N-Q 1 d436412dnq.htm ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS QUARTERLY REPORT (9-30-12) Allianz Variable Insurance Products Fund of Funds Quarterly Report (9-30-12)

 

 

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: September 30, 2012

 

 

 

Item 1. Schedule of Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Balanced Index Strategy Fund

Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

 

Shares

    Fair
Value		  
Affiliated Investment Companies (100.0%):   
15,501,155   

AZL Enhanced Bond Index Fund

    $ 172,992,893   
3,380,988   

AZL International Index Fund

      43,919,033   
1,590,704   

AZL Mid Cap Index Fund

      26,548,842   
9,211,489   

AZL S&P 500 Index Fund, Class 2

      91,654,315   
1,289,954   

AZL Small Cap Stock Index Fund

      14,395,883   
     

 

 

  

Total Affiliated Investment Companies (Cost $308,090,950)

      349,510,966   
     

 

 

  

Total Investment Securities
(Cost $308,090,950)(a) — 100.0%

      349,510,966   

Net other assets (liabilities) — 0.0%

      (20,664 ) 
     

 

 

  

Net Assets — 100.0%

    $ 349,490,302   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 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 Balanced Fund

Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

Shares

    Fair
Value		  

Affiliated Investment Companies (100.0%):

   
792,019    AZL Allianz AGIC Opportunity Fund    $ 9,939,836   
1,741,014    AZL BlackRock Capital Appreciation Fund      25,209,887   
1,166,624    AZL Columbia Mid Cap Value Fund      9,927,968   
1,005,846    AZL Columbia Small Cap Value Fund      10,742,436   
1,372,016    AZL Dreyfus Research Growth Fund      15,009,858   
545,658    AZL Federated Clover Small Value Fund      9,679,981   
1,851,244    AZL Gateway Fund      20,215,581   
2,341,092    AZL International Index Fund      30,410,782   
2,168,851    AZL Invesco Growth and Income Fund      25,310,494   
2,016,157    AZL Invesco International Equity Fund      30,847,201   
2,725,837    AZL JPMorgan International Opportunities Fund      39,933,514   
3,765,820    AZL JPMorgan U.S. Equity Fund      40,181,302   
1,250,190    AZL MFS Investors Trust Fund      20,165,563   
3,492,947    AZL MFS Value Fund      31,157,088   
595,236    AZL Mid Cap Index Fund      9,934,493   
1,626,354    AZL Morgan Stanley Global Real Estate Fund      15,206,409   
738,849    AZL Morgan Stanley Mid Cap Growth Fund      9,981,847   
1,461,854    AZL NFJ Dividend Value Portfolio      15,130,189   
1,834,107    AZL NFJ International Value Fund      20,266,885   
1,326,284    AZL Oppenheimer Discovery Fund      15,053,327   
10,180,875    AZL Pyramis Core Bond Fund      102,012,368   
2,398,197    AZL Russell 1000 Growth Index Fund      30,744,887   
4,349,849    AZL Russell 1000 Value Index Fund      50,849,734   
1,361,455    AZL Schroder Emerging Markets Equity Fund, Class 2      10,251,757   
7,357,029    AZL Strategic Investments Trust      9,711,278   
2,986,532    PIMCO PVIT Global Advantage Strategy Bond Portfolio      30,671,681   
3,853,185    PIMCO PVIT High Yield Portfolio      30,517,226   
4,740,801    PIMCO PVIT Low Duration Portfolio      51,105,834   
3,428,463    PIMCO PVIT Real Return Portfolio      51,186,945   
17,344,712    PIMCO PVIT Total Return Portfolio      203,626,918   
3,952,548    PIMCO PVIT Unconstrained Bond Portfolio      41,106,504   
     

 

 

  

Total Affiliated Investment Companies
(Cost $910,517,888)

      1,016,089,773   
     

 

 

  

Unaffiliated Investment Company (0.0%):

   

45,526

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      45,526   
     

 

 

  

Total Unaffiliated Investment Company (Cost $45,526)

      45,526   
     

 

 

  

Total Investment Securities
(Cost $910,563,414)(b) — 100.0%

      1,016,135,299   

Net other assets (liabilities) — 0.0%

      2,552   
     

 

 

  

Net Assets — 100.0%

    $ 1,016,137,851   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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

September 30, 2012

(Unaudited)

 

Shares

    Fair
Value		  

Affiliated Investment Companies (100.0%):

  

189,483    AZL Allianz AGIC Opportunity Fund    $ 2,378,016   
328,776    AZL BlackRock Capital Appreciation Fund      4,760,674   
278,450    AZL Columbia Mid Cap Value Fund      2,369,607   
331,566    AZL Columbia Small Cap Value Fund      3,541,120   
216,813    AZL Dreyfus Research Growth Fund      2,371,931   
324,289    AZL Gateway Fund      3,541,238   
362,286    AZL International Index Fund      4,706,098   
509,266    AZL Invesco Growth and Income Fund      5,943,136   
309,425    AZL Invesco International Equity Fund      4,734,207   
321,417    AZL JPMorgan International Opportunities Fund      4,708,757   
668,471    AZL JPMorgan U.S. Equity Fund      7,132,583   
146,270    AZL MFS Investors Trust Fund      2,359,331   
800,441    AZL MFS Value Fund      7,139,936   
141,913    AZL Mid Cap Index Fund      2,368,521   
252,172    AZL Morgan Stanley Global Real Estate Fund      2,357,811   
175,642    AZL Morgan Stanley Mid Cap Growth Fund      2,372,928   
343,153    AZL NFJ Dividend Value Portfolio      3,551,635   
210,365    AZL Oppenheimer Discovery Fund      2,387,638   
3,096,187    AZL Pyramis Core Bond Fund      31,023,794   
370,578    AZL Russell 1000 Growth Index Fund      4,750,811   
815,320    AZL Russell 1000 Value Index Fund      9,531,094   
695,641    PIMCO PVIT Global Advantage Strategy Bond Portfolio      7,144,237   
1,202,744    PIMCO PVIT High Yield Portfolio      9,525,732   
1,765,819    PIMCO PVIT Low Duration Portfolio      19,035,529   
1,118,819    PIMCO PVIT Real Return Portfolio      16,703,962   
5,076,666    PIMCO PVIT Total Return Portfolio      59,600,060   
1,147,445    PIMCO PVIT Unconstrained Bond Portfolio      11,933,433   
     

 

 

  

Total Affiliated Investment Companies (Cost $224,911,396)

      237,973,819   
     

 

 

  
Unaffiliated Investment Company (0.0%):   
76,365    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      76,365   
     

 

 

  

Total Unaffiliated Investment Company (Cost $76,365)

      76,365   
  

 

 

  

Total Investment Securities
(Cost $224,987,761)(b) — 100.0%

      238,050,184   

Net other assets (liabilities) — 0.0%

      (14,213 ) 
  

 

 

  

Net Assets — 100.0%

    $ 238,035,971   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 2012.
(b) See Federal Tax Information listed in the Notes to Schedules of Portfolio Investments.
 

 

See Notes to Schedules of Portfolio Investment.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Growth Fund

Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

Shares

         Fair
Value		  

Affiliated Investment Companies (100.1%):

   
643,231    AZL Allianz AGIC Opportunity Fund    $ 8,072,544   
2,238,367    AZL BlackRock Capital Appreciation Fund      32,411,561   
1,888,835    AZL Columbia Mid Cap Value Fund      16,073,983   
1,187,130    AZL Columbia Small Cap Value Fund      12,678,546   
2,221,770    AZL Dreyfus Research Growth Fund      24,306,160   
442,449    AZL Federated Clover Small Value Fund      7,849,046   
2,227,597    AZL Gateway Fund      24,325,362   
3,732,766    AZL International Index Fund      48,488,626   
2,429,245    AZL Invesco Growth and Income Fund      28,349,290   
3,740,503    AZL Invesco International Equity Fund      57,229,698   
4,388,483    AZL JPMorgan International Opportunities Fund      64,291,281   
4,552,004    AZL JPMorgan U.S. Equity Fund      48,569,881   
1,507,992    AZL MFS Investors Trust Fund      24,323,909   
3,722,701    AZL MFS Value Fund      33,206,493   
478,582    AZL Mid Cap Index Fund      7,987,542   
2,627,107    AZL Morgan Stanley Global Real Estate Fund      24,563,450   
1,193,152    AZL Morgan Stanley Mid Cap Growth Fund      16,119,489   
1,959,064    AZL NFJ Dividend Value Portfolio      20,276,307   
2,931,916    AZL NFJ International Value Fund      32,397,676   
1,420,391    AZL Oppenheimer Discovery Fund      16,121,433   
3,259,866    AZL Pyramis Core Bond Fund      32,663,858   
2,429,410    AZL Russell 1000 Growth Index Fund      31,145,032   
4,047,923    AZL Russell 1000 Value Index Fund      47,320,218   
1,642,800    AZL Schroder Emerging Markets Equity Fund, Class 2      12,370,285   
8,621,683    AZL Strategic Investments Trust      11,380,622   
2,401,564    PIMCO PVIT Global Advantage Strategy Bond Portfolio      24,664,066   
1,035,050    PIMCO PVIT High Yield Portfolio      8,197,596   
1,654,523    PIMCO PVIT Real Return Portfolio      24,702,031   
4,883,103    PIMCO PVIT Total Return Portfolio      57,327,628   
1,589,112    PIMCO PVIT Unconstrained Bond Portfolio      16,526,769   
     

 

 

  

Total Affiliated Investment Companies
(Cost $712,161,443)

      813,940,382   
     

 

 

  

Unaffiliated Investment Company (0.0%):

   

220,465

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares 0.00% (a)      220,465   
     

 

 

  

Total Unaffiliated Investment Company (Cost $220,465)

      220,465   
     

 

 

  

Total Investment Securities
(Cost $712,381,908)(b) — 100.1%

      814,160,847   

Net other assets (liabilities) — (0.1)%

      (748,411 ) 
     

 

 

  

Net Assets — 100.0%

    $ 813,412,436   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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

September 30, 2012

(Unaudited)

 

Shares

         Fair
Value		  

Affiliated Investment Companies (100.0%):

   
1,607,522    AZL Allianz AGIC Opportunity Fund    $ 20,174,402   
5,663,138    AZL BlackRock Capital Appreciation Fund      82,002,232   
3,560,027    AZL Columbia Mid Cap Value Fund      30,295,829   
2,952,830    AZL Columbia Small Cap Value Fund      31,536,222   
3,747,556    AZL Dreyfus Research Growth Fund      40,998,258   
1,104,058    AZL Federated Clover Small Value Fund      19,585,997   
4,702,564    AZL Gateway Fund      51,351,997   
7,891,947    AZL International Index Fund      102,516,393   
5,266,762    AZL Invesco Growth and Income Fund      61,463,118   
7,104,513    AZL Invesco International Equity Fund      108,699,045   
8,328,449    AZL JPMorgan International Opportunities Fund      122,011,775   
9,541,862    AZL JPMorgan U.S. Equity Fund      101,811,663   
2,543,466    AZL MFS Investors Trust Fund      41,026,111   
8,111,034    AZL MFS Value Fund      72,350,424   
1,210,860    AZL Mid Cap Index Fund      20,209,253   
4,472,875    AZL Morgan Stanley Global Real Estate Fund      41,821,378   
2,254,668    AZL Morgan Stanley Mid Cap Growth Fund      30,460,568   
3,964,830    AZL NFJ Dividend Value Portfolio      41,035,990   
6,033,209    AZL NFJ International Value Fund      66,666,963   
2,681,859    AZL Oppenheimer Discovery Fund      30,439,094   
16,068,886    AZL Pyramis Core Bond Fund      161,010,234   
5,517,446    AZL Russell 1000 Growth Index Fund      70,733,660   
8,655,806    AZL Russell 1000 Value Index Fund      101,186,371   
2,774,065    AZL Schroder Emerging Markets Equity Fund, Class 2      20,888,711   
18,284,006    AZL Strategic Investments Trust      24,134,888   
6,075,927    PIMCO PVIT Global Advantage Strategy Bond Portfolio      62,399,772   
5,231,859    PIMCO PVIT High Yield Portfolio      41,436,326   
5,579,797    PIMCO PVIT Real Return Portfolio      83,306,371   
26,533,815    PIMCO PVIT Total Return Portfolio      311,506,983   
6,030,722    PIMCO PVIT Unconstrained Bond Portfolio      62,719,512   
     

 

 

  

Total Affiliated Investment Companies
(Cost $1,872,984,644)

      2,055,779,540   
     

 

 

  

Total Investment Securities
(Cost $1,872,984,644)(a) — 100.0%

      2,055,779,540   

Net other assets (liabilities) — 0.0%

      (578,246 ) 
     

 

 

  

Net Assets — 100.0%

    $ 2,055,201,294   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 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

September 30, 2012

(Unaudited)

Shares

         Fair
Value		  

Affiliated Investment Companies (100.0%):

   
20,965,530    AZL Enhanced Bond Index Fund    $ 233,975,310   
13,721,319    AZL International Index Fund      178,239,939   
6,193,757    AZL Mid Cap Index Fund      103,373,803   
37,313,187    AZL S&P 500 Index Fund, Class 2      371,266,209   
4,630,962    AZL Small Cap Stock Index Fund      51,681,536   
     

 

 

  

Total Affiliated Investment Companies
(Cost $840,846,575)

      938,536,797   
     

 

 

  

Unaffiliated Investment Company (0.0%):

   

271,709

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      271,709   
     

 

 

  

Total Unaffiliated Investment Company (Cost $271,709)

      271,709   
     

 

 

  

Total Investment Securities
(Cost $841,118,284)(b) — 100.0%

      938,808,506   

Net other assets (liabilities) — 0.0%

      148,671   
     

 

 

  

Net Assets — 100.0%

    $ 938,957,177   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 MVP Balanced Index Strategy Fund

Consolidated Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

Shares

         Fair
Value		  

Affiliated Investment Companies (94.9%):

   
2,463,732    AZL Enhanced Bond Index Fund    $ 27,495,250   
549,989    AZL International Index Fund      7,144,353   
260,584    AZL Mid Cap Index Fund      4,349,143   
1,370,062    AZL S&P 500 Index Fund, Class 2      13,632,117   
206,291    AZL Small Cap Stock Index Fund      2,302,210   
     

 

 

  

Total Affiliated Investment Companies (Cost $53,959,074)

      54,923,073   
     

 

 

  

Unaffiliated Investment Company (0.2%):

   

136,257

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      136,257   
     

 

 

  

Total Unaffiliated Investment Company (Cost $136,257)

      136,257   
     

 

 

  

Total Investment Securities
(Cost $54,095,331)(b) — 95.1%

      55,059,330   

Net other assets (liabilities) — 4.9%

      2,844,806   
     

 

 

  

Net Assets — 100.0%

    $ 57,904,136   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         20       $ 1,434,200       $ 1,774   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         10         1,334,844         3,463   
              

 

 

  

Total

                $ 5,237   
              

 

 

  

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

September 30, 2012

(Unaudited)

 

Shares

         Fair
Value		  

Affiliated Investment Company (94.6%):

   

24,144,289

    AZL BlackRock Global Allocation Fund    $ 255,205,140   
     

 

 

  

Unaffiliated Investment Company (0.3%):

   

916,140

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      916,140   
     

 

 

  

Total Unaffiliated Investment Company (Cost $916,140)

      916,140   
     

 

 

  

Total Investment Securities
(Cost $248,362,854)(b) — 94.9%

      256,121,280   

Net other assets (liabilities) — 5.1%

      13,740,160   
     

 

 

  

Net Assets — 100.0%

    $ 269,861,440   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         113       $ 8,103,230       $ 7,659   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         40         5,339,375         15,866   
              

 

 

  

Total

                $ 23,525   
              

 

 

  

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Fusion Balanced Fund

Consolidated Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

 

Shares

         Fair
Value		  

Affiliated Investment Companies (94.0%):

   
81,329    AZL Allianz AGIC Opportunity Fund    $ 1,020,676   
175,422    AZL BlackRock Capital Appreciation Fund      2,540,109   
119,799    AZL Columbia Mid Cap Value Fund      1,019,489   
94,865    AZL Columbia Small Cap Value Fund      1,013,159   
139,332    AZL Dreyfus Research Growth Fund      1,524,289   
57,120    AZL Federated Clover Small Value Fund      1,013,317   
186,640    AZL Gateway Fund      2,038,106   
232,130    AZL International Index Fund      3,015,363   
217,784    AZL Invesco Growth and Income Fund      2,541,534   
198,509    AZL Invesco International Equity Fund      3,037,191   
274,840    AZL JPMorgan International Opportunities Fund      4,026,403   
380,627    AZL JPMorgan U.S. Equity Fund      4,061,286   
125,963    AZL MFS Investors Trust Fund      2,031,783   
342,616    AZL MFS Value Fund      3,056,137   
60,974    AZL Mid Cap Index Fund      1,017,649   
162,729    AZL Morgan Stanley Global Real Estate Fund      1,521,518   
75,383    AZL Morgan Stanley Mid Cap Growth Fund      1,018,428   
147,240    AZL NFJ Dividend Value Portfolio      1,523,931   
182,960    AZL NFJ International Value Fund      2,021,708   
135,048    AZL Oppenheimer Discovery Fund      1,532,798   
891,670    AZL Pyramis Core Bond Fund      8,934,536   
198,015    AZL Russell 1000 Growth Index Fund      2,538,551   
348,178    AZL Russell 1000 Value Index Fund      4,070,201   
135,369    AZL Schroder Emerging Markets Equity Fund, Class 2      1,019,325   
297,926    PIMCO PVIT Global Advantage Strategy Bond Portfolio      3,059,701   
388,243    PIMCO PVIT High Yield Portfolio      3,074,883   
473,909    PIMCO PVIT Low Duration Portfolio      5,108,744   
341,746    PIMCO PVIT Real Return Portfolio      5,102,268   
1,633,861    PIMCO PVIT Total Return Portfolio      19,181,534   
393,180    PIMCO PVIT Unconstrained Bond Portfolio      4,089,073   
     

 

 

  

Total Affiliated Investment Companies (Cost $94,081,054)

      96,753,690   
     

 

 

  

Unaffiliated Investment Company (0.4%):

   
390,819    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      390,819   
     

 

 

  

Total Unaffiliated Investment Company (Cost $390,819)

      390,819   
     

 

 

  

Total Investment Securities
(Cost $94,471,873)(b) — 94.4%

      97,144,509   

Net other assets (liabilities) — 5.6%

      5,760,761   
     

 

 

  

Net Assets — 100.0%

    $ 102,905,270   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         35       $ 2,509,850       $ 1,027   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         19         2,536,203         7,372   
              

 

 

  

Total

                $ 8,399   
              

 

 

  

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

September 30, 2012

(Unaudited)

 

Shares

         Fair
Value		  

Affiliated Investment Companies (94.7%):

   
155,519    AZL Allianz AGIC Opportunity Fund    $ 1,951,760   
536,334    AZL BlackRock Capital Appreciation Fund      7,766,110   
343,763    AZL Columbia Mid Cap Value Fund      2,925,426   
278,591    AZL Columbia Small Cap Value Fund      2,975,351   
355,415    AZL Dreyfus Research Growth Fund      3,888,244   
109,230    AZL Federated Clover Small Value Fund      1,937,747   
446,346    AZL Gateway Fund      4,874,103   
739,518    AZL International Index Fund      9,606,341   
500,021    AZL Invesco Growth and Income Fund      5,835,243   
664,771    AZL Invesco International Equity Fund      10,170,993   
788,925    AZL JPMorgan International Opportunities Fund      11,557,744   
910,408    AZL JPMorgan U.S. Equity Fund      9,714,054   
240,967    AZL MFS Investors Trust Fund      3,886,797   
764,790    AZL MFS Value Fund      6,821,925   
116,597    AZL Mid Cap Index Fund      1,946,002   
415,086    AZL Morgan Stanley Global Real Estate Fund      3,881,053   
216,312    AZL Morgan Stanley Mid Cap Growth Fund      2,922,382   
375,585    AZL NFJ Dividend Value Portfolio      3,887,308   
568,905    AZL NFJ International Value Fund      6,286,396   
257,145    AZL Oppenheimer Discovery Fund      2,918,597   
1,389,304    AZL Pyramis Core Bond Fund      13,920,822   
416,735    AZL Russell 1000 Growth Index Fund      5,342,546   
582,889    AZL Russell 1000 Value Index Fund      6,813,972   
258,857    AZL Schroder Emerging Markets Equity Fund, Class 2      1,949,190   
569,992    PIMCO PVIT Global Advantage Strategy Bond Portfolio      5,853,816   
495,304    PIMCO PVIT High Yield Portfolio      3,922,804   
523,074    PIMCO PVIT Real Return Portfolio      7,809,490   
2,354,993    PIMCO PVIT Total Return Portfolio      27,647,617   
564,147    PIMCO PVIT Unconstrained Bond Portfolio      5,867,133   
     

 

 

  

Total Affiliated Investment Companies
(Cost $180,342,829)

      184,880,966   
     

 

 

  

Unaffiliated Investment Company (0.6%):

   
1,299,852    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      1,299,852   
     

 

 

  

Total Unaffiliated Investment Company (Cost $1,299,852)

      1,299,852   
     

 

 

  

Total Investment Securities
(Cost $181,642,681)(b) — 95.3%

      186,180,818   

Net other assets (liabilities) — 4.7%

      9,085,786   
     

 

 

  

Net Assets — 100.0%

    $ 195,266,604   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         88       $ 6,310,480       $ 4,542   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         25         3,337,109         10,543   
              

 

 

  

Total

                $ 15,085   
              

 

 

  

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

September 30, 2012

(Unaudited)

 

Shares

         Fair
Value		  

Affiliated Investment Companies (95.0%):

   
4,563,438    AZL Enhanced Bond Index Fund    $ 50,927,968   
3,084,233    AZL International Index Fund      40,064,180   
1,409,083    AZL Mid Cap Index Fund      23,517,588   
7,673,758    AZL S&P 500 Index Fund, Class 2      76,353,893   
1,049,349    AZL Small Cap Stock Index Fund      11,710,732   
     

 

 

  

Total Affiliated Investment Companies (Cost $197,280,934)

      202,574,361   
     

 

 

  

Unaffiliated Investment Company (0.2%):

   
509,346    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      509,346   
     

 

 

  

Total Unaffiliated Investment Company (Cost $509,346)

      509,346   
     

 

 

  

Total Investment Securities
(Cost $197,790,280)(b) — 95.2%

      203,083,707   

Net other assets (liabilities) — 4.8%

      10,256,764   
     

 

 

  

Net Assets — 100.0%

    $ 213,340,471   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         110       $ 7,888,100       $ 6,467   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         19         2,536,203         6,294   
              

 

 

  

Total

                $ 12,761   
              

 

 

  

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

September 30, 2012

(Unaudited)

 

Shares

    Fair
Value		  

Mutual Fund (95.0%):

  

4,894,119    AZL Invesco Equity And Income Fund      $61,910,605   
     

 

 

  

Total Mutual Fund (Cost $59,804,444)

      61,910,605   
     

 

 

  

Unaffiliated Investment Company (0.6%):

   
380,847    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      380,847   
     

 

 

  

Total Unaffiliated Investment Company (Cost $380,847)

      380,847   
     

 

 

  

Total Investment Securities
(Cost $60,185,291)(b) — 95.6%

      62,291,452   

Net other assets (liabilities) — 4.4%

      2,897,209   
     

 

 

  

Net Assets — 100.0%

    $ 65,188,661   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         27       $ 1,936,170       $ 1,109   

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         9         1,201,359         3,831   
              

 

 

  

Total

                $ 4,940   
              

 

 

  

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Franklin Templeton Founding Strategy Plus Fund

Consolidated Schedule of Portfolio Investments

September 30, 2012

(Unaudited)

 

Shares

    Fair
Value		  

Affiliated Investment Company (94.5%):

  

2,426,738

    AZL Franklin Templeton Founding Strategy Plus Fund      $28,247,227   
     

 

 

  

Total Affiliated Investment Companies (Cost $27,701,964)

      28,247,227   
     

 

 

  

Unaffiliated Investment Company (0.9%):

   

273,331

    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      273,331   
     

 

 

  

Total Unaffiliated Investment Company (Cost $273,331)

      273,331   
     

 

 

  

Total Investment Securities (Cost $27,975,295)(b) — 95.4%

      28,520,558   

Net other assets (liabilities) — 4.6%

      1,377,333   
     

 

 

  

Net Assets — 100.0%

      $29,897,891   
     

 

 

  

Percentages indicated are based on net assets as of September 30, 2012.

 

(a) The rate represents the effective yield at September 30, 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 December Futures

      Long         12/24/12         12         860,520         (414 ) 

U.S. Treasury 10-Year Note December Futures

      Long         12/20/12         4         533,938         2,658   
              

 

 

  

Total

                $  2,244   
              

 

 

  

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

September 30, 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 13 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 Franklin Templeton Founding Strategy Plus 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.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

September 30, 2012 (Unaudited)

 

Consolidation of Subsidiaries

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

 

AZL MVP Fund

   

Subsidiary

AZL MVP Fusion Balanced Fund

    AZL MVP FB Investments Trust

AZL MVP Fusion Moderate Fund

    AZL MVP FM Investments Trust

AZL MVP Balanced Index Strategy Fund

    AZL MVP BIS Investments Trust

AZL MVP Growth Index Strategy Fund

    AZL MVP GIS Investments Trust

AZL MVP BlackRock Global Allocation Fund

    AZL MVP BGA Investments Trust

AZL MVP Franklin Templeton Founding Strategy Plus Fund

    AZL MVP FTFSP Investments Trust

AZL MVP Invesco Equity and Income Fund

    AZL MVP IEI Investments Trust

As of September 30, 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 Fusion Balanced Fund

    $ 5,168,725         5.0 % 

AZL MVP Fusion Moderate Fund

    $ 9,796,841         5.0 % 

AZL MVP Balanced Index Strategy Fund

    $ 2,904,129         5.0 % 

AZL MVP Growth Index Strategy Fund

    $ 10,560,832         5.0 % 

AZL MVP BlackRock Global Allocation Fund

    $ 13,596,496         5.0 % 

AZL MVP Franklin Templeton Founding Strategy Plus Fund

    $ 1,467,275         4.9 % 

AZL MVP Invesco Equity and Income Fund

    $ 3,233,782         5.0 % 

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

Derivative Instruments

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

Futures Contracts

As of September 30, 2012, the Funds invested in futures contracts with low or negative correlations to the broad market. The futures contracts entered into by the Trust support in reducing volatility in the investment portfolios of the funds that invest in the Trust. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Trust is required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

September 30, 2012 (Unaudited)

 

contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Trust. 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. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market 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.

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.

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 September 30, 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 September 30, 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

    $    349,510,966       $              —        $    349,510,966   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 349,510,966       $ —          $ 349,510,966   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Balanced Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 1,006,378,495       $     9,711,278 (1)    $ 1,016,089,773   

Unaffiliated Investment Company

      45,526         —          45,526   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 1,006,424,021       $ 9,711,278      $ 1,016,135,299   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Conservative Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $    237,973,819       $              —        $    237,973,819   

Unaffiliated Investment Company

      76,365         —            76,365   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 238,050,184       $ —        $ 238,050,184   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Growth Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $    802,559,760       $ 11,380,622 (1)    $    813,940,382   

Unaffiliated Investment Company

      220,465         —          220,465   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 802,780,225       $ 11,380,622      $ 814,160,847   
  

 

 

     

 

 

    

 

 

  

AZL Fusion Moderate Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $ 2,031,644,652       $ 24,134,888 (1)    $ 2,055,779,540   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 2,031,644,652       $ 24,134,888      $ 2,055,779,540   
  

 

 

     

 

 

    

 

 

  

AZL Growth Index Strategy Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $    938,536,797       $              —        $    938,536,797   

Unaffiliated Investment Company

      271,709         —            271,709   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 938,808,506       $ —        $ 938,808,506   
  

 

 

     

 

 

    

 

 

  

AZL MVP Balanced Index Strategy Fund

 

     Level 1      Level 2     Total  

Investment Securities:

        

Affiliated Investment Companies

    $      54,923,073       $              —        $      54,923,073   

Unaffiliated Investment Company

      136,257         —            136,257   
  

 

 

     

 

 

    

 

 

  

Total Investment Securities

    $ 55,059,330       $ —        $ 55,059,330   
  

 

 

     

 

 

    

 

 

  

Other Financial Instruments:*

        

Futures Contracts

    $ 5,237       $ —        $ 5,237   
  

 

 

     

 

 

    

 

 

  

Total Investments

    $ 55,064,567       $ —        $ 55,064,567   
  

 

 

     

 

 

    

 

 

  

AZL MVP BlackRock Global Allocation Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $ 255,205,140       $ —         $ 255,205,140   

Unaffiliated Investment Company

      916,140         —           916,140   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 256,121,280       $ —         $ 256,121,280   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 23,525       $ —         $ 23,525   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 256,144,805       $ —         $ 256,144,805   
  

 

 

     

 

 

     

 

 

  

AZL MVP Fusion Balanced Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $   96,753,690       $ —         $   96,753,690   

Unaffiliated Investment Company

      390,819         —           390,819   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 97,144,509       $ —         $ 97,144,509   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 8,399       $ —         $ 8,399   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 97,152,908       $ —         $ 97,152,908   
  

 

 

     

 

 

     

 

 

  

AZL MVP Fusion Moderate Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $ 184,880,966       $ —         $ 184,880,966   

Unaffiliated Investment Company

      1,299,852         —           1,299,852   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 186,180,818       $ —         $ 186,180,818   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 15,085       $ —         $ 15,085   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 186,195,903       $ —         $ 186,195,903   
  

 

 

     

 

 

     

 

 

  

AZL MVP Growth Index Strategy Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $ 202,574,361       $ —         $ 202,574,361   

Unaffiliated Investment Company

      509,346         —           509,346   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 203,083,707       $ —         $ 203,083,707   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 12,761       $ —         $ 12,761   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 203,096,468       $ —         $ 203,096,468   
  

 

 

     

 

 

     

 

 

  

AZL MVP Invesco Equity and Income Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $   61,910,605       $ —         $   61,910,605   

Unaffiliated Investment Company

      380,847         —           380,847   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 62,291,452       $ —         $ 62,291,452   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 4,940       $ —         $ 4,940   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 62,296,392       $ —         $ 62,296,392   
  

 

 

     

 

 

     

 

 

  

AZL MVP Franklin Templeton Founding Strategy Plus Fund

 

                                                                          
     Level 1      Level 2      Total  

Investment Securities:

         

Affiliated Investment Companies

    $   28,247,227       $ —         $   28,247,227   

Unaffiliated Investment Company

      273,331         —           273,331   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 28,520,558       $ —         $ 28,520,558   
  

 

 

     

 

 

     

 

 

  

Other Financial Instruments:*

         

Futures Contracts

    $ 2,244       $ —         $ 2,244   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 28,522,802       $ —         $ 28,522,802   
  

 

 

     

 

 

     

 

 

  

 

(1)

Consists of the holding, AZL Strategic Investments Trust, listed under Affiliated Investment Companies on the Fund’s Schedule of Portfolio Investment. The AZL Strategic Investments Trust is only offered to Funds in the Trust, and the Fund has the ability to reddem its interest in the AZL Strategic Investment 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 September 30, 2012, the cost and aggregate gross unrealized appreciation and depreciation of securities, for federal tax purposes were as follows:

 

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

AZL Balanced Index Strategy Fund

    $ 308,557,829       $ 41,420,016       $ (466,879 )    $ 40,953,137   

AZL Growth Index Strategy Fund

      842,290,144         97,690,221         (1,171,859 )      96,518,362   

AZL Fusion Conservative Fund

      225,713,021         13,350,467         (1,013,304 )      12,337,163   

AZL Fusion Balanced Fund

      925,840,732         118,978,618         (28,684,051 )      90,294,567   

AZL Fusion Moderate Fund

      1,897,601,743         237,955,848         (79,778,051 )      158,177,797   

AZL Fusion Growth Fund

      757,138,129         122,838,611         (65,815,893 )      57,022,718   

AZL MVP Fusion Balanced Fund

      94,496,368         3,016,273         (368,132 )      2,648,141   

AZL MVP Fusion Moderate Fund

      181,667,956         5,642,302         (1,129,440 )      4,512,862   

AZL MVP Balanced Index Strategy Fund

      54,113,155         1,127,925         (181,750 )      946,175   

AZL MVP Growth Index Strategy Fund

      197,816,275         5,504,825         (237,393 )      5,267,432   

AZL MVP BlackRock Global Allocation Fund

      248,389,251         7,758,425         (26,396 )      7,732,029   

AZL MVP Invesco Equity and Income Fund

      60,187,461         2,106,161         (2,170 )      2,103,991   

AZL MVP Franklin Templeton Founding Strategy Plus Fund

      27,975,297         545,263         (2 )      545,261   

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 

   November 14, 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 

   November 14, 2012  

 

By

   (Signature and Title)  

/s/ Ty Edwards

    Ty Edwards, Treasurer

 

Date 

   November 14, 2012