,803       Univision Communications, Inc., 4.00%, 3/1/20(c)      74,336  
  1,600,000       Univision Communications, Inc., 8.50%, 5/15/21, Callable 5/15/21 @ 104.25(b)      1,684,000  
  4,709,000       Univision Communications, Inc., 6.75%, 9/15/22, Callable 9/15/17 @ 103.38(b)      4,979,767  
  1,700,000       Univision Communications, Inc., 5.13%, 5/15/23, Callable 5/15/18 @ 102.56(b)      1,649,000  
     

 

 

 
        13,523,675  
     

 

 

 

 

Multiline Retail (0.1%):

  
  75,000       Amerigas Finance Corp. LLC, 6.75%, 5/20/20, Callable 5/20/16 @ 103.38      78,938  
  525,000       Amerigas Finance Corp. LLC, 7.00%, 5/20/22, Callable 5/20/17 @ 103.5      556,500  
     

 

 

 
        635,438  
     

 

 

 

 

Multi-Utilities (0.2%):

  
  725,000       Berkshire Hathaway Energy Co., 2.40%, 2/1/20, Callable 1/1/20 @ 100      721,826  
  750,000       Berkshire Hathaway Energy Co., 3.50%, 2/1/25, Callable 11/1/24 @ 100^      746,867  
  450,000       CMS Energy Corp., 8.75%, 6/15/19      554,594  
     

 

 

 
        2,023,287  
     

 

 

 

 

Oil, Gas & Consumable Fuels (6.0%):

  
  500,000       Chesapeake Energy Corp., 3.25%, 3/15/16, Callable 8/10/15 @ 100^      498,125  
  525,000       Chesapeake Energy Corp., 3.53%, 4/15/19, Callable 8/10/15 @ 101(c)      480,375  
  1,435,000       Chevron Corp., 1.37%, 3/2/18      1,434,399  
  170,000       Chevron Corp., 0.45%, 3/2/18(c)      169,410  
  4,100,000       Concho Resources, Inc., 7.00%, 1/15/21, Callable 1/15/16 @ 103.5      4,289,625  
  1,625,000       Concho Resources, Inc., 6.50%, 1/15/22, Callable 1/15/17 @ 103.25^      1,694,063  
  550,000       Concho Resources, Inc., 5.50%, 10/1/22, Callable 10/1/17 @ 102.75^      547,250  
  1,375,000       Concho Resources, Inc., 5.50%, 4/1/23, Callable 10/1/17 @ 102.75      1,375,000  
  700,000       CONSOL Energy, Inc., 5.88%, 4/15/22, Callable 4/15/17 @ 104.41      595,000  

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds, continued

  

 

Oil, Gas & Consumable Fuels, continued

  
$ 750,000       Diamondback Energy, Inc., 7.63%, 10/1/21, Callable 10/1/16 @ 105.72    $ 802,500  
  500,000       Energy Transfer Partners LP, 4.15%, 10/1/20, Callable 8/1/20 @ 100      513,880  
  550,000       Energy Transfer Partners LP, 4.90%, 2/1/24, Callable 11/1/23 @ 100^      559,349  
  210,000       EQT Corp., 6.50%, 4/1/18      230,167  
  350,000       EQT Corp., 8.13%, 6/1/19      409,686  
  2,475,000       EQT Corp., 4.88%, 11/15/21      2,608,007  
  5,740,000       Exxon Mobil Corp.,
0.33%, 3/1/18(c)
     5,730,654  
  4,175,000       MarkWest Energy Partners LP, 5.50%, 2/15/23, Callable 8/15/17 @ 102.75      4,284,594  
  4,975,000       MarkWest Energy Partners LP, 4.50%, 7/15/23, Callable 4/15/23 @ 100      4,875,499  
  2,725,000       MarkWest Energy Partners LP, 4.88%, 12/1/24, Callable 9/1/24 @ 100      2,663,688  
  2,350,000       Range Resources Corp., 6.75%, 8/1/20, Callable 8/1/15 @ 103.38^      2,426,375  
  4,625,000       Range Resources Corp., 5.75%, 6/1/21, Callable 6/1/16 @ 102.88^      4,752,188  
  5,250,000       Range Resources Corp., 5.00%, 8/15/22, Callable 2/15/17 @ 102.5^      5,144,999  
  5,925,000       Range Resources Corp., 5.00%, 3/15/23, Callable 3/15/18 @ 102.5^      5,806,499  
  875,000       SM Energy Co., 6.50%, 11/15/21, Callable 11/15/16 @ 103.25^      912,188  
  1,950,000       Targa Resources Partners LP, 5.00%, 1/15/18, Callable 10/15/17 @ 100(b)      1,993,875  
  375,000       Targa Resources Partners LP, 4.13%, 11/15/19, Callable 11/15/16 @ 102.06(b)      371,250  
  1,350,000       Targa Resources Partners LP, 6.88%, 2/1/21, Callable 2/1/16 @ 103.44      1,400,625  
  1,050,000       Targa Resources Partners LP, 5.25%, 5/1/23, Callable 11/1/17 @ 102.63      1,039,500  
  2,100,000       Targa Resources Partners LP, 4.25%, 11/15/23, Callable 5/15/18 @ 102.13      1,942,500  
  725,000       WPX Energy, Inc., 5.25%, 1/15/17      741,313  
     

 

 

 
        60,292,583  
     

 

 

 

 

Pharmaceuticals (0.5%):

  
  785,000       Eli Lilly & Co., 1.25%, 3/1/18      782,837  
  405,000       Johnson & Johnson, 1.13%, 11/21/17      405,002  
  305,000       Johnson & Johnson, 3.38%, 12/5/23      316,518  
  705,000       Merck & Co., Inc.,
0.40%, 2/10/17(c)
     705,367  
  1,490,000       Merck & Co., Inc.,
0.65%, 2/10/20(c)
     1,482,199  
  200,000       Novartis Capital Corp., 3.40%, 5/6/24      202,951  
  830,000       Roche Holding, Inc., 3.35%, 9/30/24, Callable 6/30/24 @ 100(b)      837,935  
     

 

 

 
        4,732,809  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.4%):

  
  525,000       American Tower Corp., 5.00%, 2/15/24      554,999  
  500,000       DE Master Blenders, 4.25%, 7/2/21      558,165  
  2,725,000       DE Master Blenders, 4.25%, 7/2/21      2,711,375  
     

 

 

 
        3,824,539  
     

 

 

 
 

 

Continued

 

5


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Corporate Bonds, continued

  

 

Real Estate Management & Development (0.1%):

  
$ 750,000       CBRE Services, Inc., 5.00%, 3/15/23, Callable 3/15/18 @ 103    $ 757,500  
     

 

 

 

 

Specialty Retail (0.5%):

  
  390,000       AutoZone, Inc., 2.50%, 4/15/21, Callable 3/15/21 @ 100      382,124  
  125,000       Group 1 Automotive, Inc., 5.00%, 6/1/22, Callable 6/1/17 @ 103.75      124,375  
  1,775,000       L Brands, Inc., 6.90%, 7/15/17      1,934,749  
  250,000       L Brands, Inc., 8.50%, 6/15/19      294,843  
  250,000       L Brands, Inc., 7.00%, 5/1/20^      283,125  
  500,000       L Brands, Inc., 6.63%, 4/1/21      549,690  
  525,000       L Brands, Inc., 5.63%, 2/15/22      552,563  
  350,000       Penske Automotive Group, Inc., 5.38%, 12/1/24, Callable 12/1/19 @ 102.69      354,375  
     

 

 

 
        4,475,844  
     

 

 

 

 

Textiles, Apparel & Luxury Goods (0.2%):

  
  1,095,000       Hanesbrands, Inc., 6.38%, 12/15/20, Callable 12/15/15 @ 103.19      1,144,275  
  725,000       Levi Strauss & Co., 6.88%, 5/1/22, Callable 5/1/17 @ 103.44      773,938  
     

 

 

 
        1,918,213  
     

 

 

 

 

Wireless Telecommunication Services (1.0%):

  
  1,050,000       Crown Castle International Corp., 4.88%, 4/15/22^      1,060,500  
  725,000       Crown Castle International Corp., 5.25%, 1/15/23      730,256  
  750,000       SBA Communications Corp., 5.63%, 10/1/19, Callable 10/1/16 @ 102.81      780,000  
  1,850,000       SBA Communications Corp., 5.75%, 7/15/20, Callable 7/15/16 @ 102.88      1,919,375  
  750,000       Sprint Communications, Inc., 9.00%, 11/15/18^(b)      846,945  
  4,085,000       T-Mobile USA, Inc., 6.54%, 4/28/20, Callable 4/28/16 @ 103.27      4,276,954  
     

 

 

 
        9,614,030  
     

 

 

 

 

Total Corporate Bonds (Cost $224,343,209)

     222,235,381  
     

 

 

 

 

Foreign Bonds (0.2%):

  

 

Containers & Packaging (0.0%):

  
  750,000       Rexam plc, 6.75%, 6/29/67, Callable 6/29/17 @ 100+(c)      846,478  
     

 

 

 

 

Wireless Telecommunication Services (0.2%):

  
  381,225       Lynx I Corp., 6.00%, 4/15/21, Callable 4/15/17 @ 103+      622,858  
  500,000       UPC Holding BV, 6.38%, 9/15/22, Callable 9/15/17 @ 103.19+(b)      597,759  
     

 

 

 
        1,220,617  
     

 

 

 

 

Total Foreign Bonds (Cost $2,240,169)

     2,067,095  
     

 

 

 

    
Notional

Amount or
Principal

Amount

           Fair Value  

 

Yankee Dollars (2.4%):

  

 

Banks (0.1%):

  
$ 1,225,000       KFW, Series G, 0.50%, 4/19/16    $ 1,225,845  
     

 

 

 

 

Diversified Telecommunication Services (0.1%):

  
  530,000       Telesat Canada, 6.00%, 5/15/17, Callable 8/10/15 @ 101.5(b)      538,613  
     

 

 

 

 

Media (0.2%):

  
  650,000       Unitymedia Hessen, 5.50%, 1/15/23, Callable 1/15/18 @ 103(b)      662,594  
  950,000       Unitymedia Kabelbw GMBH, 6.13%, 1/15/25, Callable 1/15/20 @ 103.06(b)      992,750  
     

 

 

 
        1,655,344  
     

 

 

 

 

Oil, Gas & Consumable Fuels (0.2%):

  
  360,000       Canadian Natural Resources, 1.75%, 1/15/18      357,566  
  2,295,000       Shell International Finance BV, 0.73%, 5/11/20(c)      2,285,145  
     

 

 

 
        2,642,711  
     

 

 

 

 

Semiconductors & Semiconductor Equipment (0.6%):

  
  2,575,000       NXP Funding BV/NXP Funding LLC, 3.75%, 6/1/18(b)      2,594,313  
  1,150,000       NXP Funding BV/NXP Funding LLC, 5.75%, 2/15/21, Callable 2/15/17 @ 102.88(b)      1,196,000  
  1,400,000       NXP Funding BV/NXP Funding LLC, 5.75%, 3/15/23, Callable 3/15/18 @ 100(b)      1,456,000  
     

 

 

 
        5,246,313  
     

 

 

 

 

Wireless Telecommunication Services (1.2%):

  
  3,960,000       UPCB Finance V, Ltd., 7.25%, 11/15/21, Callable 11/15/16 @ 103.63(b)      4,276,800  
  6,030,000       UPCB Finance VI, Ltd.,
6.88%, 1/15/22, Callable 1/15/17 @ 103.44(b)
     6,421,949  
  1,260,000       Virgin Media Secured Finance plc, 5.38%, 4/15/21, Callable 4/15/17 @ 103(b)      1,297,800  

 

Wireless Telecommunication Services, continued

  

  275,000       Virgin Media Secured Finance plc, 5.25%, 1/15/26, Callable 1/15/26 @ 102.63(b)      265,719  
     

 

 

 
        12,262,268  
     

 

 

 

 

Total Yankee Dollars (Cost $23,564,388)

     23,571,094  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (7.5%):

  

  74,171,367       Allianz Variable Insurance Products Securities Lending Collateral Trust(d)      74,171,367  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $74,171,367)

     74,171,367  
     

 

 

 
 

 

Continued

 

6


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Shares

           Fair Value  

 

Unaffiliated Investment Company (12.0%):

  
  118,819,792       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(e)    $ 118,819,792   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $118,819,792)

     118,819,792   
     

 

 

 

 
 

Total Investment Securities
(Cost $1,016,690,505)(f) — 108.0%

     1,070,279,604  

 

Net other assets (liabilities) — (8.0)%

     (79,166,253
     

 

 

 

 

Net Assets — 100.0%

   $ 991,113,351  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

MTN—Medium Term Note

 

# Security issued in connection with a pending litigation settlement.

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $72,654,226.

 

+ The principal amount is disclosed in local currency and the fair value is disclosed in U.S. Dollars.

 

(a) Rule 144A, Section 4(2) or other security which is restricted to resale to institutional investors. The sub-adviser has deemed these securities to be illiquid based on procedures approved by the Board of Trustees. As of June 30, 2015, these 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) Variable rate security. The rate presented represents the rate in effect at June 30, 2015. The date presented represents the final maturity date.

 

(d) Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before June 30, 2015.

 

(e) The rate represents the effective yield at June 30, 2015.

 

(f) See Federal Tax Information listed in the Notes to the Financial Statements.

Amounts shown as “—” are either $0 or round to less than $1.

 

Continued

 

7


AZL T. Rowe Price Capital Appreciation Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

Over-the-counter options written as of June 30, 2015 were as follows:

 

Description    Counterparty    Put/
Call
   Strike Price      Expiration
Date
     Contracts     

Fair

Value

 

Altria Group, Inc.

   Citibank    Call      USD         55.00         01/15/16         653      $ (45,029

American Tower Corp.

   Citibank    Call      USD         105.00         01/15/16         36        (5,061

American Tower Corp.

   Citibank    Call      USD         110.00         01/15/16         61        (4,776

American Tower Corp.

   Citibank    Call      USD         115.00         01/15/16         73        (3,171

Comcast Corp.

   Citibank    Call      USD         65.00         01/15/16         198        (31,710

Comcast Corp.

   Citibank    Call      USD         70.00         01/15/16         148        (8,554

CVS Health Corp.

   Morgan Stanley    Call      USD         90.00         01/15/16         126        (199,538

CVS Health Corp.

   Morgan Stanley    Call      USD         95.00         01/15/16         126        (147,809

CVS Health Corp.

   Citibank    Call      USD         110.00         01/15/16         236        (68,062

Lowe’s Cos., Inc.

   Morgan Stanley    Call      USD         60.00         01/15/16         315        (268,962

Lowe’s Cos., Inc.

   Morgan Stanley    Call      USD         75.00         01/15/16         119        (15,740

Mondelez International, Inc.

   Citibank    Call      USD         45.00         01/15/16         194        (17,909

Pentair plc

   Citibank    Call      USD         70.00         11/20/15         24        (8,261

PepsiCo, Inc.

   Morgan Stanley    Call      USD         100.00         01/15/16         177        (26,439

PepsiCo, Inc.

   Morgan Stanley    Call      USD         105.00         01/15/16         108        (7,010

PepsiCo, Inc.

   Morgan Stanley    Call      USD         110.00         01/15/16         184        (5,091

Pfizer, Inc.

   Citibank    Call      USD         30.00         01/15/16         721        (280,181

The Boeing Co.

   Citibank    Call      USD         140.00         01/15/16         16        (11,371

Thermo Fisher Scientific, Inc.

   Citibank    Call      USD         150.00         01/15/16         143        (21,666

Time Warner Cable, Inc.

   Citibank    Call      USD         180.00         01/15/16         25        (20,375

UnitedHealth Group, Inc.

   Citibank    Call      USD         100.00         01/15/16         102        (243,499

UnitedHealth Group, Inc.

   Citibank    Call      USD         105.00         01/15/16         102        (201,115

Visa, Inc.

   Citibank    Call      USD         75.00         01/15/16         357        (47,481
                    

 

 

 

Total

                     $ (1,688,810
                    

 

 

 

Exchange-traded options written as of June 30, 2015 were as follows:

 

Description    Put/
Call
   Strike Price      Expiration
Date
     Contracts      Fair
Value
 

Google, Inc.

   Call    USD      590.00         01/15/16         47      $ (50,995

Google, Inc.

   Call    USD      590.00         01/15/16         12        (18,960

Visa, Inc.

   Call    USD      70.00         01/15/16         176        (50,160

Visa, Inc.

   Call    USD      75.00         01/15/16         180        (23,940
                 

 

 

 

Total

                  $ (144,055
                 

 

 

 

 

See accompanying notes to the financial statements.

 

8


AZL T. Rowe Price Capital Appreciation Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 1,016,690,505  
    

 

 

 

Investment securities, at value*

     $ 1,070,279,604  

Interest and dividends receivable

       3,698,462  

Receivable for capital shares issued

       1,149,885  

Receivable for investments sold

       1,397,967  

Reclaims receivable

       54,283  

Prepaid expenses

       1,111  
    

 

 

 

Total Assets

       1,076,581,312  
    

 

 

 

Liabilities:

    

Cash overdraft

       1  

Payable for investments purchased

       8,284,780  

Payable for capital shares redeemed

       320,321  

Written Options (Premiums received $1,091,353)

       1,832,865  

Payable for collateral received on loaned securities

       74,171,367  

Manager fees payable

       568,556  

Administration fees payable

       25,419  

Distribution fees payable

       203,056  

Custodian fees payable

       13,396  

Administrative and compliance services fees payable

       1,172  

Trustee fees payable

       7,423  

Other accrued liabilities

       39,605  
    

 

 

 

Total Liabilities

       85,467,961  
    

 

 

 

Net Assets

     $ 991,113,351  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 868,836,004  

Accumulated net investment income/(loss)

       9,943,177  

Accumulated net realized gains/(losses) from investment transactions

       59,485,020  

Net unrealized appreciation/(depreciation) on investments

       52,849,150  
    

 

 

 

Net Assets

     $ 991,113,351  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       60,225,698  

Net Asset Value (offering and redemption price per share)

     $ 16.46  
    

 

 

 

 

* Includes securities on loan of $72,654,226.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Interest

     $ 4,219,885  

Dividends

       4,208,026  

Income from securities lending

       77,052  

Foreign withholding tax

       (21,043 )
    

 

 

 

Total Investment Income

       8,483,920  
    

 

 

 

Expenses:

    

Manager fees

       3,385,279  

Administration fees

       128,826  

Distribution fees

       1,128,426  

Custodian fees

       24,281  

Administrative and compliance services fees

       6,036  

Trustee fees

       24,228  

Professional fees

       24,701  

Shareholder reports

       21,907  

Other expenses

       12,055  
    

 

 

 

Total expenses before reductions

       4,755,739  

Less expenses voluntarily waived/reimbursed by the Manager

       (225,692 )
    

 

 

 

Net expenses

       4,530,047  
    

 

 

 

Net Investment Income/(Loss)

       3,953,873  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       21,924,469  

Net realized gains/(losses) on futures contracts

       2,696,659  

Net realized gains/(losses) on options contracts

       1,012,142  

Net realized gains/(losses) on forward currency contracts

       167,078  

Change in net unrealized appreciation/depreciation on investments

       (559,077 )
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       25,241,271  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 29,195,144  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

9


Statements of Changes in Net Assets

 

     AZL T. Rowe Price Capital Appreciation Fund
     

For the
Six Months Ended
June 30,

2015

   For the
Year Ended
December 31,
2014
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 3,953,873        $ 5,890,655  

Net realized gains/(losses) on investment transactions

       25,800,348          33,869,107  

Change in unrealized appreciation/depreciation on investments

       (559,077 )        31,445,254  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       29,195,144          71,205,016  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

From net investment income

                (2,093,311 )

From net realized gains

                (66,596,069 )
    

 

 

      

 

 

 

Change in net assets resulting from dividends to shareholders

                (68,689,380 )
    

 

 

      

 

 

 

Capital Transactions:

         

Proceeds from shares issued

       208,800,938          271,387,641  

Proceeds from dividends reinvested

                68,689,380  

Value of shares redeemed

       (34,453,014 )        (74,270,125 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       174,347,924          265,806,896  
    

 

 

      

 

 

 

Change in net assets

       203,543,068          268,322,532  

Net Assets:

         

Beginning of period

       787,570,283          519,247,751  
    

 

 

      

 

 

 

End of period

     $ 991,113,351        $ 787,570,283  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 9,943,177        $ 5,989,304  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       12,805,045          16,855,919  

Dividends reinvested

                4,492,438  

Shares redeemed

       (2,099,846 )        (4,617,286 )
    

 

 

      

 

 

 

Change in shares

       10,705,199          16,731,071  
    

 

 

      

 

 

 

 

See accompanying notes to the financial statements.

 

10


AZL T. Rowe Price Capital Appreciation Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

     

Six Months
Ended
June 30,

2015

  Year Ended
December 31,
2014
  Year Ended
December 31,
2013
  Year Ended
December 31,
2012
  Year Ended
December 31,
2011
  Year Ended
December 31,
2010
     (Unaudited)                    

Net Asset Value, Beginning of Period

     $ 15.90       $ 15.84       $ 12.29       $ 10.98       $ 11.57       $ 10.59  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Investment Activities:

                        

Net Investment Income/(Loss)

       0.04         0.11         0.07         0.13         0.09         0.14  

Net Realized and Unrealized Gains/(Losses) on Investments

       0.52         1.69         3.60         1.22         (0.58 )       1.10  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total from Investment Activities

       0.56         1.80         3.67         1.35         (0.49 )       1.24  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Dividends to Shareholders From:

                        

Net Investment Income

               (0.06 )       (0.12 )       (0.04 )       (0.10 )       (0.26 )

Net Realized Gains

               (1.68 )                                
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Dividends

               (1.74 )       (0.12 )       (0.04 )       (0.10 )       (0.26 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net Asset Value, End of Period

     $ 16.46       $ 15.90       $ 15.84       $ 12.29       $ 10.98       $ 11.57  
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(a)

       3.52 %(b)       11.77 %       29.94 %(c)       12.32 %       (4.20 )%       12.05 %

Ratios to Average Net Assets/Supplemental Data:

                        

Net Assets, End of Period (000’s)

     $ 991,113       $ 787,570       $ 519,248       $ 420,994       $ 364,642       $ 425,305  

Net Investment Income/(Loss)(d)

       0.88 %       0.93 %       0.44 %       1.14 %       0.71 %       0.55 %

Expenses Before Reductions(d) (e)

       1.05 %       1.05 %       1.06 %       1.07 %       1.10 %       1.08 %

Expenses Net of Reductions(d)

       1.00 %       1.00 %       1.01 %       1.02 %       1.06 %       1.03 %

Portfolio Turnover Rate

       39 %(b)       72 %       122 %(f)       24 %       11 %       14 %

 

(a) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.

 

(b) Not annualized.

 

(c) During the year ended December 31, 2013, the Fund received monies related to certain nonrecurring litigation settlements. The corresponding impact to the return was 0.10%.

 

(d) Annualized for periods less than one year.

 

(e) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

(f) Effective November 15, 2013, the Subadviser changed from Davis Selected Advisors, LP to T. Rowe Price Associates, Inc. Costs of purchase and proceeds from sales of portfolio securities associated with the change in the Subadviser contributed to higher portfolio turnover rate for the year ended December 31, 2013 as compared to prior years.

 

See accompanying notes to the financial statements.

 

11


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 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 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

12


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $71.1 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $7,632 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments utilized by the Fund, including the primary underlying risk exposures related to each instrument type.

Forward Currency Contracts 

During the period ended June 30, 2015, the Fund entered into forward currency contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of securities denominated in a particular currency. In addition to the foreign currency risk related to the use of these contracts, the Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or the seller, is the unrealized appreciation of the contract. The forward currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The Fund had no forward currency contracts outstanding as of June 30, 2015. The monthly average amount for these contracts was $2.3 million for the period ended June 30, 2015.

Futures Contracts

During the period ended June 30, 2015, the Fund used futures contracts to provide market exposure on the Fund’s cash balances. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Fund. Gains or losses are recognized but not considered realized until the contracts expire or are closed. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in fair value of the underlying securities and the prices of futures contracts, the possibility of an illiquid market, and the inability of the counterparty to meet the terms of the contract. The Fund had no futures contracts outstanding as of June 30, 2015. The monthly average notional amount for these contracts was $5.8 million for the period ended June 30, 2015. 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, 2015, 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.

Written Options Contracts — The Fund receives a premium which is recorded as a liability and is subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are either exercised or closed are offset against the proceeds received or the amount paid on the transaction to determine realized gains or losses. The risk associated with writing an option is that the Fund bears the market risk of an unfavorable change in the price of an underlying asset and is required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current value.

 

13


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Realized gains and losses, if any, are reported as “Net realized gains/(losses) on options contracts” on the Statement of Operations.

The Fund had the following transactions in purchased call and put options during the period ended June 30, 2015:

 

        Number of
Contracts
     Premiums
Received

Options outstanding at December 31, 2014

         (9,063 )        $ (2,178,591 )

Options written

         (3,383 )          (768,030 )

Options exercised

                     

Options expired

                     

Options closed

         7,787            1,855,268  
      

 

 

        

 

 

 

Options outstanding at June 30, 2015

         (4,659 )        $ (1,091,353 )
      

 

 

        

 

 

 

Summary of Derivative Instruments

The following is a summary of the fair values of derivative instruments on the Fund’s Statement of Assets and Liabilities, categorized by risk exposure, as of June 30, 2015:

 

   

Asset Derivatives

   

Liability Derivatives

 
Primary Risk Exposure   Statement of Assets and Liabilities Location   Total Fair
Value
    Statement of Assets and Liabilities Location   Total Fair
Value
 

Equity Risk Exposure

       
Equity Contracts   Investment securities, at value (purchased options)   $      Written options   $ 1,832,865   

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, 2015:

 

Primary Risk Exposure  

Location of Gains/(Losses)

on Derivatives

Recognized in Income

   Realized Gains/(Losses)
on Derivatives
Recognized in Income
     Change in Unrealized
Appreciation/Depreciation on
Derivatives Recognized in  Income
 

Equity Risk Exposure

       

Equity Contracts

  Net realized gains/(losses) on options contracts / Change in unrealized appreciation/depreciation on investments    $ 1,012,142       $ 1,683,989   

Equity Contracts

  Net realized gains/(losses) on futures contracts / Change in unrealized appreciation/depreciation on investments      2,696,659         (487,022

Foreign Currency Risk Exposure

       

Foreign Currency Contracts

  Net realized gains/(losses) on forward currency contracts / Change in unrealized appreciation/depreciation on investments      167,078         (9,817

Effective January 1, 2013, the Fund adopted Financial Accounting Standards Board Accounting Standards Update (“ASU”) No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”) which amended Accounting Standards Codification Subtopic 210-20, Balance Sheet Offsetting. ASU 2013-01 clarified the scope of ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). ASU 2011-11 requires an entity to disclose information about offsetting and related arrangements to enable users of that entity’s financial statements to understand the effect of those arrangements on its financial position. The objective of this disclosure is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. ASU 2013-01 clarifies the scope of ASU 2011-11 as applying to derivatives accounted for in accordance with Topic 815, Derivatives and Hedging, including bifurcated embedded derivatives, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions that are offset either in accordance with other requirements of U.S. GAAP or subject to an enforceable master netting arrangement or similar agreement.

The Fund is generally subject to master netting agreements that allow for amounts owed between the Fund and the counterparty to be netted. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements do not apply to amounts owed to/from different counterparties. The amounts shown in the Statement of Assets and Liabilities do not take into consideration the effects of legally enforceable master netting agreements. The table below presents the gross and net amounts of these assets and liabilities with any offsets to reflect the Fund’s ability to reflect the master netting agreements at June 30, 2015. 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, 2015.

 

14


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

As of June 30, 2015, the Fund’s derivative assets and liabilities by type are as follows:

 

        Assets      Liabilities

Derivative Financial Instruments:

             

Option contracts

       $          $ 1,832,865  

Total derivative assets and liabilities in the Statement of Assets and Liabilities

                    1,832,865  

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)

                    (144,055 )
      

 

 

        

 

 

 

Total assets and liabilities subject to a MNA

       $          $ 1,688,810  
      

 

 

        

 

 

 

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Fund as of June 30, 2015:

 

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

Citibank

       $ 1,018,220          $          $          $          $ 1,018,220  

Morgan Stanley

         670,590                                             670,590  
      

 

 

        

 

 

        

 

 

        

 

 

        

 

 

 

Total

       $ 1,688,810          $          $          $          $ 1,688,810  
      

 

 

        

 

 

        

 

 

        

 

 

        

 

 

 

 

* The actual collateral received or pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statement of Assets and Liabilities.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained 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. Prior to November 15, 2013, the Fund was subadvised by Davis Selected Advisors, L.P. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL T. Rowe Price Capital Appreciation Fund

         0.75 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

15


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC.

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $4,522 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Options are generally valued at the average of the closing bid and ask quotations on the principal exchange on which the option is traded, which are then typically categorized as Level 1 in the fair value hierarchy. Forward currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE and are typically categorized as Level 2 in the fair value hierarchy.

Non exchange-traded derivatives, such as swaps and certain options, are generally valued by approved independent pricing services utilizing techniques which take into account factors such as yields, quality, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes and are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

 

16


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total

Asset Backed Securities

       $          $ 1,344,049          $ 1,344,049  

Common Stocks

                    

Beverages

         8,363,264            1,464,028            9,827,292  

All Other Common Stocks+

         594,261,663                       594,261,663  

Convertible Bonds

                    733,993            733,993  

Convertible Preferred Stocks+

         21,465,080                       21,465,080  

Corporate Bonds+

                    222,235,381            222,235,381  

Foreign Bonds+

                    2,067,095            2,067,095  

Preferred Stocks+

         1,782,798                       1,782,798  

Yankee Dollars+

                    23,571,094            23,571,094  

Securities Held as Collateral for Securities on Loan

                    74,171,367            74,171,367  

Unaffiliated Investment Company

         118,819,792                       118,819,792  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 744,692,597          $ 325,587,007          $ 1,070,279,604  
      

 

 

        

 

 

        

 

 

 

Other Investment Securities*

                    

Written Call Opitons

         92,504            (834,016 )          (741,512 )
      

 

 

        

 

 

        

 

 

 

Total Investments

       $ 744,785,101          $ 324,752,991          $ 1,069,538,092  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

* Other Financial Instruments would include any derivative instruments, such as written options contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

5. Security Purchases and Sales

For the period ended June 30, 2015, 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

       $ 464,385,460          $ 313,523,366  

6. Investment Risks

Derivatives Risk: The Fund may invest in derivatives as a principal strategy. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The counterparty to a derivatives contract could default. As required by applicable law, a Fund that invests in derivatives segregates cash or liquid securities, or both, to the extent that its obligations under the instrument are not covered through ownership of the underlying security, financial instrument, or currency.

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $1,017,230,978. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 63,057,851  

Unrealized depreciation

    (10,009,225
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 53,048,626   
 

 

 

 

 

17


AZL T. Rowe Price Capital Appreciation Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

The tax character of dividends paid to shareholders during the year ended December 31, 2014 were as follows:

 

        Ordinary
Income
     Net
Long-Term
Capital Gains
     Total
Distributions(a)

AZL T. Rowe Price Capital Appreciation Fund

       $ 2,039,311          $ 66,596,069          $ 68,635,380  

 

(a) Total distributions paid may differ from the Statements of Changes in Net Assets because dividends are recognized when actually paid for tax purposes.

As of the latest tax year end December 31, 2014, 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

       $ 25,091,405          $ 15,957,542          $          $ 52,033,256          $ 93,082,203  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

8. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

18


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Fund of Funds Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

19


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The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


AZL® Wells Fargo Large Cap Growth Fund

Semi-Annual Report

June 30, 2015

(Unaudited)

 

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Table of Contents

 

Expense Examples and Portfolio Composition

Page 1

Schedule of Portfolio Investments

Page 2

Statement of Assets and Liabilities

Page 4

Statement of Operations

Page 4

Statements of Changes in Net Assets

Page 5

Financial Highlights

Page 6

Notes to the Financial Statements

Page 7

Other Information

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 Wells Fargo Large Cap Growth Fund

Expense Examples

(Unaudited)

 

As a shareholder of the AZL Wells Fargo Large Cap Growth Fund (the “Fund”), you incur ongoing costs, including management fees, distribution fees, and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in each table do not reflect expenses that apply to the subaccount or the insurance contract. If the expenses that apply to the subaccount of the insurance contract were included, your costs would have been higher.

These examples are based on an investment of $1,000 invested at the beginning of the period and held for the periods presented below.

The Actual Expense table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

        Beginning
Account Value
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 - 6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Wells Fargo Large Cap Growth Fund

       $ 1,000.00          $ 1,031.10          $ 5.09            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
1/1/15
     Ending
Account Value
6/30/15
     Expenses Paid
During Period
1/1/15 -  6/30/15*
     Annualized
Expense Ratio
During Period
1/1/15 - 6/30/15

AZL Wells Fargo Large Cap Growth Fund

       $ 1,000.00          $ 1,019.79          $ 5.06            1.01 %

 

* Expenses are equal to the average account value over the period, multiplied by the Fund’s annualized expense ratio, multiplied by 181/365 (to reflect the one half year period).

Portfolio Composition

(Unaudited)

 

Investments   Percent of Net Assets

Information Technology

      30.4 %

Consumer Discretionary

      25.4  

Health Care

      18.2  

Industrials

      10.0  

Consumer Staples

      4.6  

Financials

      4.1  

Materials

      3.8  

Energy

      2.5  
   

 

 

 

Total Common Stocks

      99.0  

Securities Held as Collateral for Securities on Loan

      6.2  

Money Market

      1.3  
   

 

 

 

Total Investment Securities

      106.5  

Net other assets (liabilities)

      (6.5 )
   

 

 

 

Net Assets

      100.0 %
   

 

 

 

 

1


AZL Wells Fargo Large Cap Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks (99.0%):

  

 

Aerospace & Defense (2.1%):

  

  8,230       Boeing Co. (The)    $ 1,141,666  
  8,210       United Technologies Corp.      910,735  
     

 

 

 
        2,052,401  
     

 

 

 

 

Airlines (0.7%):

  

  21,330       Southwest Airlines Co.      705,810  
     

 

 

 

 

Auto Components (0.7%):

  

  7,900       Delphi Automotive plc      672,211  
     

 

 

 

 

Biotechnology (10.3%):

  

  13,840       Alexion Pharmaceuticals, Inc.*      2,501,856  
  4,500       Biogen Idec, Inc.*      1,817,730  
  13,250       Celgene Corp.*      1,533,489  
  13,990       Gilead Sciences, Inc.      1,637,949  
  3,030       Medivation, Inc.*      346,026  
  3,890       Regeneron Pharmaceuticals, Inc.*      1,984,405  
     

 

 

 
        9,821,455  
     

 

 

 

 

Capital Markets (2.5%):

  

  6,520       Ameriprise Financial, Inc.      814,544  
  42,450       TD Ameritrade Holding Corp.      1,563,009  
     

 

 

 
        2,377,553  
     

 

 

 

 

Chemicals (3.8%):

  

  12,260       Ecolab, Inc.      1,386,238  
  5,430       Monsanto Co.      578,784  
  14,300       Praxair, Inc.      1,709,565  
     

 

 

 
        3,674,587  
     

 

 

 

 

Communications Equipment (0.5%):

  

  7,560       QUALCOMM, Inc.      473,483  
     

 

 

 

 

Consumer Finance (1.1%):

  

  18,200       Discover Financial Services      1,048,684  
     

 

 

 

 

Energy Equipment & Services (0.5%):

  

  5,690       Schlumberger, Ltd.      490,421  
     

 

 

 

 

Food & Staples Retailing (2.7%):

  

  14,070       Costco Wholesale Corp.      1,900,295  
  6,380       CVS Health Corp.      669,134  
     

 

 

 
        2,569,429  
     

 

 

 

 

Health Care Equipment & Supplies (1.6%):

  

  1,170       Intuitive Surgical, Inc.*      566,865  
  13,510       Medtronic plc      1,001,091  
     

 

 

 
        1,567,956  
     

 

 

 

 

Health Care Providers & Services (1.3%):

  

  12,070       AmerisourceBergen Corp.      1,283,524  
     

 

 

 

 

Health Care Technology (1.4%):

  

  19,210       Cerner Corp.*      1,326,643  
     

 

 

 

 

Hotels, Restaurants & Leisure (5.8%):

  

  2,620       Chipotle Mexican Grill, Inc.*      1,585,074  
  25,550       Hilton Worldwide Holdings, Inc.*      703,903  
  17,410       Marriott International, Inc., Class A^      1,295,130  
  36,300       Starbucks Corp.      1,946,224  
     

 

 

 
        5,530,331  
     

 

 

 

 

Household Products (0.6%):

  

  8,850       Colgate-Palmolive Co.      578,879  
     

 

 

 
    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Industrial Conglomerates (2.1%):

  

  8,370       3M Co.    $ 1,291,491  
  8,570       Danaher Corp.      733,506  
     

 

 

 
        2,024,997  
     

 

 

 

 

Internet & Catalog Retail (3.0%):

  

  3,700       Amazon.com, Inc.*      1,606,133  
  700       Netflix, Inc.*      459,858  
  740       Priceline Group, Inc. (The)*      852,014  
     

 

 

 
        2,918,005  
     

 

 

 

 

Internet Software & Services (8.4%):

  

  12,160       Akamai Technologies, Inc.*      849,011  
  35,410       Facebook, Inc., Class A*      3,036,938  
  3,750       Google, Inc., Class C*      1,951,913  
  3,990       Google, Inc., Class A*      2,154,759  
     

 

 

 
        7,992,621  
     

 

 

 

 

IT Services (7.2%):

  

  8,980       Accenture plc, Class A      869,084  
  7,110       Alliance Data Systems Corp.*      2,075,693  
  24,310       MasterCard, Inc., Class A      2,272,499  
  24,500       Visa, Inc., Class A      1,645,175  
     

 

 

 
        6,862,451  
     

 

 

 

 

Life Sciences Tools & Services (0.4%):

  

  5,360       Quintiles Transnational Holdings, Inc.*      389,190  
     

 

 

 

 

Media (2.9%):

  

  16,920       CBS Corp., Class B      939,060  
  16,280       Walt Disney Co. (The)      1,858,199  
     

 

 

 
        2,797,259  
     

 

 

 

 

Multiline Retail (3.7%):

  

  28,230       Dollar Tree, Inc.*      2,229,888  
  17,460       Nordstrom, Inc.      1,300,770  
     

 

 

 
        3,530,658  
     

 

 

 

 

Oil, Gas & Consumable Fuels (2.0%):

  

  12,880       Concho Resources, Inc.*      1,466,517  
  2,970       Pioneer Natural Resources Co.      411,909  
     

 

 

 
        1,878,426  
     

 

 

 

 

Personal Products (1.3%):

  

  13,920       Estee Lauder Co., Inc. (The), Class A      1,206,307  
     

 

 

 

 

Pharmaceuticals (3.2%):

  

  4,491       Allergan plc*      1,362,839  
  4,380       Mylan NV*      297,227  
  7,600       Perrigo Co. plc      1,404,709  
     

 

 

 
        3,064,775  
     

 

 

 

 

Real Estate Investment Trusts (REITs) (0.5%):

  

  4,920       American Tower Corp.      458,987  
     

 

 

 

 

Road & Rail (3.9%):

  

  2,680       Canadian Pacific Railway, Ltd.      429,416  
  8,980       Kansas City Southern      818,976  
  7,640       Norfolk Southern Corp.      667,430  
  19,950       Union Pacific Corp.      1,902,632  
     

 

 

 
        3,818,454  
     

 

 

 
 

 

Continued

 

2


AZL Wells Fargo Large Cap Growth Fund

Schedule of Portfolio Investments

June 30, 2015 (Unaudited)

 

    
    
Shares
           Fair Value  

 

Common Stocks, continued

  

 

Semiconductors & Semiconductor Equipment (3.6%):

  

  19,560       ARM Holdings plc, ADR    $ 963,721  
  29,090       Microchip Technology, Inc.^      1,379,593  
  20,910       Texas Instruments, Inc.      1,077,074  
     

 

 

 
        3,420,388  
     

 

 

 

 

Software (7.1%):

  

  12,590       Adobe Systems, Inc.*      1,019,915  
  47,660       Microsoft Corp.      2,104,189  
  21,160       Salesforce.com, Inc.*      1,473,371  
  15,030       ServiceNow, Inc.*^      1,116,879  
  11,180       Splunk, Inc.*^      778,352  
  2,410       VMware, Inc., Class A*      206,633  
     

 

 

 
        6,699,339  
     

 

 

 

 

Specialty Retail (5.3%):

  

  25,160       CarMax, Inc.*^      1,665,844  
  7,570       O’Reilly Automotive, Inc.*      1,710,669  
  19,480       Tractor Supply Co.      1,752,030  
     

 

 

 
        5,128,543  
     

 

 

 

 

Technology Hardware, Storage & Peripherals (3.6%):

  

  27,640       Apple, Inc.      3,466,747  
     

 

 

 
Shares or
Principal
Amount
           Fair Value  

 

Common Stocks, continued

  

 

Textiles, Apparel & Luxury Goods (4.0%):

  

  19,480       Nike, Inc., Class B    $ 2,104,229  
  25,440       VF Corp.      1,774,186  
     

 

 

 
        3,878,415  
     

 

 

 

 

Trading Companies & Distributors (1.2%):

  

  4,870       W.W. Grainger, Inc.^      1,152,486  
     

 

 

 

 

Total Common Stocks (Cost $79,834,360)

     94,861,415  
     

 

 

 

 

Securities Held as Collateral for Securities on Loan (6.2%):

  

$ 5,980,739       Allianz Variable Insurance Products Securities Lending Collateral Trust(a)      5,980,739  
     

 

 

 

 
 

Total Securities Held as Collateral for Securities on Loan
(Cost $5,980,739)

     5,980,739  
     

 

 

 

 

Unaffiliated Investment Company (1.3%):

  

  1,228,807       Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00%(b)      1,228,807   
     

 

 

 

 

Total Unaffiliated Investment Company (Cost $1,228,807)

     1,228,807   
     

 

 

 

 

Total Investment Securities (Cost $87,043,906)(c) — 106.5%

     102,070,961  

 

Net other assets (liabilities) — (6.5)%

     (6,207,665
     

 

 

 

 

Net Assets — 100.0%

   $ 95,863,296  
     

 

 

 
 

Percentages indicated are based on net assets as of June 30, 2015.

ADR—American Depositary Receipt

 

* Non-income producing security.

 

^ This security or a partial position of this security was on loan as of June 30, 2015. The total value of securities on loan as of June 30, 2015, was $5,874,069.

 

(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, 2015.

 

(b) The rate represents the effective yield at June 30, 2015.

 

(c) See Federal Tax Information listed in the Notes to the Financial Statements.

 

See accompanying notes to the financial statements.

 

3


AZL Wells Fargo Large Cap Growth Fund

 

Statement of Assets and Liabilities

June 30, 2015

(Unaudited)

 

Assets:

    

Investment securities, at cost

     $ 87,043,906  
    

 

 

 

Investment securities, at value*

     $ 102,070,961  

Interest and dividends receivable

       33,549  

Receivable for investments sold

       882,627  

Prepaid expenses

       174  
    

 

 

 

Total Assets

       102,987,311  
    

 

 

 

Liabilities:

    

Payable for investments purchased

       1,053,729  

Payable for collateral received on loaned securities

       5,980,739  

Manager fees payable

       56,300  

Administration fees payable

       3,027  

Distribution fees payable

       20,107  

Custodian fees payable

       3,182  

Administrative and compliance services fees payable

       159  

Trustee fees payable

       1,063  

Other accrued liabilities

       5,709  
    

 

 

 

Total Liabilities

       7,124,015  
    

 

 

 

Net Assets

     $ 95,863,296  
    

 

 

 

Net Assets Consist of:

    

Capital

     $ 80,961,686  

Accumulated net investment income/(loss)

       129,121  

Accumulated net realized gains/(losses) from investment transactions

       (254,562 )

Net unrealized appreciation/(depreciation) on investments

       15,027,051  
    

 

 

 

Net Assets

     $ 95,863,296  
    

 

 

 

Shares of beneficial interest (unlimited number of shares authorized, no par value)

       8,246,845  

Net Asset Value (offering and redemption price per share)

     $ 11.62  
    

 

 

 

 

* Includes securities on loan of $5,874,069.

Statement of Operations

For the Six Months Ended June 30, 2015

(Unaudited)

 

Investment Income:

    

Dividends

     $ 555,091  

Income from securities lending

       2,562  

Foreign withholding tax

       (219 )
    

 

 

 

Total Investment Income

       557,434  
    

 

 

 

Expenses:

    

Manager fees

       394,730  

Administration fees

       14,464  

Distribution fees

       123,353  

Custodian fees

       3,890  

Administrative and compliance services fees

       694  

Trustee fees

       2,782  

Professional fees

       3,036  

Shareholder reports

       636  

Other expenses

       2,635  
    

 

 

 

Total expenses before reductions

       546,220  

Less expenses voluntarily waived/reimbursed by the Manager

       (49,341 )
    

 

 

 

Net expenses

       496,879  
    

 

 

 

Net Investment Income/(Loss)

       60,555  
    

 

 

 

Realized and Unrealized Gains/(Losses) on Investments:

    

Net realized gains/(losses) on securities transactions

       (14,619 )

Change in net unrealized appreciation/depreciation on investments

       3,195,562  
    

 

 

 

Net Realized/Unrealized Gains/(Losses) on Investments

       3,180,943  
    

 

 

 

Change in Net Assets Resulting From Operations

     $ 3,241,498  
    

 

 

 
 

 

See accompanying notes to the financial statements.

 

4


Statements of Changes in Net Assets

 

     AZL Wells Fargo Large Cap Growth Fund
      For the
Six Months Ended
June 30,
2015
   April 28, 2014
to
December 31,
2014 (a)
     (Unaudited)     

Change In Net Assets:

         

Operations:

         

Net investment income/(loss)

     $ 60,555        $ 9,874  

Net realized gains/(losses) on investment transactions

       (14,619 )        (239,943 )

Change in unrealized appreciation/depreciation on investments

       3,195,562          11,831,489  
    

 

 

      

 

 

 

Change in net assets resulting from operations

       3,241,498          11,601,420  
    

 

 

      

 

 

 

Dividends to Shareholders:

         

Capital Transactions:

         

Proceeds from shares issued

       104,447          97,277,902  

Value of shares redeemed

       (9,222,320 )        (7,139,651 )
    

 

 

      

 

 

 

Change in net assets resulting from capital transactions

       (9,117,873 )        90,138,251  
    

 

 

      

 

 

 

Change in net assets

       (5,876,375 )        101,739,671  

Net Assets:

         

Beginning of period

       101,739,671           
    

 

 

      

 

 

 

End of period

     $ 95,863,296        $ 101,739,671  
    

 

 

      

 

 

 

Accumulated net investment income/(loss)

     $ 129,121        $ 68,566  
    

 

 

      

 

 

 

Share Transactions:

         

Shares issued

       8,895          9,680,346  

Shares redeemed

       (789,074 )        (653,322 )
    

 

 

      

 

 

 

Change in shares

       (780,179 )        9,027,024  
    

 

 

      

 

 

 

 

(a) Period from commencement of operations.

 

See accompanying notes to the financial statements.

 

5


AZL Wells Fargo Large Cap Growth Fund

Financial Highlights

(Selected data for a share of beneficial interest outstanding throughout the periods indicated)

 

      Six Months
Ended
June 30,
2015
  April 28, 2014
to
December 31,
2014 (a)
     (Unaudited)    

Net Asset Value, Beginning of Period

     $ 11.27       $ 10.00  
    

 

 

     

 

 

 

Investment Activities:

        

Net Investment Income/(Loss)

       0.01         (b)

Net Realized and Unrealized Gains/(Losses) on Investments

       0.34         1.27  
    

 

 

     

 

 

 

Total from Investment Activities

       0.35         1.27  
    

 

 

     

 

 

 

Dividends to Shareholders From:

        

Net Asset Value, End of Period

     $ 11.62       $ 11.27  
    

 

 

     

 

 

 

Total Return(c)

       3.11 %(d)       12.70 %(d)

Ratios to Average Net Assets/Supplemental Data:

        

Net Assets, End of Period (000’s)

     $ 95,863       $ 101,740  

Net Investment Income/(Loss)(e)

       0.12 %       0.01 %

Expenses Before Reductions(e) (f)

       1.11 %       1.09 %

Expenses Net of Reductions(e)

       1.01 %       0.99 %

Portfolio Turnover Rate

       12 %(d)       24 %(d)

 

(a) Period from commencement of operations.
(b) Represent less than $0.005.
(c) The returns include reinvested dividends and fund level expenses, but exclude insurance contract charges. If these charges were included, the returns would have been lower.
(d) Not annualized.
(e) Annualized for periods less than one year.
(f) Excludes fee reductions. If such fee reductions had not occurred, the ratios would have been as indicated.

 

See accompanying notes to the financial statements.

 

6


AZL Wells Fargo Large Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

1. Organization

The Allianz Variable Insurance Products Trust (the “Trust”) was organized as a Delaware statutory trust on July 13, 1999. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”) and thus is determined to be an investment company for accounting purposes. The Trust consists of 36 separate investment portfolios (individually a “Fund,” collectively, the “Funds”), of which one is included in this report, the AZL Wells Fargo Large Cap Growth Fund (the “Fund”), and 35 are presented in separate reports.

The Trust is authorized to issue an unlimited number of shares of the Fund without par value. Shares of the Fund are available through the variable annuity contracts and variable life insurance policies offered through the separate accounts of participating insurance companies.

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund may enter into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The policies conform with U.S. generally accepted accounting principles (“U.S. GAAP”). The preparation of financial statements requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

The Fund records its investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between willing market participants at the measurement date. The valuation techniques used to determine fair value are further described in Note 4 below.

Investment Transactions and Investment Income

Investment transactions are recorded not later than on the business day following trade date. However, for financial reporting purposes, investment transactions are accounted for on trade date. Net realized gains and losses on investments sold and on foreign currency transactions are recorded on the basis of identified cost. Interest income is recorded on the accrual basis and includes, where applicable, the amortization of premiums or accretion of discounts. Dividend income is recorded on the ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as such information becomes available.

Real Estate Investment Trusts

The Fund may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Certain distributions received from REITs during the period, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT.

Foreign Currency Translation

The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included in the net realized and unrealized gain or loss on investments and foreign currencies. Income received by the Fund from sources within foreign countries may be subject to withholding and other income or similar taxes imposed by such countries. The Funds accrue such taxes, as applicable, based on their current interpretation of tax rules in the foreign markets in which they invest.

Dividends to Shareholders

Dividends to shareholders are recorded on the ex-dividend date. The Fund distributes its dividends from net investment income and net realized capital gains, if any, on an annual basis. The amount of dividends from net investment income and from net realized gains is determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital, net operating loss, reclassification of certain market discounts, gain/loss, paydowns, and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences (e.g., wash sales and post October losses) do not require reclassification. Dividends to shareholders that exceed net investment income and net realized gains for tax purposes are reported as distributions of capital.

Expense Allocation

Expenses directly attributable to the Fund are charged directly to the Fund, while expenses attributable to more than one Fund are allocated among the respective Funds based upon relative net assets or some other reasonable method. Expenses which are attributable to more than one Trust are allocated across the Allianz Variable Insurance Products and Allianz Variable Insurance Products Fund of Funds Trusts based upon relative net assets or another reasonable basis. Allianz Investment Management LLC (the “Manager”), serves as the investment manager for the Trust and the Allianz Variable Insurance Products Fund of Funds Trust.

 

7


AZL Wells Fargo Large Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Securities Lending

To generate additional income, the Fund may lend up to 33 1/3% of its assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. government or U.S. government agency securities, equal initially to at least 102% of the fair value plus accrued interest on the securities loaned (105% for foreign securities). The borrower of securities is at all times required to post collateral to the Fund in an amount equal to 100% of the fair value of the securities loaned based on the previous day’s fair value of the securities loaned, marked-to-market daily. Any collateral shortfalls are adjusted the next business day. The Fund bears all of the gains and losses on such investments. The Fund receives payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of cash collateral received. In extremely low interest rate environments, the broker rebate fee may exceed the interest earned or the cash collateral which would result in a loss to the Fund. The investment of cash collateral deposited by the borrower is subject to inherent market risks such as interest rate risk, credit risk, liquidity risk, and other risks that are present in the market, and as such, the value of these investments may not be sufficient, when liquidated, to repay the borrower when the loaned security is returned. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Manager to be of good standing and credit worthy and when in its judgment, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Trust or the borrower at any time, and are, therefore, not considered to be illiquid investments. Securities on loan at June 30, 2015 are presented on the Fund’s Schedule of Portfolio Investments. The average outstanding amount of securities on loan was $5.7 million for the period ended June 30, 2015.

Cash collateral received in connection with securities lending is invested in the Allianz Variable Insurance Products Securities Lending Collateral Trust (the “Securities Lending Collateral Trust”) managed by The Dreyfus Corporation, an affiliate of the Custodian and Securities Lending Agent. The Securities Lending Collateral Trust invests in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Fund 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 $253 during the period ended June 30, 2015. These fees have been netted against “Income from securities lending” on the Statement of Operations.

3. Related Party Transactions

The Manager provides investment advisory and management services for the Fund. The Manager has retained an independent money management organization (the “Subadviser”), to make investment decisions on behalf of the Fund. Pursuant to a portfolio management agreement with Wells Capital Management Incorporated (“Wells Capital”), Wells Capital provides investment advisory services as the Subadviser for the Fund subject to the general supervision of the Trustees and the Manager. The Manager is entitled to a fee, computed daily and paid monthly, based on the average daily net assets of the Fund. Expenses incurred by the Fund for investment advisory and management services are reflected on the Statement of Operations as “Manager fees.” For its services, the Subadviser is entitled to a fee payable by the Manager. The Manager has contractually agreed to waive fees and reimburse the Fund to limit the annual expenses, excluding interest expense (e.g., cash overdraft fees), taxes, brokerage commissions, other expenditures that are capitalized in accordance with U.S. GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business, based on the daily net assets of the Fund, through April 30, 2016.

For the period ended June 30, 2015, the annual rate due to the Manager and the annual expense limit were as follows:

 

        Annual Rate*      Annual Expense Limit

AZL Wells Fargo Large Cap Growth Fund

         0.80 %          1.20 %

 

* The Manager voluntarily reduced the management fee to 0.70% on all assets. The Manager reserves the right to increase the management fee to the amount shown in the table above at any time.

Any amounts contractually waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next three fiscal years the repayment will not cause the Fund’s expenses to exceed the lesser of the stated limit at the time of the waiver or the current stated limit. Any amounts recouped by the Manager during the year are reflected on the Statement of Operations as “Recoupment of prior expenses reimbursed by the Manager.” At June 30, 2015, there were no remaining contractual reimbursements that are subject to repayment by the Fund in subsequent years.

In addition, the Manager may voluntarily waive or reimburse additional fees in order to maintain more competitive expense ratios. Any voluntary waivers or reimbursements are not subject to repayment in subsequent years. Information on the total amount waived/reimbursed by the Manager or repaid to the Manager by the Fund during the year can be found on the Statement of Operations.

Pursuant to separate agreements between the Funds and the Manager, the Manager provides a Chief Compliance Officer (“CCO”) and certain compliance oversight and regulatory filing services to the Trust. Under these agreements the Manager is entitled to an amount equal to a portion of the compensation and certain other expenses related to the individuals performing the CCO and compliance oversight services, as well as $100 per hour for time incurred in connection with the preparation and filing of certain documents with the Securities and Exchange Commission. The fees are paid to the Manager on a quarterly basis. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administrative and compliance services fees.”

Citi Fund Services Ohio, Inc. (“Citi” or the “Administrator”), a wholly owned subsidiary of Citigroup, Inc., with which an officer of the Trust is affiliated, serves as the Trust’s administrator 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. Prior to April 1, 2015, Citi also served as transfer agent for the Trust under the same agreement. The Administrator was entitled to annual account fees related to the transfer agency system, an annual fee for each additional class of shares of any Fund, certain annual fees in supporting fair value services, and a Trust-wide annual fee for providing infrastructure and support in implementing the written policies and procedures comprising the Fund’s compliance program. Fees payable to the Administrator are subject to certain reductions associated with services provided to new funds. Beginning January 1, 2015, these reductions are no longer applicable to new funds. The Administrator is also reimbursed for certain expenses incurred. The total expenses incurred by the Fund for these services are reflected on the Statement of Operations as “Administration fees.”

 

8


AZL Wells Fargo Large Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

Effective April 1, 2015, the Trust’s transfer agent became SunGard Investor Services, LLC

Allianz Life Financial Services, LLC (“ALFS”), an affiliate of the Manager, serves as distributor of the Fund and receives 12b-1 fees directly from the Fund, plus a Trust-wide annual fee of $42,500, paid by the Manager from its profits and not by the Trust, for recordkeeping and reporting services.

The Trust has adopted a distribution and service plan in conformance with Rule 12b-1 of the 1940 Act. Pursuant to this plan, the Fund is authorized to pay certain fees for the sale and distribution of its shares and services provided to its shareholders at an annual rate not to exceed 0.25% of the Fund’s average daily net assets. These fees are reflected on the Statement of Operations as “Distribution fees.”

In addition, certain legal fees and expenses are paid to a law firm, Dorsey & Whitney LLP, of which the Secretary of the Fund is a partner. During the period ended June 30, 2015, $539 was paid from the Fund relating to these fees and expenses.

Certain Officers and Trustees of the Trust are affiliated with the Manager or the Administrator. Such Officers (except for the Trust’s CCO as noted above) and Trustees receive no compensation from the Trust for serving in their respective roles. For their service to the Trust and to the Allianz Variable Insurance Products Fund of Funds Trust, each non-interested Trustee receives a $163,000 annual Board retainer and the Lead Director receives an additional $24,450 annually. In addition, the Trustees are reimbursed for certain expenses associated with attending Board meetings. Compensation to the Trustees is allocated between the Trust and the Allianz Variable Insurance Products Fund of Funds Trust in proportion to the assets under management of each trust. During the period ended June 30, 2015, actual Trustee compensation was $466,180 in total for both trusts.

4. Investment Valuation Summary

The valuation techniques employed by the Fund, as described below, maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The inputs used for valuing the Fund’s investments are summarized in the three broad levels listed below:

 

   

Level 1 — quoted prices in active markets for identical assets

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayments speeds, credit risk, etc.)

   

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The Fund determines transfers between fair value hierarchy levels at the reporting period end. The inputs or methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments.

Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time). Equity securities are valued at the last quoted sale price or, if there is no sale, the last quoted bid price is used for long securities and the last quoted ask price is used for securities sold short. Securities listed on NASDAQ Stock Market, Inc. (“NASDAQ”) are valued at the official closing price as reported by NASDAQ. In each of these situations, valuations are typically categorized as a Level 1 in the fair value hierarchy. Investments in open-end investment companies are valued at their respective net asset value as reported by such companies and are typically categorized as Level 1 in the fair value hierarchy.

Debt and other fixed income securities are generally valued at an evaluated bid price provided by an independent pricing source approved by the Trustees. To value debt securities, pricing services may use various pricing techniques which take into account appropriate factors such as market activity, yield, quality, coupon rate, maturity, type of issue, trading characteristics, call features, credit ratings and other data, as well as broker quotes. Short term securities of sufficient credit quality with sixty days or less remaining until maturity may be valued at amortized cost, which approximates fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.

Other assets and securities for which market quotations are not readily available, or are deemed unreliable are valued at fair value as determined in good faith by the Trustees or persons acting on the behalf of the Trustees. Fair value pricing may be used for significant events such as securities whose trading has been suspended, whose price has become stale or for which there is no currently available price at the close of the NYSE. Depending on the source and relative significance of valuation inputs, these instruments may be classified as Level 2 or Level 3 in the fair value hierarchy. The Fund utilizes a pricing service to assist in determining the fair value of securities when certain significant events occur that may affect the value of foreign securities.

In accordance with procedures adopted by the Trustees, fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund’s net asset value is calculated. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the Fund may use a systematic valuation model provided by an independent third party to fair value its international equity securities which are then typically categorized as Level 2 in the fair value hierarchy.

For the period ended June 30, 2015, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

The following is a summary of the valuation inputs used as of June 30, 2015 in valuing the Fund’s investments based upon the three levels defined above:

 

Investment Securities:      Level 1      Level 2      Total
                      

Common Stocks+

       $ 94,861,415          $          $ 94,861,415  

Securities Held as Collateral for Securities on Loan

                    5,980,739            5,980,739  

Unaffiliated Investment Company

         1,228,807                       1,228,807  
      

 

 

        

 

 

        

 

 

 

Total Investment Securities

       $ 96,090,222          $ 5,980,739          $ 102,070,961  
      

 

 

        

 

 

        

 

 

 

 

+ For detailed industry descriptions, see the accompanying Schedule of Portfolio Investments.

 

9


AZL Wells Fargo Large Cap Growth Fund

Notes to the Financial Statements

June 30, 2015 (Unaudited)

 

5. Security Purchases and Sales

For the period ended June 30, 2015, cost of purchases and proceeds from sales of securities (excluding securities maturing less than one year from acquisition) were as follows:

 

        Purchases      Sales

AZL Wells Fargo Large Cap Growth Fund

       $ 11,819,924          $ 21,481,929  

6. Investment Risks

Foreign Securities and Currencies Risk: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those securities.

7. Federal Tax Information

It is the Fund’s policy to continue to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gains on investments, to its shareholders. Therefore, no provision is made for federal income taxes.

Management of the Fund has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the last four tax year ends and the interim tax period since then, as applicable). Management believes that there is no tax liability resulting from unrecognized tax benefits related to uncertain tax positions taken.

Cost for federal income tax purposes at June 30, 2015 is $87,063,737. The gross unrealized appreciation/ (depreciation) on a tax basis is as follows:

 

Unrealized appreciation

  $ 16,173,332  

Unrealized depreciation

    (1,166,108
 

 

 

 

Net unrealized appreciation/(depreciation)

  $ 15,007,224   
 

 

 

 

As of the end of its tax year ended December 31, 2014, the Fund has capital loss carry forwards (“CLCFs”) as summarized in the tables below. CLCFs subject to expiration are applied as short-term capital loss regardless of whether the originating capital loss was short-term or long-term. CLCFs that are not subject to expiration must be utilized before those that are subject to expiration. The Board does not intend to authorize a distribution of any realized gain for the Fund until any applicable CLCF has been offset or expires.

CLCFs not subject to expiration:

 

       

Short Term

Amount

    

Long Term

Amount

    

Total

Amount

AZL Wells Fargo Large Cap Growth Fund

       $ 232,691          $          $ 232,691  

As of the latest tax year end December 31, 2014, 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 Wells Fargo Large Cap Growth Fund

       $ 68,566          $          $ (232,691 )        $ 11,824,237          $ 11,660,112  

 

(a) The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to tax deferral of losses on wash sales.

The tax character of current year distributions paid and the tax basis of the current components of accumulated earnings and any net capital loss carry forwards will be determined at the end of the current tax year ending December 31, 2015.

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, 2015, the Fund had an individual shareholder account which is affiliated with the Investment Adviser representing ownership in excess of 50%

of the Fund.

9. Subsequent Events

Management has evaluated events and transactions subsequent to period end through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements and there are no subsequent events to report.

 

10


Other Information (Unaudited)

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request, by visiting the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov, or by calling 800-624-0197.

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 800-624-0197; (ii) on the Allianz Variable Insurance Products Trust’s website at https://www.allianzlife.com; and (iii) on the Commission’s website at http://www.sec.gov.

The Fund files complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. Schedules of Portfolio Holdings for the Fund in this report are available without charge on the Commission’s website at http://www.sec.gov, or may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

 

11


LOGO

 

The Allianz VIP Funds are distributed by Allianz Life Financial Services, LLC.   
These Funds are not FDIC Insured.    SARRPT0615 8/15


Item 2. Code of Ethics.

Not applicable – only for annual reports.

 

Item 3. Audit Committee Financial Expert.

Not applicable – only for annual reports.

 

Item 4. Principal Accountant Fees and Services.

Not applicable – only for annual reports.

 

Item 5. Audit Committee of Listed Registrants.

Not applicable.

 

Item 6. Investments.

(a) The Schedule of Investments as of the close of the reporting period are included as part of the report to shareholders filed under Item 1 of the Form N-CSR.

(b) Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

 

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

 

Item 11. Controls and Procedures.

(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12. Exhibits.

(a)(1) Not applicable – only for annual reports.

(a)(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) are furnished herewith.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)  

Allianz Variable Insurance Products Trust               

By (Signature and Title)  

/s/ Brian Muench

    Brian Muench, President                    
Date August 24, 2015                

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)  

/s/ Brian Muench

    Brian Muench, President                    
Date August 24, 2015                

 

By (Signature and Title)  

/s/ Scott Rhodes

    Scott Rhodes, Treasurer                    
Date August 24, 2015