N-Q 1 d540063dnq.htm ALLIANZ FOF 3-28-2013 N-Q Allianz FOF 3-28-2013 N-Q

 

 

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: 1-800-624-0197

Date of fiscal year end: December 31

Date of reporting period: March 28, 2013

 

 

 

Item 1. Schedule of Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Balanced Index Strategy Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  
Affiliated Investment Companies (100.0%):   
16,053,185    AZL Enhanced Bond Index Fund    $ 178,350,889   
3,311,411    AZL International Index Fund      48,147,919   
1,549,804    AZL Mid Cap Index Fund      30,314,163   
9,108,445    AZL S&P 500 Index Fund, Class 2      99,555,304   
1,299,186    AZL Small Cap Stock Index Fund      16,538,638   
     

 

 

  

Total Affiliated Investment Companies
(Cost $312,111,716)

      372,906,913   
     

 

 

  
Total Investment Securities
(Cost $312,111,716)(a) - 100.0%		      372,906,913   
Net other assets (liabilities) - 0.0%      (93,223 ) 
     

 

 

  
Net Assets - 100.0%    $ 372,813,690   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(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

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (99.3%):

   
808,956    AZL Allianz AGIC Opportunity Fund    $ 11,001,805   
1,762,769    AZL BlackRock Capital Appreciation Fund      26,794,096   
1,148,561    AZL Columbia Mid Cap Value Fund      11,393,721   
933,241    AZL Columbia Small Cap Value Fund      11,329,547   
1,372,996    AZL Dreyfus Research Growth Fund      16,118,976   
553,318    AZL Federated Clover Small Value Fund      11,315,362   
1,831,286    AZL Gateway Fund      20,547,029   
2,195,925    AZL International Index Fund      31,928,747   
2,050,424    AZL Invesco Growth and Income Fund      26,983,577   
1,953,907    AZL Invesco International Equity Fund      32,141,765   
2,600,134    AZL JPMorgan International Opportunities Fund      42,382,182   
3,585,868    AZL JPMorgan U.S. Equity Fund      42,564,252   
1,211,499    AZL MFS Investors Trust Fund      21,782,746   
3,202,180    AZL MFS Value Fund      32,213,932   
583,448    AZL Mid Cap Index Fund      11,412,243   
1,589,130    AZL Morgan Stanley Global Real Estate Fund      16,542,847   
736,178    AZL Morgan Stanley Mid Cap Growth Fund      11,072,114   
1,788,013    AZL NFJ International Value Fund      21,760,121   
1,330,036    AZL Oppenheimer Discovery Fund      16,213,136   
9,895,350    AZL Pyramis Core Bond Fund      99,349,316   
2,381,215    AZL Russell 1000 Growth Index Fund      32,884,573   
4,223,184    AZL Russell 1000 Value Index Fund      56,041,650   
1,345,050    AZL Schroder Emerging Markets Equity Fund, Class 2      10,545,188   
1,446,300    NFJ Dividend Value Portfolio      16,343,194   
2,992,539    PIMCO PVIT Global Advantage Strategy Bond Portfolio      30,254,566   
3,874,915    PIMCO PVIT High Yield Portfolio      31,503,056   
4,681,406    PIMCO PVIT Low Duration Portfolio      50,418,748   
3,521,718    PIMCO PVIT Real Return Portfolio      50,325,347   
17,552,044    PIMCO PVIT Total Return Portfolio      202,901,632   
3,860,743    PIMCO PVIT Unconstrained Bond Portfolio      40,962,483   
     

 

 

  

Total Affiliated Investment Companies
(Cost $879,227,348)

      1,037,027,951   
     

 

 

  
Total Investment Securities
(Cost $879,227,348)(a) - 100.0%		      1,037,027,951   
Net other assets (liabilities) - 0.0%      7,610,961   
     

 

 

  
Net Assets - 100.0%    $ 1,044,638,912   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(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

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $7,387,462 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		     Notional
Value		     Unrealized
Appreciation/
(Depreciation)		  
S&P 500 Index E-Mini June Futures      Short         6/21/13         (617 )    $ (48,209,295 )    $ (860,000 ) 

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Conservative Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (99.5%):

  

191,817    AZL Allianz AGIC Opportunity Fund    $ 2,608,706   
344,754    AZL BlackRock Capital Appreciation Fund      5,240,263   
265,375    AZL Columbia Mid Cap Value Fund      2,632,521   
320,179    AZL Columbia Small Cap Value Fund      3,886,978   
224,705    AZL Dreyfus Research Growth Fund      2,638,038   
345,492    AZL Gateway Fund      3,876,425   
353,525    AZL International Index Fund      5,140,252   
494,424    AZL Invesco Growth and Income Fund      6,506,616   
315,545    AZL Invesco International Equity Fund      5,190,718   
316,277    AZL JPMorgan International Opportunities Fund      5,155,310   
655,351    AZL JPMorgan U.S. Equity Fund      7,779,020   
146,465    AZL MFS Investors Trust Fund      2,633,449   
773,861    AZL MFS Value Fund      7,785,044   
134,824    AZL Mid Cap Index Fund      2,637,159   
254,695    AZL Morgan Stanley Global Real Estate Fund      2,651,370   
176,083    AZL Morgan Stanley Mid Cap Growth Fund      2,648,281   
215,380    AZL Oppenheimer Discovery Fund      2,625,487   
3,235,897    AZL Pyramis Core Bond Fund      32,488,407   
385,714    AZL Russell 1000 Growth Index Fund      5,326,708   
793,455    AZL Russell 1000 Value Index Fund      10,529,150   
346,275    NFJ Dividend Value Portfolio      3,912,902   
750,641    PIMCO PVIT Global Advantage Strategy Bond Portfolio      7,588,981   
1,256,566    PIMCO PVIT High Yield Portfolio      10,215,884   
1,896,584    PIMCO PVIT Low Duration Portfolio      20,426,212   
1,249,802    PIMCO PVIT Real Return Portfolio      17,859,672   
5,475,697    PIMCO PVIT Total Return Portfolio      63,299,060   
1,198,155    PIMCO PVIT Unconstrained Bond Portfolio      12,712,423   
     

 

 

  

Total Affiliated Investment Companies
(Cost $235,637,142)

      255,995,036   
     

 

 

  

Unaffiliated Investment Company (0.3%):

   
778,899    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      778,899   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $778,899)

      778,899   
     

 

 

  
Total Investment Securities
(Cost $236,416,041)(b) - 100.2%		      256,773,935   
Net other assets (liabilities) - (0.2)%      (466,463 ) 
     

 

 

  
Net Assets - 100.0%    $ 257,240,398   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

(a) The rate represents the effective yield at March 28, 2013.
(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 28, 2013

(Unaudited)

 

Futures Contracts

Cash of $1,085,488 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		      Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures      Long         6/19/13         5       $ 659,922       $ 8,353   
S&P 500 Index E-Mini June Futures      Long         6/21/13         4         312,540         3,654   
              

 

 

  
Total                $ 12,006   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Growth Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (99.0%):

  

674,738    AZL Allianz AGIC Opportunity Fund    $ 9,176,436   
2,286,916    AZL BlackRock Capital Appreciation Fund      34,761,125   
1,827,195    AZL Columbia Mid Cap Value Fund      18,125,777   
1,127,473    AZL Columbia Small Cap Value Fund      13,687,517   
2,241,152    AZL Dreyfus Research Growth Fund      26,311,128   
454,638    AZL Federated Clover Small Value Fund      9,297,348   
2,228,409    AZL Gateway Fund      25,002,751   
3,543,167    AZL International Index Fund      51,517,647   
2,349,022    AZL Invesco Growth and Income Fund      30,913,134   
3,666,295    AZL Invesco International Equity Fund      60,310,545   
4,201,194    AZL JPMorgan International Opportunities Fund      68,479,469   
4,403,547    AZL JPMorgan U.S. Equity Fund      52,270,098   
1,479,535    AZL MFS Investors Trust Fund      26,602,042   
3,500,784    AZL MFS Value Fund      35,217,888   
473,439    AZL Mid Cap Index Fund      9,260,459   
2,531,119    AZL Morgan Stanley Global Real Estate Fund      26,348,947   
1,189,549    AZL Morgan Stanley Mid Cap Growth Fund      17,890,822   
2,865,128    AZL NFJ International Value Fund      34,868,612   
1,488,101    AZL Oppenheimer Discovery Fund      18,139,952   
3,204,315    AZL Pyramis Core Bond Fund      32,171,318   
2,396,529    AZL Russell 1000 Growth Index Fund      33,096,060   
3,966,210    AZL Russell 1000 Value Index Fund      52,631,603   
1,609,567    AZL Schroder Emerging Markets Equity Fund, Class 2      12,619,007   
1,975,867    NFJ Dividend Value Portfolio      22,327,296   
2,386,523    PIMCO PVIT Global Advantage Strategy Bond Portfolio      24,127,749   
1,047,414    PIMCO PVIT High Yield Portfolio      8,515,476   
1,684,966    PIMCO PVIT Real Return Portfolio      24,078,167   
5,008,907    PIMCO PVIT Total Return Portfolio      57,902,966   
1,557,906    PIMCO PVIT Unconstrained Bond Portfolio      16,529,381   
     

 

 

  

Total Affiliated Investment Companies
(Cost $681,649,495)

      852,180,720   
     

 

 

  

Unaffiliated Investment Company (0.0%):

  

368,537    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      368,537   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $368,537)

      368,537   
     

 

 

  
Total Investment Securities
(Cost $682,018,032)(b) - 100.0%		      852,549,257   
Net other assets (liabilities) - 0.0%      9,125,812   
     

 

 

  
Net Assets - 100.0%    $ 861,675,069   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

(a) The rate represents the effective yield at March 28, 2013.
(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 Growth Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Futures Contracts

Cash of $8,893,226 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		     Notional Value     Unrealized
Appreciation/
(Depreciation)		  
S&P 500 Index E-Mini June Futures      Short         6/21/13         (790 )    $ (61,726,650 )    $ (1,100,316 ) 

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL Fusion Moderate Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (99.3%):

  

1,637,398    AZL Allianz AGIC Opportunity Fund    $ 22,268,617   
5,691,353    AZL BlackRock Capital Appreciation Fund      86,508,572   
3,443,081    AZL Columbia Mid Cap Value Fund      34,155,366   
2,801,524    AZL Columbia Small Cap Value Fund      34,010,505   
3,713,962    AZL Dreyfus Research Growth Fund      43,601,914   
1,117,319    AZL Federated Clover Small Value Fund      22,849,179   
4,660,331    AZL Gateway Fund      52,288,919   
7,384,131    AZL International Index Fund      107,365,270   
5,018,720    AZL Invesco Growth and Income Fund      66,046,349   
6,890,695    AZL Invesco International Equity Fund      113,351,936   
7,890,865    AZL JPMorgan International Opportunities Fund      128,621,097   
9,145,170    AZL JPMorgan U.S. Equity Fund      108,553,168   
2,489,955    AZL MFS Investors Trust Fund      44,769,399   
7,630,752    AZL MFS Value Fund      76,765,361   
1,200,223    AZL Mid Cap Index Fund      23,476,356   
4,255,045    AZL Morgan Stanley Global Real Estate Fund      44,295,023   
2,234,516    AZL Morgan Stanley Mid Cap Growth Fund      33,607,119   
5,846,704    AZL NFJ International Value Fund      71,154,388   
2,731,117    AZL Oppenheimer Discovery Fund      33,292,310   
16,182,793    AZL Pyramis Core Bond Fund      162,475,243   
5,456,364    AZL Russell 1000 Growth Index Fund      75,352,386   
8,456,383    AZL Russell 1000 Value Index Fund      112,216,208   
2,750,658    AZL Schroder Emerging Markets Equity Fund, Class 2      21,565,159   
3,929,312    NFJ Dividend Value Portfolio      44,401,226   
6,053,665    PIMCO PVIT Global Advantage Strategy Bond Portfolio      61,202,555   
5,293,560    PIMCO PVIT High Yield Portfolio      43,036,639   
5,753,631    PIMCO PVIT Real Return Portfolio      82,219,391   
26,926,024    PIMCO PVIT Total Return Portfolio      311,264,834   
5,924,209    PIMCO PVIT Unconstrained Bond Portfolio      62,855,857   
     

 

 

  

Total Affiliated Investment Companies
(Cost $1,785,840,163)

      2,123,570,346   
     

 

 

  
Total Investment Securities
(Cost $1,785,840,163)(a) - 99.3%		      2,123,570,346   
Net other assets (liabilities) - 0.7%      14,774,213   
     

 

 

  
Net Assets - 100.0%    $ 2,138,344,559   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(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 Moderate Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Futures Contracts

Cash of $15,070,577 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		     Notional Value     Unrealized
Appreciation/
(Depreciation)		  
S&P 500 Index E-Mini June Futures      Short         6/21/13         (1,644 )    $ (128,453,940 )    $ (2,283,949 ) 

 

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 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (100.0%):

  

23,536,907    AZL Enhanced Bond Index Fund    $ 261,495,036   
13,674,659    AZL International Index Fund      198,829,545   
6,226,321    AZL Mid Cap Index Fund      121,786,837   
39,075,936    AZL S&P 500 Index Fund, Class 2      427,099,978   
4,866,987    AZL Small Cap Stock Index Fund      61,956,747   
     

 

 

  

Total Affiliated Investment Companies
(Cost $889,234,068)

      1,071,168,143   
     

 

 

  

Unaffiliated Investment Company (0.0%):

   
156,941    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      156,941   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $156,941)

      156,941   
     

 

 

  
Total Investment Securities
(Cost $889,391,009)(b) - 100.0%		      1,071,325,084   
Net other assets (liabilities) - 0.0%      (8,150 ) 
     

 

 

  
Net Assets - 100.0%    $ 1,071,316,934   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (94.9%):

  

4,068,566    AZL Enhanced Bond Index Fund    $ 45,201,771   
818,748    AZL International Index Fund      11,904,595   
369,396    AZL Mid Cap Index Fund      7,225,379   
2,062,233    AZL S&P 500 Index Fund, Class 2      22,540,204   
300,113    AZL Small Cap Stock Index Fund      3,820,441   
     

 

 

  

Total Affiliated Investment Companies
(Cost $85,502,943)

      90,692,390   
     

 

 

  
Total Investment Securities
(Cost $85,502,943)(a) - 99.9%		      90,692,390   
Net other assets (liabilities) - 0.1%      4,874,714   
     

 

 

  
Net Assets - 100.0%    $ 95,567,104   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(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

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $4,780,034 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type    Expiration
Date		    Number
of
Contracts		    Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures    Long    6/19/13    18    $ 2,375,719       $ 7,515   
S&P 500 Index E-Mini June Futures    Long    6/21/13    30      2,344,050         42,559   
              

 

 

  
Total                $ 50,074   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP BlackRock Global Allocation Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Company (94.8%):

   
34,992,217    AZL BlackRock Global Allocation Fund      385,614,237   
     

 

 

  

Total Affiliated Investment Company
(Cost $363,776,007)

      385,614,237   
     

 

 

  

Unaffiliated Investment Company (0.2%):

   
991,643    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      991,643   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $991,643)

      991,643   
     

 

 

  
Total Investment Securities
(Cost $364,767,650)(b) - 95.0%		      386,605,880   
Net other assets (liabilities) - 5.0%      20,203,125   
     

 

 

  
Net Assets - 100.0%    $ 406,809,005   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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 BlackRock Global Allocation Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $20,285,483 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type    Expiration
Date		    Number
of
Contracts		    Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures    Long    6/19/13    61    $ 8,051,047       $ 29,193   
S&P 500 Index E-Mini June Futures    Long    6/21/13    156      12,189,060         220,025   
              

 

 

  
Total                $ 249,218   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Franklin Templeton Founding Strategy Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Company (94.8%):

   
5,358,904    AZL Franklin Templeton Founding Strategy Plus Fund    $ 67,843,729   
     

 

 

  

Total Affiliated Investment Company
(Cost $63,480,215)

      67,843,729   
     

 

 

  

Unaffiliated Investment Company (0.3%):

   
215,228    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      215,228   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $215,228)

      215,228   
     

 

 

  
Total Investment Securities
(Cost $63,695,443)(b) - 100.1%		      68,058,957   
Net other assets (liabilities) - (0.1)%      (3,493,764 ) 
     

 

 

  
Net Assets - 100.0%    $ 71,552,721   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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 Franklin Templeton Founding Strategy Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $3,578,419 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type    Expiration
Date		    Number
of
Contracts		    Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures    Long    6/19/13    10    $ 1,319,844       $ 5,729   
S&P 500 Index E-Mini June Futures    Long    6/21/13    27      2,109,645         37,267   
              

 

 

  
Total                $ 42,997   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Fusion Balanced Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (94.7%):

  

112,725    AZL Allianz AGIC Opportunity Fund    $ 1,533,055   
254,446    AZL BlackRock Capital Appreciation Fund      3,867,585   
155,054    AZL Columbia Mid Cap Value Fund      1,538,140   
125,895    AZL Columbia Small Cap Value Fund      1,528,367   
197,166    AZL Dreyfus Research Growth Fund      2,314,733   
75,039    AZL Federated Clover Small Value Fund      1,534,551   
272,682    AZL Gateway Fund      3,059,488   
316,992    AZL International Index Fund      4,609,060   
291,772    AZL Invesco Growth and Income Fund      3,839,726   
280,376    AZL Invesco International Equity Fund      4,612,178   
377,829    AZL JPMorgan International Opportunities Fund      6,158,605   
517,734    AZL JPMorgan U.S. Equity Fund      6,145,501   
170,926    AZL MFS Investors Trust Fund      3,073,256   
458,703    AZL MFS Value Fund      4,614,555   
78,856    AZL Mid Cap Index Fund      1,542,415   
221,945    AZL Morgan Stanley Global Real Estate Fund      2,310,450   
102,884    AZL Morgan Stanley Mid Cap Growth Fund      1,547,370   
252,623    AZL NFJ International Value Fund      3,074,422   
189,005    AZL Oppenheimer Discovery Fund      2,303,967   
1,331,954    AZL Pyramis Core Bond Fund      13,372,821   
278,715    AZL Russell 1000 Growth Index Fund      3,849,055   
462,921    AZL Russell 1000 Value Index Fund      6,142,961   
197,090    AZL Schroder Emerging Markets Equity Fund, Class 2      1,545,186   
203,701    NFJ Dividend Value Portfolio      2,301,817   
453,692    PIMCO PVIT Global Advantage Strategy Bond Portfolio      4,586,824   
564,128    PIMCO PVIT High Yield Portfolio      4,586,361   
710,043    PIMCO PVIT Low Duration Portfolio      7,647,162   
535,169    PIMCO PVIT Real Return Portfolio      7,647,558   
2,479,436    PIMCO PVIT Total Return Portfolio      28,662,284   
576,009    PIMCO PVIT Unconstrained Bond Portfolio      6,111,458   
     

 

 

  

Total Affiliated Investment Companies
(Cost $137,063,581)

      145,660,911   
     

 

 

  

Unaffiliated Investment Company (0.2%):

  

374,067    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      374,067   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $374,067)

      374,067   
     

 

 

  
Total Investment Securities
(Cost $137,437,648)(b) - 94.9%		      146,034,978   
Net other assets (liabilities) - 5.1%      7,728,425   
     

 

 

  
Net Assets - 100.0%    $ 153,763,403   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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 Fusion Balanced Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Futures Contracts

Cash of $7,651,191 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		      Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures      Long         6/19/13         28       $ 3,695,563       $ 13,557   
S&P 500 Index E-Mini June Futures      Long         6/21/13         49         3,828,615         68,527   
              

 

 

  
Total                $ 82,084   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Fusion Moderate Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (94.7%):

   
216,869    AZL Allianz AGIC Opportunity Fund    $ 2,949,412   
783,208    AZL BlackRock Capital Appreciation Fund      11,904,757   
447,799    AZL Columbia Mid Cap Value Fund      4,442,165   
364,368    AZL Columbia Small Cap Value Fund      4,423,425   
505,764    AZL Dreyfus Research Growth Fund      5,937,666   
144,366    AZL Federated Clover Small Value Fund      2,952,287   
657,377    AZL Gateway Fund      7,375,774   
1,018,812    AZL International Index Fund      14,813,533   
675,103    AZL Invesco Growth and Income Fund      8,884,351   
946,190    AZL Invesco International Equity Fund      15,564,827   
1,092,724    AZL JPMorgan International Opportunities Fund      17,811,395   
1,247,266    AZL JPMorgan U.S. Equity Fund      14,805,046   
329,300    AZL MFS Investors Trust Fund      5,920,814   
1,031,850    AZL MFS Value Fund      10,380,412   
151,707    AZL Mid Cap Index Fund      2,967,383   
569,322    AZL Morgan Stanley Global Real Estate Fund      5,926,646   
297,422    AZL Morgan Stanley Mid Cap Growth Fund      4,473,233   
791,825    AZL NFJ International Value Fund      9,636,515   
363,768    AZL Oppenheimer Discovery Fund      4,434,337   
2,090,581    AZL Pyramis Core Bond Fund      20,989,434   
589,998    AZL Russell 1000 Growth Index Fund      8,147,866   
780,529    AZL Russell 1000 Value Index Fund      10,357,614   
379,543    AZL Schroder Emerging Markets Equity Fund, Class 2      2,975,620   
523,950    NFJ Dividend Value Portfolio      5,920,632   
874,730    PIMCO PVIT Global Advantage Strategy Bond Portfolio      8,843,524   
724,925    PIMCO PVIT High Yield Portfolio      5,893,638   
825,879    PIMCO PVIT Real Return Portfolio      11,801,806   
3,600,153    PIMCO PVIT Total Return Portfolio      41,617,770   
832,748    PIMCO PVIT Unconstrained Bond Portfolio      8,835,456   
     

 

 

  

Total Affiliated Investment Companies
(Cost $261,825,099)

      280,987,338   
     

 

 

  

Unaffiliated Investment Company (0.2%):

   
662,439    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      662,439   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $662,439)

      662,439   
     

 

 

  
Total Investment Securities
(Cost $262,487,538)(b) - 94.9%		      281,649,777   
Net other assets (liabilities) - 5.1%      15,195,143   
     

 

 

  
Net Assets - 100.0%    $ 296,844,920   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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 Fusion Moderate Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Futures Contracts

Cash of $14,760,002 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type      Expiration
Date		      Number
of
Contracts		      Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures      Long         6/19/13         39       $ 5,147,391       $ 17,956   
S&P 500 Index E-Mini June Futures      Long         6/21/13         123         9,610,605         172,667   
              

 

 

  
Total                $ 190,624   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Growth Index Strategy Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Companies (94.7%):

  

7,534,538    AZL Enhanced Bond Index Fund    $ 83,708,717   
4,636,137    AZL International Index Fund      67,409,436   
1,998,970    AZL Mid Cap Index Fund      39,099,858   
11,591,261    AZL S&P 500 Index Fund, Class 2      126,692,479   
1,527,928    AZL Small Cap Stock Index Fund      19,450,527   
     

 

 

  

Total Affiliated Investment Companies
(Cost $308,206,635)

      336,361,017   
     

 

 

  

Unaffiliated Investment Company (0.3%):

   
1,193,462    Dreyfus Treasury Prime Cash Management Fund, Institutional Shares, 0.00% (a)      1,193,462   
     

 

 

  

Total Unaffiliated Investment Company
(Cost $1,193,462)

      1,193,462   
     

 

 

  
Total Investment Securities
(Cost $309,400,097)(b) - 95.0%		      337,554,479   
Net other assets (liabilities) - 5.0%      17,743,848   
     

 

 

  
Net Assets - 100.0%    $ 355,298,327   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(a) The rate represents the effective yield at March 28, 2013.
(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 Growth Index Strategy Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $17,664,119 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type    Expiration
Date		    Number
of
Contracts		    Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures    Long    6/19/13    33    $ 4,355,484       $ 16,026   
S&P 500 Index E-Mini June Futures    Long    6/21/13    169      13,204,815         236,665   
              

 

 

  
Total                $ 252,691   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

AZL MVP Invesco Equity and Income Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

 

Shares

         Fair Value  

Affiliated Investment Company (94.8%):

   
7,329,111    AZL Invesco Equity and Income Fund    $ 102,241,096   
     

 

 

  

Total Affiliated Investment Company
(Cost $91,784,194)

      102,241,096   
     

 

 

  
Total Investment Securities
(Cost $91,784,194)(a) - 94.8%		      102,241,096   
Net other assets (liabilities) - 5.2%      5,633,960   
     

 

 

  
Net Assets - 100.0%    $ 107,875,056   
     

 

 

  

Percentages indicated are based on net assets as of March 28, 2013.

 

(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 Invesco Equity and Income Fund

Schedule of Portfolio Investments

March 28, 2013

(Unaudited)

Futures Contracts

Cash of $5,385,148 has been segregated to cover margin requirements for the following open contracts as of March 28, 2013:

 

Description

    Type    Expiration
Date		    Number
of
Contracts		    Notional
Value		      Unrealized
Appreciation/
(Depreciation)		  
U.S. Treasury 10-Year Note June Futures    Long    6/19/13    16    $ 2,111,750       $ 7,557   
S&P 500 Index E-Mini June Futures    Long    6/21/13    41      3,203,535         57,061   
              

 

 

  
Total                $ 64,618   
              

 

 

  

 

See Notes to Schedules of Portfolio Investments.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 28, 2013 (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.

Derivative Instruments

All open derivative positions at period end are reflected on the Fund’s Schedule of Portfolio Investments. The following is a description of the derivative instruments that the Funds may utilize, including the primary underlying risk exposures related to each instrument type. The Funds’ allocation to the MVP (Managed Volatility Portfolio) risk management process may include (a) derivatives such as index futures,

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 28, 2013 (Unaudited)

 

other futures contracts, options, and other similar securities and (b) cash, money market equivalents, short-term debt instruments, money market funds, and short-term debt funds to satisfy all applicable margin requirements and to provide additional portfolio liquidity to satisfy large redemptions and any margin calls. Due to the leverage provided by derivatives, the notional value of the each Fund’s derivative positions could exceed 20% of each Fund’s value. Each Fund may also use futures to gain equity exposure and may hold cash as a buffer in the event of market shocks.

Futures Contracts

As of March 28, 2013, the Funds invested in futures contracts to reduce volatility and limit the need to decrease or increase allocations to underlying funds Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Funds are required to segregate liquid assets in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and a payable or receivable for the change in value (“variation margin”) is recorded by the Funds. 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.

Futures contracts are valued at the last sales price as of the close of the primary exchange and are typically categorized as Level 1 in the fair value hierarchy.

For the period ended March 28, 2013, there were no Level 3 investments for which significant unobservable inputs were used to determine fair value.

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 28, 2013 (Unaudited)

 

The following is a summary of the valuation inputs used as of March 28, 2013 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

    $ 372,906,913      $ —         $ 372,906,913   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 372,906,913      $ —         $ 372,906,913   
  

 

 

    

 

 

     

 

 

  
AZL Fusion Balanced Fund        
     Level 1     Level 2      Total  
Investment Securities:        

Affiliated Investment Companies

    $ 1,037,027,951      $ —         $ 1,037,027,951   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 1,037,027,951      $ —         $ 1,037,027,951   
  

 

 

    

 

 

     

 

 

  
Other Financial Instruments:*        

Futures Contracts

    $ (860,000 )    $ —         $ (860,000 ) 
  

 

 

    

 

 

     

 

 

  

Total Investments

    $ 1,036,167,951      $ —         $ 1,036,167,951   
  

 

 

    

 

 

     

 

 

  
AZL Fusion Conservative Fund        
     Level 1     Level 2      Total  
Investment Securities:        

Affiliated Investment Companies

    $ 255,995,036      $ —         $ 255,995,036   

Unaffiliated Investment Company

      778,899        —           778,899   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 256,773,935      $ —         $ 256,773,935   
  

 

 

    

 

 

     

 

 

  
Other Financial Instruments:*        

Futures Contracts

    $ 12,006      $ —         $ 12,006   
  

 

 

    

 

 

     

 

 

  

Total Investments

    $ 256,785,941      $ —         $ 256,785,941   
  

 

 

    

 

 

     

 

 

  
AZL Fusion Growth Fund        
     Level 1     Level 2      Total  
Investment Securities:        

Affiliated Investment Companies

    $ 852,180,720      $ —         $ 852,180,720   

Unaffiliated Investment Company

      368,537        —           368,537   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 852,549,257      $ —         $ 852,549,257   
  

 

 

    

 

 

     

 

 

  
Other Financial Instruments:*        

Futures Contracts

    $ (1,100,316 )    $ —         $ (1,100,316 ) 
  

 

 

    

 

 

     

 

 

  

Total Investments

    $ 851,448,941      $ —         $ 851,448,941   
  

 

 

    

 

 

     

 

 

  
AZL Fusion Moderate Fund        
     Level 1     Level 2      Total  
Investment Securities:        

Affiliated Investment Companies

    $ 2,123,570,346      $ —         $ 2,123,570,346   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 2,123,570,346      $ —         $ 2,123,570,346   
  

 

 

    

 

 

     

 

 

  
Other Financial Instruments:*        

Futures Contracts

    $ (2,283,949 )    $ —         $ (2,283,949 ) 
  

 

 

    

 

 

     

 

 

  

Total Investments

    $ 2,121,286,397      $ —         $ 2,121,286,397   
  

 

 

    

 

 

     

 

 

  
AZL Growth Index Strategy Fund        
     Level 1     Level 2      Total  
Investment Securities:        

Affiliated Investment Companies

    $ 1,071,168,143      $ —         $ 1,071,168,143   

Unaffiliated Investment Company

      156,941        —           156,941   
  

 

 

    

 

 

     

 

 

  

Total Investment Securities

    $ 1,071,325,084      $ —         $ 1,071,325,084   
  

 

 

    

 

 

     

 

 

  

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 28, 2013 (Unaudited)

 

AZL MVP Balanced Index Strategy Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 90,692,390       $ —         $ 90,692,390   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 90,692,390       $ —         $ 90,692,390   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 50,074       $ —         $ 50,074   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 90,742,464       $ —         $ 90,742,464   
  

 

 

     

 

 

     

 

 

  
AZL MVP BlackRock Global Allocation Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 385,614,237       $ —         $ 385,614,237   

Unaffiliated Investment Company

      991,643         —           991,643   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 386,605,880       $ —         $ 386,605,880   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 249,218       $ —         $ 249,218   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 386,855,098       $ —         $ 386,855,098   
  

 

 

     

 

 

     

 

 

  
AZL MVP FT Founding Strategy Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 67,843,729       $ —         $ 67,843,729   

Unaffiliated Investment Company

      215,228         —           215,228   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 68,058,957       $ —         $ 68,058,957   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 42,997       $ —         $ 42,997   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 68,101,954       $ —         $ 68,101,954   
  

 

 

     

 

 

     

 

 

  
AZL MVP Fusion Balanced Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 145,660,911       $ —         $ 145,660,911   

Unaffiliated Investment Company

      374,067         —           374,067   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 146,034,978       $ —         $ 146,034,978   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 82,084       $ —         $ 82,084   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 146,117,062       $ —         $ 146,117,062   
  

 

 

     

 

 

     

 

 

  
AZL MVP Fusion Moderate Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 280,987,338       $ —         $ 280,987,338   

Unaffiliated Investment Company

      662,439         —           662,439   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 281,649,777       $ —         $ 281,649,777   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 190,624       $ —         $ 190,624   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 281,840,401       $ —         $ 281,840,401   
  

 

 

     

 

 

     

 

 

  

ALLIANZ VARIABLE INSURANCE PRODUCTS FUND OF FUNDS TRUST

NOTES TO THE SCHEDULES OF PORTFOLIO INVESTMENTS

March 28, 2013 (Unaudited)

 

AZL MVP Growth Index Strategy Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 336,361,017       $ —         $ 336,361,017   

Unaffiliated Investment Company

      1,193,462         —           1,193,462   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 337,554,479       $ —         $ 337,554,479   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 252,691       $ —         $ 252,691   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 337,807,170       $ —         $ 337,807,170   
  

 

 

     

 

 

     

 

 

  
AZL MVP Invesco Equity and Income Fund         
     Level 1      Level 2      Total  
Investment Securities:         

Affiliated Investment Companies

    $ 102,241,096       $ —         $ 102,241,096   
  

 

 

     

 

 

     

 

 

  

Total Investment Securities

    $ 102,241,096       $ —         $ 102,241,096   
  

 

 

     

 

 

     

 

 

  
Other Financial Instruments:*         

Futures Contracts

    $ 64,618       $ —         $ 64,618   
  

 

 

     

 

 

     

 

 

  

Total Investments

    $ 102,305,714       $ —         $ 102,305,714   
  

 

 

     

 

 

     

 

 

  

 

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

4. Investment Risks

Derivatives Risk: The Funds may invest directly or through affiliated or unaffiliated mutual funds or unregistered investment pools in derivative instruments such as futures, options, and options on futures. A derivative is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate, or risk. Use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Derivatives are subject to a number of other risks, such as liquidity risk, interest rate risk, market risk, credit risk, and selection risk. Derivatives also involve the risk of mispricing or improper valuation and the risk that changes in the value may not correlate perfectly with the underlying asset, rate, or index. Using derivatives may result in losses, possibly in excess of the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances. The other party to a derivatives contract could default.

5. Federal Tax Cost Information

At March 28, 2013, 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    $ 313,600,545       $ 59,306,368       $ —        $ 59,306,368   
AZL Fusion Balanced Fund      894,215,993         142,811,958         —          142,811,958   
AZL Fusion Conservative Fund      237,260,801         19,513,134         —          19,513,134   
AZL Fusion Growth Fund      736,675,128         117,956,176         (2,082,047 )      115,874,129   
AZL Fusion Moderate Fund      1,825,783,697         300,411,501         (2,624,852 )      297,786,649   
AZL Growth Index Strategy Fund      890,879,838         180,445,246         —          180,445,246   
AZL MVP Fusion Balanced Fund      137,475,687         8,670,128         (110,837 )      8,559,291   
AZL MVP Fusion Moderate Fund      262,563,734         19,334,911         (248,868 )      19,086,043   
AZL MVP Balanced Index Strategy Fund      85,526,148         5,484,376         (318,134 )      5,166,242   
AZL MVP Growth Index Strategy Fund      309,511,678         28,478,445         (435,644 )      28,042,801   

AZL MVP BlackRock Global Allocation Fund

      364,806,437         21,799,443         —          21,799,443   
AZL MVP Invesco Equity and Income Fund      91,788,098         10,452,998         —          10,452,998   

AZL MVP Franklin Templeton Founding Strategy Plus Fund

      63,828,482         4,230,475         —          4,230,475   

6. Subsequent Events

At a Board meeting on December 5, 2012, the Trustees approved reorganizations whereby the AZL Fusion Balanced Fund would acquire the assets and liabilities of the AZL MVP Fusion Balanced Fund and the AZL Fusion Moderate Fund would acquire the assets and liabilities of the AZL MVP Fusion Moderate Fund. The reorganizations were completed on April 26, 2013.

Effective April 29, 2013, the AZL Fusion Balanced Fund, AZL Fusion Conservative Fund, AZL Fusion Growth Fund and AZL Fusion Moderate Fund were renamed the AZL MVP Fusion Balanced Fund, AZL MVP Fusion Conservative Fund, AZL MVP Fusion Growth Fund and AZL MVP Fusion Moderate Fund, respectively.

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 22, 2013    

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 22, 2013    

 

By (Signature and Title)  

    /s/ Ty Edwards

   
      Ty Edwards, Treasurer   

Date    May 22, 2013