N-Q 1 d348953dnq.htm ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST QUARTERLY REPORT Allianz Variable Insurance Products Fund of Funds Trust Quarterly Report

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21624

 

 

Allianz Variable Insurance Products Fund of Funds 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: 1-877-833-7113

Date of fiscal year end: December 31

Date of reporting period: March 31, 2012

 

 

 

Item 1. Schedule of Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Balanced Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (100.0%):

   
  15,273,555       AZL Enhanced Bond Index Fund    $ 168,772,783   
  3,173,723       AZL International Index Fund      42,496,147   
  1,479,608       AZL Mid Cap Index Fund      25,316,091   
  9,045,532       AZL S&P 500 Index Fund, Class 2      88,193,934   
  1,218,485       AZL Small Cap Stock Index Fund      13,452,078   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $298,960,094)

      338,231,033   
     

 

 

  

 

Unaffiliated Investment Company (0.2%):

   
  487,377       Dreyfus Treasury Prime Cash Management, 0.00%(a)      487,377   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $487,377)

      487,377   

 
 

        Total Investment Securities
        (Cost $299,447,471)(b)—100.2%

      338,718,410   

 
 

        Net other assets
        (liabilities) — (0.2)%

      (508,841 ) 
     

 

 

  

 

        Net Assets — 100.0%

    $ 338,209,569   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Balanced Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (100.0%):

   
  1,019,717       AZL Allianz AGIC Opportunity Fund    $ 13,949,732   
  2,739,263       AZL BlackRock Capital Appreciation Fund      39,774,093   
  1,141,086       AZL Columbia Mid Cap Value Fund      9,756,284   
  1,785,503       AZL Columbia Small Cap Value Fund      19,890,507   
  5,820,234       AZL Eaton Vance Large Cap Value Fund      50,054,010   
  2,101,555       AZL International Index Fund      28,139,827   
  1,742,928       AZL Invesco Growth and Income Fund      19,869,380   
  2,465,675       AZL Invesco International Equity Fund      37,922,083   
  1,801,918       AZL JPMorgan International Opportunities Fund      27,136,879   
  3,958,480       AZL JPMorgan U.S. Equity Fund      41,564,040   
  1,304,610       AZL MFS Investors Trust Fund      20,560,653   
  602,524       AZL Mid Cap Index Fund      10,309,177   
  2,151,380       AZL Morgan Stanley Global Real Estate Fund      19,190,307   
  621,478       AZL Morgan Stanley Mid Cap Growth Fund      9,701,268   
  1,373,371       AZL NFJ International Value Fund      18,787,710   
  950,005       AZL Oppenheimer Discovery Fund      10,165,051   
  2,377,089       AZL Russell 1000 Growth Index Fund      30,189,026   
  4,285,953       AZL Russell 1000 Value Index Fund      49,288,459   
  1,125,079       AZL Schroder Emerging Markets Equity Fund, Class 2      9,045,633   
  6,747,129       AZL Strategic Investments Trust      9,445,981   
  1,835,090       PIMCO PVIT CommodityRealReturn Strategy Portfolio      13,506,264   
  2,987,450       PIMCO PVIT Global Advantage Strategy Bond Portfolio      30,023,875   
  3,937,372       PIMCO PVIT High Yield Portfolio      30,435,884   
  3,744,356       PIMCO PVIT Real Return Portfolio      52,907,756   
  31,619,907       PIMCO PVIT Total Return Portfolio      354,775,356   
  3,961,837       PIMCO PVIT Unconstrained Bond Portfolio      39,341,046   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $897,816,628)

      995,730,281   
     

 

 

  

 

Unaffiliated Investment Company (0.1%):

   
  876,387       Dreyfus Treasury Prime Cash Management, 0.00%(a)      876,387   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $876,387)

      876,387   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $898,693,015)(b)—100.1%

      996,606,668   

 
 

        Net other assets
        (liabilities) — (0.1)%

      (901,363 ) 
     

 

 

  

 

        Net Assets — 100.0%

    $ 995,705,305   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Conservative Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (100.0%):

   
  142,183       AZL Allianz AGIC Opportunity Fund    $ 1,945,059   
  426,577       AZL BlackRock Capital Appreciation Fund      6,193,893   
  238,594       AZL Columbia Mid Cap Value Fund      2,039,981   
  275,523       AZL Columbia Small Cap Value Fund      3,069,328   
  1,205,095       AZL Eaton Vance Large Cap Value Fund      10,363,821   
  285,743       AZL International Index Fund      3,826,100   
  362,502       AZL Invesco Growth and Income Fund      4,132,519   
  254,046       AZL Invesco International Equity Fund      3,907,228   
  250,505       AZL JPMorgan International Opportunities Fund      3,772,610   
  612,883       AZL JPMorgan U.S. Equity Fund      6,435,269   
  134,911       AZL MFS Investors Trust Fund      2,126,199   
  120,213       AZL Mid Cap Index Fund      2,056,846   
  221,615       AZL Morgan Stanley Global Real Estate Fund      1,976,809   
  128,751       AZL Morgan Stanley Mid Cap Growth Fund      2,009,801   
  194,948       AZL Oppenheimer Discovery Fund      2,085,946   
  345,716       AZL Russell 1000 Growth Index Fund      4,390,594   
  734,441       AZL Russell 1000 Value Index Fund      8,446,075   
  374,759       PIMCO PVIT CommodityRealReturn Strategy Portfolio      2,758,224   
  598,109       PIMCO PVIT Global Advantage Strategy Bond Portfolio      6,010,994   
  1,071,737       PIMCO PVIT High Yield Portfolio      8,284,527   
  747,054       PIMCO PVIT Real Return Portfolio      10,555,873   
  8,751,424       PIMCO PVIT Total Return Portfolio      98,190,973   
  998,769       PIMCO PVIT Unconstrained Bond Portfolio      9,917,776   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $196,659,694)

      204,496,445   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $196,659,694)(a)—100.0%

      204,496,445   

 
 

        Net other assets
        (liabilities) — 0.0%

      23,111   
     

 

 

  

 

        Net Assets — 100.0%

    $ 204,519,556   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Growth Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (99.9%):

   
  1,087,045       AZL Allianz AGIC Opportunity Fund    $ 14,870,780   
  2,187,870       AZL BlackRock Capital Appreciation Fund      31,767,879   
  1,842,379       AZL Columbia Mid Cap Value Fund      15,752,339   
  1,819,016       AZL Columbia Small Cap Value Fund      20,263,833   
  2,315,502       AZL Dreyfus Research Growth Fund      24,961,110   
  6,564,603       AZL Eaton Vance Large Cap Value Fund      56,455,584   
  3,354,332       AZL International Index Fund      44,914,505   
  2,100,686       AZL Invesco Growth and Income Fund      23,947,822   
  4,463,428       AZL Invesco International Equity Fund      68,647,522   
  3,001,756       AZL JPMorgan International Opportunities Fund      45,206,441   
  4,790,770       AZL JPMorgan U.S. Equity Fund      50,303,089   
  1,591,140       AZL MFS Investors Trust Fund      25,076,362   
  485,789       AZL Mid Cap Index Fund      8,311,850   
  3,452,083       AZL Morgan Stanley Global Real Estate Fund      30,792,576   
  1,000,517       AZL Morgan Stanley Mid Cap Growth Fund      15,618,066   
  2,199,704       AZL NFJ International Value Fund      30,091,952   
  777,518       AZL Oppenheimer Discovery Fund      8,319,445   
  2,208,988       AZL Russell 1000 Growth Index Fund      28,054,143   
  3,740,754       AZL Russell 1000 Value Index Fund      43,018,673   
  1,797,554       AZL Schroder Emerging Markets Equity Fund, Class 2      14,452,337   
  9,130,624       AZL Strategic Investments Trust      12,782,873   
  1,493,755       PIMCO PVIT CommodityRealReturn Strategy Portfolio      10,994,035   
  2,479,966       PIMCO PVIT Global Advantage Strategy Bond Portfolio      24,923,655   
  2,136,923       PIMCO PVIT High Yield Portfolio      16,518,415   
  2,480,502       PIMCO PVIT Real Return Portfolio      35,049,499   
  6,653,589       PIMCO PVIT Total Return Portfolio      74,653,266   
  1,619,033       PIMCO PVIT Unconstrained Bond Portfolio      16,076,997   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $684,186,566)

      791,825,048   
     

 

 

  

 

Unaffiliated Investment Company (0.1%):

   
  439,080       Dreyfus Treasury Prime Cash Management, 0.00%(a)      439,080   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $439,080)

      439,080   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $684,625,646)(b)—100.0%

      792,264,128   

 
 

        Net other assets
        (liabilities) — 0.0%

      (354,510 ) 
     

 

 

  

 

        Net Assets — 100.0%

    $ 791,909,618   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Moderate Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (100.0%):

   
  2,056,765      

AZL Allianz AGIC Opportunity Fund

    $ 28,136,549   
  5,571,751      

AZL BlackRock Capital Appreciation Fund

      80,901,818   
  3,516,188      

AZL Columbia Mid Cap Value Fund

      30,063,405   
  4,496,283      

AZL Columbia Small Cap Value Fund

      50,088,593   
  3,884,639      

AZL Dreyfus Research Growth Fund

      41,876,413   
  14,216,859      

AZL Eaton Vance Large Cap Value Fund

      122,264,986   
  6,907,207      

AZL International Index Fund

      92,487,496   
  3,547,881      

AZL Invesco Growth and Income Fund

      40,445,847   
  7,534,644      

AZL Invesco International Equity Fund

      115,882,822   
  6,122,843      

AZL JPMorgan International Opportunities Fund

      92,210,014   
  10,066,720      

AZL JPMorgan U.S. Equity Fund

      105,700,555   
  2,664,692      

AZL MFS Investors Trust Fund

      41,995,553   
  1,184,815      

AZL Mid Cap Index Fund

      20,272,176   
  6,577,372      

AZL Morgan Stanley Global Real Estate Fund

      58,670,161   
  1,900,738      

AZL Morgan Stanley Mid Cap Growth Fund

      29,670,517   
  4,212,512      

AZL NFJ International Value Fund

      57,627,158   
  1,899,519      

AZL Oppenheimer Discovery Fund

      20,324,849   
  5,439,078      

AZL Russell 1000 Growth Index Fund

      69,076,294   
  9,344,228      

AZL Russell 1000 Value Index Fund

      107,458,620   
  3,423,462      

AZL Schroder Emerging Markets Equity Fund, Class 2

      27,524,635   
  18,384,965      

AZL Strategic Investments Trust

      25,738,951   
  3,744,339      

PIMCO PVIT CommodityRealReturn Strategy Portfolio

      27,558,337   
  6,152,755      

PIMCO PVIT Global Advantage Strategy Bond Portfolio

      61,835,189   
  7,994,664      

PIMCO PVIT High Yield Portfolio

      61,798,753   
  6,084,097      

PIMCO PVIT Real Return Portfolio

      85,968,292   
  40,156,410      

PIMCO PVIT Total Return Portfolio

      450,554,918   
  6,021,741      

PIMCO PVIT Unconstrained Bond Portfolio

      59,795,887   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $1,831,991,912)

      2,005,928,788   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $1,831,991,912)(a)—100.0%

      2,005,928,788   

 
 

        Net other assets
        (liabilities) — 0.0%

      463,272   
     

 

 

  

 

        Net Assets — 100.0%

    $ 2,006,392,060   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

(a)

    See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Growth Index Strategy Fund

Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares           Fair
Value		  

 

Affiliated Investment Companies (99.6%):

   
  20,334,457      

AZL Enhanced Bond Index Fund

    $ 224,695,752   
  12,741,179      

AZL International Index Fund

      170,604,384   
  5,767,304      

AZL Mid Cap Index Fund

      98,678,570   
  36,775,329      

AZL S&P 500 Index Fund, Class 2

      358,559,461   
  4,549,803      

AZL Small Cap Stock Index Fund

      50,229,827   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $808,716,523)

      902,767,994   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $808,716,523)(a)—99.6%

      902,767,994   

 
 

        Net other assets
        (liabilities) — 0.4%

      4,007,159   
     

 

 

  

 

        Net Assets — 100.0%

    $ 906,775,153   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Balanced Index Strategy Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares           Fair
Value		  

 

Affiliated Investment Companies (94.1%):

   
  683,488       AZL Enhanced Bond Index Fund    $ 7,552,541   
  144,612       AZL International Index Fund      1,936,348   
  65,893       AZL Mid Cap Index Fund      1,127,436   
  402,948       AZL S&P 500 Index Fund, Class 2      3,928,744   
  54,113       AZL Small Cap Stock Index Fund      597,409   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $14,836,294)

      15,142,478   
     

 

 

  

 

Unaffiliated Investment Company (0.4%):

  

  57,584       Dreyfus Treasury Prime Cash Management, 0.00%(a)      57,584   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $57,584)

      57,584   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $14,893,878)(b)—94.5%

      15,200,062   

 
 

        Net other assets
        (liabilities) — 5.5%

      888,433   
     

 

 

  

 

        Net Assets — 100.0%

    $ 16,088,495   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

(a)

    The rate represents the effective yield at March 31, 2012.

(b)

    See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         5       $ 350,800       $ 8,551   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         3         388,453         (3,577 ) 
              

 

 

  

Total

                $ 4,974   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP BlackRock Global Allocation Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares or

Contracts

            Fair
Value		  

 

Affiliated Investment Company (92.5%):

   
  6,289,195      

AZL BlackRock Global Allocation Fund

    $ 66,225,226   

 

Total Affiliated Investment Company (Cost $6,289,195)

      66,225,226   
     

 

 

  

 

Unaffiliated Investment Company (2.6%):

   
  1,844,037      

Dreyfus Treasury Prime Cash Management, 0.00%(a)

      1,844,037   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $1,844,037)

      1,844,037   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $67,561,520)(b)—95.1%

      68,069,263   

 
 

        Net other assets
        (liabilities)—4.9%

      3,532,496   
     

 

 

  

 

        Net Assets—100.0%

    $ 71,601,759   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

Description

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         28       $ 1,964,480       $ 39,855   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         10         1,294,844         (7,725 ) 
              

 

 

  

Total

                $ 32,130   
              

 

 

  

 

See accompanying notes to the financial statements.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Fusion Balanced Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (93.5%):

   
  23,066      

AZL Allianz AGIC Opportunity Fund

    $ 315,537   
  60,795      

AZL BlackRock Capital Appreciation Fund

      882,747   
  24,811      

AZL Columbia Mid Cap Value Fund

      212,133   
  38,318      

AZL Columbia Small Cap Value Fund

      426,859   
  129,578      

AZL Eaton Vance Large Cap Value Fund

      1,114,369   
  49,234      

AZL International Index Fund

      659,245   
  37,741      

AZL Invesco Growth and Income Fund

      430,244   
  57,679      

AZL Invesco International Equity Fund

      887,105   
  43,659      

AZL JPMorgan International Opportunities Fund

      657,499   
  84,268      

AZL JPMorgan U.S. Equity Fund

      884,817   
  27,318      

AZL MFS Investors Trust Fund

      430,535   
  12,362      

AZL Mid Cap Index Fund

      211,511   
  48,077      

AZL Morgan Stanley Global Real Estate Fund

      428,851   
  13,620      

AZL Morgan Stanley Mid Cap Growth Fund

      212,603   
  31,518      

AZL NFJ International Value Fund

      431,166   
  19,658      

AZL Oppenheimer Discovery Fund

      210,336   
  58,435      

AZL Russell 1000 Growth Index Fund

      742,119   
  101,630      

AZL Russell 1000 Value Index Fund

      1,168,744   
  26,280      

AZL Schroder Emerging Markets Equity Fund, Class 2

      211,293   
  43,331      

PIMCO PVIT CommodityRealReturn Strategy Portfolio

      318,919   
  65,278      

PIMCO PVIT Global Advantage Strategy Bond Portfolio

      656,045   
  85,079      

PIMCO PVIT High Yield Portfolio

      657,663   
  78,078      

PIMCO PVIT Real Return Portfolio

      1,103,248   
  662,041      

PIMCO PVIT Total Return Portfolio

      7,428,099   
  88,797      

PIMCO PVIT Unconstrained Bond Portfolio

      881,751   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $21,162,424)

      21,563,438   
     

 

 

  

 

Unaffiliated Investment Company (1.6%):

   
  366,370       Dreyfus Treasury Prime Cash Management, 0.00%(a)      366,370   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $366,370)

      366,370   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $21,528,794)(b)—95.1%

      21,929,808   

 
 

        Net other assets
        (liabilities) — 4.9%

      1,128,492   
     

 

 

  

 

        Net Assets — 100.0%

    $ 23,058,300   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

(a)

    The rate represents the effective yield at March 31, 2012.

(b)

    See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

Description

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         7       $ 491,120       $ 13,515   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         4         517,938         (5,287 ) 
              

 

 

  

Total

                $ 8,228   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Fusion Moderate Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (92.7%):

   
  49,217       AZL Allianz AGIC Opportunity Fund    $ 673,285   
  129,623       AZL BlackRock Capital Appreciation Fund      1,882,124   
  79,078       AZL Columbia Mid Cap Value Fund      676,113   
  103,099       AZL Columbia Small Cap Value Fund      1,148,527   
  84,586       AZL Dreyfus Research Growth Fund      911,836   
  333,123       AZL Eaton Vance Large Cap Value Fund      2,864,860   
  177,705       AZL International Index Fund      2,379,468   
  80,186       AZL Invesco Growth and Income Fund      914,123   
  186,391       AZL Invesco International Equity Fund      2,866,688   
  157,590       AZL JPMorgan International Opportunities Fund      2,373,301   
  225,996       AZL JPMorgan U.S. Equity Fund      2,372,962   
  58,042       AZL MFS Investors Trust Fund      914,745   
  26,221       AZL Mid Cap Index Fund      448,645   
  156,549       AZL Morgan Stanley Global Real Estate Fund      1,396,415   
  43,465       AZL Morgan Stanley Mid Cap Growth Fund      678,481   
  102,616       AZL NFJ International Value Fund      1,403,782   
  41,901       AZL Oppenheimer Discovery Fund      448,340   
  141,693       AZL Russell 1000 Growth Index Fund      1,799,500   
  234,964       AZL Russell 1000 Value Index Fund      2,702,084   
  83,806       AZL Schroder Emerging Markets Equity Fund, Class 2      673,802   
  91,851       PIMCO PVIT CommodityRealReturn Strategy Portfolio      676,024   
  139,008       PIMCO PVIT Global Advantage Strategy Bond Portfolio      1,397,029   
  181,079       PIMCO PVIT High Yield Portfolio      1,399,744   
  132,433       PIMCO PVIT Real Return Portfolio      1,871,279   
  881,391       PIMCO PVIT Total Return Portfolio      9,889,204   
  140,478       PIMCO PVIT Unconstrained Bond Portfolio      1,394,944   
     

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $45,430,406)

      46,157,305   
     

 

 

  

 

Unaffiliated Investment Company (2.5%):

   
  1,259,506       Dreyfus Treasury Prime Cash Management, 0.00%(a)      1,259,506   
     

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $1,259,506)

      1,259,506   
     

 

 

  

 
 

        Total Investment Securities
        (Cost $46,689,912)(b)—95.2%

      47,416,811   

 
 

        Net other assets
        (liabilities) — 4.8%

      2,383,666   
     

 

 

  

 

        Net Assets — 100.0%

    $ 49,800,477   
     

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

Description

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         21       $ 1,473,360       $  31,275   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         6         776,906         (5,274 ) 
              

 

 

  

Total

                $ 26,001   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Growth Index Strategy Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Affiliated Investment Companies (91.8%):

   
  1,096,778      AZL Enhanced Bond Index Fund    $ 12,119,397   
  728,800      AZL International Index Fund      9,758,633   
  326,373      AZL Mid Cap Index Fund      5,584,250   
  1,923,136      AZL S&P 500 Index Fund, Class 2      18,750,571   
  248,993      AZL Small Cap Stock Index Fund      2,748,888   
    

 

 

  

 
 

        Total Affiliated Investment Companies
        (Cost $48,004,149)

      48,961,739   
    

 

 

  

 

Unaffiliated Investment Company (3.2%):

   
 
 		 1,671,626
            
   
 		   Dreyfus Treasury Prime Cash
Management, 0.00%(a)		      1,671,626   
    

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $1,671,626)

      1,671,626   
    

 

 

  

 
 

        Total Investment Securities
        (Cost $49,675,775)(b)—95.0%

      50,633,365   

 
 

        Net other assets
        (liabilities) — 5.0%

      2,692,006   
    

 

 

  

 

        Net Assets — 100.0%

    $ 53,325,371   
    

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

Description

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         25       $ 1,754,000       $ 35,998   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         4         517,938         (2,607 ) 
              

 

 

  

Total

                $ 33,390   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Invesco Equity and Income Fund

Consolidated Schedule of Portfolio Investments

March 31, 2012

(Unaudited)

 

Shares

           Fair
Value		  

 

Mutual Fund (94.6%):

   
  1,325,063     

AZL Invesco Equity And Income Fund

    $ 16,444,034   

 
 

        Total Mutual Funds
        (Cost $15,997,699)

      16,444,034   
    

 

 

  

 

Unaffiliated Investment Company (0.6%):

   
  110,606     

Dreyfus Treasury Prime Cash

Management, 0.00%(a)

      110,606   
    

 

 

  

 
 

        Total Unaffiliated Investment Company
        (Cost $110,606)

      110,606   
    

 

 

  

 
 

        Total Investment Securities
        ( Cost $16,108,305)(b)—95.2%

      16,554,640   

 
 

        Net other assets
        (liabilities) — 4.8%

      828,248   
    

 

 

  

 

        Net Assets — 100.0%

    $ 17,382,888   
    

 

 

  

Percentages indicated are based on net assets as of March 31, 2012.

 

(a) The rate represents the effective yield at March 31, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.

Futures Contracts

 

Description

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

S&P 500 Index E-Mini June Futures

      Long         6/15/12         7       $ 491,120       $  12,382   

U.S. Treasury 10-Year Note June Futures

      Long         6/21/12         2         258,969         (3,495 ) 
              

 

 

  

Total

                $ 8,887   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2012 (Unaudited)

1. Organization

The Allianz Variable Insurance Products Fund of Funds Trust (the “Trust”) was organized as a Delaware statutory trust on June 16, 2004. The Trust is a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended, (the “1940 Act”). The Trust consists of twelve separate investment portfolios, the AZL Balanced Index Strategy Fund, the AZL Fusion Balanced Fund, the AZL Fusion Conservative Fund, the AZL Fusion Growth Fund, the AZL Fusion Moderate Fund, the AZL Growth Index Strategy Fund, the AZL MVP Balanced Index Strategy Fund, the AZL MVP BlackRock Global Allocation Fund, the AZL MVP Fusion Balanced Fund, the AZL MVP Fusion Moderate Fund, the AZL MVP Growth Index Strategy Fund, and the AZL MVP Invesco Equity and Income Fund (individually a “Fund”, collectively, the “Funds”), each of which is a series of the Trust.

The Funds are “fund of funds,” which means that the Funds invest in other mutual funds. Underlying Funds invest in stocks, bonds, and other securities and reflect varying amounts of potential investment risk and reward. Periodically, the Funds will adjust their asset allocations as they seek to achieve their investment objectives.

The Trust is authorized to issue an unlimited number of shares of the Funds without par value. Shares of the Funds are available through the variable annuity contracts 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 Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of its Schedules of Portfolio Investments (“Schedules”). The policies conform with U.S. generally accepted accounting principles (“GAAP”). The preparation of the Schedules requires management to make certain estimates and assumptions that affect the reported amounts at the date of the Schedules. Actual results could differ from those estimates.

Security Valuation

The Funds record their 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 3 below.

Investment Transactions

Investment transactions are recorded not later than on the business day following the trade date. However, for financial reporting purposes, securities transactions are accounted for on trade date.

Consolidation of Subsidiaries

Each AZL MVP Fund’s primary vehicle for gaining exposure to derivatives is through investments in a wholly-owned and controlled subsidiary, as follows (each a “Subsidiary” and together the “Subsidiaries”):

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2012 (Unaudited)

 

AZL MVP Fund

   

Subsidiary

AZL MVP Balanced Index Strategy Fund

    AZL MVP BIS Investments Trust

AZL MVP BlackRock Global Allocation Fund

    AZL MVP BGA Investments Trust

AZL MVP Fusion Balanced Fund

    AZL MVP FB Investments Trust

AZL MVP Fusion Moderate Fund

    AZL MVP FM Investments Trust

AZL MVP Growth Index Strategy Fund

    AZL MVP GIS Investments Trust

AZL MVP Invesco Equity and Income Fund

    AZL MVP IEI Investments Trust

As of March 31, 2012, a summary of each AZL MVP Fund’s investment in their respective Subsidiary is as follows:

 

AZL MVP Fund

    Investment in
Subsidiary		    Percentage of
AZL MVP Fund
Net Assets

AZL MVP Balanced Index Strategy Fund

    $16,088,495    4.9%

AZL MVP BlackRock Global Allocation Fund

    $71,601,759    4.9%

AZL MVP Fusion Balanced Fund

    $23,058,300    4.9%

AZL MVP Fusion Moderate Fund

    $49,800,477    4.9%

AZL MVP Growth Index Strategy Fund

    $53,325,371    4.8%

AZL MVP Invesco Equity and Income Fund

    $17,382,888    4.9%

Each AZL MVP Fund’s investments have been consolidated and include the portfolio holdings of their respective Subsidiary.

3. Investment Valuation Summary

The valuation techniques employed by the Funds, 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 Funds’ 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, prepayment speeds, credit risk, etc.)

 

  •  

Level 3— significant unobservable inputs (including the Funds’ 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 Trust recognizes 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.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 31, 2012 (Unaudited)

 

Investments in other investment companies are valued at their published net asset value (“NAV”). Security prices are generally provided by an independent third party pricing service approved by the Trust’s Board of Trustees (“Trustees”) as of the close of the New York Stock Exchange (“NYSE”) (generally 4:00 pm EST). The investments utilizing Level 1 valuations represent investments in open-end investment companies. The investments utilizing Level 2 valuations represent investments in funds that are only offered to Funds in the Trust and the Fund has the ability to redeem its interest at NAV daily.

For the period ended March 31, 2012, 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 March 31, 2012 in valuing the Funds’ investments based upon three levels defined above:

 

AZL Balanced Index Strategy Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 338,231,033       $ —        $ 338,231,033   

Unaffiliated Investment Company

      487,377         —          487,377   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 338,718,410       $ —        $ 338,718,410   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Balanced Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 986,284,300       $ 9,445,981 (1)    $ 995,730,281   

Unaffiliated Investment Company

      876,387         —          876,387   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 987,160,687       $ 9,445,981      $ 996,606,668   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Conservative Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 204,496,445       $ —        $ 204,496,445   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 204,496,445       $ —        $ 204,496,445   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Growth Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 779,042,175       $ 12,782,873 (1)    $ 791,825,048   

Unaffiliated Investment Company

      439,080         —          439,080   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 779,481,255       $ 12,782,873      $ 792,264,128   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Moderate Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 1,980,189,837       $ 25,738,951 (1)    $ 2,005,928,788   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 1,980,189,837       $ 25,738,951      $ 2,005,928,788   
  

 

 

     

 

 

    

 

 

  

AZL Growth Index Strategy Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 902,767,994       $ —        $ 902,767,994   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 902,767,994       $ —        $ 902,767,994   
  

 

 

     

 

 

    

 

 

  

AZL MVP Balanced Index Strategy Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 15,142,478       $ —        $ 15,142,478   

Unaffiliated Investment Company

      57,584         —          57,584   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      15,200,062         —          15,200,062   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      4,974         —          4,974   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 15,205,036       $ —        $ 15,205,036   
  

 

 

     

 

 

    

 

 

  

AZL MVP BlackRock Global Allocation Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 66,225,226       $ —        $ 66,225,226   

Unaffiliated Investment Company

      1,844,037         —          1,844,037   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      68,069,263         —          68,069,263   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      32,130         —          32,130   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 68,101,393       $ —        $ 68,101,393   
  

 

 

     

 

 

    

 

 

  

AZL MVP Fusion Balanced Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 21,563,438       $ —        $ 21,563,438   

Unaffiliated Investment Company

      366,370         —          366,370   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      21,929,808         —          21,929,808   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      8,228         —          8,228   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 21,938,036       $ —        $ 21,938,036   
  

 

 

     

 

 

    

 

 

  

AZL MVP Fusion Moderate Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 46,157,305       $ —        $ 46,157,305   

Unaffiliated Investment Company

      1,259,506         —          1,259,506   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      47,416,811         —          47,416,811   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      26,001         —          26,001   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 47,442,812       $ —        $ 47,442,812   
  

 

 

     

 

 

    

 

 

  

AZL MVP Growth Index Strategy Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 48,961,739       $ —        $ 48,961,739   

Unaffiliated Investment Company

      1,671,626         —          1,671,626   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      50,633,365         —          50,633,365   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      33,390         —          33,390   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 50,666,755       $ —        $ 50,666,755   
  

 

 

     

 

 

    

 

 

  

AZL MVP Invesco Equity and Income Fund

        
     Level 1      Level 2     Total  

Investment Securities:

        

Mutual Fund

    $ 16,444,034       $ —        $ 16,444,034   

Unaffiliated Investment Company

      110,606         —          110,606   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

      16,554,640         —          16,554,640   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

      8,887         —          8,887   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 16,563,527       $ —        $ 16,563,527   
  

 

 

     

 

 

    

 

 

  

 

(1)

Consists of the holding, AZL Strategic Investments Trust, listed under Affiliated Investment Companies on the Fund’s Schedule of Portfolio Investments. The AZL Strategic Investments Trust is only offered to Funds in the Trust, and the Fund has the ability to redeem its interest in the AZL Strategic Investments Trust at NAV daily.

* Other Financial Instruments would include any derivative instruments, such as futures contracts and forwards contracts. These investments are generally recorded in the financial statements at the unrealized gain or loss on the investment.

4. Federal Tax Cost Information

At March 31, 2012, the cost and aggregate gross unrealized appreciation and depreciation of securities, for federal tax purposes were as follows:

 

Fund

    Tax Cost      Gross Tax
Unrealized
Appreciation		      Gross Tax
Unrealized
(Depreciation)		     Net Unrealized
Appreciation
(Depreciation)		  

AZL Balanced Index Strategy Fund

    $ 299,605,934       $ 39,112,476       $ —        $ 39,112,476   

AZL Fusion Balanced Fund

      913,738,809         96,646,747         (13,778,888 )      82,867,859   

AZL Fusion Conservative Fund

      197,281,008         7,752,558         (537,121 )      7,215,437   

AZL Fusion Growth Fund

      739,282,742         69,695,378         (16,713,992 )      52,981,386   

AZL Fusion Moderate Fund

      1,858,342,843         194,650,028         (47,064,083 )      147,585,945   

AZL Growth Index Strategy Fund

      808,944,988         93,823,006         —          93,823,006   

AZL MVP Balanced Index Strategy Fund

      14,893,878         319,222         (13,038 )      306,184   

AZL MVP BlackRock Global Allocation Fund

      67,561,520         507,743         —          507,743   

AZL MVP Fusion Balanced Fund

      21,528,893         412,057         (11,142 )      400,915   

AZL MVP Fusion Moderate Fund

      46,689,912         750,778         (23,879 )      726,899   

AZL MVP Growth Index Strategy Fund

      49,676,240         980,828         (23,703 )      957,125   

AZL MVP Invesco Equity and Income Fund

      16,108,305         446,335         —          446,335   

Item 2. 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-Q is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) are attached hereto.

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 Fund of Funds Trust
By (Signature and Title)   /s/ Brian Muench                                        
  Brian Muench, President

Date May 23, 2012

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 May 23, 2012

 

By (Signature and Title)   /s/ Ty Edwards
  Ty Edwards, Treasurer

Date May 23, 2012